Investments (Tables)
|
9 Months Ended |
Sep. 30, 2017 |
|---|
| Investments, Debt and Equity Securities [Abstract] |
|
| Fair Value of Derivative Instruments |
The following tables indicate the location of derivative related
items on the Statement of Financial Condition as well as the effect
of derivative instruments on the Statement of Operations during the
reporting period.
Fair Value of Derivative Instruments
as of September 30, 2017
|
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|
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| |
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Assets Derivatives
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|
|
Liability Derivatives
|
|
| Derivatives not |
|
Statements of |
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|
|
|
|
|
Statements of |
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|
|
|
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| accounted for |
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Financial |
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|
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|
Financial |
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|
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| as hedging |
|
Condition |
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|
|
Unrealized |
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|
Condition |
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|
|
Unrealized |
|
|
instruments
|
|
Location
|
|
Fund
|
|
Appreciation |
|
|
Location
|
|
Fund
|
|
Depreciation |
|
|
VIX Futures Contracts
|
|
Receivables on open futures contracts
|
|
ProShares Short VIX Short-Term Futures ETF
|
|
$ |
94,244,035* |
|
|
Payable on open futures contracts
|
|
ProShares VIX Short-Term Futures ETF
|
|
$ |
18,329,321* |
|
| |
|
|
|
|
|
|
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
1,941,640* |
|
| |
|
|
|
|
|
|
|
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
101,763,031* |
|
|
Commodities Contracts
|
|
Receivables on open futures contracts, unrealized appreciation on
swaps and/or forward agreements
|
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
348,521* |
|
|
Payable on open futures contracts, unrealized depreciation on swaps
and/or forward agreements
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
19,045,866* |
|
| |
|
ProShares UltraShort Gold
|
|
|
2,961,605 |
|
|
|
ProShares UltraPro 3X Short Crude Oil ETF
|
|
|
2,423,370* |
|
| |
|
ProShares UltraShort Silver
|
|
|
2,157,373* |
|
|
|
ProShares UltraShort Gold
|
|
|
9,540* |
|
| |
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
54,614,553* |
|
|
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
971,690* |
|
| |
|
ProShares UltraPro 3X Crude Oil ETF
|
|
|
1,272,779* |
|
|
|
ProShares Ultra Gold
|
|
|
8,453,427 |
|
| |
|
ProShares Ultra Gold
|
|
|
9,520* |
|
|
|
ProShares Ultra Silver
|
|
|
28,248,742* |
|
|
Foreign Exchange Contracts
|
|
Unrealized appreciation on foreign currency forward contracts and
receivables on open futures contracts
|
|
ProShares Short Euro
|
|
|
106,206* |
|
|
Unrealized depreciation on foreign currency forward contracts and
payable on open futures contracts
|
|
ProShares UltraShort Euro
|
|
|
565,859 |
|
| |
|
ProShares UltraShort Australian Dollar
|
|
|
379,490* |
|
|
|
ProShares UltraShort Yen
|
|
|
570,141 |
|
| |
|
ProShares UltraShort Euro
|
|
|
4,465,552 |
|
|
|
ProShares Ultra Euro
|
|
|
291,439 |
|
| |
|
ProShares UltraShort Yen
|
|
|
9,817,020 |
|
|
|
ProShares Ultra Yen
|
|
|
407,660 |
|
| |
|
ProShares Ultra Euro
|
|
|
82,079 |
|
|
|
|
|
|
|
|
| |
|
ProShares Ultra Yen
|
|
|
12,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
170,471,084* |
|
|
|
|
Total Trust |
|
$ |
183,021,726* |
|
| * |
Includes cumulative
appreciation/depreciation of futures contracts as reported in the
Schedules of Investments. Only current day’s variation margin
is reported within the Statements of Financial Condition in
receivable/payable on open futures contracts. |
Fair Value of Derivative Instruments
as of December 31, 2016
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Assets Derivatives
|
|
|
Liability Derivatives
|
|
|
Derivatives not
accounted for as
hedging instruments
|
|
Statements of
Financial
Condition
Location
|
|
Fund
|
|
Unrealized
Appreciation |
|
|
Statements of
Financial
Condition
Location
|
|
Fund
|
|
Unrealized
Depreciation |
|
|
VIX Futures Contracts
|
|
Receivables on open futures contracts
|
|
ProShares VIX Short-Term Futures ETF
|
|
$ |
2,273,874 |
* |
|
Payable on open futures contracts
|
|
ProShares VIX Short-Term Futures ETF
|
|
$ |
2,742,526 |
* |
| |
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
68,375 |
* |
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
1,356,620 |
* |
| |
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
13,594,875 |
* |
|
|
ProShares Short VIX Short-Term Futures ETF
|
|
|
10,309,611 |
* |
| |
|
|
|
|
|
|
|
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
21,567,112 |
* |
|
Commodities Contracts
|
|
Receivables on open futures contracts, unrealized appreciation on
swaps and/or forward agreements
|
|
ProShares UltraShort Gold
|
|
|
3,052,546 |
* |
|
Payable on open futures contracts, unrealized depreciation on swaps
and/or forward agreements
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
13,633,696 |
* |
| |
|
ProShares UltraShort Silver
|
|
|
1,411,556 |
* |
|
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
482,031 |
* |
| |
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
60,895,736 |
* |
|
|
ProShares Ultra Gold
|
|
|
4,450,067 |
* |
| |
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
2,536,720 |
* |
|
|
ProShares Ultra Silver
|
|
|
21,003,549 |
* |
|
Foreign Exchange Contracts
|
|
Unrealized appreciation on foreign currency forward contracts and
receivables on open futures contracts
|
|
ProShares Short Euro
|
|
|
132,900 |
* |
|
Unrealized depreciation on foreign currency forward contracts and
payable on open futures contracts
|
|
ProShares UltraShort Euro
|
|
|
356,139 |
|
| |
|
ProShares UltraShort Australian Dollar
|
|
|
1,182,340 |
* |
|
|
ProShares UltraShort Yen
|
|
|
125,420 |
|
| |
|
ProShares UltraShort Euro
|
|
|
16,519,070 |
|
|
|
ProShares Ultra Euro
|
|
|
576,558 |
|
| |
|
ProShares UltraShort Yen
|
|
|
16,870,357 |
|
|
|
ProShares Ultra Yen
|
|
|
342,455 |
|
| |
|
ProShares Ultra Euro
|
|
|
2,548 |
|
|
|
|
|
|
|
|
| |
|
ProShares Ultra Yen
|
|
|
379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
118,541,276 |
* |
|
|
|
Total Trust |
|
$ |
76,945,784 |
* |
| * |
Includes cumulative
appreciation/depreciation of futures contracts as reported in the
Schedules of Investments. Only current day’s variation margin
is reported within the Statements of Financial Condition in
receivable/payable on open futures contracts. |
|
| Effect of Derivative Instruments on Statements of Operations |
The Effect of Derivative Instruments on the
Statements of Operations
For the three months ended September 30,
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not accounted for as
hedging instruments
|
|
Location of Gain
(Loss) on Derivatives
Recognized in Income
|
|
Fund
|
|
Realized Gain
(Loss) on Derivatives
Recognized in Income |
|
|
Change in
Unrealized
Appreciation/
Depreciation on
Derivatives
Recognized in Income |
|
|
VIX Futures Contracts
|
|
Net realized gain (loss) on futures contracts/changes in unrealized
appreciation/ depreciation on futures contracts
|
|
ProShares VIX Short-Term Futures ETF
|
|
$ |
(27,447,205 |
) |
|
$ |
(17,219,461 |
) |
| |
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
(3,965,084 |
) |
|
|
364,615 |
|
| |
|
ProShares Short VIX Short-Term Futures ETF
|
|
|
188,300,727 |
|
|
|
100,033,466 |
|
| |
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
(126,532,816 |
) |
|
|
(95,515,562 |
) |
|
Commodity Contracts
|
|
Net realized gain (loss) on futures contracts, swap and/or forward
agreements/changes in unrealized appreciation/ depreciation on
futures contracts, swap and/or forward agreements
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
(9,418,807 |
) |
|
|
(30,456,798 |
) |
|
|
|
ProShares UltraPro 3X Short Crude Oil ETF
|
|
|
(1,540,337 |
) |
|
|
(2,178,096 |
) |
|
|
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
(151,368 |
) |
|
|
615,201 |
|
|
|
|
ProShares UltraShort Gold
|
|
|
(2,644,155 |
) |
|
|
299,106 |
|
|
|
|
ProShares UltraShort Silver
|
|
|
(467,171 |
) |
|
|
(393,756 |
) |
|
|
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
45,497,245 |
|
|
|
112,823,127 |
|
|
|
|
ProShares UltraPro 3X Crude Oil ETF
|
|
|
4,971,742 |
|
|
|
694,326 |
|
|
|
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
(2,014,548 |
) |
|
|
(1,078,511 |
) |
|
|
|
ProShares Ultra Gold
|
|
|
5,462,918 |
|
|
|
(549,421 |
) |
|
|
|
ProShares Ultra Silver
|
|
|
1,064,270 |
|
|
|
7,159,593 |
|
|
Foreign Exchange Contracts
|
|
Net realized gain (loss) on futures and/or foreign currency forward
contracts/changes in unrealized appreciation/ depreciation on
futures and/or foreign currency forward contracts
|
|
ProShares Short Euro
|
|
|
(599,482 |
) |
|
|
291,787 |
|
|
|
|
ProShares UltraShort Australian Dollar
|
|
|
(1,453,355 |
) |
|
|
837,800 |
|
|
|
|
ProShares UltraShort Euro
|
|
|
(24,505,520 |
) |
|
|
10,103,133 |
|
|
|
|
ProShares UltraShort Yen
|
|
|
(1,067,853 |
) |
|
|
(83,509 |
) |
|
|
|
ProShares Ultra Euro
|
|
|
1,259,663 |
|
|
|
(519,273 |
) |
|
|
|
ProShares Ultra Yen
|
|
|
(4,492 |
) |
|
|
(52,440 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
44,744,372 |
|
|
$ |
85,175,327 |
|
The Effect of Derivative Instruments on the
Statements of Operations
For the three months ended September 30,
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
Change
in |
|
| |
|
|
|
|
|
|
|
|
Unrealized
Appreciation/ |
|
| Derivatives not accounted |
|
Location of Gain
(Loss) on Derivatives
|
|
|
|
Realized Gain
(Loss) on Derivatives
|
|
|
Depreciation
on
Derivatives |
|
|
for as hedging instruments
|
|
Recognized in Income
|
|
Fund
|
|
Recognized in Income |
|
|
Recognized in Income |
|
|
VIX Futures Contracts
|
|
Net realized gain (loss) on futures contracts/changes in unrealized
appreciation/ depreciation on futures contracts
|
|
ProShares VIX Short-Term Futures ETF
|
|
$ |
(101,785,229 |
) |
|
$ |
6,786,934 |
|
| |
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
(4,899,530 |
) |
|
|
(1,149,750 |
) |
| |
|
ProShares Short VIX Short-Term Futures ETF
|
|
|
277,246,086 |
|
|
|
(51,813,012 |
) |
| |
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
(745,101,700 |
) |
|
|
138,973,918 |
|
|
Commodity Contracts
|
|
Net realized gain (loss) on futures contracts, swap and/or forward
agreements/changes in unrealized appreciation/ depreciation on
futures contracts, swap and/or forward agreements
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
50,281,494 |
|
|
|
(32,976,232 |
) |
| |
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
(101,997 |
) |
|
|
712,984 |
|
| |
|
ProShares UltraShort Gold
|
|
|
(10,296,533 |
) |
|
|
9,770,795 |
|
| |
|
ProShares UltraShort Silver
|
|
|
(14,865,870 |
) |
|
|
9,507,258 |
|
| |
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
(246,218,628 |
) |
|
|
165,582,895 |
|
| |
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
1,964,411 |
|
|
|
(8,409,834 |
) |
| |
|
ProShares Ultra Gold
|
|
|
12,629,891 |
|
|
|
(13,416,914 |
) |
| |
|
ProShares Ultra Silver
|
|
|
119,372,366 |
|
|
|
(88,240,470 |
) |
|
Foreign Exchange Contracts
|
|
Net realized gain (loss) on futures and/or foreign currency forward
contracts/changes in unrealized appreciation/ depreciation on
futures and/or foreign currency forward contracts
|
|
ProShares Short Euro
|
|
|
327,212 |
|
|
|
(488,475 |
) |
| |
|
ProShares UltraShort Australian Dollar
|
|
|
(318,842 |
) |
|
|
(971,687 |
) |
| |
|
ProShares UltraShort Euro
|
|
|
(5,537,097 |
) |
|
|
(2,518,631 |
) |
| |
|
ProShares UltraShort Yen
|
|
|
(33,476,385 |
) |
|
|
23,071,090 |
|
| |
|
ProShares Ultra Euro
|
|
|
46,252 |
|
|
|
118,030 |
|
| |
|
ProShares Ultra Yen
|
|
|
955,047 |
|
|
|
(764,447 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(699,779,052 |
) |
|
$ |
153,774,452 |
|
The Effect of Derivative Instruments on the
Statements of Operations
For the nine months ended September 30,
2017
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
Change
in |
|
| |
|
|
|
|
|
|
|
|
Unrealized
Appreciation/ |
|
| Derivatives not accounted |
|
Location of Gain
(Loss) on Derivatives
|
|
|
|
Realized Gain
(Loss) on Derivatives
|
|
|
Depreciation
on
Derivatives |
|
|
for as hedging instruments
|
|
Recognized in Income
|
|
Fund
|
|
Recognized in Income |
|
|
Recognized in Income |
|
|
VIX Futures Contracts
|
|
Net realized gain (loss) on futures contracts/changes in unrealized
appreciation/ depreciation on futures contracts
|
|
ProShares VIX Short-Term Futures ETF
|
|
$ |
(126,202,705 |
) |
|
$ |
(17,860,669 |
) |
| |
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
(19,180,135 |
) |
|
|
(653,395 |
) |
| |
|
ProShares Short VIX Short-Term Futures ETF
|
|
|
471,128,319 |
|
|
|
104,553,646 |
|
| |
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
(646,036,987 |
) |
|
|
(93,790,794 |
) |
|
Commodity Contracts
|
|
Net realized gain (loss) on futures contracts, swap and/or forward
agreements/changes in unrealized appreciation/ depreciation on
futures contracts, swap and/or forward agreements
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
49,807,530 |
|
|
|
(5,412,170 |
) |
| |
|
ProShares UltraPro 3X Short Crude Oil ETF
|
|
|
232,006 |
|
|
|
(2,423,370 |
) |
| |
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
1,756,252 |
|
|
|
830,552 |
|
| |
|
ProShares UltraShort Gold
|
|
|
(10,938,952 |
) |
|
|
(100,481 |
) |
| |
|
ProShares UltraShort Silver
|
|
|
(2,693,320 |
) |
|
|
745,817 |
|
| |
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
(123,511,840 |
) |
|
|
(6,281,183 |
) |
| |
|
ProShares UltraPro 3X Crude Oil ETF
|
|
|
3,137,907 |
|
|
|
1,272,779 |
|
| |
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
(21,040,313 |
) |
|
|
(3,508,410 |
) |
| |
|
ProShares Ultra Gold
|
|
|
23,362,749 |
|
|
|
(3,993,840 |
) |
| |
|
ProShares Ultra Silver
|
|
|
20,327,016 |
|
|
|
(7,245,193 |
) |
|
Foreign Exchange Contracts
|
|
Net realized gain (loss) on futures and/or foreign currency forward
contracts/changes in unrealized appreciation/ depreciation on
futures and/or foreign currency forward contracts
|
|
ProShares Short Euro
|
|
|
(1,334,988 |
) |
|
|
(26,694 |
) |
| |
|
ProShares UltraShort Australian Dollar
|
|
|
(1,920,606 |
) |
|
|
(802,850 |
) |
| |
|
ProShares UltraShort Euro
|
|
|
(45,334,575 |
) |
|
|
(12,263,238 |
) |
| |
|
ProShares UltraShort Yen
|
|
|
(17,529,013 |
) |
|
|
(7,498,058 |
) |
| |
|
ProShares Ultra Euro
|
|
|
2,666,172 |
|
|
|
364,650 |
|
| |
|
ProShares Ultra Yen
|
|
|
338,091 |
|
|
|
(53,233 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(442,967,392 |
) |
|
$ |
(54,146,134 |
) |
The Effect of Derivative Instruments on the
Statements of Operations
For the nine months ended September 30,
2016
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
Change
in |
|
| |
|
|
|
|
|
|
|
|
Unrealized
Appreciation/ |
|
| Derivatives not accounted |
|
Location of Gain
(Loss) on Derivatives
|
|
|
|
Realized Gain
(Loss) on Derivatives
|
|
|
Depreciation
on
Derivatives |
|
|
for as hedging instruments
|
|
Recognized in Income
|
|
Fund
|
|
Recognized in Income |
|
|
Recognized in Income |
|
|
VIX Futures Contracts
|
|
Net realized gain (loss) on futures contracts/changes in unrealized
appreciation/ depreciation on futures contracts
|
|
ProShares VIX Short-Term Futures ETF
|
|
$ |
(134,345,928 |
) |
|
$ |
(8,475,358 |
) |
| |
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
(5,248,725 |
) |
|
|
(1,917,790 |
) |
| |
|
ProShares Short VIX Short-Term Futures ETF
|
|
|
263,024,643 |
|
|
|
16,663,427 |
|
| |
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
(1,269,233,467 |
) |
|
|
(51,163,549 |
) |
|
Commodity Contracts
|
|
Net realized gain (loss) on futures contracts, swap and/or forward
agreements/changes in unrealized appreciation/ depreciation on
futures contracts, swap and/or forward agreements
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
(36,896,214 |
) |
|
|
(29,823,971 |
) |
| |
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
455,516 |
|
|
|
2,803,566 |
|
| |
|
ProShares UltraShort Gold
|
|
|
(29,965,169 |
) |
|
|
(231,807 |
) |
| |
|
ProShares UltraShort Silver
|
|
|
(26,655,192 |
) |
|
|
(4,267,196 |
) |
| |
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
(132,872,456 |
) |
|
|
190,316,382 |
|
| |
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
6,591,697 |
|
|
|
(7,752,693 |
) |
| |
|
ProShares Ultra Gold
|
|
|
33,703,970 |
|
|
|
(204,134 |
) |
| |
|
ProShares Ultra Silver
|
|
|
174,870,519 |
|
|
|
9,826,416 |
|
|
Foreign Exchange Contracts
|
|
Net realized gain (loss) on futures and/or foreign currency forward
contracts/changes in unrealized appreciation/ depreciation on
futures and/or foreign currency forward contracts
|
|
ProShares Short Euro
|
|
|
(199,588 |
) |
|
|
(270,444 |
) |
| |
|
ProShares UltraShort Australian Dollar
|
|
|
(2,462,334 |
) |
|
|
(495,700 |
) |
| |
|
ProShares UltraShort Euro
|
|
|
(60,591,547 |
) |
|
|
30,435,313 |
|
| |
|
ProShares UltraShort Yen
|
|
|
(86,173,771 |
) |
|
|
14,006,768 |
|
| |
|
ProShares Ultra Euro
|
|
|
1,155,961 |
|
|
|
(654,504 |
) |
| |
|
ProShares Ultra Yen
|
|
|
2,273,130 |
|
|
|
(268,290 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(1,302,568,955 |
) |
|
$ |
158,526,436 |
|
|
| Offsetting of Financial Assets and Liabilities |
The following table presents each Fund’s derivatives by
investment type and by counterparty net of amounts available for
offset under a master netting agreement and the related collateral
received or pledged by the Funds as of September 30, 2017.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Values of Derivative Instruments as of
September 30, 2017
|
|
| |
|
Assets |
|
|
Liabilities |
|
| |
|
Gross
Amounts of
Recognized
Assets
presented in
the Statements
of Financial
Condition |
|
|
Gross
Amounts
Offset in the
the Statements
of Financial
Condition |
|
|
Net Amounts of
Assets
presented in
the Statements
of Financial
Condition |
|
|
Gross
Amounts of
Recognized
Liabilities
presented in
the Statements
of Financial
Condition |
|
|
Gross
Amounts
Offset in the
Statements
of Financial
Condition |
|
|
Net Amounts of
Liabilities
presented in
the Statements
of Financial
Condition |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
13,678,377 |
|
|
$ |
— |
|
|
$ |
13,678,377 |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
2,961,605 |
|
|
|
— |
|
|
|
2,961,605 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
2,152,433 |
|
|
|
— |
|
|
|
2,152,433 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
4,465,552 |
|
|
|
— |
|
|
|
4,465,552 |
|
|
|
565,859 |
|
|
|
— |
|
|
|
565,859 |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
9,817,020 |
|
|
|
— |
|
|
|
9,817,020 |
|
|
|
570,141 |
|
|
|
— |
|
|
|
570,141 |
|
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
|
40,796,900 |
|
|
|
— |
|
|
|
40,796,900 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
8,453,427 |
|
|
|
— |
|
|
|
8,453,427 |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
28,243,802 |
|
|
|
— |
|
|
|
28,243,802 |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
82,079 |
|
|
|
— |
|
|
|
82,079 |
|
|
|
291,439 |
|
|
|
— |
|
|
|
291,439 |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
12,351 |
|
|
|
— |
|
|
|
12,351 |
|
|
|
407,660 |
|
|
|
— |
|
|
|
407,660 |
|
The following table presents each Fund’s derivatives by
investment type and by counterparty net of amounts available for
offset
under a master netting agreement and the related collateral
received or pledged by the Funds as of December 31, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Values of Derivative Instruments as of
December 31, 2016
|
|
| |
|
Assets |
|
|
Liabilities |
|
| |
|
Gross
Amounts of
Recognized
Assets
presented in
the Statements
of Financial
Condition |
|
|
Gross
Amounts
Offset in the
the Statements
of Financial
Condition |
|
|
Net Amounts of
Assets
presented in
the Statements
of Financial
Condition |
|
|
Gross
Amounts of
Recognized
Liabilities
presented in
the Statements
of Financial
Condition |
|
|
Gross
Amounts
Offset in the
Statements
of Financial
Condition |
|
|
Net Amounts of
Liabilities
presented in
the Statements
of Financial
Condition |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12,206,881 |
|
|
$ |
— |
|
|
$ |
12,206,881 |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
3,033,566 |
|
|
|
— |
|
|
|
3,033,566 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
1,384,246 |
|
|
|
— |
|
|
|
1,384,246 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
16,519,070 |
|
|
|
— |
|
|
|
16,519,070 |
|
|
|
356,139 |
|
|
|
— |
|
|
|
356,139 |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
16,870,357 |
|
|
|
— |
|
|
|
16,870,357 |
|
|
|
125,420 |
|
|
|
— |
|
|
|
125,420 |
|
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
|
55,358,571 |
|
|
|
— |
|
|
|
55,358,571 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,431,107 |
|
|
|
— |
|
|
|
4,431,107 |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
20,976,189 |
|
|
|
— |
|
|
|
20,976,189 |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
2,548 |
|
|
|
— |
|
|
|
2,548 |
|
|
|
576,558 |
|
|
|
— |
|
|
|
576,558 |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
379 |
|
|
|
— |
|
|
|
379 |
|
|
|
342,455 |
|
|
|
— |
|
|
|
342,455 |
|
|
| Gross Amounts Not Offset in Statements of Financial Condition |
Asset (Liability) amounts shown in the table below represent
amounts owed to (by) the Funds for the derivative-related
investments at September 30, 2017. These amounts may be
collateralized by cash or financial instruments, segregated for the
benefit of the Funds or the counterparties, depending on whether
the related contracts are in an appreciated or depreciated position
at period end. Amounts shown in the column labeled “Net
Amount” represent the uncollateralized portions of these
amounts at period end. These amounts may be un-collateralized due to timing
differences related to market movements or due to minimum
thresholds for collateral movement, as further described above
under the caption “Accounting for Derivative
Instruments”.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the Statements of
Financial Condition as of September 30, 2017
|
|
| |
|
Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition |
|
|
Financial
Instruments for
the Benefit of
(the Funds) /
the
Counterparties |
|
|
Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties |
|
|
Net Amount |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank, N.A.
|
|
$ |
(6,092,070 |
) |
|
$ |
6,092,070 |
|
|
$ |
— |
|
|
$ |
— |
|
|
Goldman Sachs International
|
|
|
(3,900,635 |
) |
|
|
3,900,635 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale
|
|
|
(514,835 |
) |
|
|
514,835 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(3,170,837 |
) |
|
|
3,170,837 |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank, N.A.
|
|
|
1,045,390 |
|
|
|
— |
|
|
|
— |
|
|
|
1,045,390 |
|
|
Goldman Sachs International
|
|
|
835,086 |
|
|
|
(692,611 |
) |
|
|
— |
|
|
|
142,475 |
|
|
Societe Generale
|
|
|
267,146 |
|
|
|
(267,146 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
813,983 |
|
|
|
— |
|
|
|
(660,000 |
) |
|
|
153,983 |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank, N.A.
|
|
|
775,445 |
|
|
|
— |
|
|
|
— |
|
|
|
775,445 |
|
|
Goldman Sachs International
|
|
|
671,956 |
|
|
|
— |
|
|
|
— |
|
|
|
671,956 |
|
|
Societe Generale
|
|
|
143,987 |
|
|
|
— |
|
|
|
— |
|
|
|
143,987 |
|
|
UBS AG
|
|
|
561,045 |
|
|
|
— |
|
|
|
(350,000 |
) |
|
|
211,045 |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
2,034,015 |
|
|
|
(2,034,015 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
1,865,678 |
|
|
|
— |
|
|
|
(1,865,678 |
) |
|
|
— |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
4,588,344 |
|
|
|
(4,588,344 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
4,658,535 |
|
|
|
— |
|
|
|
(4,550,000 |
) |
|
|
108,535 |
|
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank, N.A.
|
|
|
13,855,515 |
|
|
|
— |
|
|
|
— |
|
|
|
13,855,515 |
|
|
Goldman Sachs International
|
|
|
11,965,958 |
|
|
|
(11,930,988 |
) |
|
|
— |
|
|
|
34,970 |
|
|
Societe Generale
|
|
|
4,548,744 |
|
|
|
(4,548,744 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
10,426,683 |
|
|
|
— |
|
|
|
(9,900,000 |
) |
|
|
526,683 |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank, N.A.
|
|
|
(2,994,458 |
) |
|
|
2,994,458 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(2,118,074 |
) |
|
|
2,118,074 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale
|
|
|
(1,015,643 |
) |
|
|
1,015,643 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(2,325,252 |
) |
|
|
2,325,252 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank, N.A.
|
|
|
(9,405,158 |
) |
|
|
9,405,158 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(7,478,422 |
) |
|
|
7,478,422 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale
|
|
|
(3,531,263 |
) |
|
|
3,531,263 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(7,828,959 |
) |
|
|
7,828,959 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(103,093 |
) |
|
|
103,093 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(106,267 |
) |
|
|
106,267 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(216,458 |
) |
|
|
216,458 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(178,851 |
) |
|
|
27,993 |
|
|
|
— |
|
|
|
(150,858 |
) |
Asset (Liability) amounts shown in the table below represent
amounts owed to (by) the Funds for the derivative-related
investments at December 31, 2016. These amounts may be
collateralized by cash or financial instruments, segregated for the
benefit of the Funds or the counterparties, depending on whether
the related contracts are in an appreciated or depreciated position
at period end. Amounts shown in the column labeled “Net
Amount” represent the uncollateralized portions of these
amounts at period end. These amounts may be un-collateralized due to timing
differences related to market movements or due to minimum
thresholds for collateral movement, as further described above
under the caption “Accounting for Derivative
Instruments”.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset in the Statements of
Financial Condition as of December 31, 2016
|
|
| |
|
Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition |
|
|
Financial
Instruments for
the Benefit of
(the Funds) / the
Counterparties |
|
|
Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties |
|
|
Net Amount |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
$ |
(4,742,191 |
) |
|
$ |
4,742,191 |
|
|
$ |
— |
|
|
$ |
— |
|
|
Goldman Sachs International
|
|
|
(3,061,395 |
) |
|
|
3,061,395 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(1,050,699 |
) |
|
|
1,050,699 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(3,352,596 |
) |
|
|
3,352,596 |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
1,147,811 |
|
|
|
— |
|
|
|
— |
|
|
|
1,147,811 |
|
|
Goldman Sachs International
|
|
|
881,454 |
|
|
|
(874,948 |
) |
|
|
— |
|
|
|
6,506 |
|
|
Societe Generale S.A.
|
|
|
393,006 |
|
|
|
(393,006 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
611,295 |
|
|
|
— |
|
|
|
(611,295 |
) |
|
|
— |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
610,478 |
|
|
|
— |
|
|
|
— |
|
|
|
610,478 |
|
|
Goldman Sachs International
|
|
|
323,829 |
|
|
|
(323,829 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
86,543 |
|
|
|
(86,543 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
363,396 |
|
|
|
— |
|
|
|
(363,396 |
) |
|
|
— |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
8,109,067 |
|
|
|
(8,109,067 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
8,053,864 |
|
|
|
— |
|
|
|
(8,053,864 |
) |
|
|
— |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
8,256,779 |
|
|
|
(7,771,819 |
) |
|
|
— |
|
|
|
484,960 |
|
|
UBS AG
|
|
|
8,488,158 |
|
|
|
— |
|
|
|
(7,980,000 |
) |
|
|
508,158 |
|
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
18,427,009 |
|
|
|
— |
|
|
|
— |
|
|
|
18,427,009 |
|
|
Goldman Sachs International
|
|
|
14,016,906 |
|
|
|
(14,016,906 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
8,661,821 |
|
|
|
(8,661,821 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
14,252,835 |
|
|
|
— |
|
|
|
(14,252,835 |
) |
|
|
— |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(1,464,982 |
) |
|
|
1,464,982 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(1,112,916 |
) |
|
|
1,112,916 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(643,587 |
) |
|
|
643,587 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(1,209,622 |
) |
|
|
1,209,622 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(6,946,009 |
) |
|
|
6,946,009 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(5,869,092 |
) |
|
|
5,869,092 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(2,532,729 |
) |
|
|
2,532,729 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(5,628,359 |
) |
|
|
5,628,359 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(239,256 |
) |
|
|
239,256 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(334,754 |
) |
|
|
334,754 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(219,736 |
) |
|
|
219,736 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(122,340 |
) |
|
|
122,340 |
|
|
|
— |
|
|
|
— |
|
|