Investments (Tables)
|
6 Months Ended |
Jun. 30, 2018 |
|---|
| 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 June 30, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Assets Derivatives
|
|
Liability Derivatives
|
| Derivatives Not |
|
Statements of |
|
|
|
|
|
Statements of |
|
|
|
|
| Accounted for |
|
Financial |
|
|
|
|
|
Financial |
|
|
|
|
| as Hedging |
|
Condition |
|
|
|
Unrealized |
|
Condition |
|
|
|
Unrealized |
|
Instruments
|
|
Location
|
|
Fund
|
|
Appreciation |
|
Location
|
|
Fund
|
|
Depreciation |
|
|
|
|
|
|
|
VIX Futures
Contracts |
|
Receivables on open
futures contracts,
unrealized
appreciation on swap
agreements |
|
ProShares Ultra VIX
Short-Term Futures ETF |
|
$41,100,348* |
|
Payable on open
futures contracts,
unrealized
depreciation on swap
agreements |
|
ProShares Short VIX Short-Term Futures ETF |
|
$22,528,398.00* |
|
|
ProShares VIX Mid-
Term Futures ETF |
|
281,720* |
|
ProShares Ultra VIX
Short-Term Futures ETF |
|
1,038,439.00* |
| |
ProShares VIX
Short-Term Futures ETF |
|
9,426,460* |
|
ProShares VIX Mid-
Term Futures ETF |
|
659,960.00* |
|
|
|
|
|
|
|
Commodities
Contracts |
|
Receivables on open
futures contracts,
unrealized
appreciation on
swap and/or
forward
agreements |
|
ProShares Ultra
Bloomberg Crude Oil |
|
99,717,973* |
|
Payable on open
futures contracts,
unrealized
depreciation on
swap and/or
forward agreements |
|
ProShares Ultra
Bloomberg Natural Gas |
|
118,623* |
| |
ProShares UltraPro
3x Crude Oil ETF |
|
9,905,484* |
|
ProShares Ultra
Gold |
|
7,168,016* |
| |
ProShares UltraShort
Bloomberg Natural Gas |
|
6,272* |
|
ProShares Ultra Silver |
|
14,156,681* |
| |
ProShares UltraShort Gold |
|
2,291,690* |
|
ProShares UltraPro 3x Short Crude Oil
ETF |
|
5,442,454* |
| |
ProShares UltraShort Silver |
|
1,460,755* |
|
|
|
|
|
|
ProShares UltraShort Bloomberg Crude Oil |
|
40,930,149* |
|
|
|
|
|
|
|
Foreign Exchange
Contracts |
|
Unrealized
appreciation on
foreign currency
forward contracts
and receivables on
open futures
contracts |
|
ProShares Short Euro |
|
87,213* |
|
Unrealized
depreciation
on foreign currency
forward contracts
and payable on
open futures
contracts |
|
ProShares Ultra Euro |
|
172,054 |
| |
ProShares Ultra Yen |
|
311 |
|
ProShares Ultra Yen |
|
24,570 |
| |
ProShares UltraShort Australian Dollar |
|
391,770* |
|
ProShares UltraShort Yen |
|
57,960 |
| |
ProShares UltraShort Euro |
|
3,399,950 |
|
|
|
|
| |
ProShares UltraShort Yen |
|
751,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$168,821,224* |
|
|
|
Total Trust |
|
$92,297,304* |
| * |
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, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Assets Derivatives
|
|
Liability Derivatives
|
| Derivatives Not |
|
Statements of |
|
|
|
|
|
Statements of |
|
|
|
|
| Accounted for |
|
Financial |
|
|
|
|
|
Financial |
|
|
|
|
| as Hedging |
|
Condition |
|
|
|
Unrealized |
|
Condition |
|
|
|
Unrealized |
|
Instruments
|
|
Location
|
|
Fund
|
|
Appreciation |
|
Location
|
|
Fund
|
|
Depreciation |
|
|
|
|
|
|
|
VIX Futures
Contracts |
|
Receivables on open
futures contracts |
|
ProShares Short VIX Short-Term Futures ETF |
|
$21,493,549* |
|
Payable on open
futures contracts |
|
ProShares Short VIX Short-Term Futures ETF |
|
$4,452,100* |
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra VIX Short-Term Futures ETF |
|
3,974,642* |
|
|
|
ProShares Ultra VIX Short-Term Futures ETF |
|
38,440,762* |
|
|
|
|
|
|
|
|
|
|
|
ProShares VIX Short-Term Futures ETF |
|
709,708* |
|
|
|
ProShares VIX
Mid-Term Futures ETF
|
|
2,215,280* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares VIX Short-Term Futures ETF |
|
5,471,585* |
|
|
|
|
|
|
|
Commodities
Contracts |
|
Receivables on open
futures contracts,
unrealized
appreciation on
swap and/or
forward agreements |
|
ProShares Ultra Bloomberg Crude Oil |
|
74,184,340* |
|
Payable on open
futures contracts,
unrealized
depreciation on
swap and/or
forward agreements |
|
ProShares UltraPro 3x Short Crude Oil ETF |
|
2,988,155* |
| |
|
ProShares Ultra Bloomberg Natural Gas |
|
7,225,810* |
|
|
ProShares UltraShort Bloomberg Crude Oil |
|
34,569,790* |
| |
|
ProShares Ultra Gold |
|
3,651,835* |
|
|
ProShares UltraShort Bloomberg Natural Gas |
|
1,097,049* |
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra Silver |
|
21,736,934* |
|
|
|
ProShares UltraShort Gold |
|
1,493,719* |
|
|
|
|
|
|
|
|
|
|
|
ProShares UltraPro 3x Crude Oil ETF |
|
1,417,998* |
|
|
|
ProShares UltraShort Silver |
|
1,717,813* |
|
|
|
|
|
|
|
Foreign Exchange
Contracts |
|
Unrealized
appreciation on
foreign currency
forward contracts
and receivables on open futures
contracts |
|
|
|
|
|
Unrealized
depreciation on
foreign currency
forward contracts
and payable on
open futures
contracts |
|
ProShares Short Euro |
|
166,288* |
| |
|
ProShares Ultra Euro |
|
321,609 |
|
|
ProShares Ultra Euro |
|
57,457 |
| |
|
ProShares UltraShort Euro |
|
449,302 |
|
|
ProShares Ultra Yen |
|
34,824 |
| |
|
ProShares UltraShort Yen |
|
1,568,997 |
|
|
ProShares UltraShort Australian Dollar |
|
893,220* |
| |
|
|
|
|
|
|
ProShares UltraShort Euro |
|
6,793,571 |
|
|
|
|
|
|
|
|
|
ProShares UltraShort Yen |
|
41,734 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$136,734,724* |
|
|
|
Total Trust |
|
$100,433,347* |
| * |
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 June 30,
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
|
|
$ |
56,008,377 |
|
|
$ |
14,232,558 |
|
|
|
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
(155,817,104 |
) |
|
|
7,071,541 |
|
|
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
247,018 |
|
|
|
(3,080,525 |
) |
|
|
|
ProShares VIX Short-Term Futures ETF
|
|
|
(23,529,528 |
) |
|
|
177,711 |
|
|
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 Ultra Bloomberg Crude Oil
|
|
|
39,220,725 |
|
|
|
64,077,371 |
|
|
|
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
3,945,962 |
|
|
|
(2,369,992 |
) |
|
|
|
ProShares Ultra Gold
|
|
|
(5,706,990 |
) |
|
|
(5,799,159 |
) |
|
|
|
ProShares Ultra Silver
|
|
|
(5,627,237 |
) |
|
|
(4,043,563 |
) |
|
|
|
ProShares UltraPro 3x Crude Oil ETF
|
|
|
1,740,951 |
|
|
|
6,901,529 |
|
|
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
(6,793,148 |
) |
|
|
(1,707,316 |
) |
|
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
(27,663,521 |
) |
|
|
(21,642,290 |
) |
|
|
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
(759,484 |
) |
|
|
171,317 |
|
|
|
|
ProShares UltraShort Gold
|
|
|
1,572,920 |
|
|
|
1,879,470 |
|
|
|
|
ProShares UltraShort Silver
|
|
|
334,485 |
|
|
|
475,292 |
|
|
Foreign Exchange Contracts
|
|
Net realized gain (loss) on futures and/or foreign currency forward
contracts/changes in unrealized appreciation/ depreciation on
futures and/or foreign currency forward contracts
|
|
ProShares Short Euro
|
|
|
443,811 |
|
|
|
16,282 |
|
|
|
|
ProShares Ultra Euro
|
|
|
(1,110,032 |
) |
|
|
46,013 |
|
|
|
|
ProShares Ultra Yen
|
|
|
(299,704 |
) |
|
|
22,366 |
|
|
|
|
ProShares UltraShort Australian Dollar
|
|
|
415,369 |
|
|
|
93,610 |
|
|
|
|
ProShares UltraShort Euro
|
|
|
22,934,693 |
|
|
|
(342,410 |
) |
|
|
|
ProShares UltraShort Yen
|
|
|
8,333,424 |
|
|
|
(417,848 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(92,109,013 |
) |
|
$ |
55,761,957 |
|
The Effect of Derivative Instruments on the
Statements of Operations
For the three months ended June 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 Short VIX
Short-Term Futures ETF
|
|
$ |
182,934,500 |
|
|
$ |
(24,640,794 |
) |
|
|
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
(153,988,983 |
) |
|
|
30,318,423 |
|
|
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
(7,047,733 |
) |
|
|
2,246,125 |
|
|
|
|
ProShares VIX Short-Term Futures ETF
|
|
|
(33,527,643 |
) |
|
|
6,215,600 |
|
|
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 Ultra Bloomberg Crude Oil
|
|
|
(168,596,998 |
) |
|
|
28,760,997 |
|
|
|
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
(4,648,049 |
) |
|
|
(3,330,323 |
) |
|
|
|
ProShares Ultra Gold
|
|
|
8,452,341 |
|
|
|
(9,844,776 |
) |
|
|
|
ProShares Ultra Silver
|
|
|
(10,939,142 |
) |
|
|
(41,686,389 |
) |
|
|
|
ProShares UltraPro 3x Crude Oil ETF
|
|
|
(1,832,876 |
) |
|
|
(272,129 |
) |
|
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
1,878,109 |
|
|
|
416,232 |
|
|
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
60,376,204 |
|
|
|
(14,895,206 |
) |
|
|
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
49,239 |
|
|
|
881,105 |
|
|
|
|
ProShares UltraShort Gold
|
|
|
(3,423,637 |
) |
|
|
3,811,095 |
|
|
|
|
ProShares UltraShort Silver
|
|
|
631,112 |
|
|
|
3,022,382 |
|
|
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
|
|
|
(817,763 |
) |
|
|
(65,818 |
) |
|
|
|
ProShares Ultra Euro
|
|
|
2,035,177 |
|
|
|
(10,405 |
) |
|
|
|
ProShares Ultra Yen
|
|
|
424,094 |
|
|
|
(590,497 |
) |
|
|
|
ProShares UltraShort Australian Dollar
|
|
|
64,976 |
|
|
|
(208,036 |
) |
|
|
|
ProShares UltraShort Euro
|
|
|
(36,508,674 |
) |
|
|
1,694,586 |
|
|
|
|
ProShares UltraShort Yen
|
|
|
(16,189,926 |
) |
|
|
19,220,415 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(180,675,672 |
) |
|
$ |
1,042,587 |
|
The Effect of Derivative Instruments on the
Statements of Operations
For the six months ended June 30,
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
|
|
$ |
(1,827,517,354 |
) |
|
$ |
(39,569,847 |
) |
|
|
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
260,792,676 |
|
|
|
74,528,029 |
|
|
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
3,967,454 |
|
|
|
1,837,040 |
|
|
|
|
ProShares VIX Short-Term Futures ETF
|
|
|
53,747,452 |
|
|
|
14,188,337 |
|
|
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 Ultra Bloomberg Crude Oil
|
|
|
151,738,616 |
|
|
|
25,533,633 |
|
|
|
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
5,080,774 |
|
|
|
(7,344,433 |
) |
|
|
|
ProShares Ultra Gold
|
|
|
2,948,285 |
|
|
|
(10,819,851 |
) |
|
|
|
ProShares Ultra Silver
|
|
|
7,174,506 |
|
|
|
(35,893,615 |
) |
|
|
|
ProShares UltraPro 3x Crude Oil ETF
|
|
|
3,361,776 |
|
|
|
8,487,486 |
|
|
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
(11,469,115 |
) |
|
|
(2,454,299 |
) |
|
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
(75,759,671 |
) |
|
|
(6,360,359 |
) |
|
|
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
(12,513 |
) |
|
|
1,103,321 |
|
|
|
|
ProShares UltraShort Gold
|
|
|
(1,696,955 |
) |
|
|
3,785,409 |
|
|
|
|
ProShares UltraShort Silver
|
|
|
(1,262,356 |
) |
|
|
3,178,568 |
|
|
Foreign Exchange Contracts
|
|
Net realized gain (loss) on futures and/or foreign currency forward
contracts/changes in unrealized appreciation/ depreciation on
futures and/or foreign currency forward contracts
|
|
ProShares Short Euro
|
|
|
64,225 |
|
|
|
253,501 |
|
|
|
|
ProShares Ultra Euro
|
|
|
(309,519 |
) |
|
|
(436,206 |
) |
|
|
|
ProShares Ultra Yen
|
|
|
22,846 |
|
|
|
10,565 |
|
|
|
|
ProShares UltraShort
Australian Dollar
|
|
|
(704,621 |
) |
|
|
1,284,990 |
|
|
|
|
ProShares UltraShort Euro
|
|
|
4,011,451 |
|
|
|
9,744,219 |
|
|
|
|
ProShares UltraShort Yen
|
|
|
(2,918,979 |
) |
|
|
(833,945 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(1,428,741,022 |
) |
|
$ |
40,222,543 |
|
The Effect of Derivative Instruments on the
Statements of Operations
For the six months ended June 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 Short VIX
Short-Term Futures ETF
|
|
$ |
282,827,592 |
|
|
$ |
4,520,180 |
|
|
|
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
(519,504,171 |
) |
|
|
1,724,768 |
|
|
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
(15,215,051 |
) |
|
|
(1,018,010 |
) |
|
|
|
ProShares VIX Short-Term Futures ETF
|
|
|
(98,755,500 |
) |
|
|
(641,208 |
) |
|
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 Ultra Bloomberg Crude Oil
|
|
|
(169,009,085 |
) |
|
|
(119,104,310 |
) |
|
|
|
ProShares Ultra Bloomberg Natural Gas
|
|
|
(19,025,765 |
) |
|
|
(2,429,899 |
) |
|
|
|
ProShares Ultra Gold
|
|
|
17,899,831 |
|
|
|
(3,444,419 |
) |
|
|
|
ProShares Ultra Silver
|
|
|
19,262,746 |
|
|
|
(14,404,786 |
) |
|
|
|
ProShares UltraPro 3x Crude Oil ETF
|
|
|
(1,833,835 |
) |
|
|
578,453 |
|
|
|
|
ProShares UltraPro 3x Short Crude Oil ETF
|
|
|
1,772,343 |
|
|
|
(245,274 |
) |
|
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
59,226,337 |
|
|
|
25,044,628 |
|
|
|
|
ProShares UltraShort Bloomberg Natural Gas
|
|
|
1,907,620 |
|
|
|
215,351 |
|
|
|
|
ProShares UltraShort Gold
|
|
|
(8,294,797 |
) |
|
|
(399,587 |
) |
|
|
|
ProShares UltraShort Silver
|
|
|
(2,226,149 |
) |
|
|
1,139,573 |
|
|
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
|
|
|
(735,506 |
) |
|
|
(318,481 |
) |
|
|
|
ProShares Ultra Euro
|
|
|
1,406,509 |
|
|
|
883,923 |
|
|
|
|
ProShares Ultra Yen
|
|
|
342,583 |
|
|
|
(793 |
) |
|
|
|
ProShares UltraShort
Australian Dollar
|
|
|
(467,251 |
) |
|
|
(1,640,650 |
) |
|
|
|
ProShares UltraShort Euro
|
|
|
(20,829,055 |
) |
|
|
(22,366,371 |
) |
|
|
|
ProShares UltraShort Yen
|
|
|
(16,461,160 |
) |
|
|
(7,414,549 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(487,711,764 |
) |
|
$ |
(139,321,461 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 June 30, 2018.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Values of Derivative Instruments as of
June 30, 2018
|
|
| |
|
Assets |
|
|
Liabilities |
|
| |
|
Gross |
|
|
|
|
|
|
|
|
Gross |
|
|
|
|
|
|
|
| |
|
Amounts
of |
|
|
|
|
|
|
|
|
Amounts
of |
|
|
|
|
|
|
|
| |
|
Recognized |
|
|
Gross |
|
|
Net Amounts of |
|
|
Recognized |
|
|
Gross |
|
|
Net Amounts of |
|
| |
|
Assets |
|
|
Amounts |
|
|
Assets |
|
|
Liabilities |
|
|
Amounts |
|
|
Liabilities |
|
| |
|
presented
in |
|
|
Offset in the |
|
|
presented
in |
|
|
presented
in |
|
|
Offset in the |
|
|
presented
in |
|
| |
|
the Statements |
|
|
the Statements |
|
|
the
Statements |
|
|
the Statements |
|
|
Statements |
|
|
the Statements |
|
| |
|
of
Financial |
|
|
of
Financial |
|
|
of
Financial |
|
|
of
Financial |
|
|
of
Financial |
|
|
of
Financial |
|
| |
|
Condition |
|
|
Condition |
|
|
Condition |
|
|
Condition |
|
|
Condition |
|
|
Condition |
|
|
ProShares Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
$ |
82,428,870 |
|
|
$ |
— |
|
|
$ |
82,428,870 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
172,054 |
|
|
|
— |
|
|
|
172,054 |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
7,152,896 |
|
|
|
— |
|
|
|
7,152,896 |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
14,148,711 |
|
|
|
— |
|
|
|
14,148,711 |
|
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
|
1,302,919 |
|
|
|
— |
|
|
|
1,302,919 |
|
|
|
1,038,439 |
|
|
|
— |
|
|
|
1,038,439 |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
311 |
|
|
|
— |
|
|
|
311 |
|
|
|
24,570 |
|
|
|
— |
|
|
|
24,570 |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
33,768,200 |
|
|
|
— |
|
|
|
33,768,200 |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
3,399,950 |
|
|
|
— |
|
|
|
3,399,950 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
2,276,610 |
|
|
|
— |
|
|
|
2,276,610 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
1,452,785 |
|
|
|
— |
|
|
|
1,452,785 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
751,278 |
|
|
|
— |
|
|
|
751,278 |
|
|
|
57,960 |
|
|
|
— |
|
|
|
57,960 |
|
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, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Values of Derivative Instruments as of
December 31, 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 Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
$ |
62,238,361 |
|
|
$ |
— |
|
|
$ |
62,238,361 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
321,609 |
|
|
|
— |
|
|
|
321,609 |
|
|
|
57,457 |
|
|
|
— |
|
|
|
57,457 |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
3,646,355 |
|
|
|
— |
|
|
|
3,646,355 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
21,735,334 |
|
|
|
— |
|
|
|
21,735,334 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
34,824 |
|
|
|
— |
|
|
|
34,824 |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
30,607,142 |
|
|
|
— |
|
|
|
30,607,142 |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
449,302 |
|
|
|
— |
|
|
|
449,302 |
|
|
|
6,793,571 |
|
|
|
— |
|
|
|
6,793,571 |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,488,259 |
|
|
|
— |
|
|
|
1,488,259 |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,716,163 |
|
|
|
— |
|
|
|
1,716,163 |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency forward contracts
|
|
|
1,568,997 |
|
|
|
— |
|
|
|
1,568,997 |
|
|
|
41,734 |
|
|
|
— |
|
|
|
41,734 |
|
|
| 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 June 30, 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”.
Gross Amounts Not Offset in the Statements of
Financial Condition as of June 30, 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.
|
|
$ |
29,027,266 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
29,027,266 |
|
|
Goldman Sachs International
|
|
|
21,365,763 |
|
|
|
(20,159,696 |
) |
|
|
— |
|
|
|
1,206,067 |
|
|
RBC, N.A.
|
|
|
1,172,552 |
|
|
|
— |
|
|
|
— |
|
|
|
1,172,552 |
|
|
Societe Generale S.A.
|
|
|
8,999,126 |
|
|
|
(8,942,433 |
) |
|
|
— |
|
|
|
56,693 |
|
|
UBS AG
|
|
|
21,864,163 |
|
|
|
(20,658,539 |
) |
|
|
— |
|
|
|
1,205,624 |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(77,986 |
) |
|
|
— |
|
|
|
77,986 |
|
|
|
— |
|
|
UBS AG
|
|
|
(94,068 |
) |
|
|
— |
|
|
|
94,068 |
|
|
|
— |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(2,546,835 |
) |
|
|
2,546,835 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(1,977,494 |
) |
|
|
1,977,494 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(676,179 |
) |
|
|
676,179 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(1,952,388 |
) |
|
|
1,952,388 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(4,560,857 |
) |
|
|
— |
|
|
|
4,560,857 |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(4,075,705 |
) |
|
|
732,705 |
|
|
|
3,343,000 |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(1,789,967 |
) |
|
|
1,789,967 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(3,722,182 |
) |
|
|
3,722,182 |
|
|
|
— |
|
|
|
— |
|
|
ProShares Ultra VIX Short-Term Futures ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deutsche Bank
|
|
|
1,302,919 |
|
|
|
— |
|
|
|
(1,302,919 |
) |
|
|
— |
|
|
Goldman Sachs International
|
|
|
(1,038,439 |
) |
|
|
— |
|
|
|
1,038,439 |
|
|
|
— |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(11,885 |
) |
|
|
— |
|
|
|
11,885 |
|
|
|
— |
|
|
UBS AG
|
|
|
(12,374 |
) |
|
|
— |
|
|
|
12,374 |
|
|
|
— |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(11,914,957 |
) |
|
|
11,914,957 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(8,713,478 |
) |
|
|
8,713,478 |
|
|
|
— |
|
|
|
— |
|
|
RBC, N.A.
|
|
|
(944,591 |
) |
|
|
— |
|
|
|
— |
|
|
|
(944,591 |
) |
|
Societe Generale S.A.
|
|
|
(3,627,720 |
) |
|
|
3,627,720 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(8,567,454 |
) |
|
|
6,870,954 |
|
|
|
1,696,500 |
|
|
|
— |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
1,779,254 |
|
|
|
(1,779,254 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
1,620,696 |
|
|
|
(1,620,696 |
) |
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
793,507 |
|
|
|
— |
|
|
|
— |
|
|
|
793,507 |
|
|
Goldman Sachs International
|
|
|
615,252 |
|
|
|
(577,828 |
) |
|
|
— |
|
|
|
37,424 |
|
|
Societe Generale S.A.
|
|
|
246,078 |
|
|
|
(246,078 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
621,773 |
|
|
|
(581,161 |
) |
|
|
— |
|
|
|
40,612 |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
582,164 |
|
|
|
— |
|
|
|
— |
|
|
|
582,164 |
|
|
Goldman Sachs International
|
|
|
402,097 |
|
|
|
(349,222 |
) |
|
|
— |
|
|
|
52,875 |
|
|
Societe Generale S.A.
|
|
|
83,545 |
|
|
|
— |
|
|
|
— |
|
|
|
83,545 |
|
|
UBS AG
|
|
|
384,979 |
|
|
|
— |
|
|
|
— |
|
|
|
384,979 |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
348,163 |
|
|
|
— |
|
|
|
— |
|
|
|
348,163 |
|
|
UBS AG
|
|
|
345,155 |
|
|
|
— |
|
|
|
— |
|
|
|
345,155 |
|
Asset (Liability) amounts shown in the table below represent
amounts owed to (by) the Funds for the derivative-related
investments at December 31, 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 December 31, 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 Ultra Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
$ |
19,815,892 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
19,815,892 |
|
|
Goldman Sachs International
|
|
|
16,654,031 |
|
|
|
(14,861,090 |
) |
|
|
— |
|
|
|
1,792,941 |
|
|
Societe Generale S.A.
|
|
|
9,003,519 |
|
|
|
(8,525,505 |
) |
|
|
— |
|
|
|
478,014 |
|
|
UBS AG
|
|
|
16,764,919 |
|
|
|
(15,477,566 |
) |
|
|
— |
|
|
|
1,287,353 |
|
|
ProShares Ultra Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
102,424 |
|
|
|
— |
|
|
|
— |
|
|
|
102,424 |
|
|
UBS AG
|
|
|
161,728 |
|
|
|
— |
|
|
|
— |
|
|
|
161,728 |
|
|
ProShares Ultra Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
1,513,310 |
|
|
|
— |
|
|
|
— |
|
|
|
1,513,310 |
|
|
Goldman Sachs International
|
|
|
969,501 |
|
|
|
(967,678 |
) |
|
|
(1,823 |
) |
|
|
— |
|
|
Societe Generale S.A.
|
|
|
218,319 |
|
|
|
— |
|
|
|
— |
|
|
|
218,319 |
|
|
UBS AG
|
|
|
945,225 |
|
|
|
(945,225 |
) |
|
|
— |
|
|
|
— |
|
|
ProShares Ultra Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
7,201,744 |
|
|
|
— |
|
|
|
— |
|
|
|
7,201,744 |
|
|
Goldman Sachs International
|
|
|
5,873,080 |
|
|
|
(4,903,696 |
) |
|
|
— |
|
|
|
969,384 |
|
|
Societe Generale S.A.
|
|
|
2,761,817 |
|
|
|
(2,516,153 |
) |
|
|
— |
|
|
|
245,664 |
|
|
UBS AG
|
|
|
5,898,693 |
|
|
|
(4,930,596 |
) |
|
|
— |
|
|
|
968,097 |
|
|
ProShares Ultra Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(17,410 |
) |
|
|
17,410 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(17,414 |
) |
|
|
17,414 |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Bloomberg Crude Oil
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(10,173,164 |
) |
|
|
10,173,164 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(9,242,398 |
) |
|
|
9,242,398 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(1,904,113 |
) |
|
|
1,904,113 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(9,287,467 |
) |
|
|
9,287,467 |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Euro
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
(3,297,612 |
) |
|
|
259,612 |
|
|
|
3,038,000 |
|
|
|
— |
|
|
UBS AG
|
|
|
(3,046,657 |
) |
|
|
3,046,657 |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Gold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(554,559 |
) |
|
|
554,559 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(428,358 |
) |
|
|
428,358 |
|
|
|
— |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(126,928 |
) |
|
|
126,928 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(378,414 |
) |
|
|
378,414 |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Silver
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A.
|
|
|
(632,593 |
) |
|
|
632,593 |
|
|
|
— |
|
|
|
— |
|
|
Goldman Sachs International
|
|
|
(486,240 |
) |
|
|
— |
|
|
|
486,240 |
|
|
|
— |
|
|
Societe Generale S.A.
|
|
|
(115,305 |
) |
|
|
115,305 |
|
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
(482,025 |
) |
|
|
482,025 |
|
|
|
— |
|
|
|
— |
|
|
ProShares UltraShort Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs International
|
|
|
821,317 |
|
|
|
(810,030 |
) |
|
|
— |
|
|
|
11,287 |
|
|
UBS AG
|
|
|
705,946 |
|
|
|
— |
|
|
|
(705,946 |
) |
|
|
— |
|
|