10-Q 1 d708728d10q.htm 10-Q 10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

for the quarterly period ended March 31, 2019.

or

 

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

for the transition period from                      to                     .

Commission file number: 001-34200

 

 

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

 

 

 

Delaware   87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240) 497-6400

(Registrant’s telephone number, including area code)

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

 

Common Units of Beneficial Interest

 

NYSE Arca, Inc.

(Title of each class)   (Name of exchange on which registered)

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

 

 

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    ☒  Yes    ☐  No

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

 

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

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

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

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court.    ☒  Yes    ☐  No

As of April 29, 2019, the registrant had 88,742,767 shares of common stock, $0 par value per share, outstanding.

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

 

Title of each class

  

Trading Symbol(s)

  

Name of each exchange

on which registered

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

 

 

 


Table of Contents


Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Index

 

Documents

   Page  

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

  

ProShares Short Euro

     4  

ProShares Short VIX Short-Term Futures ETF

     9  

ProShares Ultra Bloomberg Crude Oil

     14  

ProShares Ultra Bloomberg Natural Gas

     19  

ProShares Ultra Euro

     24  

ProShares Ultra Gold

     29  

ProShares Ultra Silver

     34  

ProShares Ultra VIX Short-Term Futures ETF

     39  

ProShares Ultra Yen

     44  

ProShares UltraPro 3x Crude Oil ETF

     49  

ProShares UltraPro 3x Short Crude Oil ETF

     54  

ProShares UltraShort Australian Dollar

     59  

ProShares UltraShort Bloomberg Crude Oil

     64  

ProShares UltraShort Bloomberg Natural Gas

     69  

ProShares UltraShort Euro

     74  

ProShares UltraShort Gold

     79  

ProShares UltraShort Silver

     84  

ProShares UltraShort Yen

     89  

ProShares VIX Mid-Term Futures ETF

     94  

ProShares VIX Short-Term Futures ETF

     99  

ProShares Trust II

     104  

Notes to Financial Statements

     108  

 

3


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $4,000,000 and $599,431, respectively)

   $ 3,999,732      $ 599,429  

Cash

     17,791,899        7,873,056  

Segregated cash balances with brokers for futures contracts

     397,210        151,800  

Receivable on open futures contracts

     20,893        —    

Interest receivable

     17,338        7,641  
  

 

 

    

 

 

 

Total assets

     22,227,072        8,631,926  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —          5,250  

Payable to Sponsor

     13,634        6,990  
  

 

 

    

 

 

 

Total liabilities

     13,634        12,240  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     22,213,438        8,619,686  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 22,227,072      $ 8,631,926  
  

 

 

    

 

 

 

Shares outstanding

     500,000        200,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 44.43      $ 43.10  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 44.41      $ 43.08  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(18% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 4,000,000      $ 3,999,732  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $4,000,000)

      $ 3,999,732  
     

 

 

 

Futures Contracts Sold

 

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

Euro Fx Currency Futures - CME, expires June 2019

     157      $ 22,153,683      $ 160,856  

 

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 65,178     $ 19,567  
  

 

 

   

 

 

 

Expenses

    

Management fee

     26,985       18,350  

Brokerage commissions

     568       283  
  

 

 

   

 

 

 

Total expenses

     27,553       18,633  
  

 

 

   

 

 

 

Net investment income (loss)

     37,625       934  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     147,106       (379,586
  

 

 

   

 

 

 

Net realized gain (loss)

     147,106       (379,586
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     204,137       237,219  

Short-term U.S. government and agency obligations

     (266     115  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     203,871       237,334  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     350,977       (142,252
  

 

 

   

 

 

 

Net income (loss)

   $ 388,602     $ (141,318
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019      2018  

Shareholders’ equity, beginning of period

   $ 8,619,686      $ 7,991,880  
  

 

 

    

 

 

 

Addition of 300,000 and – shares, respectively

     13,205,150        —    
  

 

 

    

 

 

 

Net addition (redemption) of 300,000 and – shares, respectively

     13,205,150        —    
  

 

 

    

 

 

 

Net investment income (loss)

     37,625        934  

Net realized gain (loss)

     147,106        (379,586

Change in net unrealized appreciation/depreciation

     203,871        237,334  
  

 

 

    

 

 

 

Net income (loss)

     388,602        (141,318
  

 

 

    

 

 

 

Shareholders’ equity, end of period

   $ 22,213,438      $ 7,850,562  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 388,602     $ (141,318

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

    

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

     (310,621,428     (179,974,006

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

     307,250,000       181,000,000  

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

     (29,141     (19,448

Change in unrealized appreciation/depreciation on investments

     266       (115

Decrease (Increase) in receivable on futures contracts

     (20,893     (14,343

Decrease (Increase) in interest receivable

     (9,697     —    

Increase (Decrease) in payable to Sponsor

     6,644       (231

Increase (Decrease) in payable on futures contracts

     (5,250     (43,311
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (3,040,897     807,228  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     13,205,150       —    
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     13,205,150       —    
  

 

 

   

 

 

 

Net increase (decrease) in cash

     10,164,253       807,228  

Cash, beginning of period

     8,024,856       1,045,493  
  

 

 

   

 

 

 

Cash, end of period

   $ 18,189,109     $ 1,852,721  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31,
2018
 

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $80,000,000 and $–, respectively)

   $ 79,994,640      $ —    

Cash

     133,206,721        180,835,767  

Segregated cash balances with brokers for futures contracts

     153,262,389        116,062,688  

Receivable on open futures contracts

     84,053,287        63,300,889  

Interest receivable

     303,695        142,222  
  

 

 

    

 

 

 

Total assets

     450,820,732        360,341,566  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     8,883,924        15,448,037  

Payable to Sponsor

     349,749        297,266  

Non-recurring fees and expenses payable

     398,550        —    
  

 

 

    

 

 

 

Total liabilities

     9,632,223        15,745,303  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     441,188,509        344,596,263  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 450,820,732      $ 360,341,566  
  

 

 

    

 

 

 

Shares outstanding

     8,434,307        8,134,307  
  

 

 

    

 

 

 

Net asset value per share

   $ 52.31      $ 42.36  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 52.36      $ 42.30  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(18% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.337% due 04/01/19

   $ 80,000,000      $ 79,994,640  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $80,000,000)

      $ 79,994,640  
     

 

 

 

Futures Contracts Sold

 

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

VIX Futures - CBOE, expires April 2019

     8,058      $ 122,683,050      $ 7,207,767  

VIX Futures - CBOE, expires May 2019

     6,033        98,488,725        892,852  
        

 

 

 
         $ 8,100,619  
        

 

 

 

 

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 1,584,561     $ 1,769,973  
  

 

 

   

 

 

 

Expenses

    

Management fee

     952,127       2,156,096  

Brokerage commissions

     188,424       1,337,687  

Brokerage fees

     24       26,789  

Non-recurring fees and expenses

     398,550       —    
  

 

 

   

 

 

 

Total expenses

     1,539,125       3,520,572  
  

 

 

   

 

 

 

Net investment income (loss)

     45,436       (1,750,599
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     59,105,354       (1,883,525,731

Short-term U.S. government and agency obligations

     —         (260,231
  

 

 

   

 

 

 

Net realized gain (loss)

     59,105,354       (1,883,785,962
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     22,576,820       (53,802,405

Short-term U.S. government and agency obligations

     (5,360     64,976  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     22,571,460       (53,737,429
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     81,676,814       (1,937,523,391
  

 

 

   

 

 

 

Net income (loss)

   $ 81,722,250     $ (1,939,273,990
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019      2018  

Shareholders’ equity, beginning of period

   $ 344,596,263      $ 770,163,871  
  

 

 

    

 

 

 

Addition of 300,000 and 17,475,000 shares, respectively

     14,869,996        2,358,163,073  

Redemption of —  and 4,037,500 shares, respectively

     —          (495,806,265
  

 

 

    

 

 

 

Net addition (redemption) of 300,000 and 13,437,500 shares, respectively

     14,869,996        1,862,356,808  
  

 

 

    

 

 

 

Net investment income (loss)

     45,436        (1,750,599

Net realized gain (loss)

     59,105,354        (1,883,785,962

Change in net unrealized appreciation/depreciation

     22,571,460        (53,737,429
  

 

 

    

 

 

 

Net income (loss)

     81,722,250        (1,939,273,990
  

 

 

    

 

 

 

Shareholders’ equity, end of period

   $ 441,188,509      $ 693,246,689  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 81,722,250     $ (1,939,273,990

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

    

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

     (4,189,800,651     (5,883,845,728

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

     4,110,200,000       6,142,262,211  

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

     (399,349     (1,446,178

Net realized gain (loss) on investments

     —         260,231  

Change in unrealized appreciation/depreciation on investments

     5,360       (64,976

Decrease (Increase) in receivable on futures contracts

     (20,752,398     (67,744,097

Decrease (Increase) in interest receivable

     (161,473     —    

Increase (Decrease) in payable to Sponsor

     52,483       (239,336

Increase (Decrease) in payable on futures contracts

     (6,564,113     6,076,300  

Increase (Decrease) in non-recurring fees and expenses payable

     398,550       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (25,299,341     (1,744,015,563
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     14,869,996       2,358,163,073  

Payment on shares redeemed

     —         (540,623,975
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     14,869,996       1,817,539,098  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (10,429,345     73,523,535  

Cash, beginning of period

     296,898,455       300,668,276  
  

 

 

   

 

 

 

Cash, end of period

   $ 286,469,110     $ 374,191,811  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $279,586,430 and $280,497,709, respectively)

   $ 279,586,291      $ 280,502,900  

Cash

     53,768,575        123,257,905  

Segregated cash balances with brokers for futures contracts

     5,759,226        13,563,407  

Segregated cash balances with brokers for swap agreements

     49,040,000        11,197,000  

Unrealized appreciation on swap agreements

     46,312,871        —    

Receivable from capital shares sold

     —          12,991,664  

Receivable on open futures contracts

     1,854,687        190,440  

Interest receivable

     74,504        62,514  
  

 

 

    

 

 

 

Total assets

     436,396,154        441,765,830  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     10,760,731        —    

Payable on open futures contracts

     —          311,815  

Payable to Sponsor

     348,127        287,236  

Unrealized depreciation on swap agreements

     —          72,767,125  
  

 

 

    

 

 

 

Total liabilities

     11,108,858        73,366,176  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     425,287,296        368,399,654  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 436,396,154      $ 441,765,830  
  

 

 

    

 

 

 

Shares outstanding

     19,761,317        28,211,317  
  

 

 

    

 

 

 

Net asset value per share

   $ 21.52      $ 13.06  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 21.53      $ 13.30  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(66% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.354% due 04/01/19

   $ 55,000,000      $ 54,996,315  

U.S. Treasury Bills^^:

     

2.491% due 04/11/19

     100,000,000        99,932,780  

2.478% due 04/25/19

     15,000,000        14,976,700  

2.415% due 05/09/19

     60,000,000        59,850,216  

2.490% due 05/23/19

     50,000,000        49,830,280  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $279,586,430)

      $ 279,586,291  
     

 

 

 

Futures Contracts Purchased

 

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

WTI Crude Oil - NYMEX, expires May 2019

     1,603      $ 96,404,420      $ 10,284,066  

Total Return Swap Agreements^

 

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

Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex

     0.18     04/08/19      $ 210,716,477      $ 13,531,815  

Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex

     0.25     04/08/19        159,549,712        9,321,563  

Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex

     0.23     04/08/19        159,265,812        9,581,950  

Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex

     0.25     04/08/19        63,215,803        3,690,633  

Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex

     0.25     04/08/19        161,395,641        10,186,910  
          

 

 

 

Total Unrealized Appreciation

           $ 46,312,871  
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements.

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of March 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 2,140,385     $ 1,425,965  
  

 

 

   

 

 

 

Expenses

    

Management fee

     1,025,194       1,072,854  

Brokerage commissions

     19,247       18,117  
  

 

 

   

 

 

 

Total expenses

     1,044,441       1,090,971  
  

 

 

   

 

 

 

Net investment income (loss)

     1,095,944       334,994  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     9,725,095       16,750,268  

Swap agreements

     66,798,062       95,767,623  

Short-term U.S. government and agency obligations

     247       (6
  

 

 

   

 

 

 

Net realized gain (loss)

     76,523,404       112,517,885  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     24,324,367       (1,178,029

Swap agreements

     119,079,996       (37,365,709

Short-term U.S. government and agency obligations

     (5,330     35,783  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     143,399,033       (38,507,955
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     219,922,437       74,009,930  
  

 

 

   

 

 

 

Net income (loss)

   $ 221,018,381     $ 74,344,924  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 368,399,654     $ 524,445,526  
  

 

 

   

 

 

 

Addition of 3,300,000 and 1,950,000 shares, respectively

     56,961,229       50,670,933  

Redemption of 11,750,000 and 9,150,000 shares, respectively

     (221,091,968     (238,332,441
  

 

 

   

 

 

 

Net addition (redemption) of (8,450,000) and (7,200,000) shares, respectively

     (164,130,739     (187,661,508
  

 

 

   

 

 

 

Net investment income (loss)

     1,095,944       334,994  

Net realized gain (loss)

     76,523,404       112,517,885  

Change in net unrealized appreciation/depreciation

     143,399,033       (38,507,955
  

 

 

   

 

 

 

Net income (loss)

     221,018,381       74,344,924  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 425,287,296     $ 411,128,942  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 221,018,381     $ 74,344,924  

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

    

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

     (2,123,791,515     (3,328,447,440

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

     2,126,692,055       3,399,999,661  

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

     (1,989,014     (1,409,122

Net realized gain (loss) on investments

     (247     6  

Change in unrealized appreciation/depreciation on investments

     (119,074,666     37,329,926  

Decrease (Increase) in receivable on futures contracts

     (1,664,247     817,015  

Decrease (Increase) in interest receivable

     (11,990     —    

Increase (Decrease) in payable to Sponsor

     60,891       (80,856

Increase (Decrease) in payable on futures contracts

     (311,815     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     100,927,833       182,554,114  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     69,952,893       50,670,933  

Payment on shares redeemed

     (210,331,237     (230,245,681
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (140,378,344     (179,574,748
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (39,450,511     2,979,366  

Cash, beginning of period

     148,018,312       10,329,503  
  

 

 

   

 

 

 

Cash, end of period

   $ 108,567,801     $ 13,308,869  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $10,993,442 and $8,380,716, respectively)

   $ 10,993,211      $ 8,380,427  

Cash

     7,550,205        731,158  

Segregated cash balances with brokers for futures contracts

     3,106,502        6,299,444  

Receivable from capital shares sold

     —          2,528,757  

Interest receivable

     15,897        11,508  
  

 

 

    

 

 

 

Total assets

     21,665,815        17,951,294  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     744,562        3,309,741  

Payable to Sponsor

     21,158        24,113  
  

 

 

    

 

 

 

Total liabilities

     765,720        3,333,854  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     20,900,095        14,617,440  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 21,665,815      $ 17,951,294  
  

 

 

    

 

 

 

Shares outstanding

     1,028,150        578,150  
  

 

 

    

 

 

 

Net asset value per share

   $ 20.33      $ 25.28  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 20.42      $ 25.82  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(53% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 1,000,000      $ 999,933  

U.S. Treasury Bills^^:

     

2.448% due 04/11/19

     10,000,000        9,993,278  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $10,993,442)

      $ 10,993,211  
     

 

 

 

Futures Contracts Purchased

 

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

Natural Gas - NYMEX, expires May 2019

     1,570      $ 41,793,400      $ 21,777  

 

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 117,835     $ 136,075  
  

 

 

   

 

 

 

Expenses

    

Management fee

     54,851       104,599  

Brokerage commissions

     18,939       24,021  
  

 

 

   

 

 

 

Total expenses

     73,790       128,620  
  

 

 

   

 

 

 

Net investment income (loss)

     44,045       7,455  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (13,301,838     1,134,812  

Short-term U.S. government and agency obligations

     (59     (20
  

 

 

   

 

 

 

Net realized gain (loss)

     (13,301,897     1,134,792  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     10,344,940       (4,974,441

Short-term U.S. government and agency obligations

     58       3,442  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     10,344,998       (4,970,999
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (2,956,899     (3,836,207
  

 

 

   

 

 

 

Net income (loss)

   $ (2,912,854   $ (3,828,752
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 14,617,440     $ 63,268,950  
  

 

 

   

 

 

 

Addition of 1,300,000 and 650,000 shares, respectively

     31,814,525       18,760,719  

Redemption of 850,000 and 1,160,284 shares, respectively

     (22,619,016     (38,961,372
  

 

 

   

 

 

 

Net addition (redemption) of 450,000 and (510,284) shares, respectively

     9,195,509       (20,200,653
  

 

 

   

 

 

 

Net investment income (loss)

     44,045       7,455  

Net realized gain (loss)

     (13,301,897     1,134,792  

Change in net unrealized appreciation/depreciation

     10,344,998       (4,970,999
  

 

 

   

 

 

 

Net income (loss)

     (2,912,854     (3,828,752
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 20,900,095     $ 39,239,545  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (2,912,854   $ (3,828,752

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

     (315,281,075     (808,881,732

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

     312,749,275       826,999,848  

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

     (80,985     (120,023

Net realized gain (loss) on investments

     59       20  

Change in unrealized appreciation/depreciation on investments

     (58     (3,442

Decrease (Increase) in receivable on futures contracts

     —         580,101  

Decrease (Increase) in interest receivable

     (4,389     —    

Increase (Decrease) in payable to Sponsor

     (2,955     (11,405

Increase (Decrease) in payable on futures contracts

     (2,565,179     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (8,098,161     14,734,615  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     34,343,282       19,087,159  

Payment on shares redeemed

     (22,619,016     (43,173,166
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     11,724,266       (24,086,007
  

 

 

   

 

 

 

Net increase (decrease) in cash

     3,626,105       (9,351,392

Cash, beginning of period

     7,030,602       14,716,897  
  

 

 

   

 

 

 

Cash, end of period

   $ 10,656,707     $ 5,365,505  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

23


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $999,344 and $1,496,665, respectively)

   $ 999,328      $ 1,496,658  

Cash

     6,099,502        5,068,270  

Segregated cash balances with brokers for foreign currency forward contracts

     921,000        921,000  

Unrealized appreciation on foreign currency forward contracts

     1,894        61,971  

Interest receivable

     11,364        6,718  
  

 

 

    

 

 

 

Total assets

     8,033,088        7,554,617  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     6,449        6,015  

Unrealized depreciation on foreign currency forward contracts

     169,432        4,033  
  

 

 

    

 

 

 

Total liabilities

     175,881        10,048  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     7,857,207        7,544,569  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 8,033,088      $ 7,554,617  
  

 

 

    

 

 

 

Shares outstanding

     550,000        500,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 14.29      $ 15.09  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 14.31      $ 15.12  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(13% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

2.448% due 04/11/19

   $ 1,000,000      $ 999,328  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $999,344)

      $ 999,328  
     

 

 

 

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     04/05/19        7,006,725     $ 7,861,797     $ (77,734

Euro with UBS AG

     04/05/19        7,466,800       8,378,017       (91,698
         

 

 

 

Total Unrealized Depreciation

          $ (169,432
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     04/05/19        (151,500   $ (169,988   $ 994  

Euro with UBS AG

     04/05/19        (307,000     (344,465     900  
         

 

 

 

Total Unrealized Appreciation

          $ 1,894  
         

 

 

 

 

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 39,503     $ 25,079  
  

 

 

   

 

 

 

Expenses

    

Management fee

     18,674       23,592  
  

 

 

   

 

 

 

Total expenses

     18,674       23,592  
  

 

 

   

 

 

 

Net investment income (loss)

     20,829       1,487  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     (227,273     800,513  
  

 

 

   

 

 

 

Net realized gain (loss)

     (227,273     800,513  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     (225,476     (482,219

Short-term U.S. government and agency obligations

     (9     235  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (225,485     (481,984
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (452,758     318,529  
  

 

 

   

 

 

 

Net income (loss)

   $ (431,929   $ 320,016  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 7,544,569     $ 9,591,516  
  

 

 

   

 

 

 

Addition of 50,000 and 100,000 shares, respectively

     744,567       1,842,786  

Redemption of – and 100,000 shares, respectively

     —         (1,801,435
  

 

 

   

 

 

 

Net addition (redemption) of 50,000 and – shares, respectively

     744,567       41,351  
  

 

 

   

 

 

 

Net investment income (loss)

     20,829       1,487  

Net realized gain (loss)

     (227,273     800,513  

Change in net unrealized appreciation/depreciation

     (225,485     (481,984
  

 

 

   

 

 

 

Net income (loss)

     (431,929     320,016  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 7,857,207     $ 9,952,883  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (431,929   $ 320,016  

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

     (59,041,009     (196,972,256

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

     59,550,000       196,000,000  

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

     (11,670     (25,079

Change in unrealized appreciation/depreciation on investments

     225,485       481,984  

Decrease (Increase) in interest receivable

     (4,646     —    

Increase (Decrease) in payable to Sponsor

     434       791  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     286,665       (194,544
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     744,567       1,842,786  

Payment on shares redeemed

     —         (1,801,435
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     744,567       41,351  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,031,232       (153,193

Cash, beginning of period

     5,989,270       2,338,427  
  

 

 

   

 

 

 

Cash, end of period

   $ 7,020,502     $ 2,185,234  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $49,961,088 and $41,941,207, respectively)

   $ 49,960,295      $ 41,941,734  

Cash

     16,449,325        32,035,747  

Segregated cash balances with brokers for futures contracts

     444,380        179,296  

Segregated cash balances with brokers for forward agreements

     —          8,883,000  

Segregated cash balances with brokers for swap agreements

     12,653,437        —    

Unrealized appreciation on swap agreements

     719,893        —    

Unrealized appreciation on forward agreements

     —          4,253,301  

Receivable on open futures contracts

     54,498        —    

Interest receivable

     26,096        15,303  
  

 

 

    

 

 

 

Total assets

     80,307,924        87,308,381  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     7,464,385        3,712,654  

Payable on open futures contracts

     —          7,990  

Payable to Sponsor

     66,237        64,443  
  

 

 

    

 

 

 

Total liabilities

     7,530,622        3,785,087  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     72,777,302        83,523,294  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 80,307,924      $ 87,308,381  
  

 

 

    

 

 

 

Shares outstanding

     1,950,000        2,250,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 37.32      $ 37.12  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 37.24      $ 37.41  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(69% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 5,000,000      $ 4,999,665  

U.S. Treasury Bills^^:

     

2.494% due 04/11/19

     40,000,000        39,973,112  

2.415% due 05/09/19

     5,000,000        4,987,518  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $49,961,088)

      $ 49,960,295  
     

 

 

 

 

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

Gold Futures - COMEX, expires June 2019

     124      $ 16,101,400      $ (205,361

 

Total Return Swap Agreements^                           
     Rate Paid
(Received)*
    Termination
Date
     Notional Amount
at Value**
     Unrealized
Appreciation
(Depreciation)/Value
 

Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex

     0.25     04/08/19      $ 39,789,890      $ 408,352  

Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex

     0.25     04/08/19        48,810,185        157,215  

Swap agreement with UBS AG based on Bloomberg Gold Subindex

     0.25     04/08/19        40,913,975        154,326  
          

 

 

 

Total Unrealized Appreciation

           $ 719,893  
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements.

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of March 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 415,585     $ 312,544  
  

 

 

   

 

 

 

Expenses

    

Management fee

     201,578       225,014  

Brokerage commissions

     1,221       19  
  

 

 

   

 

 

 

Total expenses

     202,799       225,033  
  

 

 

   

 

 

 

Net investment income (loss)

     212,786       87,511  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (7,753     7,360  

Swap agreements

     (690,265     —    

Forward agreements

     4,790,603       8,647,915  

Short-term U.S. government and agency obligations

     —         (172
  

 

 

   

 

 

 

Net realized gain (loss)

     4,092,585       8,655,103  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (278,031     (5,920

Swap agreements

     719,893       —    

Forward agreements

     (4,253,301     (5,014,772

Short-term U.S. government and agency obligations

     (1,320     13,205  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (3,812,759     (5,007,487
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     279,826       3,647,616  
  

 

 

   

 

 

 

Net income (loss)

   $ 492,612     $ 3,735,127  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 83,523,294     $ 93,708,748  
  

 

 

   

 

 

 

Addition of 50,000 and 200,000 shares, respectively

     1,888,747       8,385,392  

Redemption of 350,000 and 250,000 shares, respectively

     (13,127,351     (10,527,224
  

 

 

   

 

 

 

Net addition (redemption) of (300,000) and (50,000) shares, respectively

     (11,238,604     (2,141,832
  

 

 

   

 

 

 

Net investment income (loss)

     212,786       87,511  

Net realized gain (loss)

     4,092,585       8,655,103  

Change in net unrealized appreciation/depreciation

     (3,812,759     (5,007,487
  

 

 

   

 

 

 

Net income (loss)

     492,612       3,735,127  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 72,777,302     $ 95,302,043  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 492,612     $ 3,735,127  

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

     (573,114,482     (693,597,668

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

     565,450,000       687,998,513  

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

     (355,399     (312,523

Net realized gain (loss) on investments

     —         172  

Change in unrealized appreciation/depreciation on investments

     3,534,728       5,001,567  

Decrease (Increase) in receivable on futures contracts

     (54,498     2,420  

Decrease (Increase) in interest receivable

     (10,793     —    

Increase (Decrease) in payable to Sponsor

     1,794       5,557  

Increase (Decrease) in payable on futures contracts

     (7,990     540  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (4,064,028     2,833,705  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,888,747       8,385,392  

Payment on shares redeemed

     (9,375,620     (10,527,224
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (7,486,873     (2,141,832
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (11,550,901     691,873  

Cash, beginning of period

     41,098,043       1,245,903  
  

 

 

   

 

 

 

Cash, end of period

   $ 29,547,142     $ 1,937,776  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31,
2018
 

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $103,900,543 and $123,793,893, respectively)

   $ 103,899,800      $ 123,795,806  

Cash

     39,259,753        29,951,685  

Segregated cash balances with brokers for futures contracts

     888,690        521,057  

Segregated cash balances with brokers for forward agreements

     —          21,435,000  

Segregated cash balances with brokers for swap agreements

     31,942,894        —    

Unrealized appreciation on swap agreements

     412,579        —    

Unrealized appreciation on forward agreements

     —          26,301,717  

Receivable on open futures contracts

     173,990        —    

Interest receivable

     44,236        16,306  
  

 

 

    

 

 

 

Total assets

     176,621,942        202,021,571  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     4,904,495        —    

Payable on open futures contracts

     —          47,576  

Payable to Sponsor

     145,876        149,619  
  

 

 

    

 

 

 

Total liabilities

     5,050,371        197,195  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     171,571,571        201,824,376  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 176,621,942      $ 202,021,571  
  

 

 

    

 

 

 

Shares outstanding

     6,996,526        7,646,526  
  

 

 

    

 

 

 

Net asset value per share

   $ 24.52      $ 26.39  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 24.48      $ 26.37  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal
Amount
     Value  

Short-term U.S. government and agency obligations

     

(61% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 10,000,000      $ 9,999,330  

U.S. Treasury Bills^^:

     

2.487% due 04/11/19

     79,000,000        78,946,896  

2.415% due 05/09/19

     5,000,000        4,987,518  

2.490% due 05/23/19

     10,000,000        9,966,056  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $103,900,543)

      $ 103,899,800  
     

 

 

 

 

Futures Contracts Purchased

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

Silver Futures - COMEX, expires May 2019

       254      $ 19,189,700      $ (657,796

Total Return Swap Agreements^

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

Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex

     0.25     04/08/19      $ 110,150,652      $ 60,451  

Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex

     0.30     04/08/19        102,094,328        165,212  

Swap agreement with UBS AG based on Bloomberg Silver Subindex

     0.25     04/08/19        111,622,760        186,916  
          

 

 

 

Total Unrealized Appreciation

           $ 412,579  
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements.

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of March 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 904,454     $ 773,864  
  

 

 

   

 

 

 

Expenses

    

Management fee

     454,275       559,446  

Brokerage commissions

     4,617       10  

Brokerage fees

     3       —    
  

 

 

   

 

 

 

Total expenses

     458,895       559,456  
  

 

 

   

 

 

 

Net investment income (loss)

     445,559       214,408  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (255,114     (4,050

Swap agreements

     (18,809,469     —    

Forward agreements

     32,366,374       12,805,793  

Short-term U.S. government and agency obligations

     131       (372
  

 

 

   

 

 

 

Net realized gain (loss)

     13,301,922       12,801,371  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (998,532     (5,570

Swap agreements

     412,579       —    

Forward agreements

     (26,301,717     (31,844,482

Short-term U.S. government and agency obligations

     (2,656     33,002  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (26,890,326     (31,817,050
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (13,588,404     (19,015,679
  

 

 

   

 

 

 

Net income (loss)

   $ (13,142,845   $ (18,801,271
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 201,824,376     $ 258,244,696  
  

 

 

   

 

 

 

Addition of 400,000 and 100,000 shares, respectively

     10,636,282       3,076,883  

Redemption of 1,050,000 and 600,000 shares, respectively

     (27,746,242     (20,657,027
  

 

 

   

 

 

 

Net addition (redemption) of (650,000) and (500,000) shares, respectively

     (17,109,960     (17,580,144
  

 

 

   

 

 

 

Net investment income (loss)

     445,559       214,408  

Net realized gain (loss)

     13,301,922       12,801,371  

Change in net unrealized appreciation/depreciation

     (26,890,326     (31,817,050
  

 

 

   

 

 

 

Net income (loss)

     (13,142,845     (18,801,271
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 171,571,571     $ 221,863,281  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (13,142,845   $ (18,801,271

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

     (874,413,274     (1,051,230,256

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

     895,129,481       1,059,996,262  

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

     (822,726     (773,842

Net realized gain (loss) on investments

     (131     372  

Change in unrealized appreciation/depreciation on investments

     25,891,794       31,811,480  

Decrease (Increase) in receivable on futures contracts

     (173,990     2,070  

Decrease (Increase) in interest receivable

     (27,930     —    

Increase (Decrease) in payable to Sponsor

     (3,743     (4,495

Increase (Decrease) in payable on futures contracts

     (47,576     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     32,389,060       21,000,320  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     10,636,282       3,076,883  

Payment on shares redeemed

     (22,841,747     (24,011,878
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (12,205,465     (20,934,995
  

 

 

   

 

 

 

Net increase (decrease) in cash

     20,183,595       65,325  

Cash, beginning of period

     51,907,742       4,466,934  
  

 

 

   

 

 

 

Cash, end of period

   $ 72,091,337     $ 4,532,259  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $120,000,000 and $–, respectively)

   $ 119,991,960      $ —    

Cash

     70,547,228        104,967,557  

Segregated cash balances with brokers for futures contracts

     335,727,998        70,020,038  

Segregated cash balances with brokers for swap agreements

     13,499,000        27,933,000  

Unrealized appreciation on swap agreements

     134,463        —    

Receivable from capital shares sold

     —          8,149,949  

Receivable on open futures contracts

     19,534,014        11,407,017  

Interest receivable

     254,792        106,307  
  

 

 

    

 

 

 

Total assets

     559,689,455        222,583,868  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     11,991,407        6,745,146  

Payable to Sponsor

     427,294        202,902  

Unrealized depreciation on swap agreements

     —          1,330,949  

Non-recurring fees and expenses payable

     27,508        —    
  

 

 

    

 

 

 

Total liabilities

     12,446,209        8,278,997  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     547,243,246        214,304,871  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 559,689,455      $ 222,583,868  
  

 

 

    

 

 

 

Shares outstanding

     14,030,912        2,630,912  
  

 

 

    

 

 

 

Net asset value per share

   $ 39.00      $ 81.46  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 38.90      $ 81.73  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(22% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.331% due 04/01/19

   $ 120,000,000      $ 119,991,960  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $120,000,000)

      $ 119,991,960  
     

 

 

 

 

Futures Contracts Purchased

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

VIX Futures - CBOE, expires April 2019

       28,212      $ 429,527,700      $ (4,244,941

VIX Futures - CBOE, expires May 2019

       21,160        345,437,000        (3,766,449
          

 

 

 
           $ (8,011,390
          

 

 

 

Total Return Swap Agreements^

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

Swap agreement with Goldman Sachs International based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index

     3.34     04/24/19      $ 45,163,849      $ 134,463  
          

 

 

 

Total Unrealized Appreciation

           $ 134,463  
          

 

 

 

 

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of March 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

40


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 1,418,106     $ 666,743  
  

 

 

   

 

 

 

Expenses

    

Management fee

     965,532       842,811  

Brokerage commissions

     575,631       891,428  

Brokerage fees

     64       —    

Non-recurring fees and expenses

     27,508       —    
  

 

 

   

 

 

 

Total expenses

     1,568,735       1,734,239  
  

 

 

   

 

 

 

Net investment income (loss)

     (150,629     (1,067,496
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (166,136,201     389,536,146  

Swap agreements

     (29,087,140     27,073,634  

Short-term U.S. government and agency obligations

     —         (9,609
  

 

 

   

 

 

 

Net realized gain (loss)

     (195,223,341     416,600,171  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (40,515,355     68,649,814  

Swap agreements

     1,465,412       (1,193,326

Short-term U.S. government and agency obligations

     (8,040     19,895  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (39,057,983     67,476,383  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (234,281,324     484,076,554  
  

 

 

   

 

 

 

Net income (loss)

   $ (234,431,953   $ 483,009,058  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 214,304,871     $ 394,035,141  
  

 

 

   

 

 

 

Addition of 15,150,000 and 9,570,000 shares, respectively

     728,577,548       695,078,742  

Redemption of 3,750,000 and 13,790,000 shares, respectively

     (161,207,220     (1,248,541,641
  

 

 

   

 

 

 

Net addition (redemption) of 11,400,000 and (4,220,000) shares, respectively

     567,370,328       (553,462,899
  

 

 

   

 

 

 

Net investment income (loss)

     (150,629     (1,067,496

Net realized gain (loss)

     (195,223,341     416,600,171  

Change in net unrealized appreciation/depreciation

     (39,057,983     67,476,383  
  

 

 

   

 

 

 

Net income (loss)

     (234,431,953     483,009,058  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 547,243,246     $ 323,581,300  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (234,431,953   $ 483,009,058  

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

    

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

     (3,242,092,928     (2,346,460,032

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

     3,122,400,000       2,508,653,639  

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

     (307,072     (503,253

Net realized gain (loss) on investments

     —         9,609  

Change in unrealized appreciation/depreciation on investments

     (1,457,372     1,173,431  

Decrease (Increase) in receivable on futures contracts

     (8,126,997     7,129,225  

Decrease (Increase) in interest receivable

     (148,485     —    

Increase (Decrease) in payable to Sponsor

     224,392       (68,488

Increase (Decrease) in payable on futures contracts

     5,246,261       11,271,050  

Increase (Decrease) in non-recurring fees and expenses payable

     27,508       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (358,666,646     664,214,239  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     736,727,497       695,595,672  

Payment on shares redeemed

     (161,207,220     (1,194,003,827
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     575,520,277       (498,408,155
  

 

 

   

 

 

 

Net increase (decrease) in cash

     216,853,631       165,806,084  

Cash, beginning of period

     202,920,595       88,750,920  
  

 

 

   

 

 

 

Cash, end of period

   $ 419,774,226     $ 254,557,004  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Cash

   $ 5,011,773      $ 2,419,531  

Segregated cash balances with brokers for foreign currency forward contracts

     482,000        307,000  

Unrealized appreciation on foreign currency forward contracts

     64,772        179,187  

Receivable from capital shares sold

     —          2,846,576  

Interest receivable

     9,699        3,941  
  

 

 

    

 

 

 

Total assets

     5,568,244        5,756,235  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     4,476        2,443  

Unrealized depreciation on foreign currency forward contracts

     258        2,076  
  

 

 

    

 

 

 

Total liabilities

     4,734        4,519  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     5,563,510        5,751,716  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 5,568,244      $ 5,756,235  
  

 

 

    

 

 

 

Shares outstanding

     99,970        99,970  
  

 

 

    

 

 

 

Net asset value per share

   $ 55.65      $ 57.53  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 55.64      $ 57.55  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

Foreign Currency Forward Contracts^

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     04/05/19        331,570,400     $ 2,992,455     $ 17,513  

Yen with UBS AG

     04/05/19        919,075,800       8,294,749       47,259  
         

 

 

 

Total Unrealized Appreciation

          $ 64,772  
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     04/05/19        (6,849,300   $ (61,816   $ (409

Yen with UBS AG

     04/05/19        (10,542,900     (95,151     151  
         

 

 

 

Total Unrealized Depreciation

          $ (258
         

 

 

 

 

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 27,009     $ 4,154  
  

 

 

   

 

 

 

Expenses

    

Management fee

     12,438       7,223  
  

 

 

   

 

 

 

Total expenses

     12,438       7,223  
  

 

 

   

 

 

 

Net investment income (loss)

     14,571       (3,069
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     (77,307     322,550  
  

 

 

   

 

 

 

Net realized gain (loss)

     (77,307     322,550  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     (112,597     (11,801

Short-term U.S. government and agency obligations

     —         182  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (112,597     (11,619
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (189,904     310,931  
  

 

 

   

 

 

 

Net income (loss)

   $ (175,333   $ 307,862  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 5,751,716     $ 2,864,269  
  

 

 

   

 

 

 

Addition of 50,000 and – shares, respectively

     2,922,854       —    

Redemption of 50,000 and – shares, respectively

     (2,935,727     —    
  

 

 

   

 

 

 

Net addition (redemption) of – and – shares, respectively

     (12,873     —    
  

 

 

   

 

 

 

Net investment income (loss)

     14,571       (3,069

Net realized gain (loss)

     (77,307     322,550  

Change in net unrealized appreciation/depreciation

     (112,597     (11,619
  

 

 

   

 

 

 

Net income (loss)

     (175,333     307,862  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 5,563,510     $ 3,172,131  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (175,333   $ 307,862  

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

    

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

     (35,346,606     (996,345

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

     35,350,000       2,000,000  

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

     (3,394     (4,154

Change in unrealized appreciation/depreciation on investments

     112,597       11,619  

Decrease (Increase) in interest receivable

     (5,758     —    

Increase (Decrease) in payable to Sponsor

     2,033       272  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (66,461     1,319,254  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     5,769,430       —    

Payment on shares redeemed

     (2,935,727     —    
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     2,833,703       —    
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,767,242       1,319,254  

Cash, beginning of period

     2,726,531       903,472  
  

 

 

   

 

 

 

Cash, end of period

   $ 5,493,773     $ 2,222,726  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $60,907,253 and $20,979,000, respectively)

   $ 60,908,183      $ 20,979,876  

Cash

     39,717,490        38,690,241  

Segregated cash balances with brokers for futures contracts

     22,923,766        24,892,125  

Receivable from capital shares sold

     —          2,597,148  

Receivable on open futures contracts

     7,190,885        551,842  

Interest receivable

     75,536        17,308  
  

 

 

    

 

 

 

Total assets

     130,815,860        87,728,540  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     2,695,057        —    

Payable to Sponsor

     105,728        61,498  
  

 

 

    

 

 

 

Total liabilities

     2,800,785        61,498  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     128,015,075        87,667,042  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 130,815,860      $ 87,728,540  
  

 

 

    

 

 

 

Shares outstanding

     4,750,000        6,700,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 26.95      $ 13.08  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 26.97      $ 13.47  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(48% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 6,000,000      $ 5,999,598  

U.S. Treasury Bills^^:

     

2.483% due 04/11/19

     35,000,000        34,976,473  

2.490% due 05/23/19

     20,000,000        19,932,112  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $60,907,253)

      $ 60,908,183  
     

 

 

 

 

Futures Contracts Purchased

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

WTI Crude Oil - NYMEX, expires May 2019

     6,386      $ 384,054,040      $ 40,705,393  

 

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019      2018  

Investment Income

     

Interest

   $ 615,343      $ 2,545  
  

 

 

    

 

 

 

Expenses

     

Management fee

     295,626        2,095  

Brokerage commissions

     66,868        5,676  

Offering costs

     —          52,846  

Limitation by Sponsor

     —          (26,957
  

 

 

    

 

 

 

Total expenses

     362,494        33,660  
  

 

 

    

 

 

 

Net investment income (loss)

     252,849        (31,115
  

 

 

    

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

     22,272,869        1,620,825  
  

 

 

    

 

 

 

Net realized gain (loss)

     22,272,869        1,620,825  
  

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

     64,156,754        1,585,957  

Short-term U.S. government and agency obligations

     54        —    
  

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

     64,156,808        1,585,957  
  

 

 

    

 

 

 

Net realized and unrealized gain (loss)

     86,429,677        3,206,782  
  

 

 

    

 

 

 

Net income (loss)

   $ 86,682,526      $ 3,175,667  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 87,667,042     $ 11,335,483  
  

 

 

   

 

 

 

Addition of 800,000 and 200,000 shares, respectively

     16,301,816       8,203,903  

Redemption of 2,750,000 and 150,000 shares, respectively

     (62,636,309     (6,511,096
  

 

 

   

 

 

 

Net addition (redemption) of (1,950,000) and 50,000 shares, respectively

     (46,334,493     1,692,807  
  

 

 

   

 

 

 

Net investment income (loss)

     252,849       (31,115

Net realized gain (loss)

     22,272,869       1,620,825  

Change in net unrealized appreciation/depreciation

     64,156,808       1,585,957  
  

 

 

   

 

 

 

Net income (loss)

     86,682,526       3,175,667  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 128,015,075     $ 16,203,957  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 86,682,526     $ 3,175,667  

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

     (1,407,668,957     —    

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

     1,368,150,000       —    

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

     (409,296     —    

Change in unrealized appreciation/depreciation on investments

     (54     —    

Decrease (Increase) in receivable on futures contracts

     (6,639,043     (92,766

Decrease (Increase) in receivable in Limitation by Sponsor

     —         (26,957

Decrease (Increase) in interest receivable

     (58,228     —    

Amortization of offering costs

     —         52,846  

Increase (Decrease) in payable to Sponsor

     44,230       2,095  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     40,101,178       3,110,885  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     18,898,964       8,203,903  

Payment on shares redeemed

     (59,941,252     (6,511,096
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (41,042,288     1,692,807  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (941,110     4,803,692  

Cash, beginning of period

     63,582,366       10,968,900  
  

 

 

   

 

 

 

Cash, end of period

   $ 62,641,256     $ 15,772,592  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

53


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $3,000,000 and $–, respectively)

   $ 2,999,799      $ —    

Cash

     11,292,763        13,456,117  

Segregated cash balances with brokers for futures contracts

     3,011,591        5,303,112  

Interest receivable

     17,626        13,748  
  

 

 

    

 

 

 

Total assets

     17,321,779        18,772,977  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     301,397        89,382  

Payable to Sponsor

     13,122        18,496  
  

 

 

    

 

 

 

Total liabilities

     314,519        107,878  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     17,007,260        18,665,099  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 17,321,779      $ 18,772,977  
  

 

 

    

 

 

 

Shares outstanding

     824,906        374,906  
  

 

 

    

 

 

 

Net asset value per share

   $ 20.62      $ 49.79  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 20.60      $ 48.43  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(18% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 3,000,000      $ 2,999,799  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $3,000,000)

      $ 2,999,799  
     

 

 

 

 

Futures Contracts Sold

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

WTI Crude Oil - NYMEX, expires May 2019

     848      $ 50,998,720      $ (2,476,878

 

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 71,505     $ 4,204  
  

 

 

   

 

 

 

Expenses

    

Management fee

     34,303       3,537  

Brokerage commissions

     13,188       15,260  

Offering costs

     —         52,797  

Limitation by Sponsor

     —         (176
  

 

 

   

 

 

 

Total expenses

     47,491       71,418  
  

 

 

   

 

 

 

Net investment income (loss)

     24,014       (67,214
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (2,268,796     (4,675,967
  

 

 

   

 

 

 

Net realized gain (loss)

     (2,268,796     (4,675,967
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (9,496,353     (746,983

Short-term U.S. government and agency obligations

     (201     —    
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (9,496,554     (746,983
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (11,765,350     (5,422,950
  

 

 

   

 

 

 

Net income (loss)

   $ (11,741,336   $ (5,490,164
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 18,665,099     $ 21,161,176  
  

 

 

   

 

 

 

Addition of 750,000 and 687,500 shares, respectively

     18,656,682       23,827,284  

Redemption of 300,000 and 312,594 shares, respectively

     (8,573,185     (12,547,987
  

 

 

   

 

 

 

Net addition (redemption) of 450,000 and 374,906 shares, respectively

     10,083,497       11,279,297  
  

 

 

   

 

 

 

Net investment income (loss)

     24,014       (67,214

Net realized gain (loss)

     (2,268,796     (4,675,967

Change in net unrealized appreciation/depreciation

     (9,496,554     (746,983
  

 

 

   

 

 

 

Net income (loss)

     (11,741,336     (5,490,164
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 17,007,260     $ 26,950,309  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (11,741,336   $ (5,490,164

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

     (287,123,373     —    

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

     284,150,000       —    

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

     (26,627     —    

Change in unrealized appreciation/depreciation on investments

     201       —    

Decrease (Increase) in receivable in Limitation by Sponsor

     —         (176

Decrease (Increase) in interest receivable

     (3,878     —    

Amortization of offering costs

     —         52,797  

Increase (Decrease) in payable to Sponsor

     (5,374     3,537  

Increase (Decrease) in payable on futures contracts

     212,015       91,246  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (14,538,372     (5,342,760
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     18,656,682       23,827,284  

Payment on shares redeemed

     (8,573,185     (12,547,987
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     10,083,497       11,279,297  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (4,454,875     5,936,537  

Cash, beginning of period

     18,759,229       21,600,168  
  

 

 

   

 

 

 

Cash, end of period

   $ 14,304,354     $ 27,536,705  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

58


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31,
2018
 

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $– and $299,548, respectively)

   $ —        $ 299,537  

Cash

     7,859,967        10,321,256  

Segregated cash balances with brokers for futures contracts

     341,550        433,125  

Receivable on open futures contracts

     —          6,300  

Interest receivable

     14,799        8,475  
  

 

 

    

 

 

 

Total assets

     8,216,316        11,068,693  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     47,048        —    

Payable to Sponsor

     6,621        8,360  
  

 

 

    

 

 

 

Total liabilities

     53,669        8,360  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     8,162,647        11,060,333  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 8,216,316      $ 11,068,693  
  

 

 

    

 

 

 

Shares outstanding

     150,000        200,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 54.42      $ 55.30  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 54.41      $ 54.92  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

Futures Contracts Sold

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

Australian Dollar Fx Currency Futures - CME, expires June 2019

     230      $ 16,350,700      $ (65,390

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 48,542     $ 21,139  
  

 

 

   

 

 

 

Expenses

    

Management fee

     21,080       19,484  

Brokerage commissions

     1,673       1,520  
  

 

 

   

 

 

 

Total expenses

     22,753       21,004  
  

 

 

   

 

 

 

Net investment income (loss)

     25,789       135  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     262,745       (1,119,990

Short-term U.S. government and agency obligations

     —         (247
  

 

 

   

 

 

 

Net realized gain (loss)

     262,745       (1,120,237
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (577,215     1,191,380  

Short-term U.S. government and agency obligations

     11       749  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (577,204     1,192,129  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (314,459     71,892  
  

 

 

   

 

 

 

Net income (loss)

   $ (288,670   $ 72,027  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 11,060,333     $ 13,702,102  
  

 

 

   

 

 

 

Redemption of 50,000 and 150,000 shares, respectively

     (2,609,016     (6,710,633
  

 

 

   

 

 

 

Net addition (redemption) of (50,000) and (150,000) shares, respectively

     (2,609,016     (6,710,633
  

 

 

   

 

 

 

Net investment income (loss)

     25,789       135  

Net realized gain (loss)

     262,745       (1,120,237

Change in net unrealized appreciation/depreciation

     (577,204     1,192,129  
  

 

 

   

 

 

 

Net income (loss)

     (288,670     72,027  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 8,162,647     $ 7,063,496  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (288,670   $ 72,027  

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

     (120,038,956     (28,984,280

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

     120,350,000       35,998,666  

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

     (11,496     (20,768

Net realized gain (loss) on investments

     —         247  

Change in unrealized appreciation/depreciation on investments

     (11     (749

Decrease (Increase) in receivable on futures contracts

     6,300       —    

Decrease (Increase) in interest receivable

     (6,324     —    

Increase (Decrease) in payable to Sponsor

     (1,739     (5,664

Increase (Decrease) in payable on futures contracts

     47,048       (30,213
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     56,152       7,029,266  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     (2,609,016     (6,710,633
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,609,016     (6,710,633
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (2,552,864     318,633  

Cash, beginning of period

     10,754,381       1,782,397  
  

 

 

   

 

 

 

Cash, end of period

   $ 8,201,517     $ 2,101,030  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

63


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $21,992,059 and $27,967,127, respectively)

   $ 21,991,264      $ 27,967,534  

Cash

     44,409,314        22,869,986  

Segregated cash balances with brokers for futures contracts

     2,560,322        2,746,147  

Segregated cash balances with brokers for swap agreements

     7,495,803        14,356,000  

Unrealized appreciation on swap agreements

     —          20,646,726  

Receivable from capital shares sold

     5,910,902        25,458,885  

Receivable on open futures contracts

     —          432,627  

Interest receivable

     41,472        36,428  
  

 

 

    

 

 

 

Total assets

     82,409,077        114,514,333  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     488,681        48,600  

Payable to Sponsor

     54,319        88,422  

Unrealized depreciation on swap agreements

     6,039,390        —    
  

 

 

    

 

 

 

Total liabilities

     6,582,390        137,022  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     75,826,687        114,377,311  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 82,409,077      $ 114,514,333  
  

 

 

    

 

 

 

Shares outstanding

     4,489,884        3,839,884  
  

 

 

    

 

 

 

Net asset value per share

   $ 16.89      $ 29.79  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 16.88      $ 29.28  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(29% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 10,000,000      $ 9,999,330  

U.S. Treasury Bills^^:

     

2.499% due 04/11/19

     12,000,000        11,991,934  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $21,992,059)

      $ 21,991,264  
     

 

 

 

Futures Contracts Sold

 

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

WTI Crude Oil - NYMEX, expires May 2019

     724      $ 43,541,360      $ (2,958,761

Total Return Swap Agreements^

 

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

Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex

     0.18     04/08/19      $ (35,382,635   $ (2,051,058

Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex

     0.25     04/08/19        (25,233,443     (1,190,423

Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex

     0.23     04/08/19        (12,199,190     (1,109,781

Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex

     0.25     04/08/19        (9,056,577     (531,423

Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex

     0.25     04/08/19        (26,259,871     (1,156,705
         

 

 

 

Total Unrealized Depreciation

          $ (6,039,390
         

 

 

 

 

†   All or partial amount pledged as collateral for swap agreements.

^  The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

*   Reflects the floating financing rate, as of March 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**   For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

65


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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 361,771     $ 729,417  
  

 

 

   

 

 

 

Expenses

    

Management fee

     166,326       527,954  

Brokerage commissions

     9,630       11,981  
  

 

 

   

 

 

 

Total expenses

     175,956       539,935  
  

 

 

   

 

 

 

Net investment income (loss)

     185,815       189,482  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (3,189,732     (2,362,689

Swap agreements

     (5,965,427     (45,733,461

Short-term U.S. government and agency obligations

     —         (187
  

 

 

   

 

 

 

Net realized gain (loss)

     (9,155,159     (48,096,337
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (6,230,916     (727,186

Swap agreements

     (26,686,116     16,009,117  

Short-term U.S. government and agency obligations

     (1,202     25,362  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (32,918,234     15,307,293  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (42,073,393     (32,789,044
  

 

 

   

 

 

 

Net income (loss)

   $ (41,887,578   $ (32,599,562
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

66


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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 114,377,311     $ 225,843,284  
  

 

 

   

 

 

 

Addition of 3,400,000 and 4,200,000 shares, respectively

     66,476,301       90,237,490  

Redemption of 2,750,000 and 3,450,000 shares, respectively

     (63,139,347     (83,105,563
  

 

 

   

 

 

 

Net addition (redemption) of 650,000 and 750,000 shares, respectively

     3,336,954       7,131,927  
  

 

 

   

 

 

 

Net investment income (loss)

     185,815       189,482  

Net realized gain (loss)

     (9,155,159     (48,096,337

Change in net unrealized appreciation/depreciation

     (32,918,234     15,307,293  
  

 

 

   

 

 

 

Net income (loss)

     (41,887,578     (32,599,562
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 75,826,687     $ 200,375,649  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (41,887,578   $ (32,599,562

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

     (875,151,345     (2,161,257,588

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

     881,400,000       2,200,992,331  

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

     (273,587     (724,438

Net realized gain (loss) on investments

     —         187  

Change in unrealized appreciation/depreciation on investments

     26,687,318       (16,034,479

Decrease (Increase) in receivable on futures contracts

     432,627       —    

Decrease (Increase) in interest receivable

     (5,044     —    

Increase (Decrease) in payable to Sponsor

     (34,103     (21,902

Increase (Decrease) in payable on futures contracts

     440,081       13,493  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (8,391,631     (9,631,958
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     86,024,284       90,237,490  

Payment on shares redeemed

     (63,139,347     (78,029,136
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     22,884,937       12,208,354  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     14,493,306       2,576,396  

Cash, beginning of period

     39,972,133       3,688,091  
  

 

 

   

 

 

 

Cash, end of period

   $ 54,465,439     $ 6,264,487  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

68


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31,
2018
 

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $1,000,000 and $299,715, respectively)

   $ 999,933      $ 299,714  

Cash

     9,777,135        11,046,280  

Segregated cash balances with brokers for futures contracts

     1,869,110        7,709,942  

Receivable on open futures contracts

     366,694        3,096,239  

Interest receivable

     15,612        11,379  
  

 

 

    

 

 

 

Total assets

     13,028,484        22,163,554  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          4,321,588  

Payable to Sponsor

     8,993        16,525  
  

 

 

    

 

 

 

Total liabilities

     8,993        4,338,113  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     13,019,491        17,825,441  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 13,028,484      $ 22,163,554  
  

 

 

    

 

 

 

Shares outstanding

     574,832        824,832  
  

 

 

    

 

 

 

Net asset value per share

   $ 22.65      $ 21.61  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 22.51      $ 21.22  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

69


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(8% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 1,000,000      $ 999,933  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $1,000,000)

      $ 999,933  
     

 

 

 

Futures Contracts Sold

 

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

Natural Gas - NYMEX, expires May 2019

     978      $ 26,034,360      $ 521,444  

 

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

See accompanying notes to financial statements.

 

70


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019      2018  

Investment Income

     

Interest

   $ 59,875      $ 15,138  
  

 

 

    

 

 

 

Expenses

     

Management fee

     28,691        16,545  

Brokerage commissions

     11,700        8,180  
  

 

 

    

 

 

 

Total expenses

     40,391        24,725  
  

 

 

    

 

 

 

Net investment income (loss)

     19,484        (9,587
  

 

 

    

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

     11,319,325        746,971  
  

 

 

    

 

 

 

Net realized gain (loss)

     11,319,325        746,971  
  

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

     (10,316,545)        932,004  

Short-term U.S. government and agency obligations

     (66)        (84)  
  

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

     (10,316,611)        931,920  
  

 

 

    

 

 

 

Net realized and unrealized gain (loss)

     1,002,714        1,678,891  
  

 

 

    

 

 

 

Net income (loss)

   $ 1,022,198      $ 1,669,304  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 17,825,441     $ 6,902,743  
  

 

 

   

 

 

 

Addition of 250,000 and 250,000 shares, respectively

     4,113,610       9,051,492  

Redemption of 500,000 and 300,000 shares, respectively

     (9,941,758     (12,271,230
  

 

 

   

 

 

 

Net addition (redemption) of (250,000) and (50,000) shares, respectively

     (5,828,148     (3,219,738
  

 

 

   

 

 

 

Net investment income (loss)

     19,484       (9,587

Net realized gain (loss)

     11,319,325       746,971  

Change in net unrealized appreciation/depreciation

     (10,316,611     931,920  
  

 

 

   

 

 

 

Net income (loss)

     1,022,198       1,669,304  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 13,019,491     $ 5,352,309  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

72


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 1,022,198     $ 1,669,304  

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

     (188,831,817     (259,987,139

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

     188,150,000       261,000,000  

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

     (18,468     (13,094

Change in unrealized appreciation/depreciation on investments

     66       84  

Decrease (Increase) in receivable on futures contracts

     2,729,545       —    

Decrease (Increase) in interest receivable

     (4,233     —    

Increase (Decrease) in payable to Sponsor

     (7,532     1,277  

Increase (Decrease) in payable on futures contracts

     —         16,514  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     3,039,759       2,686,946  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     4,113,610       9,051,492  

Payment on shares redeemed

     (14,263,346     (12,271,230
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (10,149,736     (3,219,738
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (7,109,977     (532,792

Cash, beginning of period

     18,756,222       3,010,206  
  

 

 

   

 

 

 

Cash, end of period

   $ 11,646,245     $ 2,477,414  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31,
2018
 

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $78,957,743 and $121,798,837, respectively)

   $ 78,955,974      $ 121,801,685  

Cash

     55,564,388        33,215,995  

Segregated cash balances with brokers for foreign currency forward contracts

     14,076,000        3,138,000  

Unrealized appreciation on foreign currency forward contracts

     3,149,704        104,074  

Interest receivable

     33,706        15,999  
  

 

 

    

 

 

 

Total assets

     151,779,772        158,275,753  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          2,427,020  

Payable to Sponsor

     118,086        128,696  

Unrealized depreciation on foreign currency forward contracts

     216,078        1,599,878  
  

 

 

    

 

 

 

Total liabilities

     334,164        4,155,594  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     151,445,608        154,120,159  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 151,779,772      $ 158,275,753  
  

 

 

    

 

 

 

Shares outstanding

     5,900,000        6,350,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 25.67      $ 24.27  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 25.67      $ 24.25  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

74


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(52% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.299% due 04/01/19

   $ 15,000,000      $ 14,998,995  

U.S. Treasury Bills^^:

     

2.486% due 04/11/19

     64,000,000        63,956,979  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $78,957,743)

      $ 78,955,974  
     

 

 

 

Foreign Currency Forward Contracts^

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

Contracts to Purchase

         

Euro with UBS AG

     04/05/19        15,539,500     $ 17,435,876     $ (216,078
         

 

 

 

Total Unrealized Depreciation

          $ (216,078
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     04/05/19        (137,164,125   $ (153,903,065   $ 1,481,164  

Euro with UBS AG

     04/05/19        (147,662,400     (165,682,508     1,668,540  
         

 

 

 

Total Unrealized Appreciation

          $ 3,149,704  
         

 

 

 

 

†   All or partial amount pledged as collateral for foreign currency forward contracts.

^  The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 774,618     $ 617,984  
  

 

 

   

 

 

 

Expenses

    

Management fee

     340,145       449,855  
  

 

 

   

 

 

 

Total expenses

     340,145       449,855  
  

 

 

   

 

 

 

Net investment income (loss)

     434,473       168,129  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     3,329,242       (18,923,242

Short-term U.S. government and agency obligations

     —         (181
  

 

 

   

 

 

 

Net realized gain (loss)

     3,329,242       (18,923,423
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     4,429,430       10,086,629  

Short-term U.S. government and agency obligations

     (4,617     20,319  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     4,424,813       10,106,948  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     7,754,055       (8,816,475
  

 

 

   

 

 

 

Net income (loss)

   $ 8,188,528     $ (8,648,346
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

76


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 154,120,159     $ 202,548,197  
  

 

 

   

 

 

 

Addition of 250,000 and 500,000 shares, respectively

     6,305,432       10,357,941  

Redemption of 700,000 and 800,000 shares, respectively

     (17,168,511     (16,234,416
  

 

 

   

 

 

 

Net addition (redemption) of (450,000) and (300,000) shares, respectively

     (10,863,079     (5,876,475
  

 

 

   

 

 

 

Net investment income (loss)

     434,473       168,129  

Net realized gain (loss)

     3,329,242       (18,923,423

Change in net unrealized appreciation/depreciation

     4,424,813       10,106,948  
  

 

 

   

 

 

 

Net income (loss)

     8,188,528       (8,648,346
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 151,445,608     $ 188,023,376  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

77


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 8,188,528     $ (8,648,346

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

     (726,290,502     (1,115,354,492

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

     769,850,000       1,140,998,773  

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

     (718,404     (617,984

Net realized gain (loss) on investments

     —         181  

Change in unrealized appreciation/depreciation on investments

     (4,424,813     (10,106,948

Decrease (Increase) in interest receivable

     (17,707     —    

Increase (Decrease) in payable to Sponsor

     (10,610     (18,024
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     46,576,492       6,253,160  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     6,305,432       10,357,941  

Payment on shares redeemed

     (19,595,531     (16,234,416
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (13,290,099     (5,876,475
  

 

 

   

 

 

 

Net increase (decrease) in cash

     33,286,393       376,685  

Cash, beginning of period

     36,353,995       4,293,895  
  

 

 

   

 

 

 

Cash, end of period

   $ 69,640,388     $ 4,670,580  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

78


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $2,998,688 and $3,989,775, respectively)

   $ 2,998,589      $ 3,989,563  

Cash

     11,873,759        12,563,184  

Segregated cash balances with brokers for futures contracts

     184,280        38,148  

Segregated cash balances with brokers for forward agreements

     —          2,502,000  

Segregated cash balances with brokers for swap agreements

     3,023,000        —    

Receivable from capital shares sold

     3,620,963        —    

Receivable on open futures contracts

     —          1,700  

Interest receivable

     20,137        10,500  
  

 

 

    

 

 

 

Total assets

     21,720,728        19,105,095  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     16,640        —    

Payable to Sponsor

     15,294        15,312  

Unrealized depreciation on swap agreements

     182,087        —    

Unrealized depreciation on forward agreements

     —          990,786  
  

 

 

    

 

 

 

Total liabilities

     214,021        1,006,098  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     21,506,707        18,098,997  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 21,720,728      $ 19,105,095  
  

 

 

    

 

 

 

Shares outstanding

     296,977        246,978  
  

 

 

    

 

 

 

Net asset value per share

   $ 72.42      $ 73.28  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 72.61      $ 72.84  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

79


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(14% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 1,000,000      $ 999,933  

U.S. Treasury Bills^^:

     

2.448% due 04/11/19

     2,000,000        1,998,656  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $2,998,688)

      $ 2,998,589  
     

 

 

 

Futures Contracts Sold

 

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

Gold Futures - COMEX, expires June 2019

     52      $ 6,752,200      $ 37,434  

Total Return Swap Agreements^

 

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

Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex

     0.25     04/08/19      $ (12,577,645   $ (112,755

Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex

     0.20     04/08/19        (10,781,376     (37,773

Swap agreement with UBS AG based on Bloomberg Gold Subindex

     0.25     04/08/19        (12,927,675     (31,559
         

 

 

 

Total Unrealized Depreciation

          $ (182,087
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements.

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of March 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

80


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 95,211     $ 90,144  
  

 

 

   

 

 

 

Expenses

    

Management fee

     46,962       67,746  

Brokerage commissions

     778       20  
  

 

 

   

 

 

 

Total expenses

     47,740       67,766  
  

 

 

   

 

 

 

Net investment income (loss)

     47,471       22,378  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (12,941     (7,300

Swap agreements

     (37,814     —    

Forward agreements

     (1,118,149     (3,262,575

Short-term U.S. government and agency obligations

     —         128  
  

 

 

   

 

 

 

Net realized gain (loss)

     (1,168,904     (3,269,747
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     69,214       5,900  

Swap agreements

     (182,087     —    

Forward agreements

     990,786       1,900,039  

Short-term U.S. government and agency obligations

     113       2,169  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     878,026       1,908,108  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (290,878     (1,361,639
  

 

 

   

 

 

 

Net income (loss)

   $ (243,407   $ (1,339,261
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

81


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 18,098,997     $ 31,497,410  
  

 

 

   

 

 

 

Addition of 100,000 and 200,000 shares, respectively

     7,236,873       13,301,973  

Redemption of 50,001 and 200,000 shares, respectively

     (3,585,756     (13,450,655
  

 

 

   

 

 

 

Net addition (redemption) of 49,999 and – shares, respectively

     3,651,117       (148,682
  

 

 

   

 

 

 

Net investment income (loss)

     47,471       22,378  

Net realized gain (loss)

     (1,168,904     (3,269,747

Change in net unrealized appreciation/depreciation

     878,026       1,908,108  
  

 

 

   

 

 

 

Net income (loss)

     (243,407     (1,339,261
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 21,506,707     $ 30,009,467  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

82


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (243,407   $ (1,339,261

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

     (266,810,149     (217,905,921

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

     267,850,000       221,998,623  

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

     (48,764     (90,126

Net realized gain (loss) on investments

     —         (128

Change in unrealized appreciation/depreciation on investments

     (808,812     (1,902,208

Decrease (Increase) in receivable on futures contracts

     1,700       (540

Decrease (Increase) in interest receivable

     (9,637     —    

Increase (Decrease) in payable to Sponsor

     (18     (2,593

Increase (Decrease) in payable on futures contracts

     16,640       (2,420
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (52,447     755,426  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,615,910       13,301,973  

Payment on shares redeemed

     (3,585,756     (13,450,655
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     30,154       (148,682
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (22,293     606,744  

Cash, beginning of period

     15,103,332       1,035,445  
  

 

 

   

 

 

 

Cash, end of period

   $ 15,081,039     $ 1,642,189  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

83


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $3,000,000 and $3,294,789, respectively)

   $ 2,999,799      $ 3,294,766  

Cash

     9,689,593        5,677,665  

Segregated cash balances with brokers for futures contracts

     539,220        44,431  

Segregated cash balances with brokers for forward agreements

     —          4,554,000  

Segregated cash balances with brokers for swap agreements

     3,330,206        —    

Receivable from capital shares sold

     3,917,879        —    

Interest receivable

     16,700        7,847  
  

 

 

    

 

 

 

Total assets

     20,493,397        13,578,709  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     125,364        5,720  

Payable to Sponsor

     13,226        11,115  

Unrealized depreciation on swap agreements

     100,891        —    

Unrealized depreciation on forward agreements

     —          1,793,011  
  

 

 

    

 

 

 

Total liabilities

     239,481        1,809,846  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     20,253,916        11,768,863  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 20,493,397      $ 13,578,709  
  

 

 

    

 

 

 

Shares outstanding

     516,976        316,976  
  

 

 

    

 

 

 

Net asset value per share

   $ 39.18      $ 37.13  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 39.24      $ 37.10  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

84


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PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(15% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 3,000,000      $ 2,999,799  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $3,000,000)

      $ 2,999,799  
     

 

 

 

Futures Contracts Sold

 

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

Silver Futures - COMEX, expires May 2019

     152      $ 11,483,600      $ 398,608  

Total Return Swap Agreements^

 

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

Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex

     0.25     04/08/19      $ (15,412,788   $ (65,595

Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex

     0.25     04/08/19        (6,552,316     (27,529

Swap agreement with UBS AG based on Bloomberg Silver Subindex

     0.25     04/08/19        (7,024,143     (7,767
         

 

 

 

Total Unrealized Depreciation

          $ (100,891
         

 

 

 

 

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of March 31, 2019, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

 

85


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 70,114     $ 58,592  
  

 

 

   

 

 

 

Expenses

    

Management fee

     37,211       45,395  

Brokerage commissions

     1,349       10  
  

 

 

   

 

 

 

Total expenses

     38,560       45,405  
  

 

 

   

 

 

 

Net investment income (loss)

     31,554       13,187  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (204,534     4,000  

Swap agreements

     958,890       —    

Forward agreements

     (2,144,498     (1,600,841

Short-term U.S. government and agency obligations

     —         (2,032
  

 

 

   

 

 

 

Net realized gain (loss)

     (1,390,142     (1,598,873
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     443,525       5,570  

Swap agreements

     (100,891     —    

Forward agreements

     1,793,011       2,697,706  

Short-term U.S. government and agency obligations

     (178     2,774  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     2,135,467       2,706,050  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     745,325       1,107,177  
  

 

 

   

 

 

 

Net income (loss)

   $ 776,879     $ 1,120,364  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 11,768,863     $ 14,806,259  
  

 

 

   

 

 

 

Addition of 300,000 and 450,000 shares, respectively

     11,229,394       14,776,297  

Redemption of 100,000 and 300,000 shares, respectively

     (3,521,220     (9,768,815
  

 

 

   

 

 

 

Net addition (redemption) of 200,000 and 150,000 shares, respectively

     7,708,174       5,007,482  
  

 

 

   

 

 

 

Net investment income (loss)

     31,554       13,187  

Net realized gain (loss)

     (1,390,142     (1,598,873

Change in net unrealized appreciation/depreciation

     2,135,467       2,706,050  
  

 

 

   

 

 

 

Net income (loss)

     776,879       1,120,364  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 20,253,916     $ 20,934,105  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 776,879     $ 1,120,364  

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

     (199,723,449     (103,936,938

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

     200,050,000       104,371,519  

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

     (31,762     (58,569

Net realized gain (loss) on investments

     —         2,032  

Change in unrealized appreciation/depreciation on investments

     (1,691,942     (2,700,480

Decrease (Increase) in interest receivable

     (8,853     —    

Increase (Decrease) in payable to Sponsor

     2,111       1,135  

Increase (Decrease) in payable on futures contracts

     119,644       (2,070
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (507,372     (1,203,007
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     7,311,515       14,776,297  

Payment on shares redeemed

     (3,521,220     (12,940,592
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     3,790,295       1,835,705  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     3,282,923       632,698  

Cash, beginning of period

     10,276,096       1,363,644  
  

 

 

   

 

 

 

Cash, end of period

   $ 13,559,019     $ 1,996,342  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

88


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $35,930,416 and $34,950,807, respectively)

   $ 35,930,801      $ 34,951,229  

Cash

     10,644,956        21,879,254  

Segregated cash balances with brokers for foreign currency forward contracts

     3,783,000        1,691,000  

Unrealized appreciation on foreign currency forward contracts

     —          678,152  

Interest receivable

     24,883        14,973  
  

 

 

    

 

 

 

Total assets

     50,383,640        59,214,608  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     43,072        49,037  

Unrealized depreciation on foreign currency forward contracts

     690,027        3,801,896  
  

 

 

    

 

 

 

Total liabilities

     733,099        3,850,933  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     49,650,541        55,363,675  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 50,383,640      $ 59,214,608  
  

 

 

    

 

 

 

Shares outstanding

     649,290        749,290  
  

 

 

    

 

 

 

Net asset value per share

   $ 76.47      $ 73.89  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 76.44      $ 73.86  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(72% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 1,000,000      $ 999,933  

U.S. Treasury Bills^^:

     

2.479% due 04/11/19

     10,000,000        9,993,278  

2.462% due 05/09/19

     25,000,000        24,937,590  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $35,930,416)

      $ 35,930,801  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     04/05/19        267,445,500     $ 2,413,721     $ (20,975

Yen with UBS AG

     04/05/19        1,377,801,600       12,434,793       (5,177
         

 

 

 
          $ (26,152
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     04/05/19        (5,970,616,200   $ (53,885,384   $ (333,861

Yen with UBS AG

     04/05/19        (6,667,953,100     (60,178,917     (330,014
         

 

 

 
          $ (663,875
         

 

 

 

Total Unrealized Depreciation

          $ (690,027
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.

^

The positions and counterparties herein are as of March 31, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

90


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 292,368     $ 312,520  
  

 

 

   

 

 

 

Expenses

    

Management fee

     124,794       231,119  
  

 

 

   

 

 

 

Total expenses

     124,794       231,119  
  

 

 

   

 

 

 

Net investment income (loss)

     167,574       81,401  
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     (343,408     (11,252,403

Short-term U.S. government and agency obligations

     (72     3  
  

 

 

   

 

 

 

Net realized gain (loss)

     (343,480     (11,252,400
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     2,433,717       (416,097

Short-term U.S. government and agency obligations

     (37     12,253  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     2,433,680       (403,844
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     2,090,200       (11,656,244
  

 

 

   

 

 

 

Net income (loss)

   $ 2,257,774     $ (11,574,843
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

91


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 55,363,675     $ 131,077,453  
  

 

 

   

 

 

 

Addition of 400,000 and 50,000 shares, respectively

     30,543,496       3,516,719  

Redemption of 500,000 and 500,000 shares, respectively

     (38,514,404     (35,710,467
  

 

 

   

 

 

 

Net addition (redemption) of (100,000) and (450,000) shares, respectively

     (7,970,908     (32,193,748
  

 

 

   

 

 

 

Net investment income (loss)

     167,574       81,401  

Net realized gain (loss)

     (343,480     (11,252,400

Change in net unrealized appreciation/depreciation

     2,433,680       (403,844
  

 

 

   

 

 

 

Net income (loss)

     2,257,774       (11,574,843
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 49,650,541     $ 87,308,862  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

92


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 2,257,774     $ (11,574,843

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

     (523,240,489     (810,742,971

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

     522,500,872       857,999,782  

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

     (240,064     (312,520

Net realized gain (loss) on investments

     72       (3

Change in unrealized appreciation/depreciation on investments

     (2,433,680     403,844  

Decrease (Increase) in interest receivable

     (9,910     —    

Increase (Decrease) in payable to Sponsor

     (5,965     (36,965
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (1,171,390     35,736,324  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     30,543,496       3,516,719  

Payment on shares redeemed

     (38,514,404     (39,470,450
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (7,970,908     (35,953,731
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (9,142,298     (217,407

Cash, beginning of period

     23,570,254       1,582,684  
  

 

 

   

 

 

 

Cash, end of period

   $ 14,427,956     $ 1,365,277  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

93


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $10,000,000 and $–, respectively)

   $ 9,999,330      $ —    

Cash

     32,301,105        48,860,400  

Segregated cash balances with brokers for futures contracts

     9,742,199        8,682,024  

Interest receivable

     61,392        29,104  
  

 

 

    

 

 

 

Total assets

     52,104,026        57,571,528  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          674,832  

Payable on open futures contracts

     945,832        565,495  

Payable to Sponsor

     31,725        32,080  
  

 

 

    

 

 

 

Total liabilities

     977,557        1,272,407  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     51,126,469        56,299,121  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 52,104,026      $ 57,571,528  
  

 

 

    

 

 

 

Shares outstanding

     2,362,403        2,112,403  
  

 

 

    

 

 

 

Net asset value per share

   $ 21.64      $ 26.65  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 21.59      $ 26.74  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

94


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(20% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.375% due 04/01/19

   $ 10,000,000      $ 9,999,330  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $10,000,000)

      $ 9,999,330  
     

 

 

 

Futures Contracts Purchased

 

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

VIX Futures - CBOE, expires July 2019

     570      $ 9,647,250      $ (1,201,306

VIX Futures - CBOE, expires August 2019

     997        16,973,925        (1,371,616

VIX Futures - CBOE, expires September 2019

     997        17,123,475        (53,596

VIX Futures - CBOE, expires October 2019

     427        7,365,750        (41,155
        

 

 

 
         $ (2,667,673
        

 

 

 

 

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

95


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 265,413     $ 61,704  
  

 

 

   

 

 

 

Expenses

    

Management fee

     105,811       54,959  

Brokerage commissions

     10,336       11,232  
  

 

 

   

 

 

 

Total expenses

     116,147       66,191  
  

 

 

   

 

 

 

Net investment income (loss)

     149,266       (4,487
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (4,202,020     3,720,436  
  

 

 

   

 

 

 

Net realized gain (loss)

     (4,202,020     3,720,436  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (6,425,779     4,917,565  

Short-term U.S. government and agency obligations

     (670     (1,098
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (6,426,449     4,916,467  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (10,628,469     8,636,903  
  

 

 

   

 

 

 

Net income (loss)

   $ (10,479,203   $ 8,632,416  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

96


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 56,299,121     $ 26,347,948  
  

 

 

   

 

 

 

Addition of 500,000 and 550,000 shares, respectively

     11,369,035       11,690,691  

Redemption of 250,000 and 850,000 shares, respectively

     (6,062,484     (21,725,647
  

 

 

   

 

 

 

Net addition (redemption) of 250,000 and (300,000) shares, respectively

     5,306,551       (10,034,956
  

 

 

   

 

 

 

Net investment income (loss)

     149,266       (4,487

Net realized gain (loss)

     (4,202,020     3,720,436  

Change in net unrealized appreciation/depreciation

     (6,426,449     4,916,467  
  

 

 

   

 

 

 

Net income (loss)

     (10,479,203     8,632,416  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 51,126,469     $ 24,945,408  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (10,479,203   $ 8,632,416  

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

     (1,007,355,035     (509,940,631

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

     997,450,000       521,000,000  

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

     (94,965     (56,319

Change in unrealized appreciation/depreciation on investments

     670       1,098  

Decrease (Increase) in receivable on futures contracts

     —         170,015  

Decrease (Increase) in interest receivable

     (32,288     —    

Increase (Decrease) in payable to Sponsor

     (355     (2,585

Increase (Decrease) in payable on futures contracts

     380,337       657,556  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (20,130,839     20,461,550  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     11,369,035       11,690,691  

Payment on shares redeemed

     (6,737,316     (22,783,956
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     4,631,719       (11,093,265
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (15,499,120     9,368,285  

Cash, beginning of period

     57,542,424       6,266,358  
  

 

 

   

 

 

 

Cash, end of period

   $ 42,043,304     $ 15,634,643  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $99,829,728 and $114,780,333, respectively)

   $ 99,829,957      $ 114,785,002  

Cash

     45,938,679        23,538,353  

Segregated cash balances with brokers for futures contracts

     60,431,647        15,855,066  

Receivable on open futures contracts

     871,720        912,016  

Interest receivable

     66,320        16,966  
  

 

 

    

 

 

 

Total assets

     207,138,323        155,107,403  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     3,550,872        5,489,302  

Payable to Sponsor

     84,248        70,986  
  

 

 

    

 

 

 

Total liabilities

     3,635,120        5,560,288  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     203,503,203        149,547,115  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 207,138,323      $ 155,107,403  
  

 

 

    

 

 

 

Shares outstanding

     8,451,317        3,876,317  
  

 

 

    

 

 

 

Net asset value per share

   $ 24.08      $ 38.58  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 24.02      $ 38.61  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2019

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(49% of shareholders’ equity)

     

Federal Home Loan Discount Notes^^:

     

3.345% due 04/01/19

   $ 25,000,000      $ 24,998,325  

U.S. Treasury Bills^^:

     

2.478% due 04/25/19

     20,000,000        19,968,934  

2.462% due 05/09/19

     55,000,000        54,862,698  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $99,829,728)

      $ 99,829,957  
     

 

 

 

Futures Contracts Purchased

 

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

VIX Futures - CBOE, expires April 2019

     7,408      $ 112,786,800      $ (2,758,289

VIX Futures - CBOE, expires May 2019

     5,556        90,701,700        (1,143,057
        

 

 

 
         $ (3,901,346
        

 

 

 

 

All or partial amount pledged as collateral for futures contracts.

^^

Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

 

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 852,206     $ 276,528  
  

 

 

   

 

 

 

Expenses

    

Management fee

     361,703       252,387  

Brokerage commissions

     12,435       71,299  

Brokerage fees

     1,366       268  
  

 

 

   

 

 

 

Total expenses

     375,504       323,954  
  

 

 

   

 

 

 

Net investment income (loss)

     476,702       (47,426
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (54,906,584     77,276,980  

Short-term U.S. government and agency obligations

     —         (1,993
  

 

 

   

 

 

 

Net realized gain (loss)

     (54,906,584     77,274,987  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (21,279,791     14,010,626  

Short-term U.S. government and agency obligations

     (4,440     9,255  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (21,284,231     14,019,881  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (76,190,815     91,294,868  
  

 

 

   

 

 

 

Net income (loss)

   $ (75,714,113   $ 91,247,442  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 149,547,115     $ 137,741,560  
  

 

 

   

 

 

 

Addition of 6,225,000 and 1,875,000 shares, respectively

     174,135,151       62,436,457  

Redemption of 1,650,000 and 4,950,000 shares, respectively

     (44,464,950     (179,040,135
  

 

 

   

 

 

 

Net addition (redemption) of 4,575,000 and (3,075,000) shares, respectively

     129,670,201       (116,603,678
  

 

 

   

 

 

 

Net investment income (loss)

     476,702       (47,426

Net realized gain (loss)

     (54,906,584     77,274,987  

Change in net unrealized appreciation/depreciation

     (21,284,231     14,019,881  
  

 

 

   

 

 

 

Net income (loss)

     (75,714,113     91,247,442  
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 203,503,203     $ 112,385,324  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ (75,714,113   $ 91,247,442  

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

     (765,041,780     (1,094,786,505

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

     780,650,000       1,181,914,328  

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

     (657,615     (263,057

Net realized gain (loss) on investments

     —         1,993  

Change in unrealized appreciation/depreciation on investments

     4,440       (9,255

Decrease (Increase) in receivable on futures contracts

     40,296       498,525  

Decrease (Increase) in interest receivable

     (49,354     —    

Increase (Decrease) in payable to Sponsor

     13,262       (3,152

Increase (Decrease) in payable on futures contracts

     (1,938,430     6,931,692  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (62,693,294     185,532,011  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     174,135,151       62,436,457  

Payment on shares redeemed

     (44,464,950     (179,328,978
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     129,670,201       (116,892,521
  

 

 

   

 

 

 

Net increase (decrease) in cash

     66,976,907       68,639,490  

Cash, beginning of period

     39,393,419       3,715,132  
  

 

 

   

 

 

 

Cash, end of period

   $ 106,370,326     $ 72,354,622  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2019
(unaudited)
     December 31, 2018  

Assets

     

Short-term U.S. government and agency obligations (Note 3) (cost $967,056,734 and $785,069,552, respectively)

   $ 967,038,886      $ 785,085,860  

Cash

     628,754,130        729,259,407  

Segregated cash balances with brokers for futures contracts

     601,190,080        272,501,850  

Segregated cash balances with brokers for forward agreements

     —          37,374,000  

Segregated cash balances with brokers for foreign currency forward contracts

     19,262,000        6,057,000  

Segregated cash balances with brokers for swap agreements

     120,984,340        53,486,000  

Unrealized appreciation on swap agreements

     47,579,806        20,646,726  

Unrealized appreciation on forward agreements

     —          30,555,018  

Unrealized appreciation on foreign currency forward contracts

     3,216,370        1,023,384  

Receivable from capital shares sold

     13,449,744        54,572,979  

Receivable on open futures contracts

     114,120,668        79,899,070  

Interest receivable

     1,145,804        555,187  
  

 

 

    

 

 

 

Total assets

     2,516,741,828        2,071,016,481  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     25,824,668        11,136,094  

Payable on open futures contracts

     27,095,727        32,074,054  

Payable to Sponsor

     1,877,434        1,541,554  

Unrealized depreciation on swap agreements

     6,322,368        74,098,074  

Unrealized depreciation on forward agreements

     —          2,783,797  

Unrealized depreciation on foreign currency forward contracts

     1,075,795        5,407,883  

Non-recurring fees and expenses payable

     426,058        —    
  

 

 

    

 

 

 

Total liabilities

     62,622,050        127,041,456  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     2,454,119,778        1,943,975,025  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 2,516,741,828      $ 2,071,016,481  
  

 

 

    

 

 

 

Shares outstanding

     82,317,767        75,842,768  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Investment Income

    

Interest

   $ 10,219,582     $ 7,323,879  
  

 

 

   

 

 

 

Expenses

    

Management fee

     5,274,306       6,681,061  

Brokerage commissions

     936,604       2,396,743  

Brokerage fees

     1,457       27,057  

Offering costs

     —         105,643  

Limitation by Sponsor

     —         (27,133

Non-recurring fees and expenses

     426,058       —    
  

 

 

   

 

 

 

Total expenses

     6,638,425       9,183,371  
  

 

 

   

 

 

 

Net investment income (loss)

     3,581,157       (1,859,492
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (141,653,019     (1,401,277,515

Swap agreements

     13,166,837       77,107,796  

Forward agreements

     33,894,330       16,590,292  

Foreign currency forward contracts

     2,681,254       (29,052,582

Short-term U.S. government and agency obligations

     247       (274,919
  

 

 

   

 

 

 

Net realized gain (loss)

     (91,910,351     (1,336,906,928
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     26,001,240       30,095,501  

Swap agreements

     94,708,786       (22,549,918

Forward agreements

     (27,771,221     (32,261,509

Foreign currency forward contracts

     6,525,074       9,176,512  

Short-term U.S. government and agency obligations

     (34,156     242,534  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     99,429,723       (15,296,880
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     7,519,372       (1,352,203,808
  

 

 

   

 

 

 

Net income (loss)

   $ 11,100,529     $ (1,354,063,300
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Shareholders’ equity, beginning of period

   $ 1,943,975,025     $ 2,947,278,212  
  

 

 

   

 

 

 

Addition of 33,875,000 and 39,007,500 shares, respectively

     1,207,988,688       3,383,378,775  

Redemption of 27,400,001 and 41,050,378 shares, respectively

     (708,944,464     (2,451,704,049
  

 

 

   

 

 

 

Net addition (redemption) of 6,474,999 and (2,042,878) shares, respectively

     499,044,224       931,674,726  
  

 

 

   

 

 

 

Net investment income (loss)

     3,581,157       (1,859,492

Net realized gain (loss)

     (91,910,351     (1,336,906,928

Change in net unrealized appreciation/depreciation

     99,429,723       (15,296,880
  

 

 

   

 

 

 

Net income (loss)

     11,100,529       (1,354,063,300
  

 

 

   

 

 

 

Shareholders’ equity, end of period

   $ 2,454,119,778     $ 2,524,889,638  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

 

     Three Months Ended
March 31,
 
   2019     2018  

Cash flow from operating activities

    

Net income (loss)

   $ 11,100,529     $ (1,354,063,300

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

     (18,090,778,820     (20,793,301,928

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

     17,915,321,683       21,531,184,156  

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

     (6,529,798     (6,770,497

Net realized gain (loss) on investments

     (247     274,919  

Change in unrealized appreciation/depreciation on investments

     (73,428,483     45,392,381  

Decrease (Increase) in receivable on futures contracts

     (34,221,598     (58,652,375

Decrease (Increase) in receivable in Limitation by Sponsor

     —         (27,133

Decrease (Increase) in interest receivable

     (590,617     —    

Amortization of offering costs

     —         105,643  

Increase (Decrease) in payable to Sponsor

     335,880       (481,032

Increase (Decrease) in payable on futures contracts

     (4,978,327     24,980,377  

Increase (Decrease) in non-recurring fees and expenses payable

     426,058       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (283,343,740     (611,358,789
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,249,111,923       3,384,222,145  

Payment on shares redeemed

     (694,255,890     (2,444,666,315
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     554,856,033       939,555,830  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     271,512,293       328,197,041  

Cash, beginning of period

     1,098,678,257       483,772,745  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,370,190,550     $ 811,969,786  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2019

(unaudited)

NOTE 1 - ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2019, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

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

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” “UltraPro Short Funds,” “Ultra Funds” or “UltraPro Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

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

The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -1x, -2x, -3x, 1.5x, 2x or 3x) of the period return of the corresponding benchmark and will likely differ significantly.

 

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Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2018. There were no Share splits or reverse Share splits for the Funds during the three months ended March 31, 2019. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.

 

Fund

   Execution Date
(Prior to Opening
of Trading)
   Type of Split    Date Trading
Resumed at Post-
Split Price
 

ProShares Ultra Bloomberg Natural Gas

   March 19, 2018    1-for-5 reverse Share split      March 20, 2018  

ProShares UltraPro 3x Short Crude Oil ETF

   March 19, 2018    1-for-4 reverse Share split      March 20, 2018  

ProShares Short VIX Short-Term Futures ETF

   September 17, 2018    1-for-4 reverse Share split      September 18, 2018  

ProShares Ultra VIX Short-Term Futures ETF

   September 17, 2018    1-for-5 reverse Share split      September 18, 2018  

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

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K/A for the year ended December 31, 2018, as filed with the SEC on March 25, 2019.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated March 31, 2019 and 2018, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements, segregated cash with brokers for forward agreements, and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

 

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Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2019 were typically as follows. All times are Eastern Standard Time:

 

Fund

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

UltraShort Silver, Ultra Silver

   1:00 p.m.    1:25 p.m.      March 29, 2019  

UltraShort Gold, Ultra Gold

   1:00 p.m.    1:30 p.m.      March 29, 2019  

UltraShort Bloomberg Crude Oil,

        

Ultra Bloomberg Crude Oil

   2:00 p.m.    2:30 p.m.      March 29, 2019  

UltraPro 3x Short Crude Oil ETF,

        

UltraPro 3x Crude Oil ETF,

        

UltraShort Bloomberg Natural Gas,

        

Ultra Bloomberg Natural Gas

   2:00 p.m.    2:30 p.m.      March 29, 2019  

UltraShort Australian Dollar

   3:00 p.m.    4:00 p.m.      March 29, 2019  

Short Euro,

        

UltraShort Euro,

        

Ultra Euro

   3:00 p.m.    4:00 p.m.      March 29, 2019  

UltraShort Yen,

        

Ultra Yen

   3:00 p.m.    4:00 p.m.      March 29, 2019  

VIX Short-Term Futures ETF,

        

Ultra VIX Short-Term Futures ETF,

        

Short VIX Short-Term Futures ETF

   2:00 p.m.    4:15 p.m.      March 29, 2019  

VIX Mid-Term Futures ETF

   2:00 p.m.    4:15 p.m.      March 29, 2019  

 

*

Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2019.

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2019.

Investment Valuation

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

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

 

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

Fair Value of Financial Instruments

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

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

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

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

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

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

The following table summarizes the valuation of investments at March 31, 2019 using the fair value hierarchy:

 

     Level I - Quoted Prices     Level II - Other Significant Observable
Inputs
 

Fund

   Short-Term U.S.
Government and
Agencies
     Futures
Contracts*
    Foreign
Currency
Forward
Contracts
    Swap
Agreements
    Total
 

ProShares Short Euro

   $ 3,999,732      $ 160,856     $ —       $ —       $ 4,160,588  

ProShares Short VIX Short-Term Futures ETF

     79,994,640        8,100,619       —         —         88,095,259  

ProShares Ultra Bloomberg Crude Oil

     279,586,291        10,284,066       —         46,312,871       336,183,228  

ProShares Ultra Bloomberg Natural Gas

     10,993,211        21,777       —         —         11,014,988  

ProShares Ultra Euro

     999,328        —         (167,538     —         831,790  

ProShares Ultra Gold

     49,960,295        (205,361     —         719,893       50,474,827  

ProShares Ultra Silver

     103,899,800        (657,796     —         412,579       103,654,583  

ProShares Ultra VIX Short-Term Futures ETF

     119,991,960        (8,011,390     —         134,463       112,115,033  

ProShares Ultra Yen

     —          —         64,514       —         64,514  

ProShares UltraPro 3x Crude Oil ETF

     60,908,183        40,705,393       —         —         101,613,576  

ProShares UltraPro 3x Short Crude Oil ETF

     2,999,799        (2,476,878     —         —         522,921  

ProShares UltraShort Australian Dollar

     —          (65,390     —         —         (65,390

ProShares UltraShort Bloomberg Crude Oil

     21,991,264        (2,958,761     —         (6,039,390     12,993,113  

ProShares UltraShort Bloomberg Natural Gas

     999,933        521,444       —         —         1,521,377  

ProShares UltraShort Euro

     78,955,974        —         2,933,626       —         81,889,600  

ProShares UltraShort Gold

     2,998,589        37,434       —         (182,087     2,853,936  

ProShares UltraShort Silver

     2,999,799        398,608       —         (100,891     3,297,516  

ProShares UltraShort Yen

     35,930,801        —         (690,027     —         35,240,774  

ProShares VIX Mid-Term Futures ETF

     9,999,330        (2,667,673     —         —         7,331,657  

ProShares VIX Short-Term Futures ETF

     99,829,957        (3,901,346     —         —         95,928,611  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 967,038,886      $ 39,285,602     $ 2,140,575     $ 41,257,438     $ 1,049,722,501  

 

*

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.

 

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

The following table summarizes the valuation of investments at December 31, 2018 using the fair value hierarchy:

 

     Level I - Quoted Prices     Level II - Other Significant Observable Inputs        

Fund

   Short-Term U.S.
Government and
Agencies
     Futures
Contracts*
    Forward
Agreements
    Foreign
Currency
Forward
Contracts
    Swap
Agreements
    Total
 

ProShares Short Euro

   $ 599,429      $ (43,281   $ —       $ —       $ —       $ 556,148  

ProShares Short VIX Short-Term Futures ETF

     —          (14,476,201     —         —         —         (14,476,201

ProShares Ultra Bloomberg Crude Oil

     280,502,900        (14,040,301     —         —         (72,767,125     193,695,474  

ProShares Ultra Bloomberg Natural Gas

     8,380,427        (10,323,163     —         —         —         (1,942,736

ProShares Ultra Euro

     1,496,658        —         —         57,938       —         1,554,596  

ProShares Ultra Gold

     41,941,734        72,670       4,253,301       —         —         46,267,705  

ProShares Ultra Silver

     123,795,806        340,736       26,301,717       —         —         150,438,259  

ProShares Ultra VIX Short-Term Futures ETF

     —          32,503,965       —         —         (1,330,949     31,173,016  

ProShares Ultra Yen

     —          —         —         177,111       —         177,111  

ProShares UltraPro 3x Crude Oil ETF

     20,979,876        (23,451,361     —         —         —         (2,471,485

ProShares UltraPro 3x Short Crude Oil ETF

     —          7,019,475       —         —         —         7,019,475  

ProShares UltraShort Australian Dollar

     299,537        511,825       —         —         —         811,362  

ProShares UltraShort Bloomberg Crude Oil

     27,967,534        3,272,155       —         —         20,646,726       51,886,415  

ProShares UltraShort Bloomberg Natural Gas

     299,714        10,837,989       —         —         —         11,137,703  

ProShares UltraShort Euro

     121,801,685        —         —         (1,495,804     —         120,305,881  

ProShares UltraShort Gold

     3,989,563        (31,780     (990,786     —         —         2,966,997  

ProShares UltraShort Silver

     3,294,766        (44,917     (1,793,011     —         —         1,456,838  

ProShares UltraShort Yen

     34,951,229        —         —         (3,123,744     —         31,827,485  

ProShares VIX Mid-Term Futures ETF

     —          3,758,106       —         —         —         3,758,106  

ProShares VIX Short-Term Futures ETF

     114,785,002        17,378,445       —         —         —         132,163,447  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 785,085,860      $ 13,284,362     $ 27,771,221     $ (4,384,499   $ (53,451,348   $ 768,305,596  

 

*

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

 

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

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation/depreciation on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciation between periods are reflected in the Statements of Operations.

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

Brokerage Commissions and Fees

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

Federal Income Tax

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

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

 

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NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

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

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

 

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Swap Agreements

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

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

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

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2019 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in

 

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exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2019, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.

The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2019, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

 

 

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

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

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

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

 

Fair Value of Derivative Instruments as of March 31, 2019  
         

Asset Derivatives

   

Liability Derivatives

 

Derivatives Not

Accounted for as

Hedging Instruments

  

Fund

  

Statements of
Financial Condition
Location

   Unrealized
Appreciation
   

Statements of
Financial Condition
Location

   Unrealized
Depreciation
 

VIX Futures Contracts

      Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements   
   ProShares Short VIX Short-Term Futures ETF       $ 8,100,619 *       $ —    
   ProShares Ultra VIX Short-Term Futures ETF         134,463 *         8,011,390 * 
   ProShares VIX Mid-Term Futures ETF         —            2,667,673 * 
   ProShares VIX Short-Term Futures ETF         —            3,901,346 * 

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         56,596,937 *         —    
   ProShares Ultra Bloomberg Natural Gas         21,777 *         —    
   ProShares Ultra Gold         719,893 *         205,361 * 
   ProShares Ultra Silver         412,579 *         657,796 * 
   ProShares UltraPro 3x Crude Oil ETF         40,705,393 *         —    
   ProShares UltraPro 3x Short Crude Oil ETF         —            2,476,878 * 
   ProShares UltraShort Bloomberg Crude Oil         —            8,998,151 * 
   ProShares UltraShort Bloomberg Natural Gas         521,444 *         —    
   ProShares UltraShort Gold         37,434 *         182,087 * 
   ProShares UltraShort Silver         398,608 *         100,891 * 

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         160,856 *         —    
   ProShares Ultra Euro         1,894          169,432  
   ProShares Ultra Yen         64,772          258  
   ProShares UltraShort Australian Dollar         —            65,390 * 
   ProShares UltraShort Euro         3,149,704          216,078  
   ProShares UltraShort Yen         —            690,027  
        

 

 

      

 

 

 
      Total Trust    $ 111,026,373 *       $ 28,342,758 * 

 

*

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.

 

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Fair Value of Derivative Instruments as of December 31, 2018  
         

Asset Derivatives

   

Liability Derivatives

 

Derivatives Not

Accounted for as

Hedging Instruments

  

Fund

  

Statements of
Financial Condition
Location

   Unrealized
Appreciation
   

Statements of
Financial Condition
Location

   Unrealized
Depreciation
 

VIX Futures Contracts

      Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements   
   ProShares Short VIX Short-Term Futures ETF       $ 910,460 *       $ 15,386,661 * 
   ProShares Ultra VIX Short-Term Futures ETF         33,798,582 *         2,625,566 * 
   ProShares VIX Mid-Term Futures ETF         3,888,156 *         130,050 * 
   ProShares VIX Short-Term Futures ETF         18,392,959 *         1,014,514 * 

Commodities Contracts

      Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements      Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements   
   ProShares Ultra Bloomberg Crude Oil         —            86,807,426 * 
   ProShares Ultra Bloomberg Natural Gas         —            10,323,163 * 
   ProShares Ultra Gold         4,325,971 *         —    
   ProShares Ultra Silver         26,642,453 *         —    
   ProShares UltraPro 3x Crude Oil ETF         —            23,451,361 * 
   ProShares UltraPro 3x Short Crude Oil ETF         7,019,475 *         —    
   ProShares UltraShort Bloomberg Crude Oil         23,918,881 *         —    
   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.

 

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Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2019
 

Derivatives Not Accounted
for as Hedging Instruments

  

Location of Gain
(Loss) on Derivatives
Recognized in Income

  

Fund

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

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and/or swap agreements

       
     

ProShares Short VIX Short-Term Futures ETF

   $ 59,105,354     $ 22,576,820  
     

ProShares Ultra VIX Short-Term Futures ETF

     (195,223,341     (39,049,943
     

ProShares VIX Mid-Term Futures ETF

     (4,202,020     (6,425,779
     

ProShares VIX Short-Term Futures ETF

     (54,906,584     (21,279,791

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      76,523,157       143,404,363  
      ProShares Ultra Bloomberg Natural Gas      (13,301,838     10,344,940  
      ProShares Ultra Gold      4,092,585       (3,811,439
      ProShares Ultra Silver      13,301,791       (26,887,670
      ProShares UltraPro 3x Crude Oil ETF      22,272,869       64,156,754  
      ProShares UltraPro 3x Short Crude Oil ETF      (2,268,796     (9,496,353
      ProShares UltraShort Bloomberg Crude Oil      (9,155,159     (32,917,032
      ProShares UltraShort Bloomberg Natural Gas      11,319,325       (10,316,545
      ProShares UltraShort Gold      (1,168,904     877,913  
      ProShares UltraShort Silver      (1,390,142     2,135,645  

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      147,106       204,137  
      ProShares Ultra Euro      (227,273     (225,476
      ProShares Ultra Yen      (77,307     (112,597
      ProShares UltraShort Australian Dollar      262,745       (577,215
      ProShares UltraShort Euro      3,329,242       4,429,430  
      ProShares UltraShort Yen      (343,408     2,433,717  
        

 

 

   

 

 

 
      Total Trust    $ (91,910,598   $ 99,463,879  

 

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Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2018
 

Derivatives Not Accounted
for as Hedging Instruments

 

Location of Gain
(Loss) on Derivatives
Recognized in Income

 

Fund

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

VIX Futures Contracts

 

Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and/or swap agreements

       
   

ProShares Short VIX Short-Term Futures ETF

   $  (1,883,525,731)      $  (53,802,405)  
   

ProShares Ultra VIX Short-Term Futures ETF

     416,609,780        67,456,488  
   

ProShares VIX Mid-Term Futures ETF

     3,720,436        4,917,565  
   

ProShares VIX Short-Term Futures ETF

     77,276,980        14,010,626  

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

     112,517,891        (38,543,738)  
   

ProShares Ultra Bloomberg Natural Gas

     1,134,812        (4,974,441)  
   

ProShares Ultra Gold

     8,655,275        (5,020,692)  
   

ProShares Ultra Silver

     12,801,743        (31,850,052)  
   

ProShares UltraPro 3x Crude Oil ETF

     1,620,825        1,585,957  
   

ProShares UltraPro 3x Short Crude Oil ETF

     (4,675,967)        (746,983)  
   

ProShares UltraShort Bloomberg Crude Oil

     (48,096,150)        15,281,931  
   

ProShares UltraShort Bloomberg Natural Gas

     746,971        932,004  
   

ProShares UltraShort Gold

     (3,269,875)        1,905,939  
   

ProShares UltraShort Silver

     (1,596,841)        2,703,276  

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

     (379,586)        237,219  
    ProShares Ultra Euro      800,513        (482,219)  
   

ProShares Ultra Yen

     322,550        (11,801)  
   

ProShares UltraShort Australian Dollar

     (1,119,990)        1,191,380  
   

ProShares UltraShort Euro

     (18,923,242)        10,086,629  
   

ProShares UltraShort Yen

     (11,252,403)        (416,097)  
      

 

 

    

 

 

 
    Total Trust    $  (1,336,632,009)      $  (15,539,414)  

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 March 31, 2019.

 

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Table of Contents
Fair Values of Derivative Instruments as of March 31, 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

   $ 46,312,871      $ —        $ 46,312,871      $ —        $ —        $ —    

ProShares Ultra Euro

                 

Foreign currency forward contracts

     1,894        —          1,894        169,432        —          169,432  

ProShares Ultra Gold

                 

Swap agreements

     719,893        —          719,893        —          —          —    

ProShares Ultra Silver

                 

Swap agreements

     412,579        —          412,579        —          —          —    

ProShares Ultra VIX Short-Term Futures ETF

                 

Swap agreements

     134,463        —          134,463        —          —          —    

ProShares Ultra Yen

                 

Foreign currency forward contracts

     64,772        —          64,772        258        —          258  

ProShares UltraShort Bloomberg Crude Oil

                 

Swap agreements

     —          —          —          6,039,390        —          6,039,390  

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     3,149,704        —          3,149,704        216,078        —          216,078  

ProShares UltraShort Gold

                 

Swap agreements

     —          —          —          182,087        —          182,087  

ProShares UltraShort Silver

                 

Swap agreements

     —          —          —          100,891        —          100,891  

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     —          —          —          690,027        —          690,027  

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2019. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

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Table of Contents
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2019  
     Amounts of
Recognized
Assets /
(Liabilities)
presented in
the
Statements of
Financial
Condition
    Financial
Instruments
for the Benefit
of (the Funds)
/ the
Counterparties
    Cash
Collateral for
the Benefit of
(the Funds) /
the
Counterparties
    Net Amount  

ProShares Ultra Bloomberg Crude Oil

        

Citibank, N.A.

   $ 13,531,815     $ —       $ (10,600,000   $ 2,931,815  

Goldman Sachs International

     9,321,563       (7,312,098     —         2,009,465  

Royal Bank of Canada

     9,581,950       —         —         9,581,950  

Societe Generale

     3,690,633       (3,146,234     —         544,399  

UBS AG

     10,186,910       (8,248,663     —         1,938,247  

ProShares Ultra Euro

        

Goldman Sachs International

     (76,740     —         76,740       —    

UBS AG

     (90,798     —         90,798       —    

ProShares Ultra Gold

        

Citibank, N.A.

     408,352       —         (300,000     108,352  

Goldman Sachs International

     157,215       (45,567     —         111,648  

UBS AG

     154,326       (154,326     —         —    

ProShares Ultra Silver

        

Citibank, N.A.

     60,451       —         —         60,451  

Goldman Sachs International

     165,212       —         —         165,212  

UBS AG

     186,916       (186,916     —         —    

ProShares Ultra VIX Short-Term Futures ETF

        

Goldman Sachs International

     134,463       —         —         134,463  

ProShares Ultra Yen

        

Goldman Sachs International

     17,104       —         —         17,104  

UBS AG

     47,410       —         —         47,410  

ProShares UltraShort Bloomberg Crude Oil

        

Citibank, N.A.

     (2,051,058     2,051,058       —         —    

Goldman Sachs International

     (1,190,423     —         1,190,423       —    

Royal Bank of Canada

     (1,109,781     553,781       556,000       —    

Societe Generale

     (531,423     531,423       —         —    

UBS AG

     (1,156,705     —         1,156,705       —    

ProShares UltraShort Euro

        

Goldman Sachs International

     1,481,164       (1,402,579     —         78,585  

UBS AG

     1,452,462       (1,360,332     —         92,130  

ProShares UltraShort Gold

        

Citibank, N.A.

     (112,755     —         —         112,755  

Goldman Sachs International

     (37,773     —         37,773       —    

UBS AG

     (31,559     —         31,559       —    

ProShares UltraShort Silver

        

Citibank, N.A.

     (65,595     —         65,595       —    

Goldman Sachs International

     (27,529     —         27,529       —    

UBS AG

     (7,767     —         7,767       —    

ProShares UltraShort Yen

        

Goldman Sachs International

     (354,836     —         354,836       —    

UBS AG

     (335,191     295,191       40,000       —    

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2018:

 

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Fair Values of Derivative Instruments as of December 31, 2018
     Assets      Liabilities  

Fund

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

ProShares Ultra Bloomberg Crude Oil

                 

Swap agreements

   $ —        $ —        $ —        $ 72,767,125      $ —        $ 72,767,125  

ProShares Ultra Euro

                 

Foreign currency forward contracts

     61,971        —          61,971        4,033        —          4,033  

ProShares Ultra Gold

                 

Forward agreements

     4,253,301        —          4,253,301        —          —          —    

ProShares Ultra Silver

                 

Forward agreements

     26,301,717        —          26,301,717        —          —          —    

ProShares Ultra VIX Short-Term Futures ETF

                 

Swap agreements

     —          —          —          1,330,949        —          1,330,949  

ProShares Ultra Yen

                 

Foreign currency forward contracts

     179,187        —          179,187        2,076        —          2,076  

ProShares UltraShort Bloomberg Crude Oil

                 

Swap agreements

     20,646,726        —          20,646,726        —          —          —    

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     104,074        —          104,074        1,599,878        —          1,599,878  

ProShares UltraShort Gold

                 

Forward agreements

     —          —          —          990,786        —          990,786  

ProShares UltraShort Silver

                 

Forward agreements

     —          —          —          1,793,011        —          1,793,011  

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     678,152        —          678,152        3,801,896        —          3,801,896  

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2018. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

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Table of Contents
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2018  
     Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
    Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
    Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties
    Net Amount  

ProShares Ultra Bloomberg Crude Oil

        

Citibank, N.A.

   $ (22,752,565   $ 20,667,565     $ 2,085,000     $ —    

Goldman Sachs International

     (15,691,687     10,417,687       5,274,000       —    

Royal Bank of Canada

     (13,836,386     13,836,386       —         —    

Societe Generale

     (5,206,589     1,491,589       3,715,000       —    

UBS AG

     (15,279,898     15,156,898       123,000       —    

ProShares Ultra Euro

        

Goldman Sachs International

     26,209       —         —         26,209  

UBS AG

     31,729       —         —         31,729  

ProShares Ultra Gold

        

Citibank, N.A.

     1,682,026       (1,682,026     —         —    

Goldman Sachs International

     1,223,528       (1,223,528     —         —    

Societe Generale

     61,260       —         —         61,260  

UBS AG

     1,286,487       (1,286,487     —         —    

ProShares Ultra Silver

        

Citibank, N.A.

     9,662,061       (8,053,860     —         1,608,201  

Goldman Sachs International

     8,418,745       (1,655,971     —         6,762,774  

Societe Generale

     118,797       —         —         118,797  

UBS AG

     8,102,114       (6,971,401     —         1,130,713  

ProShares Ultra VIX Short-Term Futures ETF

        

Goldman Sachs International

     (1,330,949     —         1,330,949       —    

ProShares Ultra Yen

        

Goldman Sachs International

     73,705       —         —         73,705  

UBS AG

     103,406       —         —         103,406  

ProShares UltraShort Bloomberg Crude Oil

        

Citibank, N.A.

     8,336,367       (8,336,367     —         —    

Goldman Sachs International

     2,752,372       (2,752,372     —         —    

Royal Bank of Canada

     4,237,960       —         (4,237,960     —    

Societe Generale

     1,891,050       (1,891,050     —         —    

UBS AG

     3,428,977       (3,428,977     —         —    

ProShares UltraShort Euro

        

Goldman Sachs International

     (610,002     610,002       —         —    

UBS AG

     (885,802     —         885,802       —    

ProShares UltraShort Gold

        

Citibank, N.A.

     (380,655     119,655       261,000       —    

Goldman Sachs International

     (258,134     —         258,134       —    

Societe Generale

     (63,076     —         63,076       —    

UBS AG

     (288,921     —         288,921       —    

ProShares UltraShort Silver

        

Citibank, N.A.

     (566,050     —         566,050       —    

Goldman Sachs International

     (605,756     —         605,756       —    

Societe Generale

     (119,953     —         119,953       —    

UBS AG

     (501,252     —         501,252       —    

ProShares UltraShort Yen

        

Goldman Sachs International

     (1,425,071     —         1,425,071       —    

UBS AG

     (1,698,673     1,571,673       127,000       —    

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.

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

 

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Non-Recurring Fees and Expenses

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

The Administrator

The Bank of New York Mellon (“BNY Mellon”) serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “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, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

Brown Brothers Harriman & Co. (“BBH&Co.”) served as administrator of the Funds and the Trust until replaced by BNY Mellon on October 1, 2018.

The Custodian

BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

BBH&Co. served as custodian of the Funds and the Trust until replaced by BNY Mellon on October 1, 2018.

The Transfer Agent

BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.

BBH&Co. served as transfer agent of the Funds and the Trust until replaced by BNY Mellon on October 1, 2018.

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

 

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NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

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

Transaction fees for the three months ended March 31, 2019 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

Fund

   Three Months Ended
March 31, 2019
 

ProShares Short Euro

   $ —    

ProShares Short VIX Short-Term Futures ETF

     7,431  

ProShares Ultra Bloomberg Crude Oil

     57,619  

ProShares Ultra Bloomberg Natural Gas

     5,580  

ProShares Ultra Euro

     —    

ProShares Ultra Gold

     1,632  

ProShares Ultra Silver

     7,332  

ProShares Ultra VIX Short-Term Futures ETF

     446,799  

ProShares Ultra Yen

     —    

ProShares UltraPro 3X Crude Oil ETF

     24,934  

ProShares UltraPro 3X Short Crude Oil ETF

     8,919  

ProShares UltraShort Australian Dollar

     —    

ProShares UltraShort Bloomberg Crude Oil

     27,697  

ProShares UltraShort Bloomberg Natural Gas

     1,378  

ProShares UltraShort Euro

     —    

ProShares UltraShort Gold

     1,606  

ProShares UltraShort Silver

     —    

ProShares UltraShort Yen

     —    

ProShares VIX Mid-Term Futures ETF

     5,260  

ProShares VIX Short-Term Futures ETF

     4,925  
  

 

 

 

Total Trust

   $ 601,112  

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2019

For the Three Months Ended March 31, 2019 (unaudited)

 

Per Share Operating

Performance

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

Net asset value, at December 31, 2018

   $ 43.10     $ 42.36     $ 13.06     $ 25.28     $ 15.09     $ 37.12  

Net investment income gain (loss)

     0.14       0.01       0.05       0.04       0.04       0.09  

Net realized and unrealized gain (loss)#

     1.19       9.94       8.41       (4.99     (0.84     0.11  

Change in net asset value from operations

     1.33       9.95       8.46       (4.95     (0.80     0.20  

Net asset value, at March 31, 2019

   $ 44.43     $ 52.31     $ 21.52     $ 20.33     $ 14.29     $ 37.32  

Market value per share, at December 31, 2018

   $ 43.08     $ 42.30     $ 13.30     $ 25.82     $ 15.12     $ 37.41  

Market value per share, at March 31, 2019

   $ 44.41     $ 52.36     $ 21.53     $ 20.42     $ 14.31     $ 37.24  

Total Return, at net asset value^

     3.1     23.5     64.8     (19.6 )%      (5.3 )%      0.5

Total Return, at market value^

     3.1     23.8     61.9     (20.9 )%      (5.4 )%      (0.5 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.97     1.54 %^^      0.97     1.28     0.95     0.96

Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income gain (loss)

     1.32     0.05     1.02     0.76     1.06     1.00

 

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2019.

^^

Expense ratio, excluding non-recurring fees and expenses is 1.14%.

 

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For the Three Months Ended March 31, 2019 (unaudited)

 

Per Share Operating

Performance

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

Net asset value, at December 31, 2018

   $ 26.39     $ 81.46     $ 57.53     $ 13.08     $ 49.79     $ 55.30  

Net investment income gain (loss)

     0.06       (0.02     0.15       0.04       0.04       0.15  

Net realized and unrealized gain (loss)#

     (1.93     (42.44     (2.03     13.83       (29.21     (1.03

Change in net asset value from operations

     (1.87     (42.46     (1.88     13.87       (29.17     (0.88

Net asset value, at March 31, 2019

   $ 24.52     $ 39.00     $ 55.65     $ 26.95     $ 20.62     $ 54.42  

Market value per share, at December 31, 2018

   $ 26.37     $ 81.73     $ 57.55     $ 13.47     $ 48.43     $ 54.92  

Market value per share, at March 31, 2019

   $ 24.48     $ 38.90     $ 55.64     $ 26.97     $ 20.60     $ 54.41  

Total Return, at net asset value^

     (7.1 )%      (52.1 )%      (3.3 )%      106.0     (58.6 )%      (1.6 )% 

Total Return, at market value^

     (7.2 )%      (52.4 )%      (3.3 )%      100.2     (57.5 )%      (0.9 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.96     1.54 %^^      0.95     1.16     1.32     1.03

Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income gain (loss)

     0.93     (0.15 )%      1.11     0.81     0.67     1.16

 

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2019.

^^

Expense ratio, excluding non-recurring fees and expenses is 1.52%.

 

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For the Three Months Ended March 31, 2019 (unaudited)

 

Per Share Operating Performance

   UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural Gas
    UltraShort
Euro
    UltraShort
Gold
    UltraShort
Silver
    UltraShort
Yen
 

Net asset value, at December 31, 2018

   $ 29.79     $ 21.61     $ 24.27     $ 73.28     $ 37.13     $ 73.89  

Net investment income gain (loss)

     0.05       0.03       0.07       0.17       0.07       0.23  

Net realized and unrealized gain (loss)#

     (12.95     1.01       1.33       (1.03     1.98       2.35  

Change in net asset value from operations

     (12.90     1.04       1.40       (0.86     2.05       2.58  

Net asset value, at March 31, 2019

   $ 16.89     $ 22.65     $ 25.67     $ 72.42     $ 39.18     $ 76.47  

Market value per share, at December 31, 2018

   $ 29.28     $ 21.22     $ 24.25     $ 72.84     $ 37.10     $ 73.86  

Market value per share, at March 31, 2019

   $ 16.88     $ 22.51     $ 25.67     $ 72.61     $ 39.24     $ 76.44  

Total Return, at net asset value^

     (43.3 )%      4.8     5.8     (1.2 )%      5.5     3.5

Total Return, at market value^

     (42.4 )%      6.1     5.9     (0.3 )%      5.8     3.5

Ratios to Average Net Assets**

            

Expense ratio

     1.01     1.34     0.95     0.97     0.98     0.95

Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income gain (loss)

     1.06     0.65     1.21     0.96     0.80     1.28

 

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2019.

 

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For the Three Months Ended March 31, 2019 (unaudited)

 

Per Share Operating Performance

   VIX Mid-
Term Futures
ETF
    VIX Short-
Term Futures
ETF
 

Net asset value, at December 31, 2018

   $ 26.65     $ 38.58  

Net investment income gain (loss)

     0.07       0.08  

Net realized and unrealized gain (loss)#

     (5.08     (14.58

Change in net asset value from operations

     (5.01     (14.50

Net asset value, at March 31, 2019

   $ 21.64     $ 24.08  

Market value per share, at December 31, 2018

   $ 26.74     $ 38.61  

Market value per share, at March 31, 2019

   $ 21.59     $ 24.02  

Total Return, at net asset value^

     (18.8 )%      (37.6 )% 

Total Return, at market value^

     (19.3 )%      (37.8 )% 

Ratios to Average Net Assets**

    

Expense ratio

     0.93     0.88

Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees

     0.85     0.85

Net investment income gain (loss)

     1.20     1.12

 

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2019.

 

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Selected data for a Share outstanding throughout the three months ended March 31, 2018

For the Three Months Ended March 31, 2018 (unaudited)

 

Per Share Operating

Performance

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

Net asset value, at December 31, 2017

   $ 39.96     $ 509.20     $ 23.66     $ 32.64     $ 17.44     $ 39.88  

Net investment income gain (loss)

     0.00 (1)      (0.18     0.02       0.00 (1)      0.00 (1)      0.04  

Net realized and unrealized gain (loss)#

     (0.71     (462.65     3.80       (5.16     0.66       1.52  

Change in net asset value from operations

     (0.71     (462.83     3.82       (5.16     0.66       1.56  

Net asset value, at March 31, 2018

   $ 39.25     $ 46.37     $ 27.48     $ 27.48     $ 18.10     $ 41.44  

Market value per share, at December 31, 2017

   $ 39.99     $ 512.84     $ 23.44     $ 32.50     $ 17.46     $ 40.67  

Market value per share, at March 31, 2018

   $ 39.04     $ 46.96     $ 27.50     $ 27.53     $ 18.09     $ 41.55  

Total Return, at net asset value^

     (1.8 )%      (90.9 )%      16.1     (15.8 )%      3.8     3.9

Total Return, at market value^

     (2.4 )%      (90.8 )%      17.3     (15.3 )%      3.6     2.2

Ratios to Average Net Assets**

            

Expense ratio

     0.96     1.55     0.97     1.17     0.95     0.95

Expense ratio, excluding brokerage commissions and fees

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income gain (loss)

     0.05     (0.77 )%      0.30     0.07     0.06     0.37

 

*

See Note 1 of these Notes to Financial Statements

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2018.

(1)

Amount represents less than 0.005.

 

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For the Three Months Ended March 31, 2018 (unaudited)

 

Per Share Operating

Performance

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

Net asset value, at December 31, 2017

   $ 33.55     $ 51.67     $ 57.32     $ 37.78     $ 42.32     $ 45.67  

Net investment income gain (loss)

     0.03       (0.20     (0.06     (0.11     (0.10     0.00 (1) 

Net realized and unrealized gain (loss)#

     (2.75     43.55       6.22       8.63       (11.42     1.42  

Change in net asset value from operations

     (2.72     43.35       6.16       8.52       (11.52     1.42  

Net asset value, at March 31, 2018

   $ 30.83     $ 95.02     $ 63.48     $ 46.30     $ 30.80     $ 47.09  

Market value per share, at December 31, 2017

   $ 33.85     $ 51.05     $ 57.45     $ 37.23     $ 42.88     $ 45.72  

Market value per share, at March 31, 2018

   $ 31.09     $ 92.65     $ 63.49     $ 46.33     $ 30.77     $ 47.18  

Total Return, at net asset value^

     (8.1 )%      83.9     10.7     22.6     (27.2 )%      3.1

Total Return, at market value^

     (8.2 )%      81.5     10.5     24.4     (28.2 )%      3.2

Ratios to Average Net Assets**

            

Expense ratio

     0.95     1.95     0.95     1.14     1.21     1.02

Expense ratio, excluding brokerage commissions and fees

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income gain (loss)

     0.36     (1.20 )%      (0.40 )%      (1.06 )%      (1.14 )%      0.01

 

*

See Note 1 of these Notes to Financial Statements

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2018.

(1)

Amount represents less than 0.005.

 

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For the Three Months Ended March 31, 2018 (unaudited)

 

Per Share Operating

Performance

   UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural
Gas
    UltraShort
Euro
    UltraShort
Gold
    UltraShort
Silver
    UltraShort
Yen
 

Net asset value, at December 31, 2017

   $ 24.31     $ 39.48     $ 21.21     $ 70.47     $ 31.71     $ 74.93  

Net investment income gain (loss)

     0.02       (0.06     0.02       0.05       0.02       0.06  

Net realized and unrealized gain (loss)#

     (4.37     3.46       (0.90     (3.38     2.20       (7.79

Change in net asset value from operations

     (4.35     3.40       (0.88     (3.33     2.22       (7.73

Net asset value, at March 31, 2018

   $ 19.96     $ 42.88     $ 20.33     $ 67.14     $ 33.93     $ 67.20  

Market value per share, at December 31, 2017

   $ 24.56     $ 39.65     $ 21.20     $ 69.11     $ 31.40     $ 74.98  

Market value per share, at March 31, 2018

   $ 19.95     $ 42.83     $ 20.32     $ 66.98     $ 33.54     $ 67.14  

Total Return, at net asset value^

     (17.9 )%      8.6     (4.1 )%      (4.7 )%      7.0     (10.3 )% 

Total Return, at market value^

     (18.8 )%      8.0     (4.2 )%      (3.1 )%      6.8     (10.5 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.97     1.42     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions and fees

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income gain (loss)

     0.34     (0.55 )%      0.36     0.31     0.28     0.33

 

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2018.

 

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For the Three Months Ended March 31, 2018 (unaudited)

 

Per Share Operating

Performance

   VIX Mid-
Term Futures
ETF
    VIX Short-
Term Futures
ETF
 

Net asset value, at December 31, 2017

   $ 21.29     $ 23.34  

Net investment income gain (loss)

     0.00 (1)      (0.01

Net realized and unrealized gain (loss)#

     5.32       16.43  

Change in net asset value from operations

     5.32       16.42  

Net asset value, at March 31, 2018

   $ 26.61     $ 39.76  

Market value per share, at December 31, 2017

   $ 21.15     $ 23.15  

Market value per share, at March 31, 2018

   $ 26.45     $ 39.15  

Total Return, at net asset value^

     25.0     70.4

Total Return, at market value^

     25.1     69.1

Ratios to Average Net Assets**

    

Expense ratio

     1.02     1.09

Expense ratio, excluding brokerage commissions and fees

     0.85     0.85

Net investment income gain (loss)

     (0.07 )%      (0.16 )% 

 

**

Percentages are annualized.

#

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

Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset is calculated.

^

Percentages are not annualized for the period ended March 31, 2018.

(1)

Amount represents less than 0.005.

 

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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the inverse (-0.5x), the inverse (-1x), two times the inverse (-2x), three times the inverse (-3x), one and one-half times (1.5x) the return, two times (2x) of the return or three times of the return (3x) of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short, UltraShort and UltraPro Short Funds), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.

Each Ultra, UltraShort, UltraPro and UltraPro Short Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra or UltraPro Fund with a 1.5x or 2x or 3x multiple should be approximately one and one-half or two or three times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort or UltraPro Short Fund is designed to return two times the inverse (-2x) or three times the inverse (-3x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -1x, -2x, -3x, 1.5x, 2x, or 3x as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

 

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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

Derivatives are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of “the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major, global financial institutions.

OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.

 

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In addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a Futures Commission Merchant (“FCM”) in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions could result in the total loss of an investor’s investment, even over periods as short as a single day.

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. For the UltraPro Fund and UltraPro Short Fund, because the Funds include a three times (3x) or three times the inverse (-3x) multiplier, a single day movement in the benchmark approaching 33% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if the benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund and UltraPro Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund and UltraPro Short Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

 

 

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“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2017 may specify a January 2018 expiration. As that contract nears expiration, it may be replaced by selling the January 2018 contract and purchasing the contract expiring in March 2018. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2018 contract would take place at a price that is higher than the price at which the March 2018 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund, an UltraPro Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund, an UltraShort Fund or an UltraPro Short Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds, UltraShort Funds, and UltraPro Short Funds, and positively affect the Ultra Funds, UltraPro Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

 

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

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor or the Trustee is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2019, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

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

The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under “the CEA”, and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” “UltraPro Short Funds,” “Ultra Funds” or “UltraPro Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.

 

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

Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, -3x, 1.5x, 2x or 3x of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.

Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

The Sponsor maintains an Internet website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

 

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Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2019 and 2018, each of the Funds earned interest income as follows:

 

Fund

   Interest Income
Three Months
Ended
March 31, 2019
     Interest Income
Three Months
Ended
March 31, 2018
 

ProShares Short Euro

   $ 65,178      $ 19,567  

ProShares Short VIX Short-Term Futures ETF

     1,584,561        1,769,973  

ProShares Ultra Bloomberg Crude Oil

     2,140,385        1,425,965  

ProShares Ultra Bloomberg Natural Gas

     117,835        136,075  

ProShares Ultra Euro

     39,503        25,079  

ProShares Ultra Gold

     415,585        312,544  

ProShares Ultra Silver

     904,454        773,864  

ProShares Ultra VIX Short-Term Futures ETF

     1,418,106        666,743  

ProShares Ultra Yen

     27,009        4,154  

ProShares UltraPro 3x Crude Oil ETF

     615,343        2,545  

ProShares UltraPro 3x Short Crude Oil ETF

     71,505        4,204  

ProShares UltraShort Australian Dollar

     48,542        21,139  

ProShares UltraShort Bloomberg Crude Oil

     361,771        729,417  

ProShares UltraShort Bloomberg Natural Gas

     59,875        15,138  

ProShares UltraShort Euro

     774,618        617,984  

ProShares UltraShort Gold

     95,211        90,144  

ProShares UltraShort Silver

     70,114        58,592  

ProShares UltraShort Yen

     292,368        312,520  

ProShares VIX Mid-Term Futures ETF

     265,413        61,704  

ProShares VIX Short-Term Futures ETF

     852,206        276,528  

Each Fund’s underlying swaps, futures, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

 

 

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Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

 

   

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

 

   

limiting the outstanding amounts due from counterparties to the Funds;

 

   

not posting margin directly with a counterparty;

 

   

requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

 

   

limiting the amount of margin or premium posted at a futures commission merchant (“FCM”); 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 May 2, 2019 the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

 

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Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2019.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would 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. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the 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 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.

 

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Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

 

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Results of Operations for the Three Months Ended March 31, 2019 Compared to the Three Months Ended March 31, 2018

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 8,619,686     $ 7,991,880  

NAV end of period

   $ 22,213,438     $ 7,850,562  

Percentage change in NAV

     157.7     (1.8 )% 

Shares outstanding beginning of period

     200,000       200,000  

Shares outstanding end of period

     500,000       200,000  

Percentage change in shares outstanding

     150.0     —  

Shares created

     300,000       —    

Shares redeemed

     —         —    

Per share NAV beginning of period

   $ 43.10     $ 39.96  

Per share NAV end of period

   $ 44.43     $ 39.25  

Percentage change in per share NAV

     3.1     (1.8 )% 

Percentage change in benchmark

     (2.1 )%      2.6

Benchmark annualized volatility

     6.3     7.9

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 200,000 outstanding Shares at December 31, 2018 to 500,000 outstanding Shares at March 31, 2019. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse 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, 2018, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2017 to March 31, 2018.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.1% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 1.8% for the three months ended March 31, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 2.1% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 2.6% for the three months ended March 31, 2018, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2019.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 37,625      $ 934  

Management fee

     26,985        18,350  

Brokerage commission

     568        283  

Net realized gain (loss)

     147,106        (379,586

Change in net unrealized appreciation/depreciation

     203,871        237,334  

Net Income (loss)

   $ 388,602      $ (141,318

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2019.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 344,596,263     $ 770,163,871  

NAV end of period

   $ 441,188,509     $ 693,246,689  

Percentage change in NAV

     28.0     (10.0 )% 

Shares outstanding beginning of period

     8,134,307       1,512,500  

Shares outstanding end of period

     8,434,307       14,950,000  

Percentage change in shares outstanding

     3.7     888.4

Shares created

     300,000       17,475,000  

Shares redeemed

     —         4,037,500  

Per share NAV beginning of period

   $ 42.36     $ 509.20  

Per share NAV end of period

   $ 52.31     $ 46.37  

Percentage change in per share NAV

     23.5     (90.9 )% 

Percentage change in benchmark

     (37.4 )%      71.2

Benchmark annualized volatility

     51.6     215.0

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 8,134,307 outstanding Shares at December 31, 2018 to 8,434,307 outstanding Shares at March 31, 2019. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index prior to the close of business on February 27, 2018, and one-half the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index, effective as of the close of business, February 27, 2018, through the end of the reporting period. The decrease in the Fund’s NAV was offset by an increase from 1,512,500 outstanding Shares at December 31, 2017 to 14,950,000 outstanding Shares at March 31, 2018.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark prior to the close of business on February 27, 2018, and to one-half the inverse of the daily performance of its benchmark as of the close of business, February 27, 2018. The Fund’s per Share NAV increase of 23.5% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 90.9% for the three months ended March 31, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

 

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The benchmark’s decline of 37.4% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 71.2% for the three months ended March 31, 2018, 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, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 45,436      $ (1,750,599

Management fee

     952,127        2,156,096  

Brokerage commission

     188,424        1,337,687  

Non-recurring fees and expenses

     398,550        —    

Net realized gain (loss)

     59,105,354        (1,883,785,962

Change in net unrealized appreciation/depreciation

     22,571,460        (53,737,429

Net Income (loss)

   $ 81,722,250      $ (1,939,273,990

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2019.

 

*

See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Short VIX Short-Term Futures ETF.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 368,399,654     $ 524,445,526  

NAV end of period

   $ 425,287,296     $ 411,128,942  

Percentage change in NAV

     15.4     (21.6 )% 

Shares outstanding beginning of period

     28,211,317       22,161,317  

Shares outstanding end of period

     19,761,317       14,961,317  

Percentage change in shares outstanding

     (30.0 )%      (32.5 )% 

Shares created

     3,300,000       1,950,000  

Shares redeemed

     11,750,000       9,150,000  

Per share NAV beginning of period

   $ 13.06     $ 23.66  

Per share NAV end of period

   $ 21.52     $ 27.48  

Percentage change in per share NAV

     64.8     16.1

Percentage change in benchmark

     30.2     8.8

Benchmark annualized volatility

     26.5     22.3

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 28,211,317 outstanding Shares at

 

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December 31, 2018 to 19,761,317 outstanding Shares at March 31, 2019. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from a decrease from 22,161,317 outstanding Shares at December 31, 2017 to 14,961,317 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 64.8% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 16.1% for the three months ended March 31, 2018, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s rise of 30.2% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 8.8% for the three months ended March 31, 2018, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 1,095,944      $ 334,994  

Management fee

     1,025,194        1,072,854  

Brokerage commission

     19,247        18,117  

Net realized gain (loss)

     76,523,404        112,517,885  

Change in net unrealized appreciation/depreciation

     143,399,033        (38,507,955

Net Income (loss)

   $ 221,018,381      $ 74,344,924  

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 2019.

 

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ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 14,617,440     $ 63,268,950  

NAV end of period

   $ 20,900,095     $ 39,239,545  

Percentage change in NAV

     43.0     (38.0 )% 

Shares outstanding beginning of period

     578,150       1,938,434  

Shares outstanding end of period

     1,028,150       1,428,150  

Percentage change in shares outstanding

     77.8     (26.3 )% 

Shares created

     1,300,000       650,000  

Shares redeemed

     850,000       1,160,284  

Per share NAV beginning of period

   $ 25.28     $ 32.64  

Per share NAV end of period

   $ 20.33     $ 27.48  

Percentage change in per share NAV

     (19.6 )%      (15.8 )% 

Percentage change in benchmark

     (7.9 )%      (6.9 )% 

Benchmark annualized volatility

     42.4     30.3

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 578,150 outstanding Shares at December 31, 2018 to 1,028,150 outstanding Shares at March 31, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,938,434 outstanding Shares at December 31, 2017 to 1,428,150 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.6% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 15.8% for the three months ended March 31, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 7.9% for the three months ended March 31, 2019, as compared to the benchmark’s decline of 6.9% for the three months ended March 31, 2018, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 44,045      $ 7,455  

Management fee

     54,851        104,599  

Brokerage commission

     18,939        24,021  

Net realized gain (loss)

     (13,301,897      1,134,792  

Change in net unrealized appreciation/depreciation

     10,344,998        (4,970,999

Net Income (loss)

   $ (2,912,854    $ (3,828,752

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a greater decrease in the value of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstanding, during the three months ended March 31, 2019.

 

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 7,544,569     $ 9,591,516  

NAV end of period

   $ 7,857,207     $ 9,952,883  

Percentage change in NAV

     4.1     3.8

Shares outstanding beginning of period

     500,000       550,000  

Shares outstanding end of period

     550,000       550,000  

Percentage change in shares outstanding

     10.0     —  

Shares created

     50,000       100,000  

Shares redeemed

     —         100,000  

Per share NAV beginning of period

   $ 15.09     $ 17.44  

Per share NAV end of period

   $ 14.29     $ 18.10  

Percentage change in per share NAV

     (5.3 )%      3.8

Percentage change in benchmark

     (2.1 )%      2.6

Benchmark annualized volatility

     6.3     7.9

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at December 31, 2018 to 550,000 outstanding Shares at March 31, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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, 2018, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 December 31, 2017 to March 31, 2018.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.3% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 3.8% for the three months ended March 31, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 2.1% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 2.6% for the three months ended March 31, 2018, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2019.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 20,829      $ 1,487  

Management fee

     18,674        23,592  

Net realized gain (loss)

     (227,273      800,513  

Change in net unrealized appreciation/depreciation

     (225,485      (481,984

Net Income (loss)

   $ (431,929    $ 320,016  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2019.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 83,523,294     $ 93,708,748  

NAV end of period

   $ 72,777,302     $ 95,302,043  

Percentage change in NAV

     (12.9 )%      1.7

Shares outstanding beginning of period

     2,250,000       2,350,000  

Shares outstanding end of period

     1,950,000       2,300,000  

Percentage change in shares outstanding

     (13.3 )%      (2.1 )% 

Shares created

     50,000       200,000  

Shares redeemed

     350,000       250,000  

Per share NAV beginning of period

   $ 37.12     $ 39.88  

Per share NAV end of period

   $ 37.32     $ 41.44  

Percentage change in per share NAV

     0.5     3.9

Percentage change in benchmark

     0.9     2.5

Benchmark annualized volatility

     10.0     9.5

On December 20, 2018, the Trust announced that the ProShares Ultra Gold ETF would change its benchmark. The ProShares Ultra Gold ETF struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Gold ETF is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares Ultra Gold ETF was the U.S. dollar p.m. LBMA Gold Price.

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,250,000 outstanding Shares at December 31, 2018 to 1,950,000 outstanding Shares at March 31, 2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the Bloomberg Gold SubindexSM. By comparison, during the three months ended March 31, 2018, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 December 31, 2017 to 2,300,000 outstanding Shares at March 31, 2018.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.5% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 3.9% for the three months ended March 31, 2018, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

 

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The new benchmark’s rise of 0.9% for the three months ended March 31, 2019, as compared to the former LBMA Gold Price benchmark’s rise of 2.5% for the three months ended March 31, 2018, can be attributed to a lesser increase in the value of gold futures contracts during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 212,786      $ 87,511  

Management fee

     201,578        225,014  

Brokerage commission

     1,221        19  

Net realized gain (loss)

     4,092,585        8,655,103  

Change in net unrealized appreciation/depreciation

     (3,812,759      (5,007,487

Net Income (loss)

   $ 492,612      $ 3,735,127  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2019.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 201,824,376     $ 258,244,696  

NAV end of period

   $ 171,571,571     $ 221,863,281  

Percentage change in NAV

     (15.0 )%      (14.1 )% 

Shares outstanding beginning of period

     7,646,526       7,696,526  

Shares outstanding end of period

     6,996,526       7,196,526  

Percentage change in shares outstanding

     (8.5 )%      (6.5 )% 

Shares created

     400,000       100,000  

Shares redeemed

     1,050,000       600,000  

Per share NAV beginning of period

   $ 26.39     $ 33.55  

Per share NAV end of period

   $ 24.52     $ 30.83  

Percentage change in per share NAV

     (7.1 )%      (8.1 )% 

Percentage change in benchmark

     (2.8 )%      (3.5 )% 

Benchmark annualized volatility

     15.2     12.4

On December 20, 2018, the Trust announced that the ProShares Ultra Silver ETF would change its benchmark. The ProShares Ultra Silver ETF struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Silver ETF is the Bloomberg Silver Subindex (ticker:BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares Ultra Silver ETF was the London Silver Price.

 

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During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,646,526 outstanding Shares at December 31, 2018 to 6,996,526 outstanding Shares at March 31, 2019. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the Bloomberg Silver SubindexSM. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,696,526 outstanding Shares at December 31, 2017 to 7,196,526 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.1% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 8.1% for the three months ended March 31, 2018, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The new benchmark’s decline of 2.8% for the three months ended March 31, 2019, as compared to the former London Silver Price benchmark’s decline of 3.5% for the three months ended March 31, 2018, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 445,559      $ 214,408  

Management fee

     454,275        559,446  

Brokerage commission

     4,617        10  

Net realized gain (loss)

     13,301,922        12,801,371  

Change in net unrealized appreciation/depreciation

     (26,890,326      (31,817,050

Net Income (loss)

   $ (13,142,845    $ (18,801,271

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to lesser decrease in the value of futures prices during the three months ended March 31, 2019.

 

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ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 214,304,871     $ 394,035,141  

NAV end of period

   $ 547,243,246     $ 323,581,300  

Percentage change in NAV

     155.4     (17.9 )% 

Shares outstanding beginning of period

     2,630,912       7,625,448  

Shares outstanding end of period

     14,030,912       3,405,448  

Percentage change in shares outstanding

     433.3     (55.3 )% 

Shares created

     15,150,000       9,570,000  

Shares redeemed

     3,750,000       13,790,000  

Per share NAV beginning of period

   $ 81.46     $ 51.67  

Per share NAV end of period

   $ 39.00     $ 95.02  

Percentage change in per share NAV

     (52.1 )%      83.9

Percentage change in benchmark

     (37.4 )%      71.2

Benchmark annualized volatility

     51.6     215.0

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 2,630,912 outstanding Shares at December 31, 2018 to 14,030,912 outstanding Shares at March 31, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 1.5x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from a decrease from 7,625,448 outstanding Shares at December 31, 2017 to 3,405,448 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index prior to the close of business on February 27, 2018, and 1.5x the daily performance of the S&P 500 VIX Short-Term Futures Index, effective as of the close of business, February 27, 2018, through the end of the reporting period.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark prior to close of business on February 27, 2018, and 1.5x the daily performance of its benchmark as of the close of business, February 27, 2018, through the end of the reporting period. The Fund’s per Share NAV decrease of 52.1% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 83.9% for the three months ended March 31, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 37.4% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 71.2% for the three months ended March 31, 2018, 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, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ (150,629    $ (1,067,496

Management fee

     965,532        842,811  

Brokerage commission

     575,631        891,428  

Non-recurring fees and expenses

     27,508        —    

Net realized gain (loss)

     (195,223,341      416,600,171  

Change in net unrealized appreciation/depreciation

     (39,057,983      67,476,383  

Net Income (loss)

   $ (234,431,953    $ 483,009,058  

 

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The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2019.

 

*

See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 5,751,716     $ 2,864,269  

NAV end of period

   $ 5,563,510     $ 3,172,131  

Percentage change in NAV

     (3.3 )%      10.7

Shares outstanding beginning of period

     99,970       49,970  

Shares outstanding end of period

     99,970       49,970  

Percentage change in shares outstanding

     —       —  

Shares created

     50,000       —    

Shares redeemed

     50,000       —    

Per share NAV beginning of period

   $ 57.53     $ 57.32  

Per share NAV end of period

   $ 55.65     $ 63.48  

Percentage change in per share NAV

     (3.3 )%      10.7

Percentage change in benchmark

     (1.1 )%      5.9

Benchmark annualized volatility

     6.2     8.0

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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, 2018 to March 31, 2019. By comparison, during the three months ended March 31, 2018, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2017 to March 31, 2018.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.3% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 10.7% for the three months ended March 31, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 1.1% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 5.9% for the three months ended March 31, 2018, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2019.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 14,571      $ (3,069

Management fee

     12,438        7,223  

Net realized gain (loss)

     (77,307      322,550  

Change in net unrealized appreciation/depreciation

     (112,597      (11,619

Net Income (loss)

   $ (175,333    $ 307,862  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2019.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 87,667,042     $ 11,335,483  

NAV end of period

   $ 128,015,075     $ 16,203,957  

Percentage change in NAV

     46.0     42.9

Shares outstanding beginning of period

     6,700,000       300,008  

Shares outstanding end of period

     4,750,000       350,008  

Percentage change in shares outstanding

     (29.1 )%      16.7

Shares created

     800,000       200,000  

Shares redeemed

     2,750,000       150,000  

Per share NAV beginning of period

   $ 13.08     $ 37.78  

Per share NAV end of period

   $ 26.95     $ 46.30  

Percentage change in per share NAV

     106.0     22.6

Percentage change in benchmark

     30.2     8.8

Benchmark annualized volatility

     26.5     22.3

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 6,700,000 outstanding Shares at December 31, 2018 to 4,750,000 outstanding Shares at March 31, 2019. By comparison, during the three months ended March 31, 2018, the increase in the Fund’s NAV resulted primarily from an increase from 300,008 outstanding Shares at December 31, 2017 to 350,008 outstanding Shares at March 31, 2018. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 106.0% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 22.6% for the three months ended March 31, 2018, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s rise of 30.2% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 8.8% for the three months ended March 31, 2018, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2019.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 252,849      $ (31,115

Management fee

     295,626        2,095  

Brokerage commission

     66,868        5,676  

Offering costs

     —          52,846  

Limitation by Sponsor

     —          (26,957

Net realized gain (loss)

     22,272,869        1,620,825  

Change in net unrealized appreciation/depreciation

     64,156,808        1,585,957  

Net Income (loss)

   $ 86,682,526      $ 3,175,667  

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 2019.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 18,665,099     $ 21,161,176  

NAV end of period

   $ 17,007,260     $ 26,950,309  

Percentage change in NAV

     (8.9 )%      27.4

Shares outstanding beginning of period

     374,906       500,002  

Shares outstanding end of period

     824,906       874,908  

Percentage change in shares outstanding

     120.0     75.0

Shares created

     750,000       687,500  

Shares redeemed

     300,000       312,594  

Per share NAV beginning of period

   $ 49.79     $ 42.32  

Per share NAV end of period

   $ 20.62     $ 30.80  

Percentage change in per share NAV

     (58.6 )%      (27.2 )% 

Percentage change in benchmark

     30.2     8.8

Benchmark annualized volatility

     26.5     22.3

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 374,906 outstanding Shares at December 31, 2018 to 824,906 outstanding Shares at March 31, 2019. By comparison, during the three months ended March 31, 2018, the increase in the Fund’s NAV resulted from an increase from 500,002 outstanding Shares at December 31, 2017 to 874,908 outstanding Shares at March 31, 2018. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

 

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For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 58.6% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 27.2% for the three months ended March 31, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s rise of 30.2% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 8.8% for the three months ended March 31, 2018, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 24,014      $ (67,214

Management fee

     34,303        3,537  

Brokerage commission

     13,188        15,260  

Offering costs

     —          52,797  

Limitation by Sponsor

     —          (176

Net realized gain (loss)

     (2,268,796      (4,675,967

Change in net unrealized appreciation/depreciation

     (9,496,554      (746,983

Net Income (loss)

   $ (11,741,336    $ (5,490,164

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 2019.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 11,060,333     $ 13,702,102  

NAV end of period

   $ 8,162,647     $ 7,063,496  

Percentage change in NAV

     (26.2 )%      (48.4 )% 

Shares outstanding beginning of period

     200,000       300,000  

Shares outstanding end of period

     150,000       150,000  

Percentage change in shares outstanding

     (25.0 )%      (50.0 )% 

Shares created

     —         —    

Shares redeemed

     50,000       150,000  

Per share NAV beginning of period

   $ 55.30     $ 45.67  

Per share NAV end of period

   $ 54.42     $ 47.09  

Percentage change in per share NAV

     (1.6 )%      3.1

Percentage change in benchmark

     0.8     (1.6 )% 

Benchmark annualized volatility

     8.6     8.7

 

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During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 200,000 outstanding Shares at December 31, 2018 to 150,000 outstanding Shares at March 31, 2019. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 March 31, 2018, the decrease in the Fund’s NAV resulted from a decrease from 300,000 outstanding Shares at December 31, 2017 to 150,000 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.6% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 3.1% for the three months ended March 31, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s rise of 0.8% for the three months ended March 31, 2019, as compared to the benchmark’s decline of 1.6% for the three months ended March 31, 2018, can be attributed to an increase in the value of the Australian dollar versus the U.S. dollar during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 25,789      $ 135  

Management fee

     21,080        19,484  

Brokerage commission

     1,673        1,520  

Net realized gain (loss)

     262,745        (1,120,237

Change in net unrealized appreciation/depreciation

     (577,204      1,192,129  

Net Income (loss)

   $ (288,670    $ 72,027  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2019.

 

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ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 114,377,311     $ 225,843,284  

NAV end of period

   $ 75,826,687     $ 200,375,649  

Percentage change in NAV

     (33.7 )%      (11.3 )% 

Shares outstanding beginning of period

     3,839,884       9,289,884  

Shares outstanding end of period

     4,489,884       10,039,884  

Percentage change in shares outstanding

     16.9     8.1

Shares created

     3,400,000       4,200,000  

Shares redeemed

     2,750,000       3,450,000  

Per share NAV beginning of period

   $ 29.79     $ 24.31  

Per share NAV end of period

   $ 16.89     $ 19.96  

Percentage change in per share NAV

     (43.3 )%      (17.9 )% 

Percentage change in benchmark

     30.2     8.8

Benchmark annualized volatility

     26.5     22.3

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 3,839,884 outstanding Shares at December 31, 2018 to 4,489,884 outstanding Shares at March 31, 2019. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 9,289,884 outstanding Shares at December 31, 2017 to 10,039,884 outstanding Shares at March 31, 2018.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 43.3% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 17.9% for the three months ended March 31, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s rise of 30.2% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 8.8% for the three months ended March 31, 2018, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 185,815      $ 189,482  

Management fee

     166,326        527,954  

Brokerage commission

     9,630        11,981  

Net realized gain (loss)

     (9,155,159      (48,096,337

Change in net unrealized appreciation/depreciation

     (32,918,234      15,307,293  

Net Income (loss)

   $ (41,887,578    $ (32,599,562

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 2019.

 

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ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 17,825,441     $ 6,902,743  

NAV end of period

   $ 13,019,491     $ 5,352,309  

Percentage change in NAV

     (27.0 )%      (22.5 )% 

Shares outstanding beginning of period

     824,832       174,832  

Shares outstanding end of period

     574,832       124,832  

Percentage change in shares outstanding

     (30.3 )%      (28.6 )% 

Shares created

     250,000       250,000  

Shares redeemed

     500,000       300,000  

Per share NAV beginning of period

   $ 21.61     $ 39.48  

Per share NAV end of period

   $ 22.65     $ 42.88  

Percentage change in per share NAV

     4.8     8.6

Percentage change in benchmark

     (7.9 )%      (6.9 )% 

Benchmark annualized volatility

     42.4     30.3

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 824,832 outstanding Shares at December 31, 2018 to 574,832 outstanding Shares at March 31, 2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from a decrease from 174,832 outstanding Shares at December 31, 2017 to 124,832 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.8% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 8.6% for the three months ended March 31, 2018, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 7.9% for the three months ended March 31, 2019, as compared to the benchmark’s decline of 6.9% for the three months ended March 31, 2018, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2019.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 19,484      $ (9,587

Management fee

     28,691        16,545  

Brokerage commission

     11,700        8,180  

Net realized gain (loss)

     11,319,325        746,971  

Change in net unrealized appreciation/depreciation

     (10,316,611      931,920  

Net Income (loss)

   $ 1,022,198      $ 1,669,304  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a greater decrease in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended March 31, 2019.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 154,120,159     $ 202,548,197  

NAV end of period

   $ 151,445,608     $ 188,023,376  

Percentage change in NAV

     (1.7 )%      (7.2 )% 

Shares outstanding beginning of period

     6,350,000       9,550,000  

Shares outstanding end of period

     5,900,000       9,250,000  

Percentage change in shares outstanding

     (7.1 )%      (3.1 )% 

Shares created

     250,000       500,000  

Shares redeemed

     700,000       800,000  

Per share NAV beginning of period

   $ 24.27     $ 21.21  

Per share NAV end of period

   $ 25.67     $ 20.33  

Percentage change in per share NAV

     5.8     (4.1 )% 

Percentage change in benchmark

     (2.1 )%      2.6

Benchmark annualized volatility

     6.3     7.9

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,350,000 outstanding Shares at December 31, 2018 to 5,900,000 outstanding Shares at March 31, 2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of 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 March 31, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,550,000 outstanding Shares at December 31, 2017 to 9,250,000 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.8% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 4.1% for the three months ended March 31, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

 

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The benchmark’s decline of 2.1% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 2.6% for the three months ended March 31, 2018, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 434,473      $ 168,129  

Management fee

     340,145        449,855  

Net realized gain (loss)

     3,329,242        (18,923,423

Change in net unrealized appreciation/depreciation

     4,424,813        10,106,948  

Net Income (loss)

   $ 8,188,528      $ (8,648,346

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2019.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 18,098,997     $ 31,497,410  

NAV end of period

   $ 21,506,707     $ 30,009,467  

Percentage change in NAV

     18.8     (4.7 )% 

Shares outstanding beginning of period

     246,978       446,978  

Shares outstanding end of period

     296,977       446,978  

Percentage change in shares outstanding

     20.2     —  

Shares created

     100,000       200,000  

Shares redeemed

     50,000       200,000  

Per share NAV beginning of period

   $ 73.28     $ 70.47  

Per share NAV end of period

   $ 72.42     $ 67.14  

Percentage change in per share NAV

     (1.2 )%      (4.7 )% 

Percentage change in benchmark

     0.9     2.5

Benchmark annualized volatility

     10.0     9.5

On December 20, 2018, the Trust announced that the ProShares UltraShort Gold ETF would change its benchmark. The ProShares UltraShort Gold ETF struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Gold ETF is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Gold ETF was the U.S. dollar p.m. LBMA Gold Price.

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 246,978 outstanding Shares at December 31, 2018 to 296,977 outstanding Shares at March 31, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the

 

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inverse of the daily performance of the Bloomberg Gold SubindexSM. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 December 31, 2017 to March 31, 2018.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.2% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 4.7% for the three months ended March 31, 2018, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The new benchmark’s rise of 0.9% for the three months ended March 31, 2019, as compared to the former LBMA Gold Price benchmark’s rise of 2.5% for the three months ended March 31, 2018, can be attributed to a lesser increase in the value of gold futures contracts during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 47,471      $ 22,378  

Management fee

     46,962        67,746  

Brokerage commission

     778        20  

Net realized gain (loss)

     (1,168,904      (3,269,747

Change in net unrealized appreciation/depreciation

     878,026        1,908,108  

Net Income (loss)

   $ (243,407    $ (1,339,261

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a lesser increase in the value of the futures prices during the three months ended March 31, 2019.

 

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ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 11,768,863     $ 14,806,259  

NAV end of period

   $ 20,253,916     $ 20,934,105  

Percentage change in NAV

     72.1     41.4

Shares outstanding beginning of period

     316,976       466,976  

Shares outstanding end of period

     516,976       616,976  

Percentage change in shares outstanding

     63.1     32.1

Shares created

     300,000       450,000  

Shares redeemed

     100,000       300,000  

Per share NAV beginning of period

   $ 37.13     $ 31.71  

Per share NAV end of period

   $ 39.18     $ 33.93  

Percentage change in per share NAV

     5.5     7.0

Percentage change in benchmark

     (2.8 )%      (3.5 )% 

Benchmark annualized volatility

     15.2     12.4

On December 20, 2018, the Trust announced that the ProShares UltraShort Silver ETF would change its benchmark. The ProShares UltraShort Silver ETF struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Silver ETF is the Bloomberg Silver Subindex (ticker: BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Silver ETF was the London Silver Price.

During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 316,976 outstanding Shares at December 31, 2018 to 516,976 outstanding Shares at March 31, 2019. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg Silver SubindexSM. By comparison, during the three months ended March 31, 2018, the increase in the Fund’s NAV resulted primarily from an increase from 466,976 outstanding Shares at December 31, 2017 to 616,976 outstanding Shares at March 31, 2018. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.5% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 7.0% for the three months ended March 31, 2018, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The new benchmark’s decline of 2.8% for the three months ended March 31, 2019, as compared to the former London Silver Price benchmark’s decline of 3.5% for the three months ended March 31, 2018, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended March 31, 2019.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 31,554      $ 13,187  

Management fee

     37,211        45,395  

Brokerage commission

     1,349        10  

Net realized gain (loss)

     (1,390,142      (1,598,873

Change in net unrealized appreciation/depreciation

     2,135,467        2,706,050  

Net Income (loss)

   $ 776,879      $ 1,120,364  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a lesser decrease in the value of futures prices during the three months ended March 31, 2019.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 55,363,675     $ 131,077,453  

NAV end of period

   $ 49,650,541     $ 87,308,862  

Percentage change in NAV

     (10.3 )%      (33.4 )% 

Shares outstanding beginning of period

     749,290       1,749,290  

Shares outstanding end of period

     649,290       1,299,290  

Percentage change in shares outstanding

     (13.3 )%      (25.7 )% 

Shares created

     400,000       50,000  

Shares redeemed

     500,000       500,000  

Per share NAV beginning of period

   $ 73.89     $ 74.93  

Per share NAV end of period

   $ 76.47     $ 67.20  

Percentage change in per share NAV

     3.5     (10.3 )% 

Percentage change in benchmark

     (1.1 )%      5.9

Benchmark annualized volatility

     6.2     8.0

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 749,290 outstanding Shares at December 31, 2018 to 649,290 outstanding Shares at March 31, 2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 March 31, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,749,290 outstanding Shares at December 31, 2017 to 1,299,290 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.5% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV decrease of 10.3% for the three months ended March 31, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

 

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The benchmark’s decline of 1.1% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 5.9% for the three months ended March 31, 2018, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 167,574      $ 81,401  

Management fee

     124,794        231,119  

Net realized gain (loss)

     (343,480      (11,252,400

Change in net unrealized appreciation/depreciation

     2,433,680        (403,844

Net Income (loss)

   $ 2,257,774      $ (11,574,843

The Fund’s net income increased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2019.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 56,299,121     $ 26,347,948  

NAV end of period

   $ 51,126,469     $ 24,945,408  

Percentage change in NAV

     (9.2 )%      (5.3 )% 

Shares outstanding beginning of period

     2,112,403       1,237,403  

Shares outstanding end of period

     2,362,403       937,403  

Percentage change in shares outstanding

     11.8     (24.2 )% 

Shares created

     500,000       550,000  

Shares redeemed

     250,000       850,000  

Per share NAV beginning of period

   $ 26.65     $ 21.29  

Per share NAV end of period

   $ 21.64     $ 26.61  

Percentage change in per share NAV

     (18.8 )%      25.0

Percentage change in benchmark

     (18.5 )%      25.5

Benchmark annualized volatility

     22.3     64.8

During the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,112,403 outstanding Shares at December 31, 2018 to 2,362,403 outstanding Shares at March 31, 2019. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from a decrease from 1,237,403 outstanding Shares at December 31, 2017 to 937,403 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

 

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For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.8% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 25.0% for the three months ended March 31, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 18.5% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 25.5% for the three months ended March 31, 2018, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 149,266      $ (4,487

Management fee

     105,811        54,959  

Brokerage commission

     10,336        11,232  

Net realized gain (loss)

     (4,202,020      3,720,436  

Change in net unrealized appreciation/depreciation

     (6,426,449      4,916,467  

Net Income (loss)

   $ (10,479,203    $ 8,632,416  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2019.

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
    Three Months Ended
March 31, 2018
 

NAV beginning of period

   $ 149,547,115     $ 137,741,560  

NAV end of period

   $ 203,503,203     $ 112,385,324  

Percentage change in NAV

     36.1     (18.4 )% 

Shares outstanding beginning of period

     3,876,317       5,901,317  

Shares outstanding end of period

     8,451,317       2,826,317  

Percentage change in shares outstanding

     118.0     (52.1 )% 

Shares created

     6,225,000       1,875,000  

Shares redeemed

     1,650,000       4,950,000  

Per share NAV beginning of period

   $ 38.58     $ 23.34  

Per share NAV end of period

   $ 24.08     $ 39.76  

Percentage change in per share NAV

     (37.6 )%      70.4

Percentage change in benchmark

     (37.4 )%      71.2

Benchmark annualized volatility

     51.6     215.0

 

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During the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 3,876,317 outstanding Shares at December 31, 2018 to 8,451,317 outstanding Shares at March 31, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2018, the decrease in the Fund’s NAV resulted from a decrease from 5,901,317 outstanding Shares at December 31, 2017 to 2,826,317 outstanding Shares at March 31, 2018. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.6% for the three months ended March 31, 2019, as compared to the Fund’s per Share NAV increase of 70.4% for the three months ended March 31, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2019.

The benchmark’s decline of 37.4% for the three months ended March 31, 2019, as compared to the benchmark’s rise of 71.2% for the three months ended March 31, 2018, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2019 and 2018:

 

     Three Months Ended
March 31, 2019
     Three Months Ended
March 31, 2018
 

Net investment income (loss)

   $ 476,702      $ (47,426

Management fee

     361,703        252,387  

Brokerage commission

     12,435        71,299  

Net realized gain (loss)

     (54,906,584      77,274,987  

Change in net unrealized appreciation/depreciation

     (21,284,231      14,019,881  

Net Income (loss)

   $ (75,714,113    $ 91,247,442  

The Fund’s net income decreased for the three months ended March 31, 2019 as compared to the three months ended March 31, 2018, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2019.

 

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of March 31, 2019 and 2018, each of the Fund’s positions were as follows:

ProShares Short Euro:

As of March 31, 2019 and 2018, 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 March 31, 2019 and 2018, which were sensitive to exchange rate price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

     Short        June 2019        157      $ 1.13        125,000      $ (22,153,683
Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

     Short        June 2018        51      $ 1.2359        125,000      $ (7,878,544

The March 31, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2019 and 2018, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2019 and 2018, which were sensitive to equity market volatility risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Short        April 2019        8,058      $ 15.23        1,000      $ (122,683,050

VIX Futures (CBOE)

     Short        May 2019        6,033        16.33        1,000        (98,488,725

 

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Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Short        April 2018        11,205      $ 19.78        1,000      $ (221,578,875

VIX Futures (CBOE)

     Short        May 2018        6,525        19.23        1,000        (125,443,125

The March 31, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 2019 and 2018, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Long        May 2019        1,603      $ 60.14        1,000      $ 96,404,420  

 

Swap Agreements as of March 31, 2019  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank,N.A.    Long    $ 88.8419      $ 210,716,477  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      88.8419        159,549,712  

Bloomberg WTI Crude Oil Subindex

   Royal Bank of Canada    Long      88.8419        159,265,812  

Bloomberg WTI Crude Oil Subindex

   Societe Generale    Long      88.8419        63,215,803  

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      88.8419        161,395,641  

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Long        May 2018        2,391      $ 64.94        1,000      $ 155,271,540  

 

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Swap Agreements as of March 31, 2018  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Long    $ 95.4541      $ 200,208,114  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      95.4541        192,610,038  

Bloomberg WTI Crude Oil Subindex

   Societe Generale    Long      95.4541        86,577,855  

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      95.4541        187,785,873  

The March 31, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2019 and 2018 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Natural Gas:

As of March 31, 2019 and 2018, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Long        May 2019        1,570      $ 2.66        10,000      $ 41,793,400  

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Long        May 2018        2,872      $ 2.73        10,000      $ 78,491,760  

The March 31, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares Ultra Euro:

As of March 31, 2019 and 2018, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of March 31, 2019  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Local
Currency
    Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long      04/05/19        7,006,725       1.1331      $ 7,939,530  

Euro

   UBS AG    Long      04/05/19        7,466,800       1.1343        8,469,715  

Euro

   Goldman Sachs International    Short      04/05/19        (151,500     1.1286        (170,982

Euro

   UBS AG    Short      04/05/19        (307,000     1.1250        (345,365

 

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Foreign Currency Forward Contracts as of March 31, 2018  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
     Local
Currency
    Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long      04/06/18        8,112,625       1.2306      $ 9,983,565  

Euro

   UBS AG    Long      04/06/18        8,724,400       1.2306        10,736,428  

Euro

   Goldman Sachs International    Short      04/06/18        (416,900     1.2306        (513,046

Euro

   UBS AG    Short      04/06/18        (240,900     1.2306        (296,457

The March 31, 2019 and 2018 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Gold:

As of March 31, 2019 and 2018, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts, Gold forward agreements, 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, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Long      June 2019      124      $ 1,298.50        100      $ 16,101,400  

 

Swap Agreements as of March 31, 2019  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Gold Subindex

   Citibank, N.A.    Long    $ 151.6031      $ 39,789,890  

Bloomberg Gold Subindex

   Goldman Sachs International    Long      151.6031        48,810,185  

Bloomberg Gold Subindex

   UBS AG    Long      151.6031        40,913,975  

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Long      June 2018      2      $ 1,327.30        100      $ 265,460  

 

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Forward Agreements as of March 31, 2018  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Long    $ 1,324.74      $ 72,198,330  

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,324.68        54,205,906  

0.995 Fine Troy Ounce Gold

   Societe Generale    Long      1,324.71        17,221,230  

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,324.62        46,759,086  

The March 31, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2019 and 2018 forward and swap notional values equal units multiplied by the forward or swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, swap or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of March 31, 2019 and 2018, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts, Silver forward agreements, 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, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Long      May 2019      254      $ 15.11        5,000      $ 19,189,700  

 

Swap Agreements as of March 31, 2019  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Silver Subindex

   Citibank, N.A.    Long    $ 147.4418      $ 110,150,652  

Bloomberg Silver Subindex

   Goldman Sachs International    Long      147.4418        102,094,328  

Bloomberg Silver Subindex

   UBS AG    Long      147.4418        111,622,760  

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Long      May 2018      2      $ 16.27        5,000      $  162,680  

 

Forward Agreements as of March 31, 2018  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Long    $ 16.2800      $ 142,873,824  

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      16.2800        124,520,560  

0.999 Fine Troy Ounce Silver

   Societe Generale    Long      16.2800        53,499,972  

0.999 Fine Troy Ounce Silver

   UBS AG    Long      16.2800        122,665,206  

 

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The March 31, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2019 and 2018 forward and swap notional values equal units multiplied by the forward or swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, swap or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2019 and 2018, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreement linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to equity market volatility risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    April 2019      28,212      $ 15.23        1,000      $ 429,527,700  

VIX Futures (CBOE)

   Long    May 2019      21,160        16.33        1,000        345,437,000  

 

Swap Agreements as of March 31, 2019  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index

   Goldman Sachs International    Long    $ 29.3012      $ 45,163,849  

 

Futures Positions as of March 31, 2018  

Long or Contract

   Short      Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        April 2018        10,838      $ 19.78        1,000      $ 214,321,450  

VIX Futures (CBOE)

     Long        May 2018        6,322        19.23        1,000        121,540,450  

 

Swap Agreements as of March 31, 2018  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

S&P 500 VIX Short-Term Futures

   Deutsche Bank AG.    Long    $ 71.1400      $ 23,853,609  

iPath S&P 500 VIX Short-Term Futures

   Goldman Sachs International    Long      48.0706        125,126,211  

The March 31, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2019 and 2018 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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ProShares Ultra Yen:

As of March 31, 2019 and 2018, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of March 31, 2019  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Local Currency     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long      04/05/19        331,570,400       0.008972      $ 2,974,942  

Yen

   UBS AG    Long      04/05/19        919,075,800       0.008974        8,247,490  

Yen

   Goldman Sachs International    Short      04/05/19        (6,849,300     0.008965        (61,407

Yen

   UBS AG    Short      04/05/19        (10,542,900     0.009039        (95,302
Foreign Currency Forward Contracts as of March 31, 2018  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Local Currency     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long      04/06/18        354,324,700       0.009400      $ 3,330,780  

Yen

   UBS AG    Long      04/06/18        344,160,500       0.009400        3,235,234  

Yen

   Goldman Sachs International    Short      04/06/18        (20,860,500     0.009400        (196,096

Yen

   UBS AG    Short      04/06/18        (2,809,900     0.009400        (26,414

The March 31, 2019 and 2018 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraPro 3x Crude Oil ETF

As of March 31, 2019 and 2018, the ProShares UltraPro 3x Crude Oil ETF was exposed to commodity price risk through its holding of Crude Oil futures contracts linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    May 2019      6,386      $ 60.14        1,000      $ 384,054,040  
Futures Positions as of March 31, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    May 2018      749      $ 64.94        1,000      $ 48,640,060  

 

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The March 31, 2019 and 2018 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by three. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares UltraPro 3x Short Crude Oil ETF

As of March 31, 2019 and 2018, the ProShares UltraPro 3x Short Crude Oil ETF was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Short        May 2019        848      $ 60.14        1,000      $ (50,998,720

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Short        May 2018        1,245      $ 64.94        1,000      $ (80,850,300

The March 31, 2019 and 2018 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional amount will increase (decrease) proportionally with decreases (increases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative three. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of March 31, 2019 and 2018, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to exchange rate price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

     Short        June 2019        230      $ 71.11        1,000      $ (16,350,700

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

     Short        June 2018        184      $ 76.76        1,000         $ (14,123,840

 

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The March 31, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 2019 and 2018, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Short        May 2019        724      $ 60.14        1,000      $ (43,541,360

 

Swap Agreements as of March 31, 2019  

Reference Index

   Counterparty    Long or
Short
     Index Close      Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank, N.A.      Short      $ 88.8419      $ (35,382,635

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International      Short        88.8419        (25,233,443

Bloomberg WTI Crude Oil Subindex

   Royal Bank of Canada      Short        88.8419        (12,199,190

Bloomberg WTI Crude Oil Subindex

   Societe Generale      Short        88.8419        (9,056,577

Bloomberg WTI Crude Oil Subindex

   UBS AG      Short        88.8419        (26,259,871

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

     Short        May 2018        1,263      $ 64.94        1,000      $ (82,019,220

 

Swap Agreements as of March 31, 2018  

Reference Index

   Counterparty    Long or
Short
     Index
Close
     Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.      Short      $ 95.4541      $ (100,134,158

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International      Short        95.4541        (92,256,796

Bloomberg WTI Crude Oil Subindex

   Societe Generale      Short        95.4541        (31,907,759

Bloomberg WTI Crude Oil Subindex

   UBS AG      Short        95.4541        (88,373,131

The March 31, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. March 31, 2019 and 2018 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

 

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transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Natural Gas:

As of March 31, 2019 and 2018, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Short        May 2019        978      $ 2.66        10,000      $ (26,034,360
Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Short        May 2018        392      $ 2.73        10,000      $ (10,713,360

The March 31, 2019 and 2018 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of March 31, 2019 and 2018, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of March 31, 2019  

Reference

Currency

   Counterparty    Long or
Short
     Settlement
Date
     Local Currency     Forward Rate      Market Value
USD
 

Euro

   UBS AG      Long        04/05/19        15,539,500       1.1359      $ 17,651,954  

Euro

   Goldman Sachs International      Short        04/05/19        (137,164,125     1.1328        (155,384,230

Euro

   UBS AG      Short        04/05/19        (147,662,400     1.1333        (167,351,047

 

Foreign Currency Forward Contracts as of March 31, 2018  

Reference Currency

   Counterparty    Long or
Short
     Settlement
Date
     Local Currency     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International      Long        04/06/18        20,692,400       1.2306      $ 25,464,498  

Euro

   UBS AG      Long        04/06/18        8,138,700       1.2306        10,015,654  

Euro

   Goldman Sachs International      Short        04/06/18        (160,609,525     1.2306        (197,649,422

Euro

   UBS AG      Short        04/06/18        (173,574,200     1.2306        (213,604,021

 

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The March 31, 2019 and 2018 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/A for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Gold:

As of March 31, 2019 and 2018, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts, Gold forward agreements, 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, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Short        June 2019        52      $ 1,298.50        100      $ (6,752,200

 

Swap Agreements as of March 31, 2019  

Reference Index

   Counterparty    Long or
Short
     Index Close      Notional Amount
at Value
 

Bloomberg Gold Subindex

   Citibank, N.A.      Short      $ 151.6031      $ (12,577,645

Bloomberg Gold Subindex

   Goldman Sachs International      Short        151.6031        (10,781,376

Bloomberg Gold Subindex

   UBS AG      Short        151.6031        (12,927,675

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Gold Futures (COMEX)

     Short        June 2018        2      $ 1,327.30        100      $ (265,460

 

Forward Agreements as of March 31, 2018  

Reference Index

   Counterparty    Long or
Short
     Valuation
Price
     Notional
Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A      Short      $ 1,324.74      $ (21,328,314

0.995 Fine Troy Ounce Gold

   Goldman Sachs International      Short        1,324.68        (17,483,127

0.995 Fine Troy Ounce Gold

   Societe Generale      Short        1,324.71        (6,358,608

0.995 Fine Troy Ounce Gold

   UBS AG      Short        1,324.62        (14,637,051

The March 31, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2019 and 2018 short forward and swap notional values equal units multiplied by the forward or swap price. These short notional values will increase (decrease) proportionally with decreases (increases)

 

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in the price of the futures contract, swap or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of March 31, 2019 and 2018, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts, Silver forward agreements, 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, 2019 and 2018, which were sensitive to commodity price risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Short        May 2019        152      $ 15.11        5,000      $ (11,483,600

 

Swap Agreements as of March 31, 2019  

Reference Index

   Counterparty    Long or
Short
     Index Close      Notional Amount
at Value
 

Bloomberg Silver Subindex

   Citibank, N.A.      Short      $ 147.4418      $ (15,412,788

Bloomberg Silver Subindex

   Goldman Sachs International      Short        147.4418        (6,552,316

Bloomberg Silver Subindex

   UBS AG      Short        147.4418        (7,024,143

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
   Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Silver Futures (COMEX)

   Short      May 2018        2      $ 16.27        5,000      $ (162,680

 

Forward Agreements as of March 31, 2018  

Reference Index

   Counterparty    Long or
Short
     Valuation
Price
     Notional
Amount at
Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.      Short      $ 16.2800      $ (17,382,710

0.999 Fine Troy Ounce Silver

   Goldman Sachs International      Short        16.2800        (10,140,774

0.999 Fine Troy Ounce Silver

   Societe Generale      Short        16.2800        (2,541,412

0.999 Fine Troy Ounce Silver

   UBS AG      Short        16.2800        (11,647,493

The March 31, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2019 and 2018 short forward and swap notional values equal units multiplied by the forward or swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract, swap or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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ProShares UltraShort Yen:

As of March 31, 2019 and 2018, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2019 and 2018, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of March 31, 2019  

Reference

Currency

   Counterparty    Long or
Short
     Settlement
Date
     Local Currency     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International      Long        04/05/19        267,445,500       0.009104      $ 2,434,696  

Yen

   UBS AG      Long        04/05/19        1,377,801,600       0.009029        12,439,969  

Yen

   Goldman Sachs International      Short        04/05/19        (5,970,616,200     0.008969        (53,551,523

Yen

   UBS AG      Short        04/05/19        (6,667,953,100     0.008976        (59,848,902

 

Foreign Currency Forward Contracts as of March 31, 2018  
     Counterparty    Long or
Short
     Settlement
Date
     Yen     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International      Long        04/06/18        1,468,052,600       0.009400      $ 13,800,227  

Yen

   UBS AG      Long        04/06/18        85,158,000       0.009400        800,516  

Yen

   Goldman Sachs International      Short        04/06/18        (10,732,727,200     0.009400        (100,891,531

Yen

   UBS AG      Short        04/06/18        (9,404,092,000     0.009400        (88,401,878

The March 31, 2019 and 2018 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/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares VIX Mid-Term Futures ETF

As of March 31, 2019 and 2018, 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, 2019 and 2018, which were sensitive to equity market volatility risk.

 

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Futures Positions as of March 31, 2019  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2019      570      $ 16.93        1,000      $ 9,647,250  

VIX Futures (CBOE)

   Long    August 2019      997        17.03        1,000        16,973,925  

VIX Futures (CBOE)

   Long    September 2019      997        17.18        1,000        17,123,475  

VIX Futures (CBOE)

   Long    October 2019      427        17.25        1,000        7,365,750  

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

VIX Futures (CBOE)

     Long      July 2018      276      $ 19.00        1,000      $ 5,244,000  

VIX Futures (CBOE)

     Long      August 2018      438        18.88        1,000        8,267,250  

VIX Futures (CBOE)

     Long      September 2018      438        19.03        1,000        8,332,950  

VIX Futures (CBOE)

     Long      October 2018      161        19.30        1,000        3,107,300  

The March 31, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. 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/A for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of March 31, 2019 and 2018, 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, 2019 and 2018, which were sensitive to equity market volatility risk.

 

Futures Positions as of March 31, 2019  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        April 2019        7,408      $ 15.23        1,000      $ 112,786,800  

VIX Futures (CBOE)

     Long        May 2019        5,556        16.33        1,000        90,701,700  

 

Futures Positions as of March 31, 2018  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

VIX Futures (CBOE)

     Long        April 2018        3,627      $ 19.78        1,000      $ 71,723,925  

VIX Futures (CBOE)

     Long        May 2018        2,115        19.23        1,000        40,660,875  

The March 31, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. 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/A for additional information regarding performance for periods longer than a single day.

 

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Qualitative Disclosure

As described in Item 7 in the Annual Report on Form 10-K/A, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each UltraPro Short Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of daily performance of its corresponding benchmark. Each UltraPro Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of 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. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A for additional information regarding performance for periods longer than a single day.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.

As described in Item 7 in the Annual Report on Form 10-K/A, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

 

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Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K/A, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -1x, -2x, -3x, 1.5x, 2x, 3x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K/A, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund or UltraPro Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund or UltraPro Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds, UltraShort Funds or UltraPro Short Funds will generally decrease when the Index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s, an UltraShort Fund’s, or UltraPro Short Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

 

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Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2018, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2019 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

 

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act and Sections 10(b) and 20(a) and Rule 10b-5 of the 1934 Act by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. On April 29, 2019, the Court entered an order consolidating the three suits into a single action captioned In re ProShares Trust II Securities Litigation, and requiring that the lead plaintiff file an amended consolidated complaint by June 21, 2019. Counsel for the Trust believes the complaints are without merit and that the lawsuits will not adversely impact the operation of the Trust, ProShares Short VIX Short-Term Futures ETF, or any of its other Funds. The Trust and the Sponsor intend to vigorously defend against these lawsuits. The Trust and the Sponsor cannot predict the outcome of these lawsuits. Accordingly, no loss contingency has been recorded in the Statement of Financial Condition and the amount of loss, if any, cannot be reasonably estimated at this time. ProShares Short VIX Short-Term Futures ETF may incur expenses in defending against such lawsuits.

Item 1A. Risk Factors.

There has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K/A for the year ended December 31, 2018, filed on March 25, 2019.

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

 

a)

None.

 

b)

Not applicable.

 

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Title of Securities Registered

   Amount Registered As of
March 31, 2019
     Shares Sold For the
Three Months
Ended March 31,
2019
     Sale Price of Shares Sold
For the Three Months
Ended March 31, 2019
 

ProShares Short Euro

        

Common Units of Beneficial Interest

   $ 153,418,934        300,000      $ 13,205,150  

ProShares Short VIX Short-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 4,190,504,596        300,000      $ 14,869,996  

ProShares Ultra Bloomberg Crude Oil

        

Common Units of Beneficial Interest

   $ 5,678,328,106        3,300,000      $ 56,961,229  

ProShares Ultra Bloomberg Natural Gas

        

Common Units of Beneficial Interest

   $ 506,239,987        1,300,000      $ 31,814,525  

ProShares Ultra Euro

        

Common Units of Beneficial Interest

   $ 90,976,566        50,000      $ 744,567  

ProShares Ultra Gold

        

Common Units of Beneficial Interest

   $ 246,598,845        50,000      $ 1,888,747  

ProShares Ultra Silver

        

Common Units of Beneficial Interest

   $ 1,202,878,714        400,000      $ 10,636,282  

ProShares Ultra VIX Short-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 6,913,084,508        15,150,000      $ 728,577,548  

ProShares Ultra Yen

        

Common Units of Beneficial Interest

   $ 132,956,903        50,000      $ 2,922,854  

ProShares UltraPro 3x Crude Oil ETF

        

Common Units of Beneficial Interest

   $ 2,029,485,301        800,000      $ 16,301,816  

ProShares UltraPro 3x Short Crude Oil ETF

        

Common Units of Beneficial Interest

   $ 912,669,350        750,000      $ 18,656,682  

ProShares UltraShort Australian Dollar

        

Common Units of Beneficial Interest

   $ 162,940,781        —        $ —    

ProShares UltraShort Bloomberg Crude Oil

        

Common Units of Beneficial Interest

   $ 2,165,329,020        3,400,000      $ 66,476,301  

ProShares UltraShort Bloomberg Natural Gas

        

Common Units of Beneficial Interest

   $ 665,645,139        250,000      $ 4,113,610  

ProShares UltraShort Euro

        

Common Units of Beneficial Interest

   $ 1,863,573,310        250,000      $ 6,305,432  

ProShares UltraShort Gold

        

Common Units of Beneficial Interest

   $ 197,613,808        100,000      $ 7,236,873  

ProShares UltraShort Silver

        

Common Units of Beneficial Interest

   $ 887,571,447        300,000      $ 11,229,394  

ProShares UltraShort Yen

        

Common Units of Beneficial Interest

   $ 906,315,192        400,000      $ 30,543,496  

ProShares VIX Mid-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 472,484,450        500,000      $ 11,369,035  

ProShares VIX Short-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 1,721,389,887        6,225,000      $ 174,135,151  
     

 

 

    

 

 

 

Total Trust:

        33,875,000      $ 1,207,988,688  
     

 

 

    

 

 

 

 

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Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

 

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Table of Contents

Item 6. Exhibits.

 

Exhibit
No.

  

Description of Document

  31.1    Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
  31.2    Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
  32.1    Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
  32.2    Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS    XBRL Instance Document (1)
101.SCH    XBRL Taxonomy Extension Schema (1)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF    XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB    XBRL Taxonomy Extension Label Linkbase (1)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase (1)

 

(1)

Filed herewith.

 

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Signatures

Pursuant to the requirements of 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 10, 2019

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: May 10, 2019

 

191