0001415311 ck0001415311:ProsharesVixMidTermFuturesEtfMember us-gaap:SwapMember ck0001415311:ProsharesUltraBloombergCrudeOilMember ck0001415311:UbsAgMember ck0001415311:WTICrudeOilSubindexMember ck0001415311:BloombergMember 2021-01-01 2021-06-30USGovernmentAgenciesShorttermDebtSecuritiesMember 2020-07-01 2020-09-30
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 JuneSeptember 30, 2021.
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
75017272 Wisconsin Avenue, Suite 1000Ave, 21st Floor
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:
 
Title of each class
 
Trading
Trading
Symbol(s)
 
Name of each exchange
on which registered
ProShares Short Euro
 
EUFX
 
NYSE Arca
ProShares Short VIX Short-Term Futures ETF
 
SVXY
 
Cboe BZX Exchange
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
 
Cboe BZX Exchange
ProShares Ultra Yen
 
YCL
 
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
 
Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF
 
VIXY
 
Cboe BZX Exchange
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
July 27,
October 26, 2021, the registrant had 102,673,980
165,148,980 shares of common stock, $0 par value per share, outstanding.
 
Table of Contents
PROSHARES TRUST II
Table of Contents
   
Page
Part I. FINANCIAL INFORMATION
 
Item 1. Financial Statements.
3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
139
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
194
Item 4. Controls and Procedures.
209
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
211
Item 1A. Risk Factors.
211
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
213
Item 3. Defaults Upon Senior Securities.
215
Item 4. Mine Safety Disclosures.
215
Item 5. Other Information.
215
Item 6. Exhibits.
216
2
Table of Contents
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements.Statements
3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
138
Item 3. Quantitative and Qualitative Disclosures About Market Risk
204
Item 4. Controls and Procedures
219
Part II. OTHER INFORMATION
Item 1. Legal Proceedings
221
Item 1A. Risk Factors
221
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
223
Item 3. Defaults Upon Senior Securities
225
Item 4. Mine Safety Disclosures
225
IndexItem 5. Other Information
225
Item 6. Exhibits
Documents
Page
226 
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 UltraShort Australian Dollar
49
ProShares UltraShort Bloomberg Crude Oil
54
ProShares UltraShort Bloomberg Natural Gas
59
ProShares UltraShort Euro
64
ProShares UltraShort Gold
69
ProShares UltraShort Silver
74
ProShares UltraShort Yen
79
ProShares VIX Mid-Term Futures ETF
84
ProShares VIX Short-Term Futures ETF
89
ProShares Trust II
94
Notes to Financial Statements
98
 
3
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Cash
  $2,117,049   $4,105,781 
Segregated cash balances with brokers for futures contracts
   36,300    68,310 
Receivable on open futures contracts
   7,340    21,094 
Interest receivable
   86    175 
   
 
 
   
 
 
 
Total assets
   2,160,775    4,195,360 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   1,659    3,391 
Non-recurring
fees and expenses payable
   14    14 
   
 
 
   
 
 
 
Total liabilities
   1,673    3,405 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   2,159,102    4,191,955 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,160,775   $4,195,360 
   
 
 
   
 
 
 
Shares outstanding
   50,000    100,000 
   
 
 
   
 
 
 
Net asset value per share
  $43.18   $41.92 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $43.14   $41.35 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
4
2
Table of Contents
Part
I. FINANCIAL INFORMATION
Item 1. Financial Statements.
PROSHARES SHORT EUROIndex
SCHEDULE OF INVESTMENTSDocuments
JUNE 30, 2021Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
(unaudited)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
Futures Contracts Sold
      
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires September 2021
   15   $2,224,688   $51,551 
24
ProShares Ultra Gold
29
ProShares Ultra Silver
34
ProShares Ultra VIX Short-Term Futures ETF
39
See accompanying notesProShares Ultra Yen
44
ProShares UltraShort Australian Dollar
49
ProShares UltraShort Bloomberg Crude Oil
54
ProShares UltraShort Bloomberg Natural Gas
59
ProShares UltraShort Euro
64
ProShares UltraShort Gold
69
ProShares UltraShort Silver
74
ProShares UltraShort Yen
79
ProShares VIX Mid-Term Futures ETF
84
ProShares VIX Short-Term Futures ETF
89
ProShares Trust II
94
Notes to financial statements.Financial Statements
98
 
5
3
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $310  $54  $906  $7,649 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   5,032   5,516   14,085   11,019 
Brokerage commissions
   79   90   260   190 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   5,111   5,606   14,345   11,209 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (4,801)   (5,552)   (13,439)   (3,560) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (38,172)   (20,020)   31,221   (38,658) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (38,172)   (20,020)   31,221   (38,658) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   17,623   (20,804)   96,177   46,520 
Short-term U.S. government and agency obligations
   (88)   —     —     (30) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   17,535   (20,804)   96,177   46,490 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (20,637)   (40,824)   127,398   7,832 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(25,438)  $(46,376)  $113,959  $4,272 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,184,540  $2,332,843  $4,191,955  $2,282,195 
   
 
 
  
 
 
  
 
 
  
 
 
 
Redemption of –, –, 50,000 and – shares, respectively
   —     —     (2,146,812)   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, –, (50,000) and – shares, respectively
   —     —     (2,146,812)   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (4,801)   (5,552)   (13,439)   (3,560) 
Net realized gain (loss)
   (38,172)   (20,020)   31,221   (38,658) 
Change in net unrealized appreciation (depreciation)
   17,535   (20,804)   96,177   46,490 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (25,438)   (46,376)   113,959   4,272 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,159,102  $2,286,467  $2,159,102  $2,286,467 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $113,959  $4,272 
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
   (1,999,562)   —   
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,000,000   747,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (438)   (1,225) 
Change in unrealized appreciation (depreciation) on investments
   —     30 
Decrease (Increase) in receivable on futures contracts
   13,754   (300) 
Decrease (Increase) in interest receivable
   89   2,158 
Increase (Decrease) in payable to Sponsor
   (1,732)   (82) 
Increase (Decrease) in payable on futures contracts
   —     (5,100) 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   126,070   746,753 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Payment on shares redeemed
   (2,146,812)   —   
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (2,146,812)   —   
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (2,020,742)   746,753 
Cash, beginning of period
   4,174,091   1,540,916 
   
 
 
  
 
 
 
Cash, end of period
  $2,153,349  $2,287,669 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
8
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $204,988,345 and $69,998,727, respectively)
  $204,974,762   $69,999,639 
Cash
   83,694,986    132,392,153 
Segregated cash balances with brokers for futures contracts
   220,872,623    134,187,067 
Receivable on open futures contracts
   85,243,605    74,226,825 
Interest receivable
   3,217    4,384 
   
 
 
   
 
 
 
Total assets
   594,789,193    410,810,068 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
 ��        
Payable on open futures contracts
   5,586,151    996,159 
Brokerage commissions and futures account fees payable
   134,560    114,522 
Payable to Sponsor
   451,183    326,566 
Non-recurring
fees and expenses payable
   1,353    1,353 
   
 
 
   
 
 
 
Total liabilities
   6,173,247    1,438,600 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   588,615,946    409,371,468 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $594,789,193   $410,810,068 
   
 
 
   
 
 
 
Shares outstanding
   10,584,307    9,884,307 
   
 
 
   
 
 
 
Net asset value per share
  $55.61   $41.42 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $55.55   $41.44 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
9
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(35% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $50,000,000   $49,996,940 
0.013% due 09/16/21
   40,000,000    39,996,152 
0.017% due 10/14/21
   25,000,000    24,996,720 
0.006% due 10/21/21
   20,000,000    19,997,200 
0.029% due 11/18/21
   70,000,000    69,987,750 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $204,988,345)
    $204,974,762 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
   8,517   $152,482,406   $32,933,870 
VIX Futures - Cboe, expires August 2021
   7,201    142,210,389    4,246,396 
      
 
 
 
      $37,180,266 
      
 
 
 
^^
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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $33,687  $106,023  $67,577  $855,884 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   1,317,153   1,589,036   2,359,722   2,475,233 
Brokerage commissions
   253,949   228,176   429,859   417,708 
Future
s account
fees
   328,342   431,791   586,119   461,519 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,899,444   2,249,003   3,375,700   3,354,460 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,865,757)   (2,142,980)   (3,308,123)   (2,498,576) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   109,337,017   54,615,763   133,546,434   (189,684,841) 
Short-term U.S. government and agency obligations
   —     (758)   —     (758) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   109,337,017   54,615,005   133,546,434   (189,685,599) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (13,290,409)   (22,216,796)   28,831,483   (1,242,994) 
Short-term U.S. government and agency obligations
   (17,721)   (84,533)   (14,495)   (2,677) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (13,308,130)   (22,301,329)   28,816,988   (1,245,671) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   96,028,887   32,313,676   162,363,422   (190,931,270) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $94,163,130  $30,170,696  $159,055,299  $(193,429,846) 
   
 
 
  
 
 
  
 
 
  
 
 
 
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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $527,130,851  $809,257,658  $409,371,468  $284,437,179 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 450,000, 1,000,000, 2,850,000 and 25,850,000 shares, respectively
   21,503,474   30,843,161   119,612,942   914,411,669 
Redemption of 1,050,000, 10,850,000, 2,150,000 and 13,950,000 shares, respectively
   (54,181,509)   (360,459,662)   (99,423,763)   (495,607,149) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (600,000), (9,850,000), 700,000 and 11,900,000 shares, respectively
   (32,678,035)   (329,616,501)   20,189,179   418,804,520 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,865,757)   (2,142,980)   (3,308,123)   (2,498,576) 
Net realized gain (loss)
   109,337,017   54,615,005   133,546,434   (189,685,599) 
Change in net unrealized appreciation (depreciation)
   (13,308,130)   (22,301,329)   28,816,988   (1,245,671) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   94,163,130   30,170,696   159,055,299   (193,429,846) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $588,615,946  $509,811,853  $588,615,946  $509,811,853 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
12
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $159,055,299  $(193,429,846) 
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
   (371,956,927)   (339,626,542) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   237,000,000   271,998,224 
Net amortization and accretion on short-term U.S. government and agency obligations
   (32,691)   (420,582) 
Net realized gain (loss) on investments
   —     758 
Change in unrealized appreciation (depreciation) on investments
   14,495   2,677 
Decrease (Increase) in receivable on futures contracts
   (11,016,780)   (101,415,612) 
Decrease (Increase) in interest receivable
   1,167   112,177 
Increase (Decrease) in payable to Sponsor
   124,617   203,612 
Increase (Decrease) in brokerage commissions and
futures account
 
fees payable
   20,038   153,542 
Increase (Decrease) in payable on futures contracts
   4,589,992   17,172,752 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   17,799,210   (345,248,840) 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   119,612,942   914,411,669 
Payment on shares redeemed
   (99,423,763)   (495,607,149) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   20,189,179   418,804,520 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   37,988,389   73,555,680 
Cash, beginning of period
   266,579,220   167,544,087 
   
 
 
  
 
 
 
Cash, end of period
  $304,567,609  $241,099,767 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
13
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $932,921,470 and $219,996,153, respectively)
  $932,884,626   $219,998,394 
Cash
   287,085,393    491,732,847 
Segregated cash balances with brokers for futures contracts
   189,096,050    175,526,749 
Unrealized appreciation on swap agreements
   39,747,504    18,242,195 
Receivable on open futures contracts
   5,661,793    1,611,608 
Interest receivable
   59,956    21,388 
   
 
 
   
 
 
 
Total assets
   1,454,535,322    907,133,181 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      3,627,934 
Brokerage commissions and
futures account
fees payable
   22,929    —   
Payable to Sponsor
   975,949    728,955 
Securities purchased payable
   149,968,500    —   
Non-recurring
fees and expenses payable
   37,042    37,042 
   
 
 
   
 
 
 
Total liabilities
   151,004,420    4,393,931 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   1,303,530,902    902,739,250 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $1,454,535,322   $907,133,181 
   
 
 
   
 
 
 
Shares outstanding
   16,660,774    24,810,774 
   
 
 
   
 
 
 
Net asset value per share
  $78.24   $36.38 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $78.23   $36.27 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(72% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.061% due 07/15/21
†
  $175,000,000   $174,996,938 
0.017% due 08/19/21
†
   100,000,000    99,993,880 
0.025% due 09/16/21
†
   93,000,000    92,991,053 
0.014% due 10/14/21
†
   125,000,000    124,983,600 
0.027% due 10/21/21
   140,000,000    139,980,400 
0.033% due 11/18/21
†
   150,000,000    149,973,750 
0.046% due 12/16/21
   150,000,000    149,965,005 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $932,921,470)
    $932,884,626 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2021
   8,113   $590,383,010   $35,502,348 
WTI Crude Oil - NYMEX, expires December 2021
   8,603    603,328,390    184,574,670 
WTI Crude Oil - NYMEX, expires June 2022
   8,948    595,399,920    95,975,592 
      
 
 
 
      $316,052,610 
      
 
 
 
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31,
2020
 
Assets
          
Cash  $2,168,859   $4,105,781 
Segregated cash balances with brokers for futures contracts   36,300    68,310 
Receivable on open futures contracts   3,562    21,094 
Interest receivable   87    175 
           
Total assets   2,208,808    4,195,360 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   281    —   
Payable to Sponsor   1,695    3,391 
Non-recurring
fees and expenses payable
   14    14 
           
Total liabilities   1,990    3,405 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   2,206,818    4,191,955 
           
Total liabilities and shareholders’ equity  $2,208,808   $4,195,360 
           
Shares outstanding   50,000    100,000 
           
Net asset value per share  $44.14   $41.92 
           
Market value per share (Note 2)  $44.16   $41.35 
           
See accompanying notes to financial statements.
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PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires December 2021   15   $2,175,000   $46,781 
See accompanying notes to financial statements.
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PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $269  $127  $1,175  $7,776 
                  
Expenses
                 
Management fee   5,193   5,247   19,278   16,266 
Brokerage commissions   79   82   339   272 
Non-recurring
fees and expenses
   —     65   —     65 
                  
Total expenses   5,272   5,394   19,617   16,603 
                  
Net investment income (loss)   (5,003)   (5,267)   (18,442)   (8,827) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   57,489   (77,567)   88,710   (116,225) 
                  
Net realized gain (loss)   57,489   (77,567)   88,710   (116,225) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (4,770)   (14,989)   91,407   31,531 
Short-term U.S. government and agency obligations   0     —     —     (30) 
                  
Change in net unrealized appreciation (depreciation)   (4,770)   (14,989)   91,407   31,501 
                  
Net realized and unrealized gain (loss)   52,719   (92,556)   180,117   (84,724) 
                  
Net income (loss)
  $47,716  $(97,823)  $161,675  $(93,551) 
                  
See accompanying notes to financial statements.
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PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,159,102  $2,286,467  $4,191,955  $2,282,195 
                  
Redemption of –, –, 50,000 and – shares, respectively   —     —     (2,146,812)   —   
                  
Net addition (redemption) of –, –, (50,000) and – shares, respectively   —     —     (2,146,812)   —   
                  
Net investment income (loss)   (5,003)   (5,267)   (18,442)   (8,827) 
Net realized gain (loss)   57,489   (77,567)   88,710   (116,225) 
Change in net unrealized appreciation (depreciation)   (4,770)   (14,989)   91,407   31,501 
                  
Net income (loss)   47,716   (97,823)   161,675   (93,551) 
                  
Shareholders’ equity, end of period
  $2,206,818  $2,188,644  $2,206,818  $2,188,644 
                  
See accompanying notes to financial statements.
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PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $161,675  $(93,551) 
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   (1,999,562)   —   
Proceeds from sales or maturities of short-term U.S. government and agency obligations   2,000,000   747,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (438)   (1,225) 
Change in unrealized appreciation (depreciation) on investments   —     30 
Decrease (Increase) in receivable on futures contracts   17,532   (3,844) 
Decrease (Increase) in interest receivable   88   2,347 
Increase (Decrease) in payable to Sponsor   (1,696)   (167) 
Increase (Decrease) in payable on futures contracts   281   (5,100) 
          
Net cash provided by (used in) operating activities   177,880   645,490 
          
Cash flow from financing activities
         
Payment on shares redeemed   (2,146,812)   —   
          
Net cash provided by (used in) financing activities   (2,146,812)   —   
          
Net increase (decrease) in cash
   (1,968,932)   645,490 
Cash, beginning of period   4,174,091   1,540,916 
          
Cash, end of period  $2,205,159  $2,186,406 
          
See accompanying notes to financial statements.
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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $129,993,650 and $69,998,727, respectively)  $129,992,467   $69,999,639 
Cash   57,127,931    132,392,153 
Segregated cash balances with brokers for futures contracts   130,619,573    134,187,067 
Receivable on open futures contracts   71,173,354    74,226,825 
Interest receivable   1,773    4,384 
           
Total assets   388,915,098    410,810,068 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   0      996,159 
Brokerage commissions and futures account fees payable   85,856    114,522 
Payable to Sponsor   304,044    326,566 
Non-recurring
fees and expenses payable
   1,353    1,353 
           
Total liabilities   391,253    1,438,600 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   388,523,845    409,371,468 
           
Total liabilities and shareholders’ equity  $388,915,098   $410,810,068 
           
Shares outstanding   7,134,307    9,884,307 
           
Net asset value per share  $54.46   $41.42 
           
Market value per share (Note 2)  $54.39   $41.44 
           
See accompanying notes to financial statements.
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Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(33% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21  $20,000,000   $19,999,112 
0.029% due 11/18/21   70,000,000    69,996,731 
0.043% due 12/16/21   40,000,000    39,996,624 
       
Total short-term U.S. government and agency obligations
(cost $129,993,650)		    $129,992,467 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   4,341   $99,269,120   $(2,399,545) 
VIX Futures - Cboe, expires November 2021   4,001    94,767,286    (3,782,433) 
         
      $(6,181,978) 
         
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $8,152  $53,301  $75,729  $909,185 
                  
Expenses
                 
Management fee   1,055,823   1,116,999   3,415,545   3,592,232 
Brokerage commissions   208,885   167,648   638,744   585,356 
Futures account fees   209,717   291,350   795,836   752,869 
Non-recurring
fees and expenses
   —     22,038   —     22,038 
                  
Total expenses   1,474,425   1,598,035   4,850,125   4,952,495 
                  
Net investment income (loss)   (1,466,273)   (1,544,734)   (4,774,396)   (4,043,310) 
                  
Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on
                 
Futures contracts   34,573,906   60,593,315   168,120,340   (129,091,526) 
Short-term U.S. government and agency obligations   (1,303)   (10)   (1,303)   (768) 
                  
Net realized gain (loss)   34,572,603   60,593,305   168,119,037   (129,092,294) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (43,362,244)   (1,463,210)   (14,530,761)   (2,706,204) 
Short-term U.S. government and agency obligations   12,400   (189)   (2,095)   (2,866) 
                  
Change in net unrealized appreciation (depreciation)   (43,349,844)   (1,463,399)   (14,532,856)   (2,709,070) 
                  
Net realized and unrealized gain (loss)   (8,777,241)   59,129,906   153,586,181   (131,801,364) 
                  
Net income (loss)
  $(10,243,514)  $57,585,172  $148,811,785  $(135,844,674) 
                  
See accompanying notes to financial statements.
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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $588,615,946  $509,811,853  $409,371,468  $284,437,179 
                  
Addition of 550,000, –, 3,400,000 and 25,850,000 shares, respectively   30,777,084   —     150,390,026   914,411,669 
Redemption of 4,000,000, 6,750,000, 6,150,000 and 20,700,000 shares, respectively   (220,625,671)   (231,931,959)   (320,049,434)   (727,539,108) 
                  
Net addition (redemption) of (3,450,000), (6,750,000), (2,750,000) and 5,150,000 shares, respectively   (189,848,587)   (231,931,959)   (169,659,408)   186,872,561 
                  
Net investment income (loss)   (1,466,273)   (1,544,734)   (4,774,396)   (4,043,310) 
Net realized gain (loss)   34,572,603   60,593,305   168,119,037   (129,092,294) 
Change in net unrealized appreciation (depreciation)   (43,349,844)   (1,463,399)   (14,532,856)   (2,709,070) 
                  
Net income (loss)   (10,243,514)   57,585,172   148,811,785   (135,844,674) 
                  
Shareholders’ equity, end of period
  $388,523,845  $335,465,066  $388,523,845  $335,465,066 
                  
See accompanying notes to financial statements.
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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $148,811,785  $(135,844,674) 
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   (411,950,977)   (509,581,499) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   351,997,423   446,998,196 
Net amortization and accretion on short-term U.S. government and agency obligations   (42,672)   (466,825) 
Net realized gain (loss) on investments   1,303   768 
Change in unrealized appreciation (depreciation) on investments   2,095   2,866 
Decrease (Increase) in receivable on futures contracts   3,053,471   (38,580,764) 
Decrease (Increase) in interest receivable   2,611   120,515 
Increase (Decrease) in payable to Sponsor   (22,522)   86,957 
Increase (Decrease) in brokerage commissions and futures account fees payable   (28,666)   92,881 
Increase (Decrease) in payable on futures contracts   (996,159)   1,344,400 
          
Net cash provided by (used in) operating activities   90,827,692   (235,827,179) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   150,390,026   914,411,669 
Payment on shares redeemed   (320,049,434)   (697,482,198) 
          
Net cash provided by (used in) financing activities   (169,659,408)   216,929,471 
          
Net increase (decrease) in cash
   (78,831,716)   (18,897,708) 
Cash, beginning of period   266,579,220   167,544,087 
          
Cash, end of period  $187,747,504  $148,646,379 
          
See accompanying notes to financial statements.
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $834,947,719 and $219,996,153, respectively)  $834,942,326   $219,998,394 
Cash   59,467,995    491,732,847 
Segregated cash balances with brokers for futures contracts   140,365,174    175,526,749 
Unrealized appreciation on swap agreements   70,885,762    18,242,195 
Receivable on open futures contracts   2,775,359    1,611,608 
Interest receivable   14,763    21,388 
           
Total assets   1,108,451,379    907,133,181 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   16,894,746    3,627,934 
Brokerage commissions and futures account fees payable   21,834    —   
Payable to Sponsor   856,541    728,955 
Non-recurring
fees and expenses payable
   64,542    37,042 
           
Total liabilities   17,837,663    4,393,931 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   1,090,613,716    902,739,250 
           
Total liabilities and shareholders’ equity  $1,108,451,379   $907,133,181 
           
Shares outstanding   12,910,774    24,810,774 
           
Net asset value per share  $84.47   $36.38 
           
Market value per share (Note 2)  $84.22   $36.27 
           
See accompanying notes to financial statements.
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(77% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.018% due 10/14/21
†
  $145,000,000   $144,998,695 
0.039% due 10/21/21
†
   90,000,000    89,996,004 
0.033% due 11/18/21
†
   150,000,000    149,992,995 
0.043% due 12/16/21
†
   325,000,000    324,972,570 
0.037% due 01/20/22   75,000,000    74,990,752 
0.028% due 02/17/22   50,000,000    49,991,310 
       
Total short-term U.S. government and agency obligations
(cost $834,947,719)		    $834,942,326 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2021   5,657   $422,577,900   $158,475,710 
WTI Crude Oil - NYMEX, expires June 2022   5,843    415,729,450    89,351,620 
WTI Crude Oil - NYMEX, expires December 2022   6,063    410,465,100    20,176,983 
         
      $268,004,313 
         
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 Commodity Balanced WTI Crude Oil Index   0.35%   10/06/21   $143,554,545   $10,910,833 
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/21    203,094,978    15,436,191 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/21    248,642,399    18,898,011 
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.25  10/06/21    135,481,695    10,305,144 
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.30  10/06/21    201,694,052    15,335,583 
          
      

Total
Unrealized
Appreciation
 
 
 
  $70,885,762 
          
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $86,370  $50,356  $365,778  $1,817,563 
                  
Expenses
                 
Management fee   2,775,351   3,210,517   8,104,728   6,887,044 
Brokerage commissions   198,498   600,233   701,710   1,744,115 
Futures account fees   215,514   635,311   632,199   1,172,060 
Non-recurring
fees and expenses
   27,500   24,637   27,500   24,637 
                  
Total expenses   3,216,863   4,470,698   9,466,137   9,827,856 
                  
Net investment income (loss)   (3,130,493)   (4,420,342)   (9,100,359)   (8,010,293) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   92,637,432   294,310,497   539,758,995   174,272,485 
Swap agreements   13,693,131   (8,356,234)   221,428,455   (1,065,452,045) 
Short-term U.S. government and agency obligations   (4,742)   —     (4,742)   159,318 
                  
Net realized gain (loss)   106,325,821   285,954,263   761,182,708   (891,020,242) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (48,048,297)   (222,585,432)   123,440,274   127,961,958 
Swap agreements   31,138,258   (10,038,323)   52,643,567   (21,814,590) 
Short-term U.S. government and agency obligations   31,451   (6,531)   (7,634)   (20,469) 
                  
Change in net unrealized appreciation (depreciation)   (16,878,588)   (232,630,286)   176,076,207   106,126,899 
                  
Net realized and unrealized gain (loss)   89,447,233   53,323,977   937,258,915   (784,893,343) 
                  
Net income (loss)
  $86,316,740  $48,903,635  $928,158,556  $(792,903,636) 
                  
See accompanying notes to financial statements.
16
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $1,303,530,902  $1,508,661,459  $902,739,250  $309,844,582 
                  
Addition of 950,000, 21,500,000, 4,350,000 and 109,662,000 shares, respectively   62,865,806   659,253,641   240,118,659   3,612,784,316 
Redemption of 4,700,000, 32,650,000, 16,250,000 and 68,659,679 shares, respectively   (362,099,732)   (1,020,933,679)   (980,402,749)   (1,933,840,206) 
                  
Net addition (redemption) of (3,750,000), (11,150,000), (11,900,000) and 41,002,321 shares, respectively   (299,233,926)   (361,680,038)   (740,284,090)   1,678,944,110 
                  
Net investment income (loss)   (3,130,493)   (4,420,342)   (9,100,359)   (8,010,293) 
Net realized gain (loss)   106,325,821   285,954,263   761,182,708   (891,020,242) 
Change in net unrealized appreciation (depreciation)   (16,878,588)   (232,630,286)   176,076,207   106,126,899 
                  
Net income (loss)   86,316,740   48,903,635   928,158,556   (792,903,636) 
                  
Shareholders’ equity, end of period
  $1,090,613,716  $1,195,885,056  $1,090,613,716  $1,195,885,056 
                  
See accompanying notes to financial statements.
17
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $928,158,556  $(792,903,636) 
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   (2,012,720,434)   (609,752,656) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,397,994,503   611,325,151 
Net amortization and accretion on short-term U.S. government and agency obligations   (230,377)   (1,266,463) 
Net realized gain (loss) on investments   4,742   (159,318) 
Change in unrealized appreciation (depreciation) on investments   (52,635,933)   21,835,059 
Decrease (Increase) in receivable on futures contracts   (1,163,751)   (43,615,866) 
Decrease (Increase) in interest receivable   6,625   93,028 
Increase (Decrease) in payable to Sponsor   127,586   699,847 
Increase (Decrease) in brokerage commissions and futures account fees payable   21,834   —   
Increase (Decrease) in payable on futures contracts   —     (266,056) 
Increase (Decrease) in
non-recurring
fees and expenses payable
   27,500   —   
          
Net cash provided by (used in) operating activities   259,590,851   (814,010,910) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   240,118,659   3,605,599,295 
Payment on shares redeemed   (967,135,937)   (1,933,840,206) 
          
Net cash provided by (used in) financing activities   (727,017,278)   1,671,759,089 
          
Net increase (decrease) in cash
   (467,426,427)   857,748,179 
Cash, beginning of period   667,259,596   88,315,563 
          
Cash, end of period  $199,833,169  $946,063,742 
          
See accompanying notes to financial statements.
18
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,075 and $29,999,585, respectively)  $32,997,127   $29,999,889 
Cash   57,275,787    92,972,312 
Segregated cash balances with brokers for futures contracts   29,792,570    44,320,410 
Receivable from capital shares sold   12,521,135    —   
Receivable on open futures contracts   12,504,114    13,775,851 
Interest receivable   1,065    4,326 
           
Total assets   145,091,798    181,072,788 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   —      11,132,546 
Brokerage commissions and futures account fees payable   145    —   
Payable to Sponsor   52,856    139,455 
Non-recurring
fees and expenses payable
   416    416 
           
Total liabilities   53,417    11,272,417 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   145,038,381    169,800,371 
           
Total liabilities and shareholders’ equity  $145,091,798   $181,072,788 
           
Shares outstanding   1,737,527    8,087,527 
           
Net asset value per share  $83.47   $21.00 
           
Market value per share (Note 2)  $82.30   $21.07 
           
See accompanying notes to financial statements.
19
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(23% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 11/18/21  $8,000,000   $7,999,626 
0.044% due 12/16/21   15,000,000    14,998,734 
0.037% due 01/20/22   10,000,000    9,998,767 
       
Total short-term U.S. government and agency obligations
(cost $32,997,075)		    $32,997,127 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2021   4,944   $290,064,480   $42,185,730 
 
^^  Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
   
Rate Paid

(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35%   07/06/21   $54,331,869   $2,643,422 
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35   07/06/21    192,754,488    9,378,129 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35   07/06/21    249,583,741    12,143,056 
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.25   07/06/21    128,583,706    6,263,720 
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.30   07/06/21    191,424,891    9,319,177 
       
 
 
 
      
Total Unrealized
Appreciation
 		  $39,747,504 
       
 
 
 
 
20
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $7,355  $15,347  $32,714  $191,160 
                  
Expenses
                 
Management fee   161,130   199,772   568,903   378,784 
Brokerage commissions   40,472   106,449   195,831   214,255 
Futures account fees   18,263   31,540   112,998   44,182 
Non-recurring
fees and expenses
   —     1,129   —     1,129 
                  
Total expenses   219,865   338,890   877,732   638,350 
                  
Net investment income (loss)   (212,510)   (323,543)   (845,018)   (447,190) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   33,925,711   41,156,156   80,409,384   2,225,390 
Short-term U.S. government and agency obligations   12   —     563   977 
                  
Net realized gain (loss)   33,925,723   41,156,156   80,409,947   2,226,367 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   25,134,988   (4,754,372)   35,685,009   (4,336,578) 
Short-term U.S. government and agency obligations   720   (455)   (252)   (2,014) 
                  
Change in net unrealized appreciation (depreciation)   25,135,708   (4,754,827)   35,684,757   (4,338,592) 
                  
Net realized and unrealized gain (loss)   59,061,431   36,401,329   116,094,704   (2,112,225) 
                  
Net income (loss)
  $58,848,921  $36,077,786  $115,249,686  $(2,559,415) 
                  
See accompanying notes to financial statements.
21
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $70,213,227  $50,599,783  $169,800,371  $45,160,205 
                  
Addition of 1,150,000, 4,350,000, 5,200,000 and 5,835,000 shares, respectively   79,122,213   139,174,605   169,309,627   193,426,833 
Redemption of 1,400,000, 3,250,000, 11,550,000 and 3,485,288 shares, respectively   (63,145,980)   (126,648,412)   (309,321,303)   (136,823,861) 
                  
Net addition (redemption) of (250,000), 1,100,000, (6,350,000) and 2,349,712 shares, respectively   15,976,233   12,526,193   (140,011,676)   56,602,972 
                  
Net investment income (loss)   (212,510)   (323,543)   (845,018)   (447,190) 
Net realized gain (loss)   33,925,723   41,156,156   80,409,947   2,226,367 
Change in net unrealized appreciation (depreciation)   25,135,708   (4,754,827)   35,684,757   (4,338,592) 
                  
Net income (loss)   58,848,921   36,077,786   115,249,686   (2,559,415) 
                  
Shareholders’ equity, end of period
  $145,038,381  $99,203,762  $145,038,381  $99,203,762 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $115,249,686  $(2,559,415) 
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   (143,979,838)   (115,881,108) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   140,999,619   83,563,843 
Net amortization and accretion on short-term U.S. government and agency obligations   (16,708)   (144,767) 
Net realized gain (loss) on investments   (563)   (977) 
Change in unrealized appreciation (depreciation) on investments   252   2,014 
Decrease (Increase) in receivable on futures contracts   1,271,737   37,024 
Decrease (Increase) in interest receivable   3,261   9,758 
Increase (Decrease) in payable to Sponsor   (86,599)   29,126 
Increase (Decrease) in brokerage commissions and futures account fees payable   145   —   
Increase (Decrease) in payable on futures contracts   —     2,392,727 
          
Net cash provided by (used in) operating activities   113,440,992   (32,551,775) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   156,788,492   193,426,833 
Payment on shares redeemed   (320,453,849)   (136,823,861) 
          
Net cash provided by (used in) financing activities   (163,665,357)   56,602,972 
          
Net increase (decrease) in cash
   (50,224,365)   24,051,197 
Cash, beginning of period   137,292,722   17,619,062 
          
Cash, end of period  $87,068,357  $41,670,259 
          
See accompanying notes to financial statements.
23
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PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively)  $999,916   $—   
Cash   2,644,602    4,045,092 
Segregated cash balances with brokers for foreign currency forward contracts   —      607,000 
Unrealized appreciation on foreign currency forward contracts   2,136    89,103 
Interest receivable   100    162 
           
Total assets   3,646,754    4,741,357 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   2,813    3,625 
Unrealized depreciation on foreign currency forward contracts   164,822    367 
Non-recurring
fees and expenses payable
   15    15 
           
Total liabilities   167,650    4,007 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   3,479,104    4,737,350 
           
Total liabilities and shareholders’ equity  $3,646,754   $4,741,357 
           
Shares outstanding   250,000    300,000 
           
Net asset value per share  $13.92   $15.79 
           
Market value per share (Note 2)  $13.92   $15.81 
           
See accompanying notes to financial statements.
24
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PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(29% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.043% due 12/16/21
†
  $1,000,000   $999,916 
           
Total short-term U.S. government and agency obligations
(cost $999,912)		       $999,916 
           
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   10/08/21    3,388,921  $3,925,672  $(90,545) 
Euro with UBS AG   10/08/21    2,801,502   3,245,215   (74,277) 
                   
             Total Unrealized
Depreciation		 
 		 $(164,822) 
                   
Contracts to Sell
                  
Euro with Goldman Sachs International   10/08/21    (93,000)  $(107,730)  $941 
Euro with UBS AG   10/08/21    (84,000)   (97,304)   1,195 
                   
             Total Unrealized
Appreciation
   $2,136 
                   
†
All or partial amount pledged as collateral for foreign currency forwards.
^The positions and counterparties herein are as of September 30, 2021. 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
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PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $393  $357  $1,415  $16,350 
                  
Expenses
                 
Management fee   8,664   12,404   28,158   33,852 
Non-recurring
fees and expenses
   —     108   —     108 
                  
Total expenses   8,664   12,512   28,158   33,960 
                  
Net investment income (loss)   (8,271)   (12,155)   (26,743)   (17,610) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   (254,219)   441,714   (186,149)   369,811 
                  
Net realized gain (loss)   (254,219)   441,714   (186,149)   369,811 
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   72,810   (84,317)   (251,422)   (208,243) 
Short-term U.S. government and agency obligations   43   —     4   (208) 
                  
Change in net unrealized appreciation (depreciation)   72,853   (84,317)   (251,418)   (208,451) 
                  
Net realized and unrealized gain (loss)   (181,366)   357,397   (437,567)   161,360 
                  
Net income (loss)
  $(189,637)  $345,242  $(464,310)  $143,750 
                  
See accompanying notes to financial statements.
26
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PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $3,668,741  $4,067,686  $4,737,350  $6,204,424 
                  
Addition of –, 100,000, 100,000 and 200,000 shares, respectively   —     1,470,669   1,488,793   2,838,707 
Redemption of –, 100,000, 150,000 and 350,000 shares, respectively   —     (1,485,922)   (2,282,729)   (4,789,206) 
                  
Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively   —     (15,253)   (793,936)   (1,950,499) 
                  
Net investment income (loss)   (8,271)   (12,155)   (26,743)   (17,610) 
Net realized gain (loss)   (254,219)   441,714   (186,149)   369,811 
Change in net unrealized appreciation (depreciation)   72,853   (84,317)   (251,418)   (208,451) 
                  
Net income (loss)   (189,637)   345,242   (464,310)   143,750 
                  
Shareholders’ equity, end of period
  $3,479,104  $4,397,675  $3,479,104  $4,397,675 
                  
See accompanying notes to financial statements.
27
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PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(464,310)  $143,750 
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   (3,999,381)   (1,395,795) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   3,000,000   5,375,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (531)   (9,001) 
Change in unrealized appreciation (depreciation) on investments   251,418   208,451 
Decrease (Increase) in interest receivable   62   1,304 
Increase (Decrease) in payable to Sponsor   (812)   (830) 
          
Net cash provided by (used in) operating activities   (1,213,554)   4,322,879 
          
Cash flow from financing activities
         
Proceeds from addition of shares   1,488,793   2,838,707 
Payment on shares redeemed   (2,282,729)   (4,789,206) 
          
Net cash provided by (used in) financing activities   (793,936)   (1,950,499) 
          
Net increase (decrease) in cash
   (2,007,490)   2,372,380 
Cash, beginning of period   4,652,092   2,127,437 
          
Cash, end of period  $2,644,602  $4,499,817 
          
See accompanying notes to financial statements.
28
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PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $185,989,826 and $74,998,283, respectively)  $185,985,614   $74,999,467 
Cash   45,172,246    164,381,859 
Segregated cash balances with brokers for futures contracts   7,404,375    11,581,250 
Segregated cash balances with brokers for swap agreements   —      7,489,000 
Unrealized appreciation on swap agreements   —      5,140,980 
Receivable on open futures contracts   2,711,621    148,784 
Interest receivable   2,629    6,531 
           
Total assets   241,276,485    263,747,871 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   2,781,899    —   
Brokerage commissions and futures account fees payable   5,068    —   
Payable to Sponsor   163,803    206,394 
Unrealized depreciation on swap agreements   7,406,864    —   
Non-recurring
fees and expenses payable
   1,004    1,004 
           
Total liabilities   10,358,638    207,398 
      ��    
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   230,917,847    263,540,473 
           
Total liabilities and shareholders’ equity  $241,276,485   $263,747,871 
           
Shares outstanding   4,150,000    3,900,000 
           
Net asset value per share  $55.64   $67.57 
           
Market value per share (Note 2)  $55.59   $68.20 
           
See accompanying notes to financial statements.
29
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PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(81% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.013% due 10/14/21
†
  $50,000,000   $49,999,550 
0.006% due 10/21/21
†
   25,000,000    24,998,890 
0.028% due 11/18/21
†
   31,000,000    30,998,553 
0.037% due 01/20/22
†
   50,000,000    49,993,835 
0.028% due 02/17/22   30,000,000    29,994,786 
       
Total short-term U.S. government and agency obligations
(cost $185,989,826)		    $185,985,614 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2021   856   $150,399,200   $(3,936,408) 
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%   10/06/21   $107,235,945   $(2,550,199) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.25  10/06/21    92,669,240    (2,203,785) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25  10/06/21    111,553,685    (2,652,880) 
          
      

Total
Unrealized
Depreciation		 
 
 		  $(7,406,864) 
          
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $14,338  $59,354  $70,259  $543,895 
                  
Expenses
                 
Management fee   582,103   640,992   1,718,350   1,269,866 
Brokerage commissions   9,421   12,115   32,974   28,599 
Futures account fees   19,008   20,487   64,764   30,683 
Non-recurring
fees and expenses
   —     3,751   —     3,751 
                  
Total expenses   610,532   677,345   1,816,088   1,332,899 
                  
Net investment income (loss)   (596,194)   (617,991)   (1,745,829)   (789,004) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (3,125,004)   2,752,270   (12,636,331)   5,806,708 
Swap agreements   (18,733,085)   22,990,026   (14,963,523)   45,798,972 
Short-term U.S. government and agency obligations   —     —     245   —   
                  
Net realized gain (loss)   (21,858,089)   25,742,296   (27,599,609)   51,605,680 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   319,305   1,046,895   (6,583,282)   3,086,565 
Swap agreements   15,245,013   (19,104,511)   (12,547,844)   (14,343,779) 
Short-term U.S. government and agency obligations   9,966   3,025   (5,396)   (1,725) 
                  
Change in net unrealized appreciation (depreciation)   15,574,284   (18,054,591)   (19,136,522)   (11,258,939) 
                  
Net realized and unrealized gain (loss)   (6,283,805)   7,687,705   (46,736,131)   40,346,741 
                  
Net income (loss)
  $(6,879,999)  $7,069,714  $(48,481,960)  $39,557,737 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $243,456,703  $165,689,050  $263,540,473  $110,726,032 
                  
Addition of 250,000, 1,700,000, 1,250,000 and 3,150,000 shares, respectively   14,836,141   120,448,172   75,112,671   204,437,233 
Redemption of 350,000, 250,000, 1,000,000 and 1,400,000 shares, respectively   (20,494,998)   (17,756,330)   (59,253,337)   (79,270,396) 
                  
Net addition (redemption) of (100,000), 1,450,000, 250,000 and 1,750,000 shares, respectively   (5,658,857)   102,691,842   15,859,334   125,166,837 
                  
Net investment income (loss)   (596,194)   (617,991)   (1,745,829)   (789,004) 
Net realized gain (loss)   (21,858,089)   25,742,296   (27,599,609)   51,605,680 
Change in net unrealized appreciation (depreciation)   15,574,284   (18,054,591)   (19,136,522)   (11,258,939) 
                  
Net income (loss)   (6,879,999)   7,069,714   (48,481,960)   39,557,737 
                  
Shareholders’ equity, end of period
  $230,917,847  $275,450,606  $230,917,847  $275,450,606 
                  
See accompanying notes to financial statements.
32
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(48,481,960)  $39,557,737 
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   (502,945,919)   (491,677,717) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   391,999,771   313,257,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (45,150)   (364,129) 
Net realized gain (loss) on investments   (245)   —   
Change in unrealized appreciation (depreciation) on investments   12,553,240   14,345,504 
Decrease (Increase) in receivable on futures contracts   (2,562,837)   170,073 
Decrease (Increase) in interest receivable   3,902   44,228 
Increase (Decrease) in payable to Sponsor   (42,591)   141,074 
Increase (Decrease) in brokerage commissions and futures account fees payable   5,068   —   
Increase (Decrease) in payable on futures contracts   —     746,800 
          
Net cash provided by (used in) operating activities   (149,516,721)   (123,779,430) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   75,112,671   204,437,233 
Payment on shares redeemed   (56,471,438)   (79,270,396) 
         ��
Net cash provided by (used in) financing activities   18,641,233   125,166,837 
          
Net increase (decrease) in cash
   (130,875,488)   1,387,407 
Cash, beginning of period   183,452,109   38,526,723 
          
Cash, end of period  $52,576,621  $39,914,130 
          
See accompanying notes to financial statements.
33
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PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $494,973,149 and $244,987,251, respectively)  $494,966,819   $244,993,989 
Cash   62,548,518    301,951,458 
Segregated cash balances with brokers for futures contracts   15,865,625    66,062,502 
Segregated cash balances with brokers for swap agreements   —      78,388,000 
Unrealized appreciation on swap agreements   —      56,752,666 
Receivable on open futures contracts   421,500    —   
Interest receivable   3,756    10,698 
           
Total assets   573,806,218    748,159,313 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   274,804    2,312,939 
Brokerage commissions and futures account fees payable   9,969    —   
Payable to Sponsor   449,040    539,986 
Unrealized depreciation on swap agreements   92,760,569    —   
Non-recurring
fees and expenses payable
   2,360    2,360 
           
Total liabilities   93,496,742    2,855,285 
           
Commitments and Contingencies (Note 2)      0  
Shareholders’ equity
          
Shareholders’ equity   480,309,476    745,304,028 
           
Total liabilities and shareholders’ equity  $573,806,218   $748,159,313 
           
Shares outstanding   15,146,526    14,696,526 
           
Net asset value per share  $31.71   $50.71 
           
Market value per share (Note 2)  $31.99   $51.28 
           
See accompanying notes to financial statements.
34
Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(103% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.015% due 10/14/21
†
  $130,000,000   $129,998,830 
0.039% due 10/21/21
†
   60,000,000    59,997,336 
0.032% due 11/18/21
†
   90,000,000    89,995,797 
0.041% due 12/16/21
†
   100,000,000    99,991,560 
0.037% due 01/20/22
†
   65,000,000    64,991,986 
0.028% due 02/17/22   50,000,000    49,991,310 
       
Total short-term U.S. government and agency obligations
(cost $494,973,149)		    $494,966,819 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2021   1,213   $133,715,055   $(5,439,801) 
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%   10/06/21   $219,572,067   $(28,588,785) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.30   10/06/21    219,657,055    (23,220,141) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   10/06/21    204,665,509    (21,635,372) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   10/06/21    182,787,599    (19,316,271) 
          
      
 		Total
Unrealized
Depreciation		 
 
 		  $(92,760,569) 
          
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $44,511  $103,976  $208,169  $1,018,578 
                  
Expenses
                 
Management fee   1,394,627   1,462,400   4,640,919   2,369,293 
Brokerage commissions   27,419   54,812   114,716   99,986 
Futures account fees   47,170   80,036   258,250   100,982 
Non-recurring
fees and expenses
   —     3,943   —     3,943 
                  
Total expenses   1,469,216   1,601,191   5,013,885   2,574,204 
                  
Net investment income (loss)   (1,424,705)   (1,497,215)   (4,805,716)   (1,555,626) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (49,762,947)   97,830,248   (32,273,408)   107,671,815 
Swap agreements   (151,552,363)   192,408,549   (47,760,872)   190,255,641 
Short-term U.S. government and agency obligations   (4,720)   —     (4,529)   —   
                  
Net realized gain (loss)   (201,320,030)   290,238,797   (80,038,809)   297,927,456 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   9,589,898   (53,237,345)   (42,630,013)   (52,855,325) 
Swap agreements   (15,630,674)   (146,084,199)   (149,513,235)   (162,217,464) 
Short-term U.S. government and agency obligations   22,486   7,772   (13,068)   (754) 
                  
Change in net unrealized appreciation (depreciation)   (6,018,290)   (199,313,772)   (192,156,316)   (215,073,543) 
                  
Net realized and unrealized gain (loss)   (207,338,320)   90,925,025   (272,195,125)   82,853,913 
                  
Net income (loss)
  $(208,763,025)  $89,427,810  $(277,000,841)  $81,298,287 
                  
See accompanying notes to financial statements.
36
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $661,778,727  $249,671,968  $745,304,028  $239,254,842 
                  
Addition of 1,050,000, 8,050,000, 4,450,000 and 10,300,000 shares, respectively   38,538,861   383,530,355   205,312,655   439,990,085 
Redemption of 300,000, 1,800,000, 4,000,000 and 3,150,000 shares, respectively   (11,245,087)   (101,746,977)   (193,306,366)   (139,660,058) 
                  
Net addition (redemption) of 750,000, 6,250,000, 450,000 and 7,150,000 shares, respectively   27,293,774   281,783,378   12,006,289   300,330,027 
                  
Net investment income (loss)   (1,424,705)   (1,497,215)   (4,805,716)   (1,555,626) 
Net realized gain (loss)   (201,320,030)   290,238,797   (80,038,809)   297,927,456 
Change in net unrealized appreciation (depreciation)   (6,018,290)   (199,313,772)   (192,156,316)   (215,073,543) 
                  
Net income (loss)   (208,763,025)   89,427,810   (277,000,841)   81,298,287 
                  
Shareholders’ equity, end of period
  $480,309,476  $620,883,156  $480,309,476  $620,883,156 
                  
See accompanying notes to financial statements.
37
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(277,000,841)  $81,298,287 
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   (1,369,823,802)   (874,359,830) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,119,994,333   465,705,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (160,958)   (692,431) 
Net realized gain (loss) on investments   4,529   —   
Change in unrealized appreciation (depreciation) on investments   149,526,303   162,218,218 
Decrease (Increase) in receivable on futures contracts   (421,500)   —   
Decrease (Increase) in interest receivable   6,942   84,307 
Increase (Decrease) in payable to Sponsor   (90,946)   391,121 
Increase (Decrease) in brokerage commissions and futures account fees payable   9,969   —   
Increase (Decrease) in payable on futures contracts   (2,038,135)   9,328,727 
          
Net cash provided by (used in) operating activities   (379,994,106)   (156,026,601) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   205,312,655   439,990,085 
Payment on shares redeemed   (193,306,366)   (135,435,342) 
          
Net cash provided by (used in) financing activities   12,006,289   304,554,743 
          
Net increase (decrease) in cash
   (367,987,817)   148,528,142 
Cash, beginning of period   446,401,960   79,058,662 
          
Cash, end of period  $78,414,143  $227,586,804 
          
See accompanying notes to financial statements.
38
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $274,983,511 and $244,990,791, respectively)  $274,984,707   $244,995,969 
Cash   175,755,806    181,991,996 
Segregated cash balances with brokers for futures contracts   531,626,515    879,704,000 
Segregated cash balances with brokers for swap agreements   —      7,976,000 
Unrealized appreciation on swap agreements   7,933,765    —   
Receivable from capital shares sold   —      49,086,388 
Receivable on open futures contracts   64,382,858    16,422,512 
Interest receivable   5,331    7,054 
           
Total assets   1,054,688,982    1,380,183,919 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   26,870,187    —   
Payable on open futures contracts   5,927,604    22,424,475 
Brokerage commissions and futures account fees payable   244,898    485,039 
Payable to Sponsor   795,603    1,040,582 
Unrealized depreciation on swap agreements   —      24,807 
Non-recurring
fees and expenses payable
   4,817    4,817 
           
Total liabilities   33,843,109    23,979,720 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   1,020,845,873    1,356,204,199 
           
Total liabilities and shareholders’ equity  $1,054,688,982   $1,380,183,919 
           
Shares outstanding (Note 1)   41,778,420    12,713,091 
           
Net asset value per share (Note 1)  $24.43   $106.68 
           
Market value per share (Note 1)(Note 2)  $24.55   $106.50 
           
See accompanying notes to financial statements.
39
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(27% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.030% due 10/14/21  $100,000,000   $99,999,100 
0.042% due 11/18/21   10,000,000    9,999,533 
0.043% due 12/16/21
†
   165,000,000    164,986,074 
       
Total short-term U.S. government and agency obligations
(cost $274,983,511)		    $274,984,707 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   32,595   $745,375,941   $62,929,777 
VIX Futures - Cboe, expires November 2021   30,104    713,040,334    27,089,105 
         
      $90,018,882 
         
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   0.94%   10/06/21   $73,401,625   $7,933,765 
          
      

Total
Unrealized
Appreciation		 
 
 		  $7,933,765 
          
†All or partial amount pledged as collateral for futures contracts.
^The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $11,979  $88,621  $328,504  $1,601,884 
                  
Expenses
                 
Management fee   2,221,755   2,969,740   8,897,953   5,646,893 
Brokerage commissions   1,095,975   1,102,235   4,225,879   2,282,095 
Futures account fees   688,048   1,143,160   3,243,304   1,614,431 
Non-recurring
fees and expenses
   —     10,480   —     10,480 
                  
Total expenses   4,005,778   5,225,615   16,367,136   9,553,899 
                  
Net investment income (loss)   (3,993,799)   (5,136,994)   (16,038,632)   (7,952,015) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (185,968,398)   (541,559,555)   (1,650,738,359)   43,875,522 
Swap agreements   (12,412,592)   (17,978,295)   (106,689,716)   14,791,068 
Short-term U.S. government and agency obligations   —     —     20,657   —   
                  
Net realized gain (loss)   (198,380,990)   (559,537,850)   (1,757,407,418)   58,666,590 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   178,803,476   11,342,353   138,543,548   66,121,853 
Swap agreements   7,933,765   3,959,662   7,958,572   209,784 
Short-term U.S. government and agency obligations   4,980   1,112   (3,982)   (12,474) 
                  
Change in net unrealized appreciation (depreciation)   186,742,221   15,303,127   146,498,138   66,319,163 
                  
Net realized and unrealized gain (loss)   (11,638,769)   (544,234,723)   (1,610,909,280)   124,985,753 
                  
Net income (loss)
  $(15,632,568)  $(549,371,717)  $(1,626,947,912)  $117,033,738 
                  
See accompanying notes to financial statements.
41
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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $840,870,703  $992,156,607  $1,356,204,199  $527,636,003 
                  
Addition of 37,800,000, 4,280,000, 70,385,000 and 7,755,000 shares, respectively (Note 1)   923,628,398   1,066,976,088   3,297,406,475   2,276,625,957 
Redemption of 26,150,000, 805,000, 41,319,671 and 5,430,000 shares, respectively (Note 1)   (728,020,660)   (202,149,457)   (2,005,816,889)   (1,613,684,177) 
                  
Net addition (redemption) of 11,650,000, 3,475,000, 29,065,329 and 2,325,000 shares, respectively (Note 1)   195,607,738   864,826,631   1,291,589,586   662,941,780 
                  
Net investment income (loss)   (3,993,799)   (5,136,994)   (16,038,632)   (7,952,015) 
Net realized gain (loss)   (198,380,990)   (559,537,850)   (1,757,407,418)   58,666,590 
Change in net unrealized appreciation (depreciation)   186,742,221   15,303,127   146,498,138   66,319,163 
                  
Net income (loss)   (15,632,568)   (549,371,717)   (1,626,947,912)   117,033,738 
                  
Shareholders’ equity, end of period
  $1,020,845,873  $1,307,611,521  $1,020,845,873  $1,307,611,521 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(1,626,947,912)  $117,033,738 
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   (1,136,829,195)   (965,269,478) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,106,989,987   701,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (132,855)   (901,502) 
Net realized gain (loss) on investments   (20,657)   —   
Change in unrealized appreciation (depreciation) on investments   (7,954,590)   (197,310) 
Decrease (Increase) in securities sold receivable   —     (246,192) 
Decrease (Increase) in receivable on futures contracts   (47,960,346)   (72,257,550) 
Decrease (Increase) in interest receivable   1,723   203,751 
Increase (Decrease) in payable to Sponsor   (244,979)   633,542 
Increase (Decrease) in brokerage commissions and futures account fees payable   (240,141)   419,056 
Increase (Decrease) in payable on futures contracts   (16,496,871)   (34,019,820) 
          
Net cash provided by (used in) operating activities   (1,729,835,836)   (253,601,765) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   3,346,492,863   2,248,489,431 
Payment on shares redeemed   (1,978,946,702)   (1,613,684,177) 
          
Net cash provided by (used in) financing activities   1,367,546,161   634,805,254 
          
Net increase (decrease) in cash
   (362,289,675)   381,203,489 
Cash, beginning of period   1,069,671,996   361,561,329 
          
Cash, end of period  $707,382,321  $742,764,818 
          
See accompanying notes to financial statements.
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PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,970 and $–, respectively)  $999,953   $—   
Cash   1,601,167    2,618,696 
Segregated cash balances with brokers for foreign currency forward contracts   —      306,000 
Unrealized appreciation on foreign currency forward contracts   757    67,235 
Interest receivable   66    111 
           
Total assets   2,601,943    2,992,042 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   2,029    2,384 
Unrealized depreciation on foreign currency forward contracts   60,023    148 
Non-recurring
fees and expenses payable
   11    11 
           
Total liabilities   62,063    2,543 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   2,539,880    2,989,499 
           
Total liabilities and shareholders’ equity  $2,601,943   $2,992,042 
           
Shares outstanding   49,970    49,970 
           
Net asset value per share  $50.83   $59.83 
           
Market value per share (Note 2)  $50.82   $59.82 
           
See accompanying notes to financial statements.
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PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
39
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.023
% due
11/18/21
†
  $1,000,000   $999,953 
           
Total short-term U.S. government and agency obligations
(cost $
999,970
)
       $999,953 
           
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   10/08/21    327,930,517  $2,946,301  $(34,305) 
Yen with UBS AG   10/08/21    253,562,756   2,278,140   (25,718) 
                   
             

Total
Unrealized
Depreciation		 
 
 		 $(60,023) 
                   
Contracts to Sell
                  
Yen with Goldman Sachs International   10/08/21    (6,319,000)  $(56,773)  $(182) 
Yen with UBS AG   10/08/21    (10,090,000)   (90,654)   939 
                   
             

Total
Unrealized
Appreciation		 
 
 		 $757 
                   
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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 June 30, 2021, 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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $111,333  $365,747  $279,408  $1,767,207 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   2,794,292   2,806,288   5,329,377   3,676,527 
Brokerage commissions
   210,012   1,017,545   503,212   1,143,882 
Futures account
fees
   317,748   536,749   416,685   536,749 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   3,322,052   4,360,582   6,249,274   5,357,158 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,210,719)   (3,994,835)   (5,969,866)   (3,589,951) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   255,445,062   (31,090,802)   447,121,563   (120,038,012) 
Swap agreements
   65,060,597   (640,451,755)   207,735,324   (1,057,095,811) 
Short-term U.S. government and agency obligations
   —     121,849   —     159,318 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   320,505,659   (671,420,708)   654,856,887   (1,176,974,505) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   77,503,699   424,261,108   171,488,571   350,547,390 
Swap agreements
   80,496,098   237,286,565   21,505,309   (11,776,267) 
Short-term U.S. government and agency obligations
   (80,658)   (368,827)   (39,085)   (13,938) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   157,919,139   661,178,846   192,954,795   338,757,185 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   478,424,798   (10,241,862)   847,811,682   (838,217,320) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $475,214,079  $(14,236,697)  $841,841,816  $(841,807,271) 
   
 
 
  
 
 
  
 
 
  
 
 
 
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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $1,088,579,093  $435,593,381  $902,739,250  $309,844,582 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,050,000, 77,482,000, 3,400,000 and 88,162,000 shares, respectively
   60,208,663   1,895,200,511   177,252,853   2,953,530,675 
Redemption of 5,100,000, 35,569,679, 11,550,000 and 36,009,679 shares, respectively
   (320,470,933)   (807,895,736)   (618,303,017)   (912,906,527) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (4,050,000), 41,912,321, (8,150,000) and 52,152,321 shares, respectively
   (260,262,270)   1,087,304,775   (441,050,164)   2,040,624,148 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,210,719)   (3,994,835)   (5,969,866)   (3,589,951) 
Net realized gain (loss)
   320,505,659   (671,420,708)   654,856,887   (1,176,974,505) 
Change in net unrealized appreciation (depreciation)
   157,919,139   661,178,846   192,954,795   338,757,185 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   475,214,079   (14,236,697)   841,841,816   (841,807,271) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $1,303,530,902  $1,508,661,459  $1,303,530,902  $1,508,661,459 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $841,841,816  $(841,807,271) 
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
   (1,692,766,532)   (409,801,073) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   980,000,000   611,325,152 
Net amortization and accretion on short-term U.S. government and agency obligations
   (158,785)   (1,263,236) 
Net realized gain (loss) on investments
   —     (159,318) 
Change in unrealized appreciation (depreciation) on investments
   (21,466,224)   11,790,205 
Decrease (Increase) in securities sold receivable
   —     (3,718,972) 
Decrease (Increase) in receivable on futures contracts
   (4,050,185)   (108,300,298) 
Decrease (Increase) in interest receivable
   (38,568)   45,517 
Increase (Decrease) in payable to Sponsor
   246,994   990,466 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   22,929   —   
Increase (Decrease) in payable on futures contracts
   —     52,061,296 
Increase (Decrease) in securities purchased payable
   149,968,500   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   253,599,945   (688,837,532) 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   177,252,853   2,953,530,675 
Payment on shares redeemed
   (621,930,951)   (840,445,530) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (444,678,098)   2,113,085,145 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (191,078,153)   1,424,247,613 
Cash, beginning of period
   667,259,596   88,315,563 
   
 
 
  
 
 
 
Cash, end of period
  $476,181,443  $1,512,563,176 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
18
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $29,997,222 and $29,999,585, respectively)
  $29,996,554   $29,999,889 
Cash
   31,362,630    92,972,312 
Segregated cash balances with brokers for futures contracts
   9,111,733    44,320,410 
Receivable on open futures contracts
   —      13,775,851 
Interest receivable
   1,563    4,326 
   
 
 
   
 
 
 
Total assets
   70,472,480    181,072,788 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      11,132,546 
Payable on open futures contracts
   210,440    —   
Brokerage commissions and
futures account
fees payable
   296    —   
Payable to Sponsor
   48,101    139,455 
Non-recurring
fees and expenses payable
   416    416 
   
 
 
   
 
 
 
Total liabilities
   259,253    11,272,417 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   70,213,227    169,800,371 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $70,472,480   $181,072,788 
   
 
 
   
 
 
 
Shares outstanding
   1,987,527    8,087,527 
   
 
 
   
 
 
 
Net asset value per share
  $35.33   $21.00 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $37.17   $21.07 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
19
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(43% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $2,000,000   $1,999,878 
0.034% due 09/16/21
   20,000,000    19,998,076 
0.043% due 11/18/21
   8,000,000    7,998,600 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $29,997,222)
    $29,996,554 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2021
   3,875   $140,430,000   $17,050,742 
^^
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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $11,544  $36,474  $25,359  $175,813 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   152,958   81,904   407,773   179,012 
Brokerage commissions
   63,062   63,224   155,359   107,806 
Futures account
fees
   12,887   12,642   94,735   12,642 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   228,907   157,770   657,867   299,460 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (217,363)   (121,296)   (632,508)   (123,647) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   4,901,288   (16,111,161)   46,483,673   (38,930,766) 
Short-term U.S. government and agency obligations
   —     (77)   551   977 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   4,901,288   (16,111,238)   46,484,224   (38,929,789) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   28,350,804   4,884,617   10,550,021   417,794 
Short-term U.S. government and agency obligations
   (2,887)   (31,345)   (972)   (1,559) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   28,347,917   4,853,272   10,549,049   416,235 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   33,249,205   (11,257,966)   57,033,273   (38,513,554) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $33,031,842  $(11,379,262)  $56,400,765  $(38,637,201) 
   
 
 
  
 
 
  
 
 
  
 
 
 
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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $74,307,070  $26,671,617  $169,800,371  $45,160,205 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 650,000, 1,260,000, 4,050,000 and 1,485,000 shares, respectively
   13,706,591   38,571,988   90,187,414   54,252,228 
Redemption of 2,150,000, 110,288, 10,150,000 and 235,288 shares, respectively
   (50,832,276)   (3,264,560)   (246,175,323)   (10,175,449) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (1,500,000), 1,149,712, (6,100,000) and 1,249,712 shares, respectively
   (37,125,685)   35,307,428   (155,987,909)   44,076,779 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (217,363)   (121,296)   (632,508)   (123,647) 
Net realized gain (loss)
   4,901,288   (16,111,238)   46,484,224   (38,929,789) 
Change in net unrealized appreciation (depreciation)
   28,347,917   4,853,272   10,549,049   416,235 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   33,031,842   (11,379,262)   56,400,765   (38,637,201) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $70,213,227  $50,599,783  $70,213,227  $50,599,783 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
22
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $56,400,765  $(38,637,201) 
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
   (118,983,722)   (41,900,001) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   118,999,676   53,563,843 
Net amortization and accretion on short-term U.S. government and agency obligations
   (13,040)   (131,818) 
Net realized gain (loss) on investments
   (551)   (977) 
Change in unrealized appreciation (depreciation) on investments
   972   1,559 
Decrease (Increase) in receivable on futures contracts
   13,775,851   (1,646,280) 
Decrease (Increase) in interest receivable
   2,763   9,728 
Increase (Decrease) in payable to Sponsor
   (91,354)   (8,931) 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   296   —   
Increase (Decrease) in payable on futures contracts
   210,440   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   70,302,096   (28,750,078) 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   90,187,414   54,252,228 
Payment on shares redeemed
   (257,307,869)   (10,175,449) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (167,120,455)   44,076,779 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (96,818,359)   15,326,701 
Cash, beginning of period
   137,292,722   17,619,062 
   
 
 
  
 
 
 
Cash, end of period
  $40,474,363  $32,945,763 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
23
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,978 and $—, respectively)
  $999,939   $—   
Cash
   3,641,056    4,045,092 
Segregated cash balances with brokers for foreign currency forward contracts
   —      607,000 
Unrealized appreciation on foreign currency forward contracts
   3,403    89,103 
Interest receivable
   122    162 
   
 
 
   
 
 
 
Total assets
   4,644,520    4,741,357 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   733,826    —   
Payable to Sponsor
   3,039    3,625 
Unrealized depreciation on foreign currency forward contracts
   238,899    367 
Non-recurring
fees and expenses payable
   15    15 
   
 
 
   
 
 
 
Total liabilities
   975,779    4,007 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   3,668,741    4,737,350 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $4,644,520   $4,741,357 
   
 
 
   
 
 
 
Shares outstanding
   250,000    300,000 
   
 
 
   
 
 
 
Net asset value per share
  $14.67   $15.79 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $14.66   $15.81 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
24
Table of Contents
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
(27% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.017% due 08/19/21
†
  $1,000,000   $999,939 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,978)
       $999,939 
        
 
 
 
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
   07/09/21    3,450,921  $4,092,706  $(89,287) 
Euro with UBS AG
   07/09/21    4,235,502   5,023,200   (149,612) 
                
 
 
 
             
Total Unrealized
Depreciation		 
 		 $(238,899) 
                
 
 
 
Contracts to Sell
                  
Euro with UBS AG
   07/09/21    (1,496,000)  $(1,774,220)  $3,403 
                
 
 
 
             
Total Unrealized
Appreciation
 		 $3,403 
                
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June
^The positions and counterparties herein are as of September 30, 2021. 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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $438  $192  $1,022  $15,993 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   9,416   8,894   19,494   21,448 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   9,416   8,894   19,494   21,448 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (8,978)   (8,702)   (18,472)   (5,455) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   95,412   (18,635)   68,070   (71,903) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   95,412   (18,635)   68,070   (71,903) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (13,092)   97,408   (324,232)   (123,926) 
Short-term U.S. government and agency obligations
   (127)   —     (39)   (208) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (13,219)   97,408   (324,271)   (124,134) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   82,193   78,773   (256,201)   (196,037) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $73,215  $70,071  $(274,673)  $(201,492) 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
26
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PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $3,611,724  $3,949,142  $4,737,350  $6,204,424 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 100,000, 50,000, 100,000 and 100,000 shares, respectively
   1,488,793   698,183   1,488,793   1,368,038 
Redemption of 100,000, 50,000, 150,000 and 250,000 shares, respectively
   (1,504,991)   (649,710)   (2,282,729)   (3,303,284) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of —, —, (50,000) and (150,000) shares, respectively
   (16,198)   48,473   (793,936)   (1,935,246) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (8,978)   (8,702)   (18,472)   (5,455) 
Net realized gain (loss)
   95,412   (18,635)   68,070   (71,903) 
Change in net unrealized appreciation (depreciation)
   (13,219)   97,408   (324,271)   (124,134) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   73,215   70,071   (274,673)   (201,492) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $3,668,741  $4,067,686  $3,668,741  $4,067,686 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
27
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(274,673)  $(201,492) 
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
   (2,999,505)   (1,395,795) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,000,000   5,375,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (473)   (9,001) 
Change in unrealized appreciation (depreciation) on investments
   324,271   124,134 
Decrease (Increase) in interest receivable
   40   1,086 
Increase (Decrease) in payable to Sponsor
   (586)   (1,916) 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (950,926)   3,892,016 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   1,488,793   1,368,038 
Payment on shares redeemed
   (1,548,903)   (3,303,284) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (60,110)   (1,935,246) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (1,011,036)   1,956,770 
Cash, beginning of period
   4,652,092   2,127,437 
   
 
 
  
 
 
 
Cash, end of period
  $3,641,056  $4,084,207 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
28
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PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $215,989,861 and $74,998,283, respectively)
  $215,975,683   $74,999,467 
Cash
   19,656,069    164,381,859 
Segregated cash balances with brokers for futures contracts
   10,131,750    11,581,250 
Segregated cash balances with brokers for swap agreements
   —      7,489,000 
Unrealized appreciation on swap agreements
   —      5,140,980 
Receivable from capital shares sold
   19,871,057    —   
Receivable on open futures contracts
   669,766    148,784 
Interest receivable
   2,210    6,531 
   
 
 
   
 
 
 
Total assets
   266,306,535    263,747,871 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Brokerage commissions and
 future
s
account
fees payable
   4,167    —   
Payable to Sponsor
   192,784    206,394 
Unrealized depreciation on swap agreements
   22,651,877    —   
Non-recurring
fees and expenses payable
   1,004    1,004 
   
 
 
   
 
 
 
Total liabilities
   22,849,832    207,398 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   243,456,703    263,540,473 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $266,306,535   $263,747,871 
   
 
 
   
 
 
 
Shares outstanding
   4,250,000    3,900,000 
   
 
 
   
 
 
 
Net asset value per share
  $57.28   $67.57 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $57.22   $68.20 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
29
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PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
†
  $50,000,000   $49,996,940 
0.027% due 09/16/21
†
   60,000,000    59,994,228 
0.013% due 10/14/21
†
   50,000,000    49,993,440 
0.006% due 10/21/21
†
   25,000,000    24,996,500 
0.028% due 11/18/21
†
   31,000,000    30,994,575 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $215,989,861)
    $215,975,683 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2021
   972   $172,199,520   $(4,255,713) 
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%   07/06/21   $108,368,339   $(7,799,090) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25  07/06/21    93,647,812    (6,739,676) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  07/06/21    112,731,674    (8,113,111) 
       
 
 
 
      
Total Unrealized
Depreciation
 		  $(22,651,877) 
       
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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 June 30, 2021, 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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $20,094  $69,857  $55,921  $484,541 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   568,040   333,463   1,136,247   628,874 
Brokerage commissions
   8,665   6,119   23,553   16,484 
Futures account
fees
   13,354   10,196   45,756   10,196 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   590,059   349,778   1,205,556   655,554 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (569,965)   (279,921)   (1,149,635)   (171,013) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   7,294,570   3,122,599   (9,511,327)   3,054,438 
Swap agreements
   38,211,797   1,242,729   3,769,562   22,808,946 
Short-term U.S. government and agency obligations
   —     —     245   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   45,506,367   4,365,328   (5,741,520)   25,863,384 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (4,648,838)   5,677,906   (6,902,587)   2,039,670 
Swap agreements
   (28,812,307)   20,275,792   (27,792,857)   4,760,732 
Short-term U.S. government and agency obligations
   (17,158)   (60,686)   (15,362)   (4,750) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (33,478,303)   25,893,012   (34,710,806)   6,795,652 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   12,028,064   30,258,340   (40,452,326)   32,659,036 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $11,458,099  $29,978,419  $(41,601,961)  $32,488,023 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
31
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $214,548,056  $128,481,796  $263,540,473  $110,726,032 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 400,000, 300,000, 1,000,000 and 1,450,000 shares, respectively
   23,214,269   18,995,286   60,276,530   83,989,061 
Redemption of 100,000, 200,000, 650,000 and 1,150,000 shares, respectively
   (5,763,721)   (11,766,451)   (38,758,339)   (61,514,066) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 300,000, 100,000, 350,000 and 300,000 shares, respectively
   17,450,548   7,228,835   21,518,191   22,474,995 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (569,965)   (279,921)   (1,149,635)   (171,013) 
Net realized gain (loss)
   45,506,367   4,365,328   (5,741,520)   25,863,384 
Change in net unrealized appreciation (depreciation)
   (33,478,303)   25,893,012   (34,710,806)   6,795,652 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   11,458,099   29,978,419   (41,601,961)   32,488,023 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $243,456,703  $165,689,050  $243,456,703  $165,689,050 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
32
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PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(41,601,961)  $32,488,023 
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
   (422,955,514)   (171,756,777) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   281,999,771   137,257,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (35,590)   (310,838) 
Net realized gain (loss) on investments
   (245)   —   
Change in unrealized appreciation (depreciation) on investments
   27,808,219   (4,755,982) 
Decrease (Increase) in receivable on futures contracts
   (520,982)   (957,235) 
Decrease (Increase) in interest receivable
   4,321   43,172 
Increase (Decrease) in payable to Sponsor
   (13,610)   25,225 
Increase (Decrease) in brokerage commissions and
futures account
fees payable
   4,167   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (155,311,424)   (7,967,412) 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   40,405,473   83,989,061 
Payment on shares redeemed
   (38,758,339)   (61,514,066) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,647,134   22,474,995 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (153,664,290)   14,507,583 
Cash, beginning of period
   183,452,109   38,526,723 
   
 
 
  
 
 
 
Cash, end of period
  $29,787,819  $53,034,306 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
33
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $589,967,360 and $244,987,251, respectively)
  $589,938,544   $244,993,989 
Cash
   110,040,840    301,951,458 
Segregated cash balances with brokers for futures contracts
   38,036,250    66,062,502 
Segregated cash balances with brokers for swap agreements
   —      78,388,000 
Unrealized appreciation on swap agreements
   —      56,752,666 
Receivable on open futures contracts
   1,452,315    —   
Interest receivable
   5,762    10,698 
   
 
 
   
 
 
 
Total assets
   739,473,711    748,159,313 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   —      2,312,939 
Brokerage commissions and
 futures account
fees payable
   17,899    —   
Payable to Sponsor
   544,830    539,986 
Unrealized depreciation on swap agreements
   77,129,895    —   
Non-recurring
fees and expenses payable
   2,360    2,360 
   
 
 
   
 
 
 
Total liabilities
   77,694,984    2,855,285 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   661,778,727    745,304,028 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $739,473,711   $748,159,313 
   
 
 
   
 
 
 
Shares outstanding
   14,396,526    14,696,526 
   
 
 
   
 
 
 
Net asset value per share
  $45.97   $50.71 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $46.12   $51.28 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
34
Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.056% due 07/15/21
†
  $125,000,000   $124,997,812 
0.017% due 08/19/21
†
   50,000,000    49,996,940 
0.025% due 09/16/21
†
   90,000,000    89,991,342 
0.014% due 10/14/21
†
   125,000,000    124,983,600 
0.024% due 10/21/21
†
   110,000,000    109,984,600 
0.032% due 11/18/21
†
   90,000,000    89,984,250 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $589,967,360)
    $589,938,544 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2021
   2,217   $290,360,490   $(15,029,699) 
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%   07/06/21   $310,326,474   $(22,036,546) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.30   07/06/21    261,540,197    (18,581,016) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   07/06/21    243,690,136    (17,312,866) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   07/06/21    217,640,652    (19,199,467) 
       
 
 
 
      
Total Unrealized
Depreciation
 		  $(77,129,895) 
       
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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 June 30, 2021, 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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $65,529  $138,315  $163,658  $914,602 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   1,615,157   425,646   3,246,292   906,893 
Brokerage commissions
   40,715   26,966   87,297   45,174 
Futures account
fees
   48,893   20,946   211,080   20,946 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,704,765   473,558   3,544,669   973,013 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,639,236)   (335,243)   (3,381,011)   (58,411) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   10,593,269   19,483,543   17,489,539   9,841,567 
Swap agreements
   105,777,210   (8,097,230)   103,791,491   (2,152,908) 
Short-term U.S. government and agency obligations
   —     —     191   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   116,370,479   11,386,313   121,281,221   7,688,659 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   372,122   4,631,606   (52,219,911)   382,020 
Swap agreements
   (48,708,892)   64,789,761   (133,882,561)   (16,133,265) 
Short-term U.S. government and agency obligations
   (57,475)   (119,307)   (35,554)   (8,526) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (48,394,245)   69,302,060   (186,138,026)   (15,759,771) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   67,976,234   80,688,373   (64,856,805)   (8,071,112) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $66,336,998  $80,353,130  $(68,237,816)  $(8,129,523) 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
36
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $572,501,249  $129,785,536  $745,304,028  $239,254,842 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,000,000, 1,500,000, 3,400,000 and 2,250,000 shares, respectively
   46,374,159   42,297,617   166,773,794   56,459,730 
Redemption of 450,000, 100,000, 3,700,000 and 1,350,000 shares, respectively
   (23,433,679)   (2,764,315)   (182,061,279)   (37,913,081) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 550,000, 1,400,000, (300,000) and 900,000 shares, respectively
   22,940,480   39,533,302   (15,287,485)   18,546,649 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,639,236)   (335,243)   (3,381,011)   (58,411) 
Net realized gain (loss)
   116,370,479   11,386,313   121,281,221   7,688,659 
Change in net unrealized appreciation (depreciation)
   (48,394,245)   69,302,060   (186,138,026)   (15,759,771) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   66,336,998   80,353,130   (68,237,816)   (8,129,523) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $661,778,727  $249,671,968  $661,778,727  $249,671,968 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
37
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(68,237,816)  $(8,129,523) 
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
   (1,149,854,685)   (234,541,441) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   804,999,794   259,705,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (125,027)   (610,089) 
Net realized gain (loss) on investments
   (191)   —   
Change in unrealized appreciation (depreciation) on investments
   133,918,115   16,141,791 
Decrease (Increase) in receivable on futures contracts
   (1,452,315)   (4,663,920) 
Decrease (Increase) in interest receivable
   4,936   84,509 
Increase (Decrease) in payable to Sponsor
   4,844   (9,140) 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   17,899   —   
Increase (Decrease) in payable on futures contracts
   (2,312,939)   (398,936) 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (283,037,385)   27,578,251 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   166,773,794   49,334,251 
Payment on shares redeemed
   (182,061,279)   (37,913,081) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (15,287,485)   11,421,170 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (298,324,870)   38,999,421 
Cash, beginning of period
   446,401,960   79,058,662 
   
 
 
  
 
 
 
Cash, end of period
  $148,077,090  $118,058,083 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
38
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $209,992,849 and $244,990,791, respectively)
  $209,989,065   $244,995,969 
Cash
   72,997,291    181,991,996 
Segregated cash balances with brokers for futures contracts
   564,808,361    879,704,000 
Segregated cash balances with brokers for swap agreements
   —      7,976,000 
Receivable from capital shares sold
   5,586,276    49,086,388 
Receivable on open futures contracts
   12,723,019    16,422,512 
Interest receivable
   3,188    7,054 
   
 
 
   
 
 
 
Total assets
   866,107,200    1,380,183,919 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   7,249,251    22,424,475 
Brokerage commissions and
 futures account
fees payable
   254,987    485,039 
Payable to Sponsor
   655,125    1,040,582 
Unrealized depreciation on swap agreements
   —      24,807 
Securities purchased payable
   17,072,317    —   
Non-recurring
fees and expenses payable
   4,817    4,817 
   
 
 
   
 
 
 
Total liabilities
   25,236,497    23,979,720 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   840,870,703    1,356,204,199 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $866,107,200   $1,380,183,919 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   30,128,420    12,713,091 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $27.91   $106.68 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $27.98   $106.50 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
39
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations

(25% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.053% due 07/15/21
†
  $150,000,000   $149,997,375 
0.017% due 10/14/21
   50,000,000    49,993,440 
0.042% due 11/18/21
   10,000,000    9,998,250 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $209,992,849)
       $209,989,065 
        
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
   34,175   $611,845,278   $(70,286,758) 
VIX Futures - Cboe, expires August 2021
   28,926    571,250,896    (18,497,836) 
             
 
 
 
             $(88,784,594) 
             
 
 
 
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
   0.94%   07/28/21   $77,700,750   $0— 
                 
 
 
 
             Total Unrealized
Depreciation
 		  $0— 
                 
 
 
 
†
All or partial
amount 
pledged
 as coll
a
teral
 for swap
agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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 June 30, 2021, 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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $202,556  $101,523  $316,525  $1,513,263 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   2,293,121   1,293,878   6,676,198   2,677,153 
Brokerage commissions
   1,173,276   438,851   3,129,904   1,179,860 
Futures account
fees
   711,443   454,550   2,555,256   471,271 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   4,177,840   2,187,279   12,361,358   4,328,284 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,975,284)   (2,085,756)   (12,044,833)   (2,815,021) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (811,706,279)   (70,710,151)   (1,464,769,961)   585,435,077 
Swap agreements
   (42,822,782)   (37,170,640)   (94,277,124)   32,769,363 
Short-term U.S. government and agency obligations
   2,137   —     20,657   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (854,526,924)   (107,880,791)   (1,559,026,428)   618,204,440 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   244,143,655   (143,576,454)   (40,259,928)   54,779,500 
Swap agreements
   —     18,224,215   24,807   (3,749,878) 
Short-term U.S. government and agency obligations
   (28,407)   (148,640)   (8,962)   (13,586) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   244,115,248   (125,500,879)   (40,244,083)   51,016,036 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (610,411,676)   (233,381,670)   (1,599,270,511)   669,220,476 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(614,386,960)  $(235,467,426)  $(1,611,315,344)  $666,405,455 
   
 
 
  
 
 
  
 
 
  
 
 
 
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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $1,284,373,170  $592,820,492  $1,356,204,199  $527,636,003 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 12,955,000, 2,485,000, 32,585,000 and 3,475,000 shares, respectively (Note 1)
   434,635,046   850,559,658   2,373,778,077   1,209,649,869 
Redemption of 5,629,671, 485,000, 15,169,671 and 4,625,000 shares, respectively (Note 1)
   (263,750,553)   (215,756,117)   (1,277,796,229)   (1,411,534,720) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 7,325,329, 2,000,000, 17,415,329 and (1,150,000) shares, respectively (Note 1)
   170,884,493   634,803,541   1,095,981,848   (201,884,851) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,975,284)   (2,085,756)   (12,044,833)   (2,815,021) 
Net realized gain (loss)
   (854,526,924)   (107,880,791)   (1,559,026,428)   618,204,440 
Change in net unrealized appreciation (depreciation)
   244,115,248   (125,500,879)   (40,244,083)   51,016,036 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (614,386,960)   (235,467,426)   (1,611,315,344)   666,405,455 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $840,870,703  $992,156,607  $840,870,703  $992,156,607 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
42
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(1,611,315,344)  $666,405,455 
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
   (921,859,566)   (295,430,934) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   956,989,987   379,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (111,822)   (818,563) 
Net realized gain (loss) on investments
   (20,657)   —   
Change in unrealized appreciation (depreciation) on investments
   (15,845)   3,763,464 
Decrease (Increase) in receivable on futures contracts
   3,699,493   (18,827,433) 
Decrease (Increase) in interest receivable
   3,866   183,042 
Increase (Decrease) in payable to Sponsor
   (385,457)   189,418 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   (230,052)   248,909 
Increase (Decrease) in payable on futures contracts
   (15,175,224)   27,599,533 
Increase (Decrease) in securities purchased payable
   17,072,317   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,571,348,304)   762,312,891 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   2,417,278,189   1,147,154,570 
Payment on shares redeemed
   (1,277,796,229)   (1,411,534,720) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,139,481,960   (264,380,150) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (431,866,344)   497,932,741 
Cash, beginning of period
   1,069,671,996   361,561,329 
   
 
 
  
 
 
 
Cash, end of period
  $637,805,652  $859,494,070 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
43
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,913 and $–, respectively)
  $999,825   $—   
Cash
   1,632,759    2,618,696 
Segregated cash balances with brokers for foreign currency forward contracts
   —      306,000 
Unrealized appreciation on foreign currency forward contracts
   592    67,235 
Interest receivable
   67    111 
   
 
 
   
 
 
 
Total assets
   2,633,243    2,992,042 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   2,038    2,384 
Unrealized depreciation on foreign currency forward contracts
   70,846    148 
Non-recurring
fees and expenses payable
   11    11 
   
 
 
   
 
 
 
Total liabilities
   72,895    2,543 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   2,560,348    2,989,499 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,633,243   $2,992,042 
   
 
 
   
 
 
 
Shares outstanding
   49,970    49,970 
   
 
 
   
 
 
 
Net asset value per share
  $51.24   $59.83 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $51.26   $59.82 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
44
Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(39% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.023% due 11/18/21
†
  $1,000,000   $999,825 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,913)
    $999,825 
    
 
 
 
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
   07/09/21    336,192,517  $3,026,597  $(41,036) 
Yen with UBS AG
   07/09/21    246,112,756   2,215,648   (29,810) 
      
 
 
 
      
Total Unrealized
Depreciation		 
 		 $(70,846) 
      
 
 
 
Contracts to Sell
      
Yen with UBS AG
   07/09/21    (13,400,000)  $(120,635)  $592 
      
 
 
 
      
Total Unrealized
Appreciation
 		 $592 
      
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
45
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $307  $62  $663  $8,929 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   6,262   6,601   12,911   13,842 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   6,262   6,601   12,911   13,842 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,955)   (6,539)   (12,248)   (4,913) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   (140,007)   (106,753)   (279,474)   (115,236) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (140,007)   (106,753)   (279,474)   (115,236) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   118,748   68,867   (137,341)   49,628 
Short-term U.S. government and agency obligations
   (132)   —     (88)   (74) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   118,616   68,867   (137,429)   49,554 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (21,391)   (37,886)   (416,903)   (65,682) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(27,346)  $(44,425)  $(429,151)  $(70,595) 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
46
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PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,587,694  $2,808,780  $2,989,499  $5,580,964 
   
 
 
  
 
 
  
 
 
  
 
 
 
Redemption of –, –, – and 50,000 shares, respectively
   —     —     —     (2,746,014) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, –, – and (50,000) shares, respectively
   —     —     —     (2,746,014) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,955)   (6,539)   (12,248)   (4,913) 
Net realized gain (loss)
   (140,007)   (106,753)   (279,474)   (115,236) 
Change in net unrealized appreciation (depreciation)
   118,616   68,867   (137,429)   49,554 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (27,346)   (44,425)   (429,151)   (70,595) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,560,348  $2,764,355  $2,560,348  $2,764,355 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
47
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PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(429,151)  $(70,595) 
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
   (1,499,740)   (99,700) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   500,000   1,911,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (173)   (3,270) 
Change in unrealized appreciation (depreciation) on investments
   137,429   (49,554) 
Decrease (Increase) in interest receivable
   44   4,445 
Increase (Decrease) in payable to Sponsor
   (346)   (2,307) 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,291,937)   1,690,019 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Payment on shares redeemed
   —     (2,746,014) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   —     (2,746,014) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (1,291,937)   (1,055,995) 
Cash, beginning of period
   2,924,696   3,783,138 
   
 
 
  
 
 
 
Cash, end of period
  $1,632,759  $2,727,143 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
48
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Cash
  $2,174,027   $2,133,707 
Segregated cash balances with brokers for futures contracts
   120,780    100,320 
Receivable on open futures contracts
   11,590    —   
Interest receivable
   87    119 
   
 
 
   
 
 
 
Total assets
   2,306,484    2,234,146 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   —      9,118 
Payable to Sponsor
   1,733    2,370 
Non-recurring
fees and expenses payable
   19    19 
   
 
 
   
 
 
 
Total liabilities
   1,752    11,507 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   2,304,732    2,222,639 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,306,484   $2,234,146 
   
 
 
   
 
 
 
Shares outstanding
   50,000    50,000 
   
 
 
   
 
 
 
Net asset value per share
  $46.09   $44.45 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $45.96   $43.89 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
49
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires September 2021
   61   $4,573,780   $125,393 
See accompanying notes to financial statements.
50
Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $260  $42  $518  $20,096 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   5,192   14,888   10,331   30,018 
Brokerage commissions
   374   1,339   760   2,838 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   5,566   16,227   11,091   32,856 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,306)   (16,185)   (10,573)   (12,760) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (7,133)   (1,037,904)   (171,677)   (366,954) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (7,133)   (1,037,904)   (171,677)   (366,954) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   58,291   (562,236)   264,343   385,350 
Short-term U.S. government and agency obligations
   —     —     —     (206) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   58,291   (562,236)   264,343   385,144 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   51,158   (1,600,140)   92,666   18,190 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $45,852  $(1,616,325)  $82,093  $5,430 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,258,880  $7,230,367  $2,222,639  $5,608,612 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,306)   (16,185)   (10,573)   (12,760) 
Net realized gain (loss)
   (7,133)   (1,037,904)   (171,677)   (366,954) 
Change in net unrealized appreciation (depreciation)
   58,291   (562,236)   264,343   385,144 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   45,852   (1,616,325)   82,093   5,430 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,304,732  $5,614,042  $2,304,732  $5,614,042 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $82,093  $5,430 
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
   —     (498,498) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     4,436,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   —     (6,234) 
Change in unrealized appreciation (depreciation) on investments
   —     206 
Decrease (Increase) in receivable on futures contracts
   (11,590)   —   
Decrease (Increase) in interest receivable
   32   1,051 
Increase (Decrease) in payable to Sponsor
   (637)   (313) 
Increase (Decrease) in payable on futures contracts
   (9,118)   27,662 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   60,780   3,965,304 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   60,780   3,965,304 
Cash, beginning of period
   2,234,027   1,717,873 
   
 
 
  
 
 
 
Cash, end of period
  $2,294,807  $5,683,177 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
53
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,154 and $–, respectively)
  $32,996,370   $—   
Cash
   30,202,202    74,317,150 
Segregated cash balances with brokers for futures contracts
   16,742,716    22,608,223 
Segregated cash balances with brokers for swap agreements
   —      188,000 
Receivable on open futures contracts
   28,329    60,902 
Interest receivable
   1,479    3,299 
   
 
 
   
 
 
 
Total assets
   79,971,096    97,177,574 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   499,834    257,410 
Brokerage commissions and
 f
utures account
fees payable
   12,516    —   
Payable to Sponsor
   58,336    80,580 
Non-recurring fees and expenses payable
   351    351 
   
 
 
   
 
 
 
Total liabilities
   571,037    338,341 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   79,400,059    96,839,233 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $79,971,096   $97,177,574 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   4,383,799    2,084,971 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $18.11   $46.45 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $18.11   $46.56 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
54
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(42% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $5,000,000   $4,999,694 
0.034% due 09/16/21
   20,000,000    19,998,076 
0.043% due 11/18/21
   8,000,000    7,998,600 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $32,997,154)
    $32,996,370 
    
 
 
 
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2021
   720   $52,394,400   $(2,870,473) 
WTI Crude Oil - NYMEX, expires December 2021
   764    53,579,320    (9,868,519) 
WTI Crude Oil - NYMEX, expires June 2022
   794    52,832,760    (6,205,625) 
      
 
 
 
      $(18,944,617) 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
55
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $18,343  $6,209  $29,178  $254,918 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   181,035   348,900   402,298   551,269 
Brokerage commissions
   28,581   346,732   71,625   423,785 
F
utures account
fees
   17,468   93,303   65,180   93,303 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   227,084   788,935   539,103   1,068,357 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (208,741)   (782,726)   (509,925)   (813,439) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (26,010,421)   (6,718,825)   (75,188,186)   (214,136) 
Swap agreements
   —     (228,522)   —     44,940,811 
Short-term U.S. government and agency obligations
   —     —     —     (20) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (26,010,421)   (6,947,347)   (75,188,186)   44,726,655 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (9,944,438)   (55,392,539)   (4,307,804)   (555,459) 
Swap agreements
   —     (19,802,897)   —     1,938,253 
Short-term U.S. government and agency obligations
   (2,994)   (6,289)   (784)   (3,162) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (9,947,432)   (75,201,725)   (4,308,588)   1,379,632 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (35,957,853)   (82,149,072)   (79,496,774)   46,106,287 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(36,166,594)  $(82,931,798)  $(80,006,699)  $45,292,848 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
56
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $91,718,390  $100,094,023  $96,839,233  $125,451,681 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,937,500, 4,750,000, 3,887,500 and 5,587,500 shares, respectively (Note 1)
   43,181,460   597,199,474   107,484,439   668,428,949 
Redemption of 738,672, 3,650,000, 1,588,672 and 6,550,000 shares, respectively (Note 1)
   (19,333,197)   (496,539,801)   (44,916,914)   (721,351,580) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,198,828, 1,100,000, 2,298,828 and (962,500) shares, respectively (Note 1)
   23,848,263   100,659,673   62,567,525   (52,922,631) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (208,741)   (782,726)   (509,925)   (813,439) 
Net realized gain (loss)
   (26,010,421)   (6,947,347)   (75,188,186)   44,726,655 
Change in net unrealized appreciation (depreciation)
   (9,947,432)   (75,201,725)   (4,308,588)   1,379,632 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (36,166,594)   (82,931,798)   (80,006,699)   45,292,848 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $79,400,059  $117,821,898  $79,400,059  $117,821,898 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
57
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(80,006,699)  $45,292,848 
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
   (92,987,219)   (32,897,274) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   60,000,000   95,246,647 
Net amortization and accretion on short-term U.S. government and agency obligations
   (9,935)   (153,272) 
Net realized gain (loss) on investments
   —     20 
Change in unrealized appreciation (depreciation) on investments
   784   (1,935,091) 
Decrease (Increase) in receivable on futures contracts
   32,573   (7,541,741) 
Decrease (Increase) in interest receivable
   1,820   49,379 
Increase (Decrease) in payable to Sponsor
   (22,244)   (6,937) 
Increase (Decrease) in brokerage commissions and
f
utures account
 
fees payable
   12,516   —   
Increase (Decrease) in payable on futures contracts
   242,424   7,318,957 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (112,735,980)   105,373,536 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   107,484,439   664,462,079 
Payment on shares redeemed
   (44,916,914)   (721,351,580) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   62,567,525   (56,889,501) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (50,168,455)   48,484,035 
Cash, beginning of period
   97,113,373   61,909,177 
   
 
 
  
 
 
 
Cash, end of period
  $46,944,918  $110,393,212 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
  
 
   
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $40,996,636 and $9,999,612, respectively)
  $40,995,644   $9,999,861 
Cash
   46,191,540    12,600,775 
Segregated cash balances with brokers for futures contracts
   12,424,774    6,546,607 
Interest receivable
   1,845    548 
Total assets
   99,613,803    29,147,791 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   –    2,604,177 
Payable on open futures contracts
   2,013,196    1,543,700 
Brokerage commissions and
 f
utures account
fees payable
   9,927    – 
Payable to Sponsor
   65,240    22,029 
Non-recurring fees and expenses payable
   140    140 
Total liabilities
   2,088,503    4,170,046 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   97,525,300    24,977,745 
Total liabilities and shareholders’ equity
  $99,613,803   $29,147,791 
Shares outstanding
   4,524,832    524,832 
Net asset value per share
  $21.55   $47.59 
Market value per share (Note 2)
  $20.44   $47.38 
See accompanying notes to financial statements.
59
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
        
(42% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.017% due 08/19/21
  $4,000,000   $3,999,755 
0.034% due 09/16/21
   30,000,000    29,997,114 
0.043% due 11/18/21
   7,000,000    6,998,775 
Total short-term U.S. government and agency obligations
          
(cost $40,996,636)
       $40,995,644 
Futures Contracts Sold
            
   
Number
of
Contracts
   
Notional
Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires September 2021
   5,382   $195,043,680   $(17,418,146) 
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
60
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $7,750  $1,371  $15,633  $43,803 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   191,311   36,607   350,648   69,037 
Brokerage commissions
   96,343   46,462   182,023   78,743 
Futures account fees
   33,853   5,349   57,126   5,349 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   321,507   88,418   589,797   153,129 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (313,757)   (87,047)   (574,164)   (109,326) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (10,305,304)   5,236,641   (16,664,698)   10,862,818 
Short-term U.S. government and agency obligations
   —     (550)   —     (550) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (10,305,304)   5,236,091   (16,664,698)   10,862,268 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (33,691,003)   (2,773,687)   (17,797,456)   561,299 
Short-term U.S. government and agency obligations
   (2,758)   (952)   (1,241)   (327) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (33,693,761)   (2,774,639)   (17,798,697)   560,972 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (43,999,065)   2,461,452   (34,463,395)   11,423,240 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(44,312,822)  $2,374,405  $(35,037,559)  $11,313,914 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
61
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $69,459,275  $17,419,933  $24,977,745  $12,515,603 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 3,450,000, 650,000, 7,550,000 and 1,200,000 shares, respectively
   93,913,245   39,170,642   235,963,431   68,275,223 
Redemption of 700,000, 500,000, 3,550,000 and 1,100,000 shares, respectively
   (21,534,398)   (30,412,770)   (128,378,317)   (63,552,530) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 2,750,000, 150,000, 4,000,000 and 100,000 shares, respectively
   72,378,847   8,757,872   107,585,114   4,722,693 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (313,757)   (87,047)   (574,164)   (109,326) 
Net realized gain (loss)
   (10,305,304)   5,236,091   (16,664,698)   10,862,268 
Change in net unrealized appreciation (depreciation)
   (33,693,761)   (2,774,639)   (17,798,697)   560,972 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (44,312,822)   2,374,405   (35,037,559)   11,313,914 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $97,525,300  $28,552,210  $97,525,300  $28,552,210 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(35,037,559)  $11,313,914 
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
   (94,989,543)   (12,989,707) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   64,000,000   16,159,778 
Net amortization and accretion on short-term U.S. government and agency obligations
   (7,481)   (15,964) 
Net realized gain (loss) on investments
   —     550 
Change in unrealized appreciation (depreciation) on investments
   1,241   327 
Decrease (Increase) in interest receivable
   (1,297)   5,305 
Increase (Decrease) in payable to Sponsor
   43,211   3,188 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   9,927   —   
Increase (Decrease) in payable on futures contracts
   469,496   1,508,752 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (65,512,005)   15,986,143 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   235,963,431   64,914,691 
Payment on shares redeemed
   (130,982,494)   (63,552,530) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   104,980,937   1,362,161 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   39,468,932   17,348,304 
Cash, beginning of period
   19,147,382   7,370,891 
   
 
 
  
 
 
 
Cash, end of period
  $58,616,314  $24,719,195 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
63
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $27,997,218 and $9,999,612, respectively)
  $27,996,580   $9,999,861 
Cash
   18,114,608    42,133,228 
Segregated cash balances with brokers for foreign currency forward contracts
   —      1,999,000 
Unrealized appreciation on foreign currency forward contracts
   2,806,798    5,705 
Interest receivable
   1,178    2,148 
   
 
 
   
 
 
 
Total assets
   48,919,164    54,139,942 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   36,956    43,974 
Unrealized depreciation on foreign currency forward contracts
   61,548    1,142,409 
Non-recurring fees and expenses payable
   220    220 
   
 
 
   
 
 
 
Total liabilities
   98,724    1,186,603 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   48,820,440    52,953,339 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $48,919,164   $54,139,942 
   
 
 
   
 
 
 
Shares outstanding
   2,050,000    2,350,000 
   
 
 
   
 
 
 
Net asset value per share
  $23.81   $22.53 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $23.82   $22.52 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
64
Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(57% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
†
  $3,000,000   $2,999,816 
0.340% due 09/16/21
†
   10,000,000    9,999,039 
0.039% due 10/21/21
†
   10,000,000    9,998,600 
0.043% due 11/18/21
   5,000,000    4,999,125 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $27,997,218)
    $27,996,580 
    
 
 
 
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
   07/09/21    950,000  $1,126,676  $(22,907) 
Euro with UBS AG
   07/09/21    2,380,000   2,822,621   (38,641) 
      
 
 
 
      
Total Unrealized
Depreciation		 
 		 $(61,548) 
      
 
 
 
Contracts to Sell
      
Euro with Goldman Sachs International
   07/09/21    (37,911,263)  $(44,961,810)  $1,331,194 
Euro with UBS AG
   07/09/21    (47,835,199)   (56,731,351)   1,475,604 
      
 
 
 
      
Total Unrealized
Appreciation		 
 		 $2,806,798 
      
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. 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.
65
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
                 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $5,640  $68,027  $12,806  $467,684 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   114,680   213,631   238,718   477,073 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   114,680   213,631   238,718   477,073 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (109,040)   (145,604)   (225,912)   (9,389) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   (795,757)   (2,285,868)   (725,230)   (1,238,585) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (795,757)   (2,285,868)   (725,230)   (1,238,585) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (509,443)   (1,212,465)   3,881,954   1,925,466 
Short-term U.S. government and agency obligations
   (1,727)   (57,218)   (887)   (4,898) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (511,170)   (1,269,683)   3,881,067   1,920,568 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (1,306,927)   (3,555,551)   3,155,837   681,983 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(1,415,967)  $(3,701,155)  $2,929,925  $672,594 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
66
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $54,932,137  $93,194,599  $52,953,339  $120,581,173 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 150,000, 200,000 and 350,000 shares, respectively
   —     4,304,184   4,613,244   10,058,250 
Redemption of 200,000, 550,000, 500,000 and 1,900,000 shares, respectively
   (4,695,730)   (14,948,663)   (11,676,068)   (52,463,052) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (200,000), (400,000), (300,000) and (1,550,000) shares, respectively
   (4,695,730)   (10,644,479)   (7,062,824)   (42,404,802) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (109,040)   (145,604)   (225,912)   (9,389) 
Net realized gain (loss)
   (795,757)   (2,285,868)   (725,230)   (1,238,585) 
Change in net unrealized appreciation (depreciation)
   (511,170)   (1,269,683)   3,881,067   1,920,568 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (1,415,967)   (3,701,155)   2,929,925   672,594 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $48,820,440  $78,848,965  $48,820,440  $78,848,965 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
67
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $2,929,925  $672,594 
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
   (69,991,234)   (141,766,749) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   52,000,000   145,685,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (6,372)   (320,957) 
Change in unrealized appreciation (depreciation) on investments
   (3,881,067)   (1,920,568) 
Decrease (Increase) in interest receivable
   970   59,730 
Increase (Decrease) in payable to Sponsor
   (7,018)   (35,967) 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (18,954,796)   2,373,083 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   4,613,244   10,058,250 
Payment on shares redeemed
   (11,676,068)   (52,463,052) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (7,062,824)   (42,404,802) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (26,017,620)   (40,031,719) 
Cash, beginning of period
   44,132,228   44,280,278 
   
 
 
  
 
 
 
Cash, end of period
  $18,114,608  $4,248,559 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
68
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $11,998,536 and $–, respectively)
  $11,998,320   $—   
Cash
   16,816,057    16,935,121 
Segregated cash balances with brokers for futures contracts
   1,561,500    1,503,750 
Segregated cash balances with brokers for swap agreements
   —      2,194,500 
Unrealized appreciation on swap agreements
   2,574,819    —   
Receivable on open futures contracts
   —      1,317 
Interest receivable
   653    742 
   
 
 
   
 
 
 
Total assets
   32,951,349    20,635,430 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   94,215    12,410 
Brokerage commissions and
 
f
utures account
fees payable
   406    —   
Payable to Sponsor
   21,633    16,835 
Unrealized depreciation on swap agreements
   —      268,728 
Non-recurring fees and expenses payable
   81    81 
   
 
 
   
 
 
 
Total liabilities
   116,335    298,054 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   32,835,014    20,337,376 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $32,951,349   $20,635,430 
   
 
 
   
 
 
 
Shares outstanding
   946,977    646,977 
   
 
 
   
 
 
 
Net asset value per share
  $34.67   $31.43 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $34.69   $31.14 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
69
Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(37% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.034% due 09/16/21
†
  $4,000,000   $3,999,615 
0.039% due 10/21/21
†
   3,000,000    2,999,580 
0.043% due 11/18/21
   5,000,000    4,999,125 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $11,998,536)
    $11,998,320 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2021
   169   $29,940,040   $585,939 
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%   07/06/21   $(14,671,543)  $1,050,931 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20  07/06/21    (9,598,230)   687,817 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  07/06/21    (11,477,443)   836,071 
      
 
 
 
      
Total Unrealized
Appreciation		 
 		 $2,574,819 
      
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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 June 30, 2021, 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.
70
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $3,176  $2,259  $6,138  $63,280 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   69,968   40,621   133,695   83,860 
Brokerage commissions
   2,283   1,659   5,873   3,763 
F
utures account
fees
   1,802   1,365   6,488   1,365 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   74,053   43,645   146,056   88,988 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (70,877)   (41,386)   (139,918)   (25,708) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (2,050,237)   (1,667,192)   (715,255)   (3,695,858) 
Swap agreements
   (4,934,310)   (422,079)   (2,266,102)   (4,324,295) 
Short-term U.S. government and agency obligations
   —     —     169   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (6,984,547)   (2,089,271)   (2,981,188)   (8,020,153) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   546,794   (530,083)   782,869   111,030 
Swap agreements
   3,260,286   (2,106,843)   2,843,547   (72,160) 
Short-term U.S. government and agency obligations
   (1,027)   (2,005)   (216)   (827) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   3,806,053   (2,638,931)   3,626,200   38,043 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (3,178,494)   (4,728,202)   645,012   (7,982,110) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(3,249,371)  $(4,769,588)  $505,094  $(8,007,818) 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
71
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $41,243,515  $20,569,044  $20,337,376  $21,047,560 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 300,000, 150,000, 1,050,000 and 350,000 shares, respectively
   10,071,690   5,742,206   37,362,906   15,431,847 
Redemption of 450,000, 150,000, 750,000 and 300,000 shares, respectively
   (15,230,820)   (5,690,619)   (25,370,362)   (12,620,546) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (150,000), –, 300,000 and 50,000 shares, respectively
   (5,159,130)   51,587   11,992,544   2,811,301 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (70,877)   (41,386)   (139,918)   (25,708) 
Net realized gain (loss)
   (6,984,547)   (2,089,271)   (2,981,188)   (8,020,153) 
Change in net unrealized appreciation (depreciation)
   3,806,053   (2,638,931)   3,626,200   38,043 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (3,249,371)   (4,769,588)   505,094   (8,007,818) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $32,835,014  $15,851,043  $32,835,014  $15,851,043 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
72
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
   
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $505,094  $(8,007,818) 
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
   (30,995,460)   (14,982,323) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   18,999,936   19,371,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,843)   (33,878) 
Net realized gain (loss) on investments
   (169)   —   
Change in unrealized appreciation (depreciation) on investments
   (2,843,331)   72,987 
Decrease (Increase) in receivable on futures contracts
   1,317   (13,574) 
Decrease (Increase) in interest receivable
   89   11,031 
Increase (Decrease) in payable to Sponsor
   4,798   (4,065) 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   406   —   
Increase (Decrease) in payable on futures contracts
   81,805   21,109 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (14,248,358)   (3,565,531) 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   37,362,906   15,431,847 
Payment on shares redeemed
   (25,370,362)   (12,620,546) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   11,992,544   2,811,301 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (2,255,814)   (754,230) 
Cash, beginning of period
   20,633,371   9,895,915 
   
 
 
  
 
 
 
Cash, end of period
  $18,377,557  $9,141,685 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,891 and $–, respectively)
  $16,997,804   $—   
Cash
   12,329,310    18,919,314 
Segregated cash balances with brokers for futures contracts
   2,707,500    1,503,250 
Segregated cash balances with brokers for swap agreements
   —      11,732,485 
Unrealized appreciation on swap agreements
   2,852,750    —   
Receivable on open futures contracts
   632    39,445 
Interest receivable
   510    814 
   
 
 
   
 
 
 
Total assets
   34,888,506    32,195,308 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   5,860    86,282 
Brokerage commissions and
 
f
utures account
fees payable
   620    —   
Payable to Sponsor
   22,130    25,557 
Unrealized depreciation on swap agreements
   —      3,197,561 
Non-recurring fees and expenses payable
   133    133 
   
 
 
   
 
 
 
Total liabilities
   28,743    3,309,533 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   34,859,763    28,885,775 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $34,888,506   $32,195,308 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   1,491,329    1,041,744 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $23.37   $27.73 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $23.28   $27.40 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(49% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
†
  $2,000,000   $1,999,878 
0.034% due 09/16/21
†
   3,000,000    2,999,711 
0.013% due 10/21/21
†
   9,000,000    8,998,740 
0.043% due 11/18/21   3,000,000    2,999,475 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $16,998,891)
    $16,997,804 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2021
   179   $23,443,630   $271,891 
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%   07/06/21   $(8,849,343)  $625,413 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25  07/06/21    (11,715,662)   827,985 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30  07/06/21    (9,263,439)   654,366 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25  07/06/21    (16,415,733)   744,986 
      
 
 
 
      
Total Unrealized
Appreciation		 
 		 $2,852,750 
      
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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 June 30, 2021, 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.
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $2,678  $651  $5,795  $45,187 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   72,831   25,749   157,576   62,885 
Brokerage commissions
   3,824   3,940   11,268   7,921 
F
utures account
fees
   4,207   1,675   14,198   1,675 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   80,862   31,364   183,042   72,481 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (78,184)   (30,713)   (177,247)   (27,294) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (216,957)   (912,847)   (1,453,150)   1,007,162 
Swap agreements
   (5,659,499)   (2,964,892)   (7,355,657)   (4,042,661) 
Short-term U.S. government and agency obligations
   —     —     85   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (5,876,456)   (3,877,739)   (8,808,722)   (3,035,499) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (3,005,003)   (1,735,991)   491,967   (132,984) 
Swap agreements
   2,081,517   (1,017,191)   6,050,311   1,570,073 
Short-term U.S. government and agency obligations
   (1,834)   (889)   (1,087)   (704) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (925,320)   (2,754,071)   6,541,191   1,436,385 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (6,801,776)   (6,631,810)   (2,267,531)   (1,599,114) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(6,879,960)  $(6,662,523)  $(2,444,778)  $(1,626,408) 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $45,144,664  $18,887,831  $28,885,775  $13,834,163 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 300,000, 150,000, 2,750,000 and 200,000 shares, respectively (Note 1)
   7,086,666   14,344,359   65,182,313   20,307,202 
Redemption of 425,415, 150,000, 2,300,415 and 200,000 shares, respectively (Note 1)
   (10,491,607)   (16,424,042)   (56,763,547)   (22,369,332) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (125,415), –, 449,585 and – shares, respectively (Note 1)
   (3,404,941)   (2,079,683)   8,418,766   (2,062,130) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (78,184)   (30,713)   (177,247)   (27,294) 
Net realized gain (loss)
   (5,876,456)   (3,877,739)   (8,808,722)   (3,035,499) 
Change in net unrealized appreciation (depreciation)
   (925,320)   (2,754,071)   6,541,191   1,436,385 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (6,879,960)   (6,662,523)   (2,444,778)   (1,626,408) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $34,859,763  $10,145,625  $34,859,763  $10,145,625 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(2,444,778)  $(1,626,408) 
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
   (39,995,436)   (4,386,261) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   22,999,988   13,574,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,358)   (25,576) 
Net realized gain (loss) on investments
   (85)   —   
Change in unrealized appreciation (depreciation) on investments
   (6,049,224)   (1,569,369) 
Decrease (Increase) in receivable on futures contracts
   38,813   (99,620) 
Decrease (Increase) in interest receivable
   304   3,305 
Increase (Decrease) in payable to Sponsor
   (3,427)   (1,854) 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   620   —   
Increase (Decrease) in payable on futures contracts
   (80,422)   119,004 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (25,537,005)   5,987,221 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   65,182,313   20,307,202 
Payment on shares redeemed
   (56,763,547)   (22,369,332) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   8,418,766   (2,062,130) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (17,118,239)   3,925,091 
Cash, beginning of period
   32,155,049   6,646,212 
   
 
 
  
 
 
 
Cash, end of period
  $15,036,810  $10,571,303 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $11,998,935 and $–, respectively)
  $11,998,399   $—   
Cash
   14,562,158    21,470,564 
Segregated cash balances with brokers for foreign currency forward contracts
   —      2,804,000 
Unrealized appreciation on foreign currency forward contracts
   835,758    7,008 
Interest receivable
   730    914 
   
 
 
   
 
 
 
Total assets
   27,397,045    24,282,486 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   21,280    19,348 
Unrealized depreciation on foreign currency forward contracts
   143,923    571,974 
Non-recurring fees and expenses payable
   94    94 
   
 
 
   
 
 
 
Total liabilities
   165,297    591,416 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   27,231,748    23,691,070 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $27,397,045   $24,282,486 
   
 
 
   
 
 
 
Shares outstanding
   349,290    349,290 
   
 
 
   
 
 
 
Net asset value per share
  $77.96   $67.83 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $77.98   $67.81 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
79
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PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(44% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.034% due 09/16/21
  $5,000,000   $4,999,519 
0.006% due 10/21/21
†
   3,000,000    2,999,580 
0.043% due 11/18/21
   4,000,000    3,999,300 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $11,998,935)
    $11,998,399 
    
 
 
 
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
   07/09/21    995,120,000  $8,958,639  $(129,620) 
Yen with UBS AG
   07/09/21    152,800,000   1,375,593   (14,303) 
      
 
 
 
      
Total Unrealized
Depreciation		 
 		 $(143,923) 
      
 
 
 
Contracts to Sell
      
Yen with Goldman Sachs International
   07/09/21    (2,069,325,165)  $(18,629,249)  $245,525 
Yen with UBS AG
   07/09/21    (5,125,948,875)   (46,146,723)   590,233 
      
 
 
 
      
Total Unrealized
Appreciation		 
 		 $835,758 
      
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. 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.
80
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
                 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $3,570  $5,143  $7,166  $131,326 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   72,446   64,430   138,999   148,867 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   72,446   64,430   138,999   148,867 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (68,876)   (59,287)   (131,833)   (17,541) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   1,598,086   110,748   2,857,659   (395,772) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   1,598,086   110,748   2,857,659   (395,772) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (1,644,087)   70,456   1,256,801   (628,889) 
Short-term U.S. government and agency obligations
   (1,390)   (3,995)   (536)   (1,719) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (1,645,477)   66,461   1,256,265   (630,608) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (47,391)   177,209   4,113,924   (1,026,380) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(116,267)  $117,922  $3,982,091  $(1,043,921) 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $34,921,840  $29,586,170  $23,691,070  $38,132,320 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 50,000, 100,000 and 100,000 shares, respectively
   —     3,849,992   7,132,412   7,806,745 
Redemption of 100,000, 50,000, 100,000 and 200,000 shares, respectively
   (7,573,825)   (3,767,050)   (7,573,825)   (15,108,110) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (100,000), –, – and (100,000) shares, respectively
   (7,573,825)   82,942   (441,413)   (7,301,365) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (68,876)   (59,287)   (131,833)   (17,541) 
Net realized gain (loss)
   1,598,086   110,748   2,857,659   (395,772) 
Change in net unrealized appreciation (depreciation)
   (1,645,477)   66,461   1,256,265   (630,608) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (116,267)   117,922   3,982,091   (1,043,921) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $27,231,748  $29,787,034  $27,231,748  $29,787,034 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $3,982,091  $(1,043,921) 
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
   (33,495,479)   (33,756,620) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   21,500,000   38,374,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,456)   (74,323) 
Change in unrealized appreciation (depreciation) on investments
   (1,256,265)   630,608 
Decrease (Increase) in interest receivable
   184   18,673 
Increase (Decrease) in payable to Sponsor
   1,932   (10,267) 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (9,270,993)   4,138,150 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   7,132,412   7,806,745 
Payment on shares redeemed
   (7,573,825)   (15,108,110) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (441,413)   (7,301,365) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (9,712,406)   (3,163,215) 
Cash, beginning of period
   24,274,564   12,507,112 
   
 
 
  
 
 
 
Cash, end of period
  $14,562,158  $9,343,897 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
83
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PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $24,997,778 and $44,999,073, respectively)
  $24,996,316   $44,999,732 
Cash
   47,778,503    14,723,084 
Segregated cash balances with brokers for futures contracts
   18,421,200    13,079,750 
Receivable from capital shares sold
   1,525,868    —   
Receivable on open futures contracts
   110,590    247,077 
Interest receivable
   2,007    643 
   
 
 
   
 
 
 
Total assets
   92,834,484    73,050,286 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      915,787 
Payable on open futures contracts
   102,601    —   
Brokerage commissions and
 
f
utures account
fees payable
   12,495    10,395 
Payable to Sponsor
   56,654    49,009 
   
 
 
   
 
 
 
Total liabilities
   171,750    975,191 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   92,662,734    72,075,095 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $92,834,484   $73,050,286 
   
 
 
   
 
 
 
Shares outstanding
   3,037,403    1,962,403 
   
 
 
   
 
 
 
Net asset value per share
  $30.51   $36.73 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $30.54   $36.70 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
84
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PROSHARES VIX MID-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(27% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $3,000,000   $2,999,816 
0.006% due 10/21/21
   10,000,000    9,998,600 
0.042% due 11/18/21
   12,000,000    11,997,900 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $24,997,778)
    $24,996,316 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021
   747   $16,325,237   $(1,672,567) 
VIX Futures - Cboe, expires November 2021
   1,379    30,695,161    (2,786,476) 
VIX Futures - Cboe, expires December 2021
   1,379    30,859,951    (1,301,729) 
VIX Futures - Cboe, expires January 2022
   632    14,775,781    (74,215) 
      
 
 
 
      $(5,834,987) 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
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PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $8,349  $27,603  $18,573  $185,901 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   187,266   124,276   365,346   218,560 
Brokerage commissions
   16,096   16,684   27,408   32,623 
F
utures account
fees
   32,131   20,356   57,763   20,511 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   235,493   161,316   450,517   271,694 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (227,144)   (133,713)   (431,944)   (85,793) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (14,405,542)   13,196,415   (10,866,226)   20,952,940 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (14,405,542)   13,196,415   (10,866,226)   20,952,940 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   3,575,301   (12,292,490)   (4,701,371)   3,670,640 
Short-term U.S. government and agency obligations
   (3,271)   (21,043)   (2,121)   (1,303) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   3,572,030   (12,313,533)   (4,703,492)   3,669,337 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (10,833,512)   882,882   (15,569,718)   24,622,277 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(11,060,656)  $749,169  $(16,001,662)  $24,536,484 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $75,122,747  $45,034,386  $72,075,095  $45,986,584 
  
 
 
  
 
 
  
 
  
 
 
 
Addition of 1,025,000, 725,000, 1,425,000 and 1,100,000 shares, respectively
 
 
 
 
 
33,730,245  29,558,030  49,610,239  40,266,091 
Redemption of 150,000, 425,000, 350,000 and 1,800,000 shares, respectively
  (5,129,602)  (16,256,115)  (13,020,938)  (51,703,689) 
  
 
  
 
  
 
  
 
 
Net addition (redemption) of 875,000, 300,000, 1,075,000 and
(700,000) shares, respectively
  28,600,643  13,301,915  36,589,301  (11,437,598) 
  
 
  
 
  
 
  
 
 
Net investment income (loss)
  (227,144)  (133,713)  (431,944)  (85,793) 
Net realized gain (loss)
  (14,405,542)  13,196,415  (10,866,226)  20,952,940 
Change in net unrealized appreciation (depreciation)
  3,572,030  (12,313,533)  (4,703,492)  3,669,337 
  
 
  
 
  
 
  
 
 
Net income (loss)
  (11,060,656)  749,169  (16,001,662)  24,536,484 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $92,662,734  $59,085,470  $92,662,734  $59,085,470 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(16,001,662)  $24,536,484 
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
   (72,990,517)   (56,521,597) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   93,000,000   37,600,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (8,188)   (93,897) 
Change in unrealized appreciation (depreciation) on investments
   2,121   1,303 
Decrease (Increase) in receivable on futures contracts
   136,487   —   
Decrease (Increase) in interest receivable
   (1,364)   32,263 
Increase (Decrease) in payable to Sponsor
   7,645   16,037 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   2,100   7,125 
Increase (Decrease) in payable on futures contracts
   102,601   666,116 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   4,249,223   6,243,834 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   48,084,371   40,266,091 
Payment on shares redeemed
   (13,936,725)   (51,703,689) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   34,147,646   (11,437,598) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   38,396,869   (5,193,764) 
Cash, beginning of period
   27,802,834   33,130,653 
   
 
 
  
 
 
 
Cash, end of period
  $66,199,703  $27,936,889 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $107,996,106 and $84,998,436, respectively)
  $107,991,823   $84,999,583 
Cash
   36,614,451    71,736,247 
Segregated cash balances with brokers for futures contracts
   128,565,000    134,825,900 
Receivable on open futures contracts
   1,977,818    2,295,585 
Interest receivable
   1,693    2,815 
   
 
 
   
 
 
 
Total assets
   275,150,785    293,860,130 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   2,587,734    231,900 
Brokerage commissions and
 
f
utures account
fees payable
   65,892    81,049 
Payable to Sponsor
   144,484    156,632 
   
 
 
   
 
 
 
Total liabilities
   2,798,110    469,581 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0     0  
Shareholders’ equity
          
Shareholders’ equity
   272,352,675    293,390,549 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $275,150,785   $293,860,130 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   11,307,826    5,331,579 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $24.09   $55.03 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $24.08   $54.96 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(40% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.075% due 07/15/21
  $25,000,000   $24,999,563 
0.017% due 08/19/21
   50,000,000    49,996,940 
0.010% due 10/14/21
   25,000,000    24,996,720 
0.043% due 11/18/21
   8,000,000    7,998,600 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $107,996,106)
    $107,991,823 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
   7,861   $140,737,841   $(16,150,492) 
VIX Futures - Cboe, expires August 2021
   6,655    131,427,599    (4,646,675) 
      
 
 
 
      $(20,797,167) 
      
 
 
 
^^
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
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $40,988  $122,772  $79,448  $1,082,847 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   669,363   398,044   1,494,823   1,024,560 
Brokerage commissions
   94,839   60,097   267,497   244,857 
F
utures account
fees
   174,368   108,253   439,514   113,027 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   938,570   566,394   2,201,834   1,382,444 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (897,582)   (443,622)   (2,122,386)   (299,597) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (175,846,641)   (845,717)   (252,481,234)   324,892,071 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (175,846,641)   (845,717)   (252,481,234)   324,892,071 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   39,005,837   (51,742,832)   (14,433,077)   16,040,198 
Short-term U.S. government and agency obligations
   (13,490)   (126,138)   (5,430)   (6,924) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   38,992,347   (51,868,970)   (14,438,507)   16,033,274 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (136,854,294)   (52,714,687)   (266,919,741)   340,925,345 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(137,751,876)  $(53,158,309)  $(269,042,127)  $340,625,748 
   
 
 
  
 
 
  
 
 
  
 
 
 
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
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $349,578,758  $223,055,354  $293,390,549  $279,792,503 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 3,925,000, 968,750, 10,256,250 and 2,668,750 shares, respectively (Note 1)
   124,484,014   108,202,585   451,376,724   186,459,674 
Redemption of 1,992,503, 456,250, 4,280,003 and 6,375,000 shares, respectively (Note 1)
   (63,958,221)   (56,756,455)   (203,372,471)   (585,534,750) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,932,497, 512,500, 5,976,247 and (3,706,250) shares, respectively (Note 1)
   60,525,793   51,446,130   248,004,253   (399,075,076) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (897,582)   (443,622)   (2,122,386)   (299,597) 
Net realized gain (loss)
   (175,846,641)   (845,717)   (252,481,234)   324,892,071 
Change in net unrealized appreciation (depreciation)
   38,992,347   (51,868,970)   (14,438,507)   16,033,274 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (137,751,876)   (53,158,309)   (269,042,127)   340,625,748 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $272,352,675  $221,343,175  $272,352,675  $221,343,175 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(269,042,127)  $340,625,748 
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
   (330,954,205)   (200,571,287) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   308,000,000   235,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (43,465)   (556,687) 
Change in unrealized appreciation (depreciation) on investments
   5,430   6,924 
Decrease (Increase) in receivable on futures contracts
   317,767   909,042 
Decrease (Increase) in interest receivable
   1,122   115,060 
Increase (Decrease) in payable to Sponsor
   (12,148)   32,318 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   (15,157)   38,382 
Increase (Decrease) in payable on futures contracts
   2,355,834   (4,946,520) 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (289,386,949)   370,652,980 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   451,376,724   186,459,674 
Payment on shares redeemed
   (203,372,471)   (585,534,750) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   248,004,253   (399,075,076) 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (41,382,696)   (28,422,096) 
Cash, beginning of period
   206,562,147   194,935,341 
   
 
 
  
 
 
 
Cash, end of period
  $165,179,451  $166,513,245 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
93
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Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $260  $171  $923  $9,100 
                  
Expenses
                 
Management fee   6,233   6,813   19,144   20,655 
Non-recurring
fees and expenses
   —     78   —     78 
                  
Total expenses   6,233   6,891   19,144   20,733 
                  
Net investment income (loss)   (5,973)   (6,720)   (18,221)   (11,633) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   (25,554)   126,569   (305,028)   11,333 
                  
Net realized gain (loss)   (25,554)   126,569   (305,028)   11,333 
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   10,988   (1,524)   (126,353)   48,104 
Short-term U.S. government and agency obligations   71   —     (17)   (74) 
                  
Change in net unrealized appreciation (depreciation)   11,059   (1,524)   (126,370)   48,030 
                  
Net realized and unrealized gain (loss)   (14,495)   125,045   (431,398)   59,363 
                  
Net income (loss)
  $(20,468)  $118,325  $(449,619)  $47,730 
                  
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,560,348  $2,764,355  $2,989,499  $5,580,964 
                  
Redemption of –, –, – and 50,000 shares, respectively   —     —     —     (2,746,014) 
                  
Net addition (redemption) of –, –, – and (50,000) shares, respectively   —     —     —     (2,746,014) 
                  
Net investment income (loss)   (5,973)   (6,720)   (18,221)   (11,633) 
Net realized gain (loss)   (25,554)   126,569   (305,028)   11,333 
Change in net unrealized appreciation (depreciation)   11,059   (1,524)   (126,370)   48,030 
                  
Net income (loss)   (20,468)   118,325   (449,619)   47,730 
                  
Shareholders’ equity, end of period
  $2,539,880  $2,882,680  $2,539,880  $2,882,680 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(449,619)  $47,730 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (1,499,740)   (99,700) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   500,000   1,911,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (230)   (3,270) 
Change in unrealized appreciation (depreciation) on investments   126,370   (48,030) 
Decrease (Increase) in interest receivable   45   4,622 
Increase (Decrease) in payable to Sponsor   (355)   (2,235) 
          
Net cash provided by (used in) operating activities   (1,323,529)   1,810,117 
          
Cash flow from financing activities
         
Payment on shares redeemed   —     (2,746,014) 
          
Net cash provided by (used in) financing activities   —     (2,746,014) 
          
Net increase (decrease) in cash
   (1,323,529)   (935,897) 
Cash, beginning of period   2,924,696   3,783,138 
          
Cash, end of period  $1,601,167  $2,847,241 
          
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Cash  $4,739,816   $2,133,707 
Segregated cash balances with brokers for futures contracts   239,360    100,320 
Interest receivable   187    119 
           
Total assets   4,979,363    2,234,146 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   61,327    9,118 
Payable to Sponsor   3,748    2,370 
Non-recurring
fees and expenses payable
   19    19 
           
Total liabilities   65,094    11,507 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   4,914,269    2,222,639 
           
Total liabilities and shareholders’ equity  $4,979,363   $2,234,146 
           
Shares outstanding   100,000    50,000 
           
Net asset value per share  $49.14   $44.45 
           
Market value per share (Note 2)  $49.16   $43.89 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires December 2021   136   $9,838,240   $182,163 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $443  $289  $961  $20,385 
                  
Expenses
                 
Management fee   8,860   12,478   19,191   42,496 
Brokerage commissions   962   928   1,722   3,766 
Non-recurring
fees and expenses
   —     177   —     177 
                  
Total expenses   9,822   13,583   20,913   46,439 
                  
Net investment income (loss)   (9,379)   (13,294)   (19,952)   (26,054) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   188,884   (432,100)   17,207   (799,054) 
                  
Net realized gain (loss)   188,884   (432,100)   17,207   (799,054) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   56,770   5,020   321,113   390,370 
Short-term U.S. government and agency obligations   —     —     —     (206) 
                  
Change in net unrealized appreciation (depreciation)   56,770   5,020   321,113   390,164 
                  
Net realized and unrealized gain (loss)   245,654   (427,080)   338,320   (408,890) 
                  
Net income (loss)
  $236,275  $(440,374)  $318,368  $(434,944) 
                  
See accompanying notes to financial statements.
51
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,304,732  $5,614,042  $2,222,639  $5,608,612 
                  
Addition of 50,000, –, 50,000 and – shares, respectively   2,373,262   —     2,373,262   —   
                  
Net addition (redemption) of 50,000, –, 50,000 and – shares, respectively   2,373,262   —     2,373,262   —   
                  
Net investment income (loss)   (9,379)   (13,294)   (19,952)   (26,054) 
Net realized gain (loss)   188,884   (432,100)   17,207   (799,054) 
Change in net unrealized appreciation (depreciation)   56,770   5,020   321,113   390,164 
                  
Net income (loss)   236,275   (440,374)   318,368   (434,944) 
                  
Shareholders’ equity, end of period
  $4,914,269  $5,173,668  $4,914,269  $5,173,668 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $318,368  $(434,944) 
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   —     (498,498) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   —     4,436,000 
Net amortization and accretion on short-term U.S. government and agency obligations   —     (6,234) 
Change in unrealized appreciation (depreciation) on investments   —     206 
Decrease (Increase) in interest receivable   (68)   1,510 
Increase (Decrease) in payable to Sponsor   1,378   (759) 
Increase (Decrease) in payable on futures contracts   52,209   6,830 
          
Net cash provided by (used in) operating activities   371,887   3,504,111 
          
Cash flow from financing activities
         
Proceeds from addition of shares   2,373,262   —   
          
Net cash provided by (used in) financing activities   2,373,262   —   
          
Net increase (decrease) in cash
   2,745,149   3,504,111 
Cash, beginning of period   2,234,027   1,717,873 
          
Cash, end of period  $4,979,176  $5,221,984 
          
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,250 and $
–
, respectively)
  $32,997,116   $—   
Cash   37,673,178    74,317,150 
Segregated cash balances with brokers for futures contracts   23,127,496    22,608,223 
Segregated cash balances with brokers for swap agreements   —      188,000 
Receivable on open futures contracts   —      60,902 
Interest receivable   1,383    3,299 
           
Total assets   93,799,173    97,177,574 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   143,515    257,410 
Brokerage commissions and futures account fees payable   12,910    —   
Payable to Sponsor   67,184    80,580 
Non-recurring
fees and expenses payable
   351    351 
           
Total liabilities   223,960    338,341 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   93,575,213    96,839,233 
           
Total liabilities and shareholders’ equity  $93,799,173   $97,177,574 
           
Shares outstanding (Note 1)   6,183,799    2,084,971 
           
Net asset value per share (Note 1)  $15.13   $46.45 
           
Market value per share (Note 1)(Note 2)  $15.18   $46.56 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(35% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21  $5,000,000   $4,999,955 
0.043% due 11/18/21   8,000,000    7,999,627 
0.037% due 01/20/22   20,000,000    19,997,534 
       
Total short-term U.S. government and agency obligations
(cost $32,997,250)		    $32,997,116 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2021   848   $63,345,600   $(10,110,286) 
WTI Crude Oil - NYMEX, expires June 2022   876    62,327,400    (7,616,511) 
WTI Crude Oil - NYMEX, expires December 2022   909    61,539,300    (2,739,363) 
         
      $(20,466,160) 
         
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $6,891  $4,832  $36,069  $259,750 
                  
Expenses
                 
Management fee   201,146   238,038   603,444   789,307 
Brokerage commissions   29,277   64,657   100,902   488,442 
Futures account fees   18,193   39,565   83,373   132,868 
Non-recurring
fees and expenses
   —     4,892   —     4,892 
                  
Total expenses   248,616   347,152   787,719   1,415,509 
                  
Net investment income (loss)   (241,725)   (342,320)   (751,650)   (1,155,759) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (11,449,562)   (12,932,125)   (86,637,748)   (13,146,261) 
Swap agreements   —     (3,364,704)   —     41,576,107 
Short-term U.S. government and agency obligations   —     —     —     (20) 
                  
Net realized gain (loss)   (11,449,562)   (16,296,829)   (86,637,748)   28,429,826 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (1,521,543)   3,752,436   (5,829,347)   3,196,977 
Swap agreements   —     2,095,678   —     4,033,931 
Short-term U.S. government and agency obligations   650   0     (134)   (3,162) 
                  
Change in net unrealized appreciation (depreciation)   (1,520,893)   5,848,114   (5,829,481)   7,227,746 
                  
Net realized and unrealized gain (loss)   (12,970,455)   (10,448,715)   (92,467,229)   35,657,572 
                  
Net income (loss)
  $(13,212,180)  $(10,791,035)  $(93,218,879)  $34,501,813 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $79,400,059  $117,821,898  $96,839,233  $125,451,681 
                  
Addition of 3,350,000, 1,075,000, 7,237,500 and 6,662,500 shares, respectively (Note 1)   56,590,239   69,006,205   164,074,678   737,435,154 
Redemption of 1,550,000, 1,475,000, 3,138,672 and 8,025,000 shares, respectively (Note 1)   (29,202,905)   (95,618,902)   (74,119,819)   (816,970,482) 
                  
Net addition (redemption) of 1,800,000, (400,000), 4,098,828 and (1,362,500) shares, respectively (Note 1)   27,387,334   (26,612,697)   89,954,859   (79,535,328) 
                  
Net investment income (loss)   (241,725)   (342,320)   (751,650)   (1,155,759) 
Net realized gain (loss)   (11,449,562)   (16,296,829)   (86,637,748)   28,429,826 
Change in net unrealized appreciation (depreciation)   (1,520,893)   5,848,114   (5,829,481)   7,227,746 
                  
Net income (loss)   (13,212,180)   (10,791,035)   (93,218,879)   34,501,813 
                  
Shareholders’ equity, end of period
  $93,575,213  $80,418,166  $93,575,213  $80,418,166 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(93,218,879)  $34,501,813 
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   (117,984,270)   (32,897,274) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   85,000,000   95,246,647 
Net amortization and accretion on short-term U.S. government and agency obligations   (12,980)   (153,272) 
Net realized gain (loss) on investments   —     20 
Change in unrealized appreciation (depreciation) on investments   134   (4,030,769) 
Decrease (Increase) in receivable on futures contracts   60,902   281,879 
Decrease (Increase) in interest receivable   1,916   51,970 
Increase (Decrease) in payable to Sponsor   (13,396)   (20,975) 
Increase (Decrease) in brokerage commissions and futures account fees payable   12,910   —   
Increase (Decrease) in payable on futures contracts   (113,895)   3,316,805 
          
Net cash provided by (used in) operating activities   (126,267,558)   96,296,844 
          
Cash flow from financing activities
         
Proceeds from addition of shares   164,074,678   741,702,169 
Payment on shares redeemed   (74,119,819)   (816,970,482) 
          
Net cash provided by (used in) financing activities   89,954,859   (75,268,313) 
          
Net increase (decrease) in cash
   (36,312,699)   21,028,531 
Cash, beginning of period   97,113,373   61,909,177 
          
Cash, end of period  $60,800,674  $82,937,708 
          
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $56,994,979 and $9,999,612, respectively)  $56,993,148   $9,999,861 
Cash   84,342,212    12,600,775 
Segregated cash balances with brokers for futures contracts   29,635,820    6,546,607 
Interest receivable   2,662    548 
           
Total assets   170,973,842    29,147,791 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   16,371,629    2,604,177 
Payable on open futures contracts   15,998,799    1,543,700 
Brokerage commissions and futures account fees payable   27,103    —   
Payable to Sponsor   107,494    22,029 
Non-recurring
fees and expenses payable
   140    140 
           
Total liabilities   32,505,165    4,170,046 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   138,468,677    24,977,745 
           
Total liabilities and shareholders’ equity  $170,973,842   $29,147,791 
           
Shares outstanding   19,724,832    524,832 
           
Net asset value per share  $7.02   $47.59 
           
Market value per share (Note 2)  $7.12   $47.38 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
41
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.043
% due
10/14/21
  $5,000,000   $4,999,955 
0.043
% due
11/18/21
   7,000,000    6,999,673 
0.044
% due
12/16/21
   15,000,000    14,998,734 
0.028
% due
02/17/22
   30,000,000    29,994,786 
           
Total short-term U.S. government and agency obligations
(cost $
56,994,979
)
       $56,993,148 
           
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2021   4,720   $276,922,400   $(35,288,843) 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $9,879  $8,136  $25,512  $51,939 
                  
Expenses
                 
Management fee   258,824   138,507   609,472   207,544 
Brokerage commissions   67,808   98,416   249,831   177,159 
Futures account fees   42,064   20,454   99,190   25,803 
Non-recurring
fees and expenses
   —     345   —     345 
                  
Total expenses   368,696   257,722   958,493   410,851 
                  
Net investment income (loss)   (358,817)   (249,586)   (932,981)   (358,912) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (95,609,878)   (31,450,011)   (112,274,576)   (20,587,193) 
Short-term U.S. government and agency obligations   —     19   —     (531) 
                  
Net realized gain (loss)   (95,609,878)   (31,449,992)   (112,274,576)   (20,587,724) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (17,870,697)   8,968,702   (35,668,153)   9,530,001 
Short-term U.S. government and agency obligations   (839)   435   (2,080)   108 
                  
Change in net unrealized appreciation (depreciation)   (17,871,536)   8,969,137   (35,670,233)   9,530,109 
                  
Net realized and unrealized gain (loss)   (113,481,414)   (22,480,855)   (147,944,809)   (11,057,615) 
                  
Net income (loss)
  $(113,840,231)  $(22,730,441)  $(148,877,790)  $(11,416,527) 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $97,525,300  $28,552,210  $24,977,745  $12,515,603 
                  
Addition of 20,500,000, 3,200,000, 28,050,000 and 4,400,000 shares, respectively   210,189,776   130,455,301   446,153,207   198,730,524 
Redemption of 5,300,000, 2,400,000, 8,850,000 and 3,500,000 shares, respectively   (55,406,168)   (89,339,084)   (183,784,485)   (152,891,614) 
                  
Net addition (redemption) of 15,200,000, 800,000, 19,200,000 and 900,000 shares, respectively   154,783,608   41,116,217   262,368,722   45,838,910 
                  
Net investment income (loss)   (358,817)   (249,586)   (932,981)   (358,912) 
Net realized gain (loss)   (95,609,878)   (31,449,992)   (112,274,576)   (20,587,724) 
Change in net unrealized appreciation (depreciation)   (17,871,536)   8,969,137   (35,670,233)   9,530,109 
                  
Net income (loss)   (113,840,231)   (22,730,441)   (148,877,790)   (11,416,527) 
                  
Shareholders’ equity, end of period
  $138,468,677  $46,937,986  $138,468,677  $46,937,986 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
   
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(148,877,790)  $(11,416,527) 
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   (144,983,115)   (54,978,482) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   98,000,000   28,159,767 
Net amortization and accretion on short-term U.S. government and agency obligations   (12,252)   (21,483) 
Net realized gain (loss) on investments   —     531 
Change in unrealized appreciation (depreciation) on investments   2,080   (108) 
Decrease (Increase) in receivable on futures contracts   —     (1,269,994) 
Decrease (Increase) in interest receivable   (2,114)   5,726 
Increase (Decrease) in payable to Sponsor   85,465   40,651 
Increase (Decrease) in brokerage commissions and futures account fees payable   27,103   —   
Increase (Decrease) in payable on futures contracts   14,455,099   (6,826) 
          
Net cash provided by (used in) operating activities   (181,305,524)   (39,486,745) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   446,153,207   198,730,524 
Payment on shares redeemed   (170,017,033)   (130,442,926) 
          
Net cash provided by (used in) financing activities   276,136,174   68,287,598 
          
Net increase (decrease) in cash
   94,830,650   28,800,853 
Cash, beginning of period   19,147,382   7,370,891 
          
Cash, end of period  $113,978,032  $36,171,744 
          
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $34,997,966 and $9,999,612, respectively)  $34,997,817   $9,999,861 
Cash   11,552,843    42,133,228 
Segregated cash balances with brokers for foreign currency forward contracts   —      1,999,000 
Unrealized appreciation on foreign currency forward contracts   2,284,006    5,705 
Interest receivable   396    2,148 
           
Total assets   48,835,062    54,139,942 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   36,822    43,974 
Unrealized depreciation on foreign currency forward contracts   157,203    1,142,409 
Non-recurring
fees and expenses payable
   220    220 
           
Total liabilities   194,245    1,186,603 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   48,640,817    52,953,339 
           
Total liabilities and shareholders’ equity  $48,835,062   $54,139,942 
           
Shares outstanding   1,950,000    2,350,000 
           
Net asset value per share  $24.94   $22.53 
           
Market value per share (Note 2)  $24.93   $22.52 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(72% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21
†
  $5,000,000   $4,999,955 
0.039% due 10/21/21
†
   10,000,000 ��  9,999,555 
0.043% due 11/18/21
†
   5,000,000    4,999,767 
0.044% due 12/16/21   10,000,000    9,999,156 
0.037% due 01/20/22   5,000,000    4,999,384 
       
Total short-term U.S. government and agency obligations
(cost $34,997,966)		    $34,997,817 
       
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   10/08/21    5,650,000  $6,544,869  $(157,203) 
         
      


Total
Unrealized
Depreciation
 
 
 
 $(157,203) 
         
Contracts to Sell
      
Euro with Goldman Sachs International   10/08/21    (39,458,263)  $(45,707,819)  $1,000,511 
Euro with UBS AG   10/08/21    (49,895,199)   (57,797,799)   1,283,495 
         
      


Total
Unrealized
Appreciation
 
 
 
 $2,284,006 
         
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2021. 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.
65
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PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $5,008  $18,939  $17,814  $486,623 
                  
Expenses
                 
Management fee   116,733   161,145   355,451   638,218 
Non-recurring
fees and expenses
   —     2,622   —     2,622 
                  
Total expenses   116,733   163,767   355,451   640,840 
                  
Net investment income (loss)   (111,725)   (144,828)   (337,637)   (154,217) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   2,974,466   (7,511,153)   2,249,236   (8,749,738) 
Short-term U.S. government and agency obligations   —     (14)   —     (14) 
                  
Net realized gain (loss)   2,974,466   (7,511,167)   2,249,236   (8,749,752) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   (618,447)   1,523,931   3,263,507   3,449,397 
Short-term U.S. government and agency obligations   489   1,860   (398)   (3,038) 
                  
Change in net unrealized appreciation (depreciation)   (617,958)   1,525,791   3,263,109   3,446,359 
                  
Net realized and unrealized gain (loss)   2,356,508   (5,985,376)   5,512,345   (5,303,393) 
                  
Net income (loss)
  $2,244,783  $(6,130,204)  $5,174,708  $(5,457,610) 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $48,820,440  $78,848,965  $52,953,339  $120,581,173 
                  
Addition of 100,000, 1,000,000, 300,000 and 1,350,000 shares, respectively   2,387,142   24,186,298   7,000,386   34,244,548 
Redemption of 200,000, 1,150,000, 700,000 and 3,050,000 shares, respectively   (4,811,548)   (28,327,526)   (16,487,616)   (80,790,578) 
                  
Net addition (redemption) of (100,000), (150,000), (400,000) and (1,700,000) shares, respectively   (2,424,406)   (4,141,228)   (9,487,230)   (46,546,030) 
                  
Net investment income (loss)   (111,725)   (144,828)   (337,637)   (154,217) 
Net realized gain (loss)   2,974,466   (7,511,167)   2,249,236   (8,749,752) 
Change in net unrealized appreciation (depreciation)   (617,958)   1,525,791   3,263,109   3,446,359 
                  
Net income (loss)   2,244,783   (6,130,204)   5,174,708   (5,457,610) 
                  
Shareholders’ equity, end of period
  $48,640,817  $68,577,533  $48,640,817  $68,577,533 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $5,174,708  $(5,457,610) 
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   (89,988,404)   (198,751,004) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   65,000,000   220,684,953 
Net amortization and accretion on short-term U.S. government and agency obligations   (9,950)   (338,406) 
Net realized gain (loss) on investments   —     14 
Change in unrealized appreciation (depreciation) on investments   (3,263,109)   (3,446,359) 
Decrease (Increase) in interest receivable   1,752   59,976 
Increase (Decrease) in payable to Sponsor   (7,152)   (47,737) 
          
Net cash provided by (used in) operating activities   (23,092,155)   12,703,827 
          
Cash flow from financing activities
         
Proceeds from addition of shares   7,000,386   34,244,548 
Payment on shares redeemed   (16,487,616)   (78,341,410) 
          
Net cash provided by (used in) financing activities   (9,487,230)   (44,096,862) 
          
Net increase (decrease) in cash
   (32,579,385)   (31,393,035) 
Cash, beginning of period   44,132,228   44,280,278 
          
Cash, end of period  $11,552,843  $12,887,243 
          
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $17,999,022 and $–, respectively)  $17,998,972   $—   
Cash   8,368,137    16,935,121 
Segregated cash balances with brokers for futures contracts   860,625    1,503,750 
Segregated cash balances with brokers for swap agreements   —      2,194,500 
Unrealized appreciation on swap agreements   830,123    —   
Receivable on open futures contracts   —      1,317 
Interest receivable   299    742 
           
Total assets   28,058,156    20,635,430 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   306,991    12,410 
Brokerage commissions and futures account fees payable   211    —   
Payable to Sponsor   19,851    16,835 
Unrealized depreciation on swap agreements   —      268,728 
Non-recurring
fees and expenses payable
   81    81 
           
Total liabilities   327,134    298,054 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   27,731,022    20,337,376 
           
Total liabilities and shareholders’ equity  $28,058,156   $20,635,430 
           
Shares outstanding   796,977    646,977 
           
Net asset value per share  $34.80   $31.43 
           
Market value per share (Note 2)  $34.82   $31.14 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(65% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21  $5,000,000   $4,999,955 
0.039% due 10/21/21
†
   3,000,000    2,999,867 
0.043% due 11/18/21
†
   5,000,000    4,999,767 
0.037% due 01/20/22   5,000,000    4,999,383 
       
Total short-term U.S. government and agency obligations
(cost $17,999,022)		    $17,998,972 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2021   114   $20,029,800   $432,050 
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%   10/06/21   $(14,518,233)  $340,577 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.20   10/06/21    (9,497,933)   223,115 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25   10/06/21    (11,357,509)   266,431 
         
      

Total
Unrealized
Appreciation		 
 
 		 $830,123 
         
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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.
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PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $3,075  $1,831  $9,213  $65,111 
                  
Expenses
                 
Management fee   66,304   45,591   199,999   129,451 
Brokerage commissions   3,301   1,980   9,174   5,743 
Futures account fees   1,856   1,232   8,344   2,597 
Non-recurring
fees and expenses
   —     499   —     499 
                  
Total expenses   71,461   49,302   217,517   138,290 
                  
Net investment income (loss)   (68,386)   (47,471)   (208,304)   (73,179) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (883,113)   (1,305,687)   (1,598,368)   (5,001,545) 
Swap agreements   2,096,834   (2,715,850)   (169,268)   (7,040,145) 
Short-term U.S. government and agency obligations   —     —     169   —   
                  
Net realized gain (loss)   1,213,721   (4,021,537)   (1,767,467)   (12,041,690) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (153,889)   782,022   628,980   893,052 
Swap agreements   (1,744,696)   1,906,708   1,098,851   1,834,548 
Short-term U.S. government and agency obligations   166   331   (50)   (496) 
                  
Change in net unrealized appreciation (depreciation)   (1,898,419)   2,689,061   1,727,781   2,727,104 
                  
Net realized and unrealized gain (loss)   (684,698)   (1,332,476)   (39,686)   (9,314,586) 
                  
Net income (loss)
  $(753,084)  $(1,379,947)  $(247,990)  $(9,387,765) 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $32,835,014  $15,851,043  $20,337,376  $21,047,560 
                  
Addition of 650,000, 750,000, 1,700,000 and 1,100,000 shares, respectively   21,916,482   23,162,997   59,279,388   38,594,844 
Redemption of 800,000, 350,000, 1,550,000 and 650,000 shares, respectively   (26,267,390)   (10,494,112)   (51,637,752)   (23,114,658) 
                  
Net addition (redemption) of (150,000), 400,000, 150,000 and 450,000 shares, respectively   (4,350,908)   12,668,885   7,641,636   15,480,186 
                  
Net investment income (loss)   (68,386)   (47,471)   (208,304)   (73,179) 
Net realized gain (loss)   1,213,721   (4,021,537)   (1,767,467)   (12,041,690) 
Change in net unrealized appreciation (depreciation)   (1,898,419)   2,689,061   1,727,781   2,727,104 
                  
Net income (loss)   (753,084)   (1,379,947)   (247,990)   (9,387,765) 
                  
Shareholders’ equity, end of period
  $27,731,022  $27,139,981  $27,731,022  $27,139,981 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(247,990)  $(9,387,765) 
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   (40,994,386)   (19,981,048) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   22,999,935   27,371,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,402)   (34,425) 
Net realized gain (loss) on investments   (169)   —   
Change in unrealized appreciation (depreciation) on investments   (1,098,801)   (1,834,052) 
Decrease (Increase) in receivable on futures contracts   1,317   (55,281) 
Decrease (Increase) in interest receivable   443   11,119 
Increase (Decrease) in payable to Sponsor   3,016   472 
Increase (Decrease) in brokerage commissions and futures account fees payable   211   —   
Increase (Decrease) in payable on futures contracts   294,581   (25,211) 
          
Net cash provided by (used in) operating activities   (19,046,245)   (3,935,191) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   59,279,388   38,594,844 
Payment on shares redeemed   (51,637,752)   (23,114,658) 
          
Net cash provided by (used in) financing activities   7,641,636   15,480,186 
          
Net increase (decrease) in cash
   (11,404,609)   11,544,995 
Cash, beginning of period   20,633,371   9,895,915 
          
Cash, end of period  $9,228,762  $21,440,910 
          
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $21,999,135 and $–, respectively)  $21,998,799   $—   
Cash   11,285,816    18,919,314 
Segregated cash balances with brokers for futures contracts   4,768,750    1,503,250 
Segregated cash balances with brokers for swap agreements   —      11,732,485 
Unrealized appreciation on swap agreements   4,090,510    —   
Receivable from capital shares sold   1,563,293    —   
Receivable on open futures contracts   —      39,445 
Interest receivable   479    814 
           
Total assets   43,707,647    32,195,308 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   3,126,586    —   
Payable on open futures contracts   176,667    86,282 
Brokerage commissions and futures account fees payable   1,471    —   
Payable to Sponsor   28,913    25,557 
Unrealized depreciation on swap agreements   —      3,197,561 
Non-recurring
fees and expenses payable
   133    133 
           
Total liabilities   3,333,770    3,309,533 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   40,373,877    28,885,775 
           
Total liabilities and shareholders’ equity  $43,707,647   $32,195,308 
           
Shares outstanding (Note 1)   1,291,329    1,041,744 
           
Net asset value per share (Note 1)  $31.27   $27.73 
           
Market value per share (Note 1)(Note 2)  $30.97   $27.40 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(54% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21
†
  $5,000,000   $4,999,955 
0.013% due 10/21/21
†
   9,000,000    8,999,600 
0.043% due 11/18/21
†
   3,000,000    2,999,860 
0.037% due 01/20/22   5,000,000    4,999,384 
       
Total short-term U.S. government and agency obligations
(cost $21,999,135)		    $21,998,799 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2021   380   $41,889,300   $2,955,976 
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%   10/06/21   $(7,432,206)  $782,817 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.25   10/06/21    (9,839,512)   1,036,372 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   10/06/21    (7,779,988)   819,178 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   10/06/21    (13,786,912)   1,452,143 
         
      
 		Total
Unrealized
Appreciation		 
 
 		 $4,090,510 
         
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. 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 September 30, 2021, 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.
75
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $3,100  $3,192  $8,895  $48,379 
                  
Expenses
                 
Management fee   90,963   84,377   248,539   147,262 
Brokerage commissions   8,141   8,539   19,409   16,460 
Futures account fees   6,528   4,945   20,726   6,620 
Non-recurring
fees and expenses
   —     321   —     321 
                  
Total expenses   105,632   98,182   288,674   170,663 
                  
Net investment income (loss)   (102,532)   (94,990)   (279,779)   (122,284) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   523,159   (6,023,570)   (929,991)   (5,016,408) 
Swap agreements   6,138,986   (9,873,250)   (1,216,671)   (13,915,911) 
Short-term U.S. government and agency obligations   —     —     85   —   
                  
Net realized gain (loss)   6,662,145   (15,896,820)   (2,146,577)   (18,932,319) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   2,684,085   4,674,780   3,176,052   4,541,796 
Swap agreements   1,237,760   6,454,866   7,288,071   8,024,939 
Short-term U.S. government and agency obligations   751   88   (336)   (616) 
                  
Change in net unrealized appreciation (depreciation)   3,922,596   11,129,734   10,463,787   12,566,119 
               ��  
Net realized and unrealized gain (loss)   10,584,741   (4,767,086)   8,317,210   (6,366,200) 
                  
Net income (loss)
  $10,482,209  $(4,862,076)  $8,037,431  $(6,488,484) 
                  
See accompanying notes to financial statements.
76
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $34,859,763  $10,145,625  $28,885,775  $13,834,163 
                  
Addition of 1,000,000, 2,825,000, 3,750,000 and 3,025,000 shares, respectively (Note 1)   26,169,229   102,544,682   91,351,542   122,851,884 
Redemption of 1,200,000, 1,637,500, 3,500,415 and 1,837,500 shares, respectively (Note 1)   (31,137,324)   (56,772,556)   (87,900,871)   (79,141,888) 
                  
Net addition (redemption) of (200,000), 1,187,500, 249,585 and 1,187,500 shares, respectively (Note 1)   (4,968,095)   45,772,126   3,450,671   43,709,996 
                  
Net investment income (loss)   (102,532)   (94,990)   (279,779)   (122,284) 
Net realized gain (loss)   6,662,145   (15,896,820)   (2,146,577)   (18,932,319) 
Change in net unrealized appreciation (depreciation)   3,922,596   11,129,734   10,463,787   12,566,119 
                  
Net income (loss)   10,482,209   (4,862,076)   8,037,431   (6,488,484) 
                  
Shareholders’ equity, end of period
  $40,373,877  $51,055,675  $40,373,877  $51,055,675 
                  
See accompanying notes to financial statements.
77
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PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $8,037,431  $(6,488,484) 
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   (49,994,362)   (19,382,698) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   27,999,988   13,574,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,676)   (27,476) 
Net realized gain (loss) on investments   (85)   —   
Change in unrealized appreciation (depreciation) on investments   (7,287,735)   (8,024,323) 
Decrease (Increase) in receivable on futures contracts   39,445   (499,230) 
Decrease (Increase) in interest receivable   335   3,740 
Increase (Decrease) in payable to Sponsor   3,356   22,693 
Increase (Decrease) in brokerage commissions and futures account fees payable   1,471   —   
Increase (Decrease) in payable on futures contracts   90,385   774,314 
          
Net cash provided by (used in) operating activities   (21,114,447)   (20,047,464) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   89,788,249   122,851,884 
Payment on shares redeemed   (84,774,285)   (79,141,888) 
          
Net cash provided by (used in) financing activities   5,013,964   43,709,996 
          
Net increase (decrease) in cash
   (16,100,483)   23,662,532 
Cash, beginning of period   32,155,049   6,646,212 
          
Cash, end of period  $16,054,566  $30,308,744 
          
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively)  $16,998,447   $—   
Cash   5,846,465    21,470,564 
Segregated cash balances with brokers for foreign currency forward contracts   —      2,804,000 
Unrealized appreciation on foreign currency forward contracts   549,354    7,008 
Interest receivable   361    914 
           
Total assets   23,394,627    24,282,486 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   17,831    19,348 
Unrealized depreciation on foreign currency forward contracts   47,780    571,974 
Non-recurring
fees and expenses payable
   94    94 
           
Total liabilities   65,705    591,416 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   23,328,922    23,691,070 
           
Total liabilities and shareholders’ equity  $23,394,627   $24,282,486 
           
Shares outstanding   299,290    349,290 
           
Net asset value per share  $77.95   $67.83 
           
Market value per share (Note 2)  $77.96   $67.81 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(73% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21
†
  $3,000,000   $2,999,867 
0.043% due 11/18/21   4,000,000    3,999,813 
0.037% due 01/20/22   10,000,000    9,998,767 
       
Total short-term U.S. government and agency obligations
(cost $16,998,654)		    $16,998,447 
       
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   10/08/21    32,600,000  $292,895  $(5,286) 
Yen with UBS AG   10/08/21    373,110,000   3,352,216   (42,494) 
         
      
Total Unrealized
Depreciation		 
 		 $(47,780) 
         
Contracts to Sell
      
Yen with Goldman Sachs International   10/08/21    (1,558,854,165)  $(14,005,562)  $143,685 
Yen with UBS AG   10/08/21    (4,049,118,875)   (36,379,405)   405,669 
         
      
Total Unrealized
Appreciation		 
 		 $549,354 
         
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2021. 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.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $2,392  $5,085  $9,558  $136,411 
                  
Expenses
                 
Management fee   57,037   60,238   196,036   209,105 
Non-recurring
fees and expenses
   —     717   —     717 
                  
Total expenses   57,037   60,955   196,036   209,822 
                  
Net investment income (loss)   (54,645)   (55,870)   (186,478)   (73,411) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   197,444   (1,451,651)   3,055,103   (1,847,423) 
                  
Net realized gain (loss)   197,444   (1,451,651)   3,055,103   (1,847,423) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   (190,261)   200,915   1,066,540   (427,974) 
Short-term U.S. government and agency obligations   329   606   (207)   (1,113) 
                  
Change in net unrealized appreciation (depreciation)   (189,932)   201,521   1,066,333   (429,087) 
                  
Net realized and unrealized gain (loss)   7,512   (1,250,130)   4,121,436   (2,276,510) 
                  
Net income (loss)
  $(47,133)  $(1,306,000)  $3,934,958  $(2,349,921) 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $27,231,748  $29,787,034  $23,691,070  $38,132,320 
                  
Addition of –, –, 100,000 and 100,000 shares, respectively   —     —     7,132,412   7,806,745 
Redemption of 50,000, 50,000, 150,000 and 250,000 shares, respectively   (3,855,693)   (3,700,271)   (11,429,518)   (18,808,381) 
                  
Net addition (redemption) of (50,000), (50,000), (50,000) and (150,000) shares, respectively   (3,855,693)   (3,700,271)   (4,297,106)   (11,001,636) 
                  
Net investment income (loss)   (54,645)   (55,870)   (186,478)   (73,411) 
Net realized gain (loss)   197,444   (1,451,651)   3,055,103   (1,847,423) 
Change in net unrealized appreciation (depreciation)   (189,932)   201,521   1,066,333   (429,087) 
                  
Net income (loss)   (47,133)   (1,306,000)   3,934,958   (2,349,921) 
                  
Shareholders’ equity, end of period
  $23,328,922  $24,780,763  $23,328,922  $24,780,763 
                  
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $3,934,958  $(2,349,921) 
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   (43,494,229)   (46,753,062) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   26,500,000   59,374,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,425)   (78,419) 
Change in unrealized appreciation (depreciation) on investments   (1,066,333)   429,087 
Decrease (Increase) in interest receivable   553   18,897 
Increase (Decrease) in payable to Sponsor   (1,517)   (13,487) 
          
Net cash provided by (used in) operating activities   (14,130,993)   10,627,095 
          
Cash flow from financing activities
         
Proceeds from addition of shares   7,132,412   7,806,745 
Payment on shares redeemed   (11,429,518)   (18,808,381) 
          
Net cash provided by (used in) financing activities   (4,297,106)   (11,001,636) 
          
Net increase (decrease) in cash
   (18,428,099)   (374,541) 
Cash, beginning of period   24,274,564   12,507,112 
          
Cash, end of period  $5,846,465  $12,132,571 
          
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $61,995,381 and $44,999,073, respectively)  $61,995,036   $44,999,732 
Cash   43,870,674    14,723,084 
Segregated cash balances with brokers for futures contracts   21,337,800    13,079,750 
Receivable on open futures contracts   551,816    247,077 
Interest receivable   1,638    643 
           
Total assets   127,756,964    73,050,286 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   —      915,787 
Brokerage commissions and futures account fees payable   9,018    10,395 
Payable to Sponsor   74,809    49,009 
           
Total liabilities   83,827    975,191 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   127,673,137    72,075,095 
           
Total liabilities and shareholders’ equity  $127,756,964   $73,050,286 
           
Shares outstanding   3,962,403    1,962,403 
           
Net asset value per share  $32.22   $36.73 
           
Market value per share (Note 2)  $32.31   $36.70 
           
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(49% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21  $10,000,000   $9,999,556 
0.042% due 11/18/21   12,000,000    11,999,440 
0.043% due 12/16/21   25,000,000    24,997,890 
0.037% due 01/20/22   15,000,000    14,998,150 
       
Total short-term U.S. government and agency obligations
(cost $61,995,381)		    $61,995,036 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2022   872   $21,626,210   $1,256,557 
VIX Futures - Cboe, expires February 2022   1,677    42,304,841    1,690,707 
VIX Futures - Cboe, expires March 2022   1,677    43,023,603    1,475,197 
VIX Futures - Cboe, expires April 2022   804    20,765,953    394,387 
         
      $4,816,848 
         
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $8,914  $13,590  $27,487  $199,491 
                  
Expenses
                 
Management fee   221,356   172,587   586,702   391,147 
Brokerage commissions   20,803   19,350   48,211   51,973 
Futures account fees   28,911   26,113   86,674   46,624 
                  
Total expenses   271,070   218,050   721,587   489,744 
                  
Net investment income (loss)   (262,156)   (204,460)   (694,100)   (290,253) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (4,024,133)   755,845   (14,890,359)   21,708,785 
                  
Net realized gain (loss)   (4,024,133)   755,845   (14,890,359)   21,708,785 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   10,651,835   1,751,675   5,950,464   5,422,315 
Short-term U.S. government and agency obligations   1,117   405   (1,004)   (898) 
                  
Change in net unrealized appreciation (depreciation)   10,652,952   1,752,080   5,949,460   5,421,417 
        ��         
Net realized and unrealized gain (loss)   6,628,819   2,507,925   (8,940,899)   27,130,202 
                  
Net income (loss)
  $6,366,663  $2,303,465  $(9,634,999)  $26,839,949 
                  
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $92,662,734  $59,085,470  $72,075,095  $45,986,584 
                  
Addition of 1,200,000, 1,150,000, 2,625,000 and 2,250,000 shares, respectively   37,425,551   45,600,053   87,035,790   85,866,144 
Redemption of 275,000, 125,000, 625,000 and 1,925,000 shares, respectively   (8,781,811)   (5,031,468)   (21,802,749)   (56,735,157) 
                  
Net addition (redemption) of 925,000, 1,025,000, 2,000,000 and 325,000 shares, respectively   28,643,740   40,568,585   65,233,041   29,130,987 
                  
Net investment income (loss)   (262,156)   (204,460)   (694,100)   (290,253) 
Net realized gain (loss)   (4,024,133)   755,845   (14,890,359)   21,708,785 
Change in net unrealized appreciation (depreciation)   10,652,952   1,752,080   5,949,460   5,421,417 
                  
Net income (loss)   6,366,663   2,303,465   (9,634,999)   26,839,949 
                  
Shareholders’ equity, end of period
  $127,673,137  $101,957,520  $127,673,137  $101,957,520 
                  
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(9,634,999)  $26,839,949 
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   (112,984,923)   (116,503,878) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   96,000,000   70,600,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (11,385)   (104,027) 
Change in unrealized appreciation (depreciation) on investments   1,004   898 
Decrease (Increase) in receivable on futures contracts   (304,739)   (1,087,170) 
Decrease (Increase) in interest receivable   (995)   32,512 
Increase (Decrease) in payable to Sponsor   25,800   40,237 
Increase (Decrease) in brokerage commissions and futures account fees payable   (1,377)   12,012 
Increase (Decrease) in payable on futures contracts   —     (1,129,877) 
          
Net cash provided by (used in) operating activities   (26,911,614)   (21,299,344) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   87,035,790   85,866,144 
Payment on shares redeemed   (22,718,536)   (56,735,157) 
          
Net cash provided by (used in) financing activities   64,317,254   29,130,987 
          
Net increase (decrease) in cash
   37,405,640   7,831,643 
Cash, beginning of period   27,802,834   33,130,653 
          
Cash, end of period  $65,208,474  $40,962,296 
          
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $127,990,453 and $84,998,436, respectively)  $127,990,204   $84,999,583 
Cash   107,057,042    71,736,247 
Segregated cash balances with brokers for futures contracts   133,904,930    134,825,900 
Receivable on open futures contracts   1,461,435    2,295,585 
Interest receivable   3,891    2,815 
           
Total assets   370,417,502    293,860,130 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   1,413,813    231,900 
Brokerage commissions and futures account fees payable   52,197    81,049 
Payable to Sponsor   174,159    156,632 
           
Total liabilities   1,640,169    469,581 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   368,777,333    293,390,549 
           
Total liabilities and shareholders’ equity  $370,417,502   $293,860,130 
           
Shares outstanding (Note 1)   16,257,826    5,331,579 
           
Net asset value per share (Note 1)  $22.68   $55.03 
           
Market value per share (Note 1)(Note 2)  $22.80   $54.96 
           
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
35
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.016
% due
10/14/21
  $30,000,000   $29,999,730 
0.043
% due
11/18/21
   8,000,000    7,999,626 
0.043
% due
12/16/21
   50,000,000    49,995,780 
0.037
% due
01/20/22
   40,000,000    39,995,068 
           
Total short-term U.S. government and agency obligations
(cost $
127,990,453
)
       $127,990,204 
           
Futures Contracts Purchased
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   8,245   $188,545,011   $15,851,921 
VIX Futures - Cboe, expires November 2021   7,617    180,415,500    5,515,175 
                
             $21,367,096 
                
^^
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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $11,739  $34,770  $91,187  $1,117,617 
                  
Expenses
                 
Management fee   660,051   560,301   2,154,874   1,584,861 
Brokerage commissions   97,516   66,969   365,013   311,826 
Futures account fees   151,758   165,725   591,272   278,752 
                  
Total expenses   909,325   792,995   3,111,159   2,175,439 
                  
Net investment income (loss)   (897,586)   (758,225)   (3,019,972)   (1,057,822) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (51,868,433)   (75,120,135)   (304,349,667)   249,771,936 
                  
Net realized gain (loss)   (51,868,433)   (75,120,135)   (304,349,667)   249,771,936 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   42,164,263   555,267   27,731,186   16,595,465 
Short-term U.S. government and agency obligations   4,034   1,199   (1,396)   (5,725) 
                  
Change in net unrealized appreciation (depreciation)   42,168,297   556,466   27,729,790   16,589,740 
                  
Net realized and unrealized gain (loss)   (9,700,136)   (74,563,669)   (276,619,877)   266,361,676 
                  
Net income (loss)
  $(10,597,722)  $(75,321,894)  $(279,639,849)  $265,303,854 
                  
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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $272,352,675  $221,343,175  $293,390,549  $279,792,503 
                  
Addition of 6,300,000, 1,662,500, 16,556,250 and 4,331,250 shares, respectively (Note 1)   142,476,815   156,332,956   593,853,539   342,792,630 
Redemption of 1,350,000, 243,750, 5,630,003 and 6,618,750 shares, respectively (Note 1)   (35,454,435)   (23,081,940)   (238,826,906)   (608,616,690) 
                  
Net addition (redemption) of 4,950,000, 1,418,750, 10,926,247 and (2,287,500) shares, respectively (Note 1)   107,022,380   133,251,016   355,026,633   (265,824,060) 
                  
Net investment income (loss)   (897,586)   (758,225)   (3,019,972)   (1,057,822) 
Net realized gain (loss)   (51,868,433)   (75,120,135)   (304,349,667)   249,771,936 
Change in net unrealized appreciation (depreciation)   42,168,297   556,466   27,729,790   16,589,740 
                  
Net income (loss)   (10,597,722)   (75,321,894)   (279,639,849)   265,303,854 
                  
Shareholders’ equity, end of period
  $368,777,333  $279,272,297  $368,777,333  $279,272,297 
                  
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(279,639,849)  $265,303,854 
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   (425,941,319)   (390,519,095) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   383,000,000   348,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (50,698)   (589,708) 
Change in unrealized appreciation (depreciation) on investments   1,396   5,725 
Decrease (Increase) in receivable on futures contracts   834,150   (6,431,358) 
Decrease (Increase) in interest receivable   (1,076)   120,780 
Increase (Decrease) in payable to Sponsor   17,527   52,310 
Increase (Decrease) in brokerage commissions and futures account fees payable   (28,852)   59,366 
Increase (Decrease) in payable on futures contracts   1,181,913   (12,920,593) 
          
Net cash provided by (used in) operating activities   (320,626,808)   203,081,281 
          
Cash flow from financing activities
         
Proceeds from addition of shares   593,853,539   342,792,630 
Payment on shares redeemed   (238,826,906)   (608,616,690) 
          
Net cash provided by (used in) financing activities   355,026,633   (265,824,060) 
          
Net increase (decrease) in cash
   34,399,825   (62,742,779) 
Cash, beginning of period   206,562,147   194,935,341 
          
Cash, end of period  $240,961,972  $132,192,562 
          
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
 
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,461,838,252 and $1,034,967,523, respectively)
  $2,461,730,254   $1,034,986,384 
Cash
   837,010,929    1,651,161,384 
Segregated cash balances with brokers for futures contracts
   1,212,636,537    1,491,618,088 
Segregated cash balances with brokers for foreign currency forward contracts
   —      5,716,000 
Segregated cash balances with brokers for swap agreements
   —      107,967,985 
Unrealized appreciation on swap agreements
   45,175,073    80,135,841 
Unrealized appreciation on foreign currency forward contracts
   3,646,551    169,051 
Receivable from capital shares sold
   26,983,201    49,086,388 
Receivable on open futures contracts
   107,886,797    108,851,000 
Interest receivable
   86,353    66,871 
   
 
 
   
 
 
 
Total assets
   4,695,155,695    4,529,758,992 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   733,826    18,280,444 
Payable on open futures contracts
   18,349,282    27,874,393 
Brokerage commissions and
 
f
utures account
fees payable
   536,694    691,005 
Payable to Sponsor
   3,303,154    3,407,672 
Unrealized depreciation on swap agreements
   99,781,772    3,491,096 
Unrealized depreciation on foreign currency forward contracts
   515,216    1,714,898 
Securities purchased payable
   167,040,817    —   
Non-recurring fees and expenses payable
   48,070    48,070 
   
 
 
   
 
 
 
Total liabilities
   290,308,831    55,507,578 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   4,404,846,864    4,474,251,414 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $4,695,155,695   $4,529,758,992 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   106,498,980    228,676,695 
   
 
 
   
 
 
 
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively)  $2,327,838,468   $1,034,986,384 
Cash   778,499,094    1,651,161,384 
Segregated cash balances with brokers for futures contracts   1,069,584,913    1,491,618,088 
Segregated cash balances with brokers for foreign currency forward contracts   —      5,716,000 
Segregated cash balances with brokers for swap agreements   —      107,967,985 
Unrealized appreciation on swap agreements   83,740,160    80,135,841 
Unrealized appreciation on foreign currency forward contracts   2,836,253    169,051 
Receivable from capital shares sold   14,084,428    49,086,388 
Receivable on open futures contracts   155,985,619    108,851,000 
Interest receivable   40,866    66,871 
           
Total assets   4,432,609,801    4,529,758,992 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   66,045,047    18,280,444 
Payable on open futures contracts   24,303,801    27,874,393 
Brokerage commissions and futures account fees payable   470,680    691,005 
Payable to Sponsor   3,159,235    3,407,672 
Unrealized depreciation on swap agreements   100,167,433    3,491,096 
Unrealized depreciation on foreign currency forward contracts   429,828    1,714,898 
Non-recurring
fees and expenses payable
   75,570    48,070 
           
Total liabilities   194,651,594    55,507,578 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   4,237,958,207    4,474,251,414 
           
Total liabilities and shareholders’ equity  $4,432,609,801   $4,529,758,992 
           
Shares outstanding (Note 1)   133,773,980    228,676,695 
           
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Investment Income
                 
Interest
  $536,552  $1,023,264  $1,086,294  $8,522,978 
Expenses
                 
Management fee
   10,325,523   7,818,372   22,494,533   13,657,176 
Brokerage commissions
   1,992,098   2,257,884   4,895,898   4,004,340 
F
utures account
fees
   1,696,496   1,697,175   4,549,900   1,748,553 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   14,014,117   11,773,431   31,940,331   19,410,069 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,477,565)   (10,750,167)   (30,854,037)   (10,887,091) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (653,015,480)   (33,459,658)   (1,187,149,284)   281,718,169 
Swap agreements
   155,633,013   (688,092,389)   211,397,494   (967,431,474) 
Options
   —     —     —     (9,707,000) 
Foreign currency forward contracts
   757,734   (2,300,508)   1,921,025   (1,821,496) 
Short-term U.S. government and agency obligations
   2,137   120,464   21,898   296,898 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (496,622,596)   (723,732,091)   (973,808,867)   (696,944,903) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   328,994,435   148,611,325   71,883,297   428,141,480 
Swap agreements
   8,316,702   317,649,402   (131,251,444)   (23,462,512) 
Foreign currency forward contracts
   (2,047,874)   (975,734)   4,677,182   1,222,279 
Short-term U.S. government and agency obligations
   (233,144)   (1,031,867)   (126,859)   (70,750) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   335,030,119   464,253,126   (54,817,824)   405,830,497 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (161,592,477)   (259,478,965)   (1,028,626,691)   (291,114,406) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(175,070,042)  $(270,229,132)  $(1,059,480,728)  $(302,001,497) 
   
 
 
  
 
 
  
 
 
  
 
 
 
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Investment Income
                 
Interest  $225,068  $462,274  $1,311,362  $8,985,252 
                  
Expenses
                 
Management fee   9,892,153   11,098,146   32,386,686   24,755,322 
Brokerage commissions   1,808,557   2,304,413   6,704,455   6,308,753 
Futures account fees   1,447,030   2,459,918   5,996,930   4,208,471 
Non-recurring
fees and expenses
   27,500   75,802   27,500   75,802 
                  
Total expenses   13,175,240   15,938,279   45,115,571   35,348,348 
                  
Net investment income (loss)   (12,950,172)   (15,476,005)   (43,804,209)   (26,363,096) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (240,784,887)   (171,502,419)   (1,427,934,171)   110,215,750 
Swap agreements   (160,769,089)   173,110,242   50,628,405   (794,321,232) 
Options   —     —     —     (9,707,000) 
Foreign currency forward contracts   2,892,137   (8,394,521)   4,813,162   (10,216,017) 
Short-term U.S. government and agency obligations   (10,753)   (5)   11,145   296,893 
                  
Net realized gain (loss)   (398,672,592)   (6,786,703)   (1,372,481,459)   (703,731,606) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   158,443,180   (249,176,198)   230,326,477   178,965,282 
Swap agreements   38,179,426   (160,810,119)   (93,072,018)   (184,272,631) 
Foreign currency forward contracts   (724,910)   1,639,005   3,952,272   2,861,284 
Short-term U.S. government and agency obligations   88,814   9,658   (38,045)   (61,092) 
                  
Change in net unrealized appreciation (depreciation)   195,986,510   (408,337,654)   141,168,686   (2,507,157) 
                  
Net realized and unrealized gain (loss)   (202,686,082)   (415,124,357)   (1,231,312,773)   (706,238,763) 
                  
Net income (loss)
  $(215,636,254)  $(430,600,362)  $(1,275,116,982)  $(732,601,859) 
                  
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020,
and ProShares UltraPro 3x Short Crude Oil ETF through
April 13,
, 2020, the date of liquidation,
, respectively
.
respectively.
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Shareholders’ equity, beginning of period
  $4,534,203,653  $2,746,301,966  $4,474,251,414  $2,356,325,101 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 27,542,500, 91,670,750, 74,603,750 and 321,778,250 shares, respectively (Note 1)
   913,598,315   3,679,537,876   3,948,096,111   6,764,199,037 
Redemption of 19,336,261, 231,421,123, 56,988,761 and 275,369,873 shares, respectively (Note 1)
   (867,885,062)   (2,102,852,020)   (2,958,019,933)   (4,765,763,951) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 8,206,239, (139,750,373), 17,614,989 and 46,408,377 shares, respectively (Note 1)
   45,713,253   1,576,685,856   990,076,178   1,998,435,086 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,477,565)   (10,750,167)   (30,854,037)   (10,887,091) 
Net realized gain (loss)
   (496,622,596)   (723,732,091)   (973,808,867)   (696,944,903) 
Change in net unrealized appreciation (depreciation)
   335,030,119   464,253,126   (54,817,824)   405,830,497 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (175,070,042)   (270,229,132)   (1,059,480,728)   (302,001,497) 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $4,404,846,864  $4,052,758,690  $4,404,846,864  $4,052,758,690 
   
 
 
  
 
 
  
 
 
  
 
 
 
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Shareholders’ equity, beginning of period
  $4,404,846,864  $4,052,758,690  $4,474,251,414  $2,356,325,101 
                  
Addition of 74,900,000, 51,642,500, 149,503,750 and 373,420,750 shares, respectively (Note 1)   1,649,296,999   2,922,142,022   5,597,393,110   9,686,341,059 
Redemption of 47,625,000, 53,036,250, 104,613,761 and 328,406,123 shares, respectively (Note 1)   (1,600,549,402)   (2,015,018,595)   (4,558,569,335)   (6,780,782,546) 
                  
Net addition (redemption) of 27,275,000, (1,393,750), 44,889,989 and 45,014,627 shares, respectively
(Note 1)		   48,747,597   907,123,427   1,038,823,775   2,905,558,513 
                  
Net investment income (loss)   (12,950,172)   (15,476,005)   (43,804,209)   (26,363,096) 
Net realized gain (loss)   (398,672,592)   (6,786,703)   (1,372,481,459)   (703,731,606) 
Change in net unrealized appreciation (depreciation)   195,986,510   (408,337,654)   141,168,686   (2,507,157) 
                  
Net income (loss)   (215,636,254)   (430,600,362)   (1,275,116,982)   (732,601,859) 
                  
Shareholders’ equity, end of period
  $4,237,958,207  $4,529,281,755  $4,237,958,207  $4,529,281,755 
                  
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020,
and ProShares UltraPro 3x Short Crude Oil ETF through
April 13,
, 2020, the date of liquidation,
, respectively
.
respectively.
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
 
   
Six Months Ended
June 30,
 
  
2021
  
2020*
 
Cash flow from operating activities
         
Net income (loss)
  $(1,059,480,728)  $(302,001,497) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (5,451,274,846)   (2,127,562,658) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   4,024,989,152   2,565,919,168 
Net amortization and accretion on short-term U.S. government and agency obligations
   (563,137)   (5,099,914) 
Net realized gain (loss) on investments
   (21,898)   (296,898) 
Change in unrealized appreciation (depreciation) on investments
   126,701,121   22,310,983 
Decrease (Increase) in securities sold receivable
   —     (3,715,089) 
Decrease (Increase) in receivable on futures contracts
   964,203   (240,436,893) 
Decrease (Increase) in interest receivable
   (19,482)   827,864 
Increase (Decrease) in payable to Sponsor
   (104,518)   1,240,353 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   (154,311)   447,958 
Increase (Decrease) in payable on futures contracts
   (9,525,111)   99,068,861 
Increase (Decrease) in securities purchased payable
   167,040,817   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (2,201,448,738)   10,702,238 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   3,970,199,298   6,687,250,857 
Payment on shares redeemed
   (2,975,566,551)   (4,693,302,954) 
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   994,632,747   1,993,947,903 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (1,206,815,991)   2,004,650,141 
Cash, beginning of period
   3,256,463,457   1,190,195,205 
   
 
 
  
 
 
 
Cash, end of period
  $2,049,647,466  $3,194,845,346 
   
 
 
  
 
 
 
   
Nine Months Ended

September 30,
 
  
2021
  
2020*
 
Cash flow from operating activities
         
Net income (loss)  $(1,275,116,982)  $(732,601,859) 
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   (6,612,113,856)   (4,582,922,901) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   5,319,975,559   3,736,919,081 
Net amortization and accretion on short-term U.S. government and agency obligations   (740,687)   (5,453,567) 
Net realized gain (loss) on investments   (11,145)   (296,893) 
Change in unrealized appreciation (depreciation) on investments   89,157,791   181,472,439 
Decrease (Increase) in securities sold receivable   —     (242,309) 
Decrease (Increase) in receivable on futures contracts   (47,134,619)   (161,192,003) 
Decrease (Increase) in interest receivable   26,005   916,323 
Increase (Decrease) in payable to Sponsor   (248,437)   1,913,708 
Increase (Decrease) in brokerage commissions and futures account fees payable   (220,325)   583,315 
Increase (Decrease) in payable on futures contracts   (3,570,592)   (32,538,644) 
Increase (Decrease) in
non-recurring
fees and expenses payable
   27,500   —   
          
Net cash provided by (used in) operating activities   (2,529,969,788)   (1,593,443,310) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   5,632,395,070   9,655,286,527 
Payment on shares redeemed   (4,510,804,732)   (6,721,603,064) 
          
Net cash provided by (used in) financing activities   1,121,590,338   2,933,683,463 
          
Net increase (decrease) in cash
   (1,408,379,450)   1,340,240,153 
Cash, beginning of period   3,256,463,457   1,190,195,205 
          
Cash, end of period  $1,848,084,007  $2,530,435,358 
          
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020,
and ProShares 3x UltraPro 3x Short Crude Oil ETF through
April 13,
, 2020, the date of liquidation,
, respectively
.
respectively.
See accompanying notes to financial statements.
97
Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
JuneSeptember 30, 2021
(unaudited)
NOTE 1—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 JuneSeptember 30, 2021, the following 18 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 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 Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.
On March 15, 2020, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
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 14 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,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each “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 “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 Matching VIX Fund seeks investment results, before fees and expenses, both for 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,
1.5x, or 2x) 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 reverse Share splits for the Funds during the sixnine months ended JuneSeptember 30, 2021, and during the year ended December 31, 2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.
Fund
  
Execution Date
(Prior to Opening
of Trading)
  
Type of Split
  
Date Trading
Resumed at Post-
Split Price
    
ProShares Ultra Bloomberg Crude Oil
  April 20, 2020  
1-for-25 reverse Share split
  April 21, 2020
    
ProShares Ultra Bloomberg Natural Gas
  April 20, 2020  
1-for-10 reverse Share split
  April 21, 2020
    
ProShares Ultra VIX Short-Term Futures ETF
  May 25, 2021  
1-for-10 reverse Share split
  May 26, 2021
    
ProShares UltraShort Bloomberg Crude Oil
  May 25, 2021  
1-for-4 reverse Share split
  May 26, 2021
    
ProShares UltraShort Silver
  May 25, 2021  
1-for-4 reverse Share split
  May 26, 2021
    
ProShares VIX Short-Term Futures ETF
  May 25, 2021  
1-for-4 reverse Share split
  May 26, 2021
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”).
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
for the year ended December 31, 2020, as filed with the SEC on February 19, 2021.
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, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each 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.
 
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Statements of Cash Flows
The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated JuneSeptember 30, 2021 and 2020, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
Final Net Asset Value for Fiscal Period
The
cut-off
times and the times
o
f of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the sixnine months ended JuneSeptember 30, 2021 were typically as follows. All times are Eastern Standard Time:
Create/Redeem
NAV Calculation
NAV
Fund
Fund
Cut-off*
  
Create/Redeem
Cut-off*
NAV Calculation
Time
  
NAV
Calculation Date
Ultra Silver and UltraShort Silver  1:00 p.m.1:25 p.m.September 30, 2021
    
Ultra SilverGold and UltraShort Silver
Gold  1:00 p.m.  1:2530 p.m.  JuneSeptember 30, 2021
    
Ultra Gold and UltraShort Gold
1:00 p.m.Bloomberg Crude Oil,     1:30 p.m.
Ultra Bloomberg Natural Gas,     June 30, 2021 
UltraShort Bloomberg Crude Oil and		   
   
UltraShort Bloomberg Natural Gas		  2:00 p.m.2:30 p.m.September 30, 2021
    
Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and
UltraShort Bloomberg Natural Gas
2:00 p.m.Short Euro,     2:30 p.m.
Ultra Euro,     June 30, 2021 
Ultra Yen,		   
   
UltraShort Australian Dollar,		  
UltraShort Euro and
UltraShort Yen3:00 p.m.4:00 p.m.September 30, 2021
    
Short Euro,
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,
UltraShort Euro and
UltraShort Yen
VIX Short-Term Futures ETF**,		   3:00 p.m.4:00 p.m.June 30, 2021
      
Short VIX Short-Term Futures ETF**,
Ultra VIX Short-Term Futures ETF**,
VIX
Mid-Term
VIX Mid-Term Futures ETF** and
VIX Short-Term Futures ETF**  2:00 p.m.  4:00 p.m.  JuneSeptember 30, 2021
*
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 sixnine months ended JuneSeptember 30, 2021.
**
On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
Please see Note 8 in these Notes to Financial Statements for more information.
Market value per Share is determined at the close of the applicable primary listing exchange 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 sixnine months ended JuneSeptember 30, 2021.
 
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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, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short 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.
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.
 
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Table of Contents
The following table summarizes the valuation of investments at September 30, 2021 using the fair value hierarchy:
The following table summarizes the valuation of investments at June 30, 2021 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
  $—     $51,551  $—    $—    $51,551 
ProShares Short VIX Short-Term Futures ETF
   204,974,762    37,180,266   —     —     242,155,028 
ProShares Ultra Bloomberg Crude Oil
   932,884,626    316,052,610   —     39,747,504   1,288,684,740 
ProShares Ultra Bloomberg Natural Gas
   29,996,554    17,050,742   —     —     47,047,296 
ProShares Ultra Euro
   999,939    —     (235,496)   —     764,443 
ProShares Ultra Gold
   215,975,683    (4,255,713)   —     (22,651,877)   189,068,093 
ProShares Ultra Silver
   589,938,544    (15,029,699)   —     (77,129,895)   497,778,950 
ProShares Ultra VIX Short-Term Futures ETF
   209,989,065    (88,784,594)   —     —     121,204,471 
ProShares Ultra Yen
   999,825    —     (70,254)   —     929,571 
ProShares UltraShort Australian Dollar
   —      125,393   —     —     125,393 
ProShares UltraShort Bloomberg Crude Oil
   32,996,370    (18,944,617)   —     —     14,051,753 
ProShares UltraShort Bloomberg Natural Gas
   40,995,644    (17,418,146)   —     —     23,577,498 
ProShares UltraShort Euro
   27,996,580    —     2,745,250   —     30,741,830 
ProShares UltraShort Gold
   11,998,320    585,939   —     2,574,819   15,159,078 
ProShares UltraShort Silver
   16,997,804    271,891   —     2,852,750   20,122,445 
ProShares UltraShort Yen
   11,998,399    —     691,835   —     12,690,234 
ProShares VIX Mid-Term Futures ETF
   24,996,316    (5,834,987)   —     —     19,161,329 
ProShares VIX Short-Term Futures ETF
   107,991,823    (20,797,167)   —     —     87,194,656 
   
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total Trust
  
$
2,461,730,254
 
  
$
200,253,469
 
 
$
3,131,335
 
 
$
(54,606,699
) 
 
$
2,610,508,359
 
   
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  $—     $46,781  $—    $—    $46,781 
ProShares Short VIX Short-Term Fut
u
res ETF
   129,992,467    (6,181,978)   —     —     123,810,489 
ProShares Ultra Bloomberg Crude Oil   834,942,326    268,004,313   —     70,885,762   1,173,832,401 
ProShares Ultra Bloomberg Natural Gas   32,997,127    42,185,730   —     —     75,182,857 
ProShares Ultra Euro   999,916    —     (162,686)   —     837,230 
ProShares Ultra Gold   185,985,614    (3,936,408)   —     (7,406,864)   174,642,342 
ProShares Ultra Silver   494,966,819    (5,439,801)   —     (92,760,569)   396,766,449 
ProShares Ultra VIX Short-Term Futures ETF   274,984,707    90,018,882   —     7,933,765   372,937,354 
ProShares Ultra Yen   999,953    —     (59,266)   —     940,687 
ProShares UltraShort Australian Dollar   —      182,163   —     —     182,163 
ProShares UltraShort Bloomberg Crude Oil   32,997,116    (20,466,160)   —     —     12,530,956 
ProShares UltraShort Bloomberg Natural Gas   56,993,148    (35,288,843)   —     —     21,704,305 
ProShares UltraShort Euro   34,997,817    —     2,126,803   —     37,124,620 
ProShares UltraShort Gold   17,998,972    432,050   —     830,123   19,261,145 
ProShares UltraShort Silver   21,998,799    2,955,976   —     4,090,510   29,045,285 
ProShares UltraShort Yen   16,998,447    —     501,574   —     17,500,021 
ProShares VIX
Mid-Term
Futures ETF
   61,995,036    4,816,848   —     —     66,811,884 
ProShares VIX Short-Term Futures ETF   127,990,204    21,367,096   —     —     149,357,300 
                       
Total Trust
  
$
2,327,838,468
 
  
$
358,696,649
 
 
$
2,406,425
 
 
$
(16,427,273
) 
 
$
2,672,514,269
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The 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, 2020 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
  $—     $(44,626)  $—     $—    $(44,626) 
ProShares Short VIX Short-Term Futures ETF
   69,999,639    8,348,783   —      —     78,348,422 
ProShares Ultra Bloomberg Crude Oil
   219,998,394    144,564,039   —      18,242,195   382,804,628 
ProShares Ultra Bloomberg Natural Gas
   29,999,889    6,500,721   —      —     36,500,610 
ProShares Ultra Euro
   —      —     88,736    —     88,736 
ProShares Ultra Gold
   74,999,467    2,646,874   —      5,140,980   82,787,321 
ProShares Ultra Silver
   244,993,989    37,190,212   —      56,752,666   338,936,867 
ProShares Ultra VIX Short-Term Futures ETF
   244,995,969    (48,524,666)   —      (24,807)   196,446,496 
ProShares Ultra Yen
   —      —     67,087    —     67,087 
ProShares UltraShort Australian Dollar
   —      (138,950)   —      —     (138,950) 
ProShares UltraShort Bloomberg Crude Oil
   —      (14,636,813)   —      —     (14,636,813) 
The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy:
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Table of Contents
ProShares UltraShort Bloomberg Natural Gas
  
$
9,999,861   
$
379,310  
$
–  
$
–  
$
10,379,171 
ProShares UltraShort Euro
   9,999,861    –   (1,136,704)   –   8,863,157 
ProShares UltraShort Gold
   –    (196,930)   –   (268,728)   (465,658) 
ProShares UltraShort Silver
   –    (220,076)   –   (3,197,561)   (3,417,637) 
ProShares UltraShort Yen
   –    –   (564,966)   –   (564,966) 
ProShares VIX Mid-Term Futures ETF
   44,999,732    (1,133,616)   –   –   43,866,116 
ProShares VIX Short-Term Futures ETF
   84,999,583    (6,364,090)   –   –   78,635,493 
   
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
) 
 
$
76,644,745
 
 
$
1,238,455,454
 
 
   
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  $—     $(44,626)  $—    $—    $(44,626) 
ProShares Short VIX Short-Term Futures ETF   69,999,639    8,348,783   —     —     78,348,422 
ProShares Ultra Bloomberg Crude Oil   219,998,394    144,564,039   —     18,242,195   382,804,628 
ProShares Ultra Bloomberg Natural Gas   29,999,889    6,500,721   —     —     36,500,610 
ProShares Ultra Euro   —      —     88,736   —     88,736 
ProShares Ultra Gold   74,999,467    2,646,874   —     5,140,980   82,787,321 
ProShares Ultra Silver   244,993,989    37,190,212   —     56,752,666   338,936,867 
ProShares Ultra VIX Short-Term Futures ETF   244,995,969    (48,524,666)   —     (24,807)   196,446,496 
ProShares Ultra Yen   —      —     67,087   —     67,087 
ProShares UltraShort Australian Dollar   —      (138,950)   —     —     (138,950) 
ProShares UltraShort Bloomberg Crude Oil   —      (14,636,813)   —     —     (14,636,813) 
ProShares UltraShort Bloomberg Natural Gas   9,999,861    379,310   —     —     10,379,171 
ProShares UltraShort Euro   9,999,861    —     (1,136,704)   —     8,863,157 
ProShares UltraShort Gold   —      (196,930)   —     (268,728)   (465,658) 
ProShares UltraShort Silver   —      (220,076)   —     (3,197,561)   (3,417,637) 
ProShares UltraShort Yen   —      —     (564,966)   —     (564,966) 
ProShares VIX
Mid-Term
Futures ETF
   44,999,732    (1,133,616)   —     —     43,866,116 
ProShares VIX Short-Term Futures ETF   84,999,583    (6,364,090)   —     —     78,635,493 
                       
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
) 
 
$
76,644,745
 
 
$
1,238,455,454
 
*
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
Futures Account
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 ex
c
eedexceed 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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New Accounting Pronouncement
In March 2020, the FASB issued Accounting Standards Update
No. 2020-04 (“
(“ASU
2020-04”), “Reference
“Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU
2020-04
provides entities with optional guidance
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to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU
2020-04
allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.
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
a
re 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 exchange rate sensitivity, 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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Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
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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 or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.
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 JuneSeptember 30, 2021
contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.
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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 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 JuneSeptember 30, 2021, 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 the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
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
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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 JuneSeptember 30, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
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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 g
e
nerallygenerally 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 Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of September 30, 2021
               
      
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     $—       $6,181,978* 
   ProShares Ultra VIX Short-Term Futures ETF      97,952,647*      —   
   ProShares VIX
Mid-Term
Futures ETF		      4,816,848*      —   
   ProShares VIX Short-Term Futures ETF      21,367,096*      —   
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      338,890,075*      —   
   ProShares Ultra Bloomberg Natural Gas      42,185,730*      —   
   ProShares Ultra Gold      —        11,343,272* 
   ProShares Ultra Silver      —        98,200,370* 
   ProShares UltraShort Bloomberg Crude Oil      —        20,466,160* 
   ProShares UltraShort Bloomberg Natural Gas      —        35,288,843* 
   ProShares UltraShort Gold      1,262,173*      —   
   ProShares UltraShort Silver      7,046,486*      —   
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      46,781*      –   
   ProShares Ultra Euro      2,136      164,822 
   ProShares Ultra Yen      757      60,023 
   ProShares UltraShort Australian Dollar      182,163*      –   
   ProShares UltraShort Euro      2,284,006      157,203 
   ProShares UltraShort Yen      549,354      47,780 
                   
      
Total Trust
  
$
516,586,252
*
 
    
$
171,910,451
*
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on
open
futures.
 
Fair Value of Derivative Instruments as of June 30, 2021
 
    
      
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     $37,180,266*     $—   
   ProShares Ultra VIX Short-Term Futures ETF      —        88,784,594* 
   ProShares VIX Mid-Term Futures ETF      —        5,834,987* 
   ProShares VIX Short-Term Futures ETF      —        20,797,167* 
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      355,800,114*      —   
   ProShares Ultra Bloomberg Natural Gas      17,050,742*      —   
   ProShares Ultra Gold      —        26,907,590* 
   ProShares Ultra Silver      —        92,159,594* 
   ProShares UltraShort Bloomberg Crude Oil      —        18,944,617* 
   ProShares UltraShort Bloomberg Natural Gas      —        17,418,146* 
   ProShares UltraShort Gold      3,160,758*      —   
   ProShares UltraShort Silver      3,124,641*      —   
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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     $51,551*     $—   
   ProShares Ultra Euro      3,403      238,899 
   ProShares Ultra Yen      592      70,846 
   ProShares UltraShort Australian Dollar      125,393*      —   
   ProShares UltraShort Euro      2,806,798      61,548 
   ProShares UltraShort Yen      835,758      143,923 
         
 
 
     
 
 
 
      
Total Trust
  
$
420,140,016
*
 
    
$
271,361,911
*
 
Fair Value of Derivative Instruments as of December 31, 2020
               
      
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     $8,348,783*     $—   
   ProShares Ultra VIX Short-Term Futures ETF      —        48,549,473* 
   ProShares VIX
Mid-Term
Futures ETF		      147,915*      1,281,531* 
   ProShares VIX Short-Term Futures ETF      —        6,364,090* 
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      162,806,234*      —   
   ProShares Ultra Bloomberg Natural Gas      6,500,721*      —   
   ProShares Ultra Gold      7,787,854*      —   
   ProShares Ultra Silver      93,942,878*      —   
   ProShares UltraShort Bloomberg Crude Oil      —        14,636,813* 
   ProShares UltraShort Bloomberg Natural Gas      379,310*      —   
   ProShares UltraShort Gold      —        465,658* 
   ProShares UltraShort Silver      —        3,417,637* 
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      —        44,626* 
   ProShares Ultra Euro      89,103      367 
   ProShares Ultra Yen      67,235      148 
   ProShares UltraShort Australian Dollar      —        138,950* 
   ProShares UltraShort Euro      5,705      1,142,409 
   ProShares UltraShort Yen      7,008      571,974 
                   
      
Total Trust
  
$
280,082,746
*
 
    
$
76,613,676
*
 
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Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2021
             
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  $34,573,906  $(43,362,244) 
      ProShares Ultra VIX Short-Term Futures ETF   (198,380,990)   186,737,241 
      
ProShares VIX
Mid-Term
Futures ETF
   (4,024,133)   10,651,835 
      ProShares VIX Short-Term Futures ETF   (51,868,433)   42,164,263 
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   106,330,563   (16,910,039) 
      ProShares Ultra Bloomberg Natural Gas   33,925,711   25,134,988 
      ProShares Ultra Gold   (21,858,089)   15,564,318 
      ProShares Ultra Silver   (201,315,310)   (6,040,776) 
      ProShares UltraShort Bloomberg Crude Oil   (11,449,562)   (1,521,543) 
      ProShares UltraShort Bloomberg Natural Gas   (95,609,878)   (17,870,697) 
      ProShares UltraShort Gold   1,213,721   (1,898,585) 
      ProShares UltraShort Silver   6,662,145   3,921,845 
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   57,489   (4,770) 
      ProShares Ultra Euro   (254,219)   72,810 
      ProShares Ultra Yen   (25,554)   10,988 
      ProShares UltraShort Australian Dollar   188,884   56,770 
      ProShares UltraShort Euro   2,974,466   (618,447) 
      ProShares UltraShort Yen   197,444   (190,261) 
                
      
Total Trust
  
$
(398,661,839
) 
 
$
195,897,696
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
Fair Value of Derivative Instruments as of December 31, 2020
 
    
     
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     $8,348,783*     $—   
  ProShares Ultra VIX Short-Term Futures ETF      —        48,549,473* 
  ProShares VIX Mid-Term Futures ETF      147,915*      1,281,531* 
  ProShares VIX Short-Term Futures ETF      —        6,364,090* 
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      162,806,234*      —   
  ProShares Ultra Bloomberg Natural Gas      6,500,721*      —   
  ProShares Ultra Gold      7,787,854*      —   
  ProShares Ultra Silver      93,942,878*      —   
  ProShares UltraShort Bloomberg Crude Oil      —        14,636,813* 
  ProShares UltraShort Bloomberg Natural Gas      379,310*      —   
  ProShares UltraShort Gold      —        465,658* 
  ProShares UltraShort Silver      —        3,417,637* 
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The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 30, 2021
             
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  $168,120,340  $(14,530,761) 
      ProShares Ultra VIX Short-Term Futures ETF   (1,757,428,075)   146,502,120 
      
ProShares VIX
Mid-Term
Futures ETF
   (14,890,359)   5,950,464 
      ProShares VIX Short-Term Futures ETF   (304,349,667)   27,731,186 
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   761,187,450   176,083,841 
      ProShares Ultra Bloomberg Natural Gas   80,409,384   35,685,009 
      ProShares Ultra Gold   (27,599,854)   (19,131,126) 
      ProShares Ultra Silver   (80,034,280)   (192,143,248) 
      ProShares UltraShort Bloomberg Crude Oil   (86,637,748)   (5,829,347) 
      ProShares UltraShort Bloomberg Natural Gas   (112,274,576)   (35,668,153) 
      ProShares UltraShort Gold   (1,767,636)   1,727,831 
      ProShares UltraShort Silver   (2,146,662)   10,464,123 
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   88,710   91,407 
      ProShares Ultra Euro   (186,149)   (251,422) 
      ProShares Ultra Yen   (305,028)   (126,353) 
      ProShares UltraShort Australian Dollar   17,207   321,113 
      ProShares UltraShort Euro   2,249,236   3,263,507 
      ProShares UltraShort Yen   3,055,103   1,066,540 
                
      
Total Trust
  
$
(1,372,492,604
) 
 
$
141,206,731
 
 
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    $—       $44,626* 
   ProShares Ultra Euro      89,103      367 
   ProShares Ultra Yen      67,235      148 
   ProShares UltraShort Australian Dollar      —        138,950* 
   ProShares UltraShort Euro      5,705      1,142,409 
   ProShares UltraShort Yen      7,008      571,974 
      
Total Trust
  
$
280,082,746
*
 
    
$
76,613,676
*
 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2021
 
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
  $109,337,017  $(13,290,409) 
      
ProShares Ultra VIX Short-Term Futures ETF
   (854,529,061)   244,143,655 
      
ProShares VIX Mid-Term Futures ETF
   (14,405,542)   3,575,301 
      
ProShares VIX Short-Term Futures ETF
   (175,846,641)   39,005,837 
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
   320,505,659   157,999,797 
      
ProShares Ultra Bloomberg Natural Gas
   4,901,288   28,350,804 
      
ProShares Ultra Gold
   45,506,367   (33,461,145) 
      
ProShares Ultra Silver
   116,370,479   (48,336,770) 
      
ProShares UltraShort Bloomberg Crude Oil
   (26,010,421)   (9,944,438) 
110
Table of Contents
      
ProShares UltraShort Bloomberg Natural Gas
  $(10,305,304) $(33,691,003) 
      
ProShares UltraShort Gold
   (6,984,547) 3,807,080 
      
ProShares UltraShort Silver
   (5,876,456) (923,486) 
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
c
ontracts
          
      
ProShares Short Euro
   (38,172) 17,623 
      
ProShares Ultra Euro
   95,412 (13,092) 
      
ProShares Ultra Yen
   (140,007) 118,748 
      
ProShares UltraShort Australian Dollar
   (7,133) 58,291 
      
ProShares UltraShort Euro
   (795,757) (509,443) 
      
ProShares UltraShort Yen
   1,598,086 (1,644,087) 
         
 
 
 
 
 
      
Total Trust
  
$
(496,624,733
)
$
335,263,263
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2021
 
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 agreement
s
            
      
ProShares Short VIX Short-Term Futures ETF
  $133,546,434  $28,831,483 
      
ProShares Ultra VIX Short-Term Futures ETF
   (1,559,047,085)   (40,235,121) 
      
ProShares VIX Mid-Term Futures ETF
   (10,866,226)   (4,701,371) 
      
ProShares VIX Short-Term Futures ETF
   (252,481,234)   (14,433,077) 
Commodities Contracts  
Net r
e
alized gain (loss) on futures contracts, options and swap agreements/ changes in unrealized appreciation (depreciation)
o
n futures contracts and swap agreements
            
      
ProShares Ultra Bloomberg Crude Oil
   654,856,887   192,993,880 
111
Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
     
ProShares Ultra Bloomberg Natural Gas
  $46,483,673  $10,550,021 
      
ProShares Ultra Gold
   (5,741,765)   (34,695,444) 
      
ProShares Ultra Silver
   121,281,030   (186,102,472) 
      
ProShares UltraShort Bloomberg Crude Oil
   (75,188,186)   (4,307,804) 
      
ProShares UltraShort Bloomberg Natural Gas
   (16,664,698)   (17,797,456) 
      
ProShares UltraShort Gold
   (2,981,357)   3,626,416 
      
ProShares UltraShort Silver
   (8,808,807)   6,542,278 
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
   31,221   96,177 
      
ProShares Ultra Euro
   68,070   (324,232) 
      
ProShares Ultra Yen
   (279,474)   (137,341) 
      
ProShares UltraShort Australian Dollar
   (171,677)   264,343 
      
ProShares UltraShort Euro
   (725,230)   3,881,954 
      
ProShares UltraShort Yen
   2,857,659   1,256,801 
         
 
 
  
 
 
 
      
Total Trust
  
$
(973,830,765
) 
$
(54,690,965
)
For the three months ended September 30, 2020
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2020
 
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
  $54,615,763  $(22,216,796) 
      
ProShares Ultra VIX Short-Term Futures ETF
   (107,880,791)   (125,352,239) 
      
ProShares VIX Mid-Term Futures ETF
   13,196,415   (12,292,490) 
      
ProShares VIX Short-Term Futures ETF
   (845,717)   (51,742,832) 
Commodities Contracts  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
            
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  $60,593,315  $(1,463,210) 
      ProShares Ultra VIX Short-Term Futures ETF   (559,537,850)   15,302,015 
      
ProShares VIX
Mid-Term
Futures ETF
   755,845   1,751,675 
      ProShares VIX Short-Term Futures ETF   (75,120,135)   555,267 
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   285,954,263   (232,623,755) 
      ProShares Ultra Bloomberg Natural Gas   41,156,156   (4,754,372) 
      ProShares Ultra Gold   25,742,296   (18,057,616) 
      ProShares Ultra Silver   290,238,797   (199,321,544) 
      ProShares UltraShort Bloomberg Crude Oil   (16,296,829)   5,848,114 
      ProShares UltraShort Bloomberg Natural Gas   (31,450,011)   8,968,702 
      ProShares UltraShort Gold   (4,021,537)   2,688,730 
      ProShares UltraShort Silver   (15,896,820)   11,129,646 
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   (77,567)   (14,989) 
      ProShares Ultra Euro   441,714   (84,317) 
      ProShares Ultra Yen   126,569   (1,524) 
      ProShares UltraShort Australian Dollar   (432,100)   5,020 
      ProShares UltraShort Euro   (7,511,153)   1,523,931 
      ProShares UltraShort Yen   (1,451,651)   200,915 
                
      
Total Trust
  
$
(6,786,698
) 
 
$
(408,347,312
) 
112
Table of Contents
      
ProShares Ultra Bloomberg Crude Oil
  $(671,542,557)  $661,547,673 
      
ProShares Ultra Bloomberg Natural Gas
   (16,111,161)   4,884,617 
      
ProShares Ultra Gold
   4,365,328   25,953,698 
      
ProShares Ultra Silver
   11,386,313   69,421,367 
      
ProShares UltraShort Bloomberg Crude Oil
   (6,947,347)   (75,195,436) 
      
ProShares UltraShort Bloomberg Natural Gas
   5,236,641   (2,773,687) 
      
ProShares UltraShort Gold
   (2,089,271)   (2,636,926) 
      
ProShares UltraShort Silver
   (3,877,739)   (2,753,182) 
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
   (20,020)   (20,804) 
      
ProShares Ultra Euro
   (18,635)   97,408 
      
ProShares Ultra Yen
   (106,753)   68,867 
      
ProShares UltraShort Australian Dollar
   (1,037,904)   (562,236) 
      
ProShares UltraShort Euro
   (2,285,868)   (1,212,465) 
      
ProShares UltraShort Yen
   110,748   70,456 
         
 
 
  
 
 
 
      
Total Trust
  
$
(723,852,555
) 
$
465,284,993
 
The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2020
 
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 agreement
s
            
      
ProShares Short VIX Short-Term Futures ETF
  $(189,684,841)  $(1,242,994) 
      
ProShares Ultra VIX Short-Term Futures ETF
   618,204,440   51,029,622 
      
ProShares VIX Mid-Term Futures ETF
   20,952,940   3,670,640 
      
ProShares VIX Short-Term Futures ETF
   324,892,071   16,040,198 
113
Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 30, 2020
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  $(129,091,526)  $(2,706,204) 
      ProShares Ultra VIX Short-Term Futures ETF   58,666,590   66,331,637 
      
ProShares VIX
Mid-Term
Futures ETF
   21,708,785   5,422,315 
      ProShares VIX Short-Term Futures ETF   249,771,936   16,595,465 
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   (891,179,560)   106,147,368 
      ProShares Ultra Bloomberg Natural Gas   2,225,390   (4,336,578) 
      ProShares Ultra Gold   51,605,680   (11,257,214) 
      ProShares Ultra Silver   297,927,456   (215,072,789) 
      ProShares UltraShort Bloomberg Crude Oil   28,429,846   7,230,908 
      ProShares UltraShort Bloomberg Natural Gas   (20,587,193)   9,530,001 
      ProShares UltraShort Gold   (12,041,690)   2,727,600 
      ProShares UltraShort Silver   (18,932,319)   12,566,735 
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   (116,225)   31,531 
      ProShares Ultra Euro   369,811   (208,243) 
      ProShares Ultra Yen   11,333   48,104 
      ProShares UltraShort Australian Dollar   (799,054)   390,370 
      ProShares UltraShort Euro   (8,749,738)   3,449,397 
      ProShares UltraShort Yen   (1,847,423)   (427,974) 
                
      
Total Trust
  
$
(372,627,901
) 
 
$
(3,537,571
) 
 
113
Commodities Contracts  
Net realized gain (loss) on futures
contracts, options and swap
agreements/ changes in
unrealized appreciation
(depreciation) on futures
contracts and swap agreements
            
      
ProShares Ultra Bloomberg Crude Oil
  $(1,177,133,823)�� $338,771,123 
      
ProShares Ultra Bloomberg Natural Gas
   (38,930,766)   417,794 
      
ProShares Ultra Gold
   25,863,384   6,800,402 
      
ProShares Ultra Silver
   7,688,659   (15,751,245) 
      
ProShares UltraPro 3x Crude Oil ETF*
   (414,693,599)   (7,266,550) 
      
ProShares Ultra Pro 3x Short Crude Oil ETF*
   83,293,001   8,358,056 
      
ProShares UltraShort Bloomberg Crude Oil
   44,726,675   1,382,794 
      
ProShares UltraShort Bloomberg Natural Gas
   10,862,818   561,299 
      
ProShares UltraShort Gold
   (8,020,153)   38,870 
      
ProShares UltraShort Silver
   (3,035,499)   1,437,089 
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 contract
s
            
      
ProShares Short Euro
   (38,658)   46,520 
      
ProShares Ultra Euro
   (71,903)   (123,926) 
      
ProShares Ultra Yen
   (115,236)   49,628 
      
ProShares UltraShort Australian Dollar
   (366,954)   385,350 
      
ProShares UltraShort Euro
   (1,238,585)   1,925,466 
      
ProShares UltraShort Yen
   (395,772)   (628,889) 
         
 
 
  
 
 
 
      
Total Trust
  
$
(697,241,801
) 
 
$
405,901,247
 
Table of Contents
*
The operations
include the activity of ProShares UltraPro 3x Crude Oil ETF
through
April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13
, 2020, the date of liquidation
, respectively
.
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 s
i
milarsimilar 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 JuneSeptember 30, 2021.
 
114
Table of Contents
Fair Values of Derivative Instruments as of June 30, 2021
 
Fair Values of Derivative Instruments as of September 30, 2021
Fair Values of Derivative Instruments as of September 30, 2021
 
  
Assets
   
Liabilities
   
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
   
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
  $39,747,504   $0     $39,747,504   $0     $0     $0     $70,885,762   $0     $70,885,762   $0     $0     $0   
ProShares Ultra Euro
                                    
Foreign currency forward contracts
   3,403    0      3,403    238,899    0      238,899    2,136    0      2,136    164,822    0      164,822 
ProShares Ultra Gold
                                    
Swap agreements
   0      0      0      22,651,877    0      22,651,877    0      0      0      7,406,864    0      7,406,864 
ProShares Ultra Silver
                                    
Swap agreements   0      0      0      92,760,569    0      92,760,569 
ProShares Ultra VIX Short-Term Futures ETF                  
Swap agreements
   0      0      0      77,129,895    0      77,129,895    7,933,765    0      7,933,765    0      0      0   
ProShares Ultra Yen
                                    
Foreign currency forward contracts
   592    0      592    70,846    0      70,846    757    0      757    60,023    0      60,023 
ProShares UltraShort Euro
                                    
Foreign currency forward contracts
   2,806,798    0      2,806,798    61,548    0      61,548    2,284,006    0      2,284,006    157,203    0      157,203 
ProShares UltraShort Gold
                                    
Swap agreements
   2,574,819    0      2,574,819    0      0      0      830,123    0      830,123    0      0      0   
ProShares UltraShort Silver
                                    
Swap agreements
   2,852,750    0      2,852,750    0      0      0      4,090,510    0      4,090,510    0      0      0   
ProShares UltraShort Yen
                                    
Foreign currency forward contracts
   835,758    0      835,758    143,923    0      143,923    549,354    0      549,354    47,780    0      47,780 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at JuneSeptember 30, 2021. 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, 2021
 
Fund
  
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.
  $2,643,421  $0    $(2,370,000)  $273,421 
Goldman Sachs International
   9,378,129   (8,951,007)   0     427,122 
Morgan Stanley & Co.
International PLC
   12,143,057   0     (11,162,000)   981,057 
Societe Generale
   6,263,720   (5,747,447)   0     516,273 
UBS AG
   9,319,177   0     (8,600,000)   719,177 
ProShares Ultra Euro
                 
Goldman Sachs International
   (89,287)   89,287   0     0   
UBS AG
   (146,209)   146,209   0     0   
ProShares Ultra Gold
                 
Citibank, N.A.
   (7,799,090)   7,799,090   0     0   
Goldman Sachs International
   (6,739,676)   6,739,676   0     0   
UBS AG
   (8,113,111)   8,113,111   0     0   
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Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2021
 
Fund
  
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.  $10,910,833  $0    $(10,820,000)  $90,833 
Goldman Sachs International   15,436,191   (15,436,191)   0     0   
Morgan Stanley & Co. International PLC   18,898,011   0     (18,898,011)   0   
Societe Generale   10,305,144   (10,302,497)   (2,648)  0   
UBS AG   15,335,583   0     (15,200,000)   135,583 
ProShares Ultra Euro                 
Goldman Sachs International   (89,604)   89,604   0     0   
UBS AG   (73,082)   73,082   0     0   
ProShares Ultra Gold                 
Citibank, N.A.   (2,550,199)   2,550,199   0     0   
Goldman Sachs International   (2,203,785)   2,203,785   0     0   
UBS AG   (2,652,880)   2,652,880   0     0   
ProShares Ultra Silver                 
Citibank, N.A.   (28,588,785)   28,588,785   0     0   
Goldman Sachs International   (23,220,141)   23,220,141   0     0   
Morgan Stanley & Co. International PLC   (21,635,372)   21,635,372   0     0   
UBS AG   (19,316,271)   19,316,271   0     0   
ProShares Ultra VIX Short-Term Futures ETF                 
Goldman Sachs & Co.   7,933,765   (7,933,765)   0     0   
ProShares Ultra Yen                 
Goldman Sachs International   (34,487)   34,487   0     0   
UBS AG   (24,779)   24,779   0     0   
ProShares UltraShort Euro                 
Goldman Sachs International   1,000,511   (970,612)   0     29,899 
UBS AG   1,126,292   0     (1,070,000)   56,292 
ProShares UltraShort Gold                 
Citibank, N.A.   340,577   0     (340,577)   0   
Goldman Sachs International   223,115   (223,115)   0     0   
UBS AG   266,431   0     (266,431)   0   
ProShares UltraShort Silver                 
Citibank, N.A.   782,817   0     (782,817)   0   
Goldman Sachs International   1,036,372   (1,036,372)   0     0   
Morgan Stanley & Co. International PLC   819,178   0     (819,178)   0   
UBS AG   1,452,143   0     (1,452,143)   0   
ProShares UltraShort Yen                 
Goldman Sachs International   138,399   0     0     138,399 
UBS AG   363,175   0     (363,175)   0   
 
ProShares Ultra Silver
                     
Citibank, N.A.
 $ (22,036,546)  $22,036,546  $0    $ 0   
Goldman Sachs International
   (18,581,016)    18,581,016    0      0   
Morgan Stanley &
Co.
International PLC
   (17,312,866)    17,312,866    0      0   
UBS AG
   (19,199,468)    19,199,468    0      0   
ProShares Ultra
 
Yen
                    
Goldman Sachs International
   (41,036)    41,036    0      0   
UBS AG
   (29,219)    29,219    0      0   
ProShares UltraShort
Euro
                    
Goldman Sachs International
   1,308,287    (1,154,800)     0              153,487 
UBS AG
   1,436,963    0    (1,230,000)   206,963 
ProShares UltraShort
Gold
                    
Citibank, N.A.
   1,050,931    0      (1,030,000)    20,931 
Goldman Sachs International
   687,817    (687,817)    0      0   
UBS AG
   836,071    0      (810,000)    26,071 
ProShares UltraShort
Silver
                    
Citibank, N.A.
   625,413    0      (625,413)    0   
Goldman Sachs International
   827,985    (827,985)    0      0   
Morgan Stanley &
Co.
International PLC
   654,367    0      (654,367)    0   
UBS AG
   744,985    0      (744,985)    0   
ProShares UltraShort
Yen
                    
Goldman Sachs International
   115,905    0      0      115,905 
UBS AG
   575,930    0      (380,000)    195,930 
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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, 2020:
 
Fair Values of Derivative Instruments as of December 31, 2020
 
   
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
  $18,242,195   $0     $18,242,195   $0     $0     $0   
ProShares Ultra Euro
                              
Foreign currency forward contracts
   89,103    0      89,103    367    0      367 
ProShares Ultra Gold
                              
Swap agreements
   5,140,980    0      5,140,980    0      0      0   
ProShares Ultra Silver
                              
Swap agreements
   56,752,666    0      56,752,666    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF
                              
Swap agreements
   0      0      0      24,807    0      24,807 
ProShares Ultra Yen
                              
Foreign currency forward contracts
   67,235    0      67,235    148    0      148 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   5,705    0      5,705    1,142,409    0      1,142,409 
ProShares UltraShort Gold
                              
Swap agreements
   0      0      0      268,728    0      268,728 
ProShares UltraShort Silver
                              
Swap agreements
   0      0      0      3,197,561    0      3,197,561 
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   7,008    0      7,008    571,974    0      571,974 
Fair Values of Derivative Instruments as of December 31, 2020
 
   
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  $18,242,195   $0     $18,242,195   $0     $0     $0   
ProShares Ultra Euro Foreign currency forward contracts   89,103    0      89,103    367    0      367 
ProShares Ultra Gold Swap agreements   5,140,980    0      5,140,980    0      0      0   
ProShares Ultra Silver Swap agreements   56,752,666    0      56,752,666    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF Swap agreements   0      0      0      24,807    0      24,807 
ProShares Ultra Yen Foreign currency forward contracts   67,235    0      67,235    148    0      148 
ProShares UltraShort Euro Foreign currency forward contracts   5,705    0      5,705    1,142,409    0      1,142,409 
ProShares UltraShort Gold Swap agreements   0      0      0      268,728    0      268,728 
ProShares UltraShort Silver Swap agreements   0      0      0      3,197,561    0      3,197,561 
ProShares UltraShort Yen Foreign currency forward contracts   7,008    0      7,008    571,974    0      571,974 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2020. 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
o
f 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, 2020
 
   
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
                  
Goldman Sachs International
  $1,377,243   $(1,281,309)  $0    $95,934 
Morgan Stanley & Co. International PLC
   10,959,227    0     (10,629,000)   330,227 
Societe Generale
   1,679,334    (1,679,334)   0     0   
UBS AG
   4,226,391    (4,151,442)   (6,270)   68,679 
ProShares Ultra Euro
                  
Goldman Sachs International
   22,950    0     0     22,950 
UBS AG
   65,786    0     0     65,786 
ProShares Ultra Gold
                  
Citibank, N.A.
   1,770,050    0     (1,670,000)   100,050 
Goldman Sachs International
   1,529,612    (1,497,203)   0     32,409 
UBS AG
   1,841,318    0     0     1,841,318 
ProShares Ultra Silver
                  
Citibank, N.A.
   18,010,776    0     (18,010,776)   0   
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Goldman Sachs International
  $ 12,930,574  $ (12,930,574)  $ 0    $ 0   
Morgan Stanley & Co. International PLC
   12,353,706   0     (12,353,706)   0   
UBS AG
   13,457,610   (4,126,610)   (9,331,000)   0   
ProShares Ultra VIX Short-Term Futures ETF
                 
Goldman Sachs & Co.
   (24,807)   0     24,807   0   
ProShares Ultra Yen
                 
Goldman Sachs International
   34,265   0     0     34,265 
UBS AG
   32,822   0     0     32,822 
ProShares UltraShort Euro
                 
Goldman Sachs International
   (388,233)   0     388,233   0   
UBS AG
   (748,471)   748,471   0     0   
ProShares UltraShort Gold
                 
Citibank, N.A.
   (80,068)   0     80,068   0   
Goldman Sachs International
   (82,645)   0     82,645   0   
UBS AG
   (106,015)   0     106,015   0   
ProShares UltraShort Silver
                 
Citibank, N.A.
   (1,208,988)   0     1,208,988   0   
Goldman Sachs International
   (927,829)   0     927,829   0   
Morgan Stanley & Co. International PLC
   (579,421)   0     579,421   0   
UBS AG
   (481,323)   0     481,323   0   
ProShares UltraShort Yen
                 
Goldman Sachs International
   (207,021)   0     207,021   0   
UBS AG
   (357,945)   0     357,945   0   
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
 
   
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                 
Goldman Sachs International  $1,377,243  $(1,281,309)  $0    $95,934 
Morgan Stanley & Co. Internatio
n
al PLC
   10,959,227   0     (10,629,000)   330,227 
Societe Generale   1,679,334   (1,679,334)   0     0   
UBS AG   4,226,391   (4,151,442)   (6,270)   68,679 
ProShares Ultra Euro                 
Goldman Sachs International   22,950   0     0     22,950 
UBS AG   65,786   0     0     65,786 
ProShares Ultra Gold                 
Citibank, N.A.   1,770,050   0     (1,670,000)   100,050 
Goldman Sachs International   1,529,612   (1,497,203)   0     32,409 
UBS AG   1,841,318   0     0     1,841,318 
ProShares Ultra Silver                 
Citibank, N.A.   18,010,776   0     (18,010,776)   0   
Goldman Sachs International   12,930,574   (12,930,574)   0     0   
Morgan Stanley & Co. International PLC   12,353,706   0     (12,353,706)   0   
UBS AG   13,457,610   (4,126,610)   (9,331,000)   0   
ProShares Ultra VIX Short-Term Futures ETF                 
Goldman Sachs & Co.   (24,807)   0     24,807   0   
ProShares Ultra Yen                 
Goldman Sachs International   34,265   0     0     34,265 
UBS AG   32,822   0     0     32,822 
ProShares UltraShort Euro                 
Goldman Sachs International   (388,233)   0     388,233   0   
UBS AG   (748,471)   748,471   0     0   
ProShares UltraShort Gold                 
Citibank, N.A.   (80,068)   0     80,068   0   
Goldman Sachs International   (82,645)   0     82,645   0   
UBS AG   (106,015)   0     106,015   0   
ProShares UltraShort Silver                 
Citibank, N.A.   (1,208,988)   0     1,208,988   0   
Goldman Sachs International   (927,829)   0     927,829   0   
Morgan Stanley & Co. International PLC   (579,421)   0     579,421   0   
UBS AG   (481,323)   0     481,323   0   
ProShares UltraShort Yen                 
Goldman Sachs International   (207,021)   0     207,021   0   
UBS AG   (357,945)   0     357,945   0   
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
BNY Mellon Asset Servicing, a division of 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
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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.
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.
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.
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. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION 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.
 
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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 and sixnine months ended JuneSeptember 30, 2021 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
Fund
  
Three Months Ended
September 30, 2021
   
Nine Months Ended
September 30, 2021
 
ProShares Short Euro  $0     $0   
ProShares Short VIX Short-Term Futures ETF   75,629    139,978 
ProShares Ultra Bloomberg Crude Oil   0      0   
ProShares Ultra Bloomberg Natural Gas   0      0   
ProShares Ultra Euro   0      0   
ProShares Ultra Gold   0      0   
ProShares Ultra Silver   0      0   
ProShares Ultra VIX Short-Term Futures ETF   908,895    2,277,545 
ProShares Ultra Yen   0      0   
ProShares UltraShort Australian Dollar   0      0   
ProShares UltraShort Bloomberg Crude Oil   0      0   
ProShares UltraShort Bloomberg Natural Gas   0      0   
ProShares UltraShort Euro   0      0   
ProShares UltraShort Gold   0      0   
ProShares UltraShort Silver   0      0   
ProShares UltraShort Yen   0      0   
ProShares VIX
Mid-Term
Futures ETF
   13,723    32,535 
ProShares VIX Short-Term Futures ETF   81,985    314,310 
           
Total Trust
  $1,080,232   $2,764,368 
Fund
  
Three Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2021
 
ProShares Short Euro
  $0     $0   
ProShares Short VIX Short-Term Futures ETF
   22,282    64,349 
ProShares Ultra Bloomberg Crude Oil
   0      0   
ProShares Ultra Bloomberg Natural Gas
   0      0   
ProShares Ultra Euro
   0      0   
ProShares Ultra Gold
   0      0   
ProShares Ultra Silver
   0      0   
ProShares Ultra VIX Short-Term Futures ETF
   391,330    1,368,650 
ProShares Ultra Yen
   0      0   
ProShares UltraShort Australian Dollar
   0      0   
ProShares UltraShort Bloomberg Crude Oil
   0      0   
ProShares UltraShort Bloomberg Natural Gas
   0      0   
ProShares UltraShort Euro
   0      0   
ProShares UltraShort Gold
   0      0   
ProShares UltraShort Silver
   0      0   
ProShares UltraShort Yen
   0      0   
ProShares VIX Mid-Term Futures ETF
   11,690    18,812 
ProShares VIX Short-Term Futures ETF
   79,089    232,325 
   
 
 
   
 
 
 
Total Trust
  $504,391   $1,684,136 
120
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Table of Contents
NOTE 7 – FINANCIAL HIGHLIGHTS
Selected data is for a Share o
u
tstandingoutstanding throughout the three months ended JuneSeptember 30, 2021
For the Three Months Ended JuneSeptember 30, 2021 (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 June 30, 2021  $43.18  $55.61  $78.24  $35.33  $14.67  $57.28 
Net investment income (loss)   (0.10)   (0.19)   (0.20)   (0.14)   (0.03)   (0.14) 
Net realized and unrealized gain (loss)#   1.06   (0.96)   6.43   48.28   (0.72)   (1.50) 
Change in net asset value from operations   0.96   (1.15)   6.23   48.14   (0.75)   (1.64) 
Net asset value, at September 30, 2021  $44.14  $54.46  $84.47  $83.47  $13.92  $55.64 
Market value per share, at June 30, 2021
†
  $43.14  $55.55  $78.23  $37.17  $14.66  $57.22 
Market value per share, at September 30, 2021
†
  $44.16  $54.39  $84.22  $82.30  $13.92  $55.59 
Total Return, at net asset value^
   2.3%   (2.1)%   8.0%   136.3%   (5.1)%   (2.9)% 
Total Return, at market value^
   2.4%   (2.1)%   7.7%   121.4%   (5.1)%   (2.9)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.96%   1.33%   1.10%   1.30%   0.95%   1.00% 
Net investment income gain (loss)   (0.92)%   (1.32)%   (1.07)%   (1.25)%   (0.91)%   (0.97)% 
 
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 March 31, 2021
  $43.69  $47.13  $52.56  $21.31  $14.45  $54.32 
Net investment income (loss)
   (0.10)   (0.17)   (0.17)   (0.08)   (0.03)   (0.14) 
Net realized and unrealized gain (loss)#
   (0.41)   8.65   25.85   14.10   0.25   3.10 
Change in net asset value from operations
   (0.51)   8.48   25.68   14.02   0.22   2.96 
Net asset value, at June 30, 2021
  $43.18  $55.61  $78.24  $35.33  $14.67  $57.28 
Market value per share, at March 31, 2021
†
  $43.52  $47.10  $52.85  $21.20  $14.47  $53.91 
Market value per share, at June 30, 2021
†
  $43.14  $55.55  $78.23  $37.17  $14.66  $57.22 
Total Return, at net asset value^
   (1.2)%   18.0%   48.9%   65.8%   1.6%   5.5% 
Total Return, at market value^
   (0.9)%   17.9%   48.0%   75.3%   1.3%   6.1% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.96%   1.37%   1.13%   1.42%   0.95%   0.99% 
Net investment income gain (loss)
   (0.91)%   (1.35)%   (1.09)%   (1.35)%   (0.91)%   (0.95)% 
**
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2021.
^^
The expense ratio would be 0.95%
0.95
%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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Table of Contents
For the Three Months Ended JuneSeptember 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at March 31, 2021
  $41.35  $56.32  $51.78  $45.18  $28.80  $39.14 
Net investment income (loss)
   (0.12)   (0.17)   (0.12)   (0.11)   (0.06)   (0.12) 
Net realized and unrealized gain (loss)#
   4.74   (28.24)   (0.42)   1.02   (10.63)   (17.47) 
Change in net asset value from operations
   4.62   (28.41)   (0.54)   0.91   (10.69)   (17.59) 
Net asset value, at June 30, 2021
  $45.97  $27.91  $51.24  $46.09  $18.11  $21.55 
Market value per share, at March 31, 2021
†
  $41.10  $56.50  $51.78  $45.19  $28.60  $39.32 
Market value per share, at June 30, 2021
†
  $46.12  $27.98  $51.26  $45.96  $18.11  $20.44 
Total Return, at net asset value^
   11.2%   (50.5)%   (1.1)%   2.0%   (37.1)%   (44.9)% 
Total Return, at market value^
   12.2%   (50.5)%   (1.0)%   1.7%   (36.7)%   (48.0)%
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.00%   1.73%   0.95%   1.02%   1.19%   1.60% 
Net investment income gain (loss)
   (0.96)%   (1.65)%   (0.90)%   (0.97)%   (1.10)%   (1.56)% 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
                    
Net asset value, at June 30, 2021  $45.97  $27.91  $51.24  $46.09  $18.11  $21.55 
Net investment income (loss)   (0.10)   (0.11)   (0.12)   (0.12)   (0.05)   (0.05) 
Net realized and unrealized gain (loss)#   (14.16)   (3.37)   (0.29)   3.17   (2.93)   (14.48) 
Change in net asset value from operations   (14.26)   (3.48)   (0.41)   3.05   (2.98)   (14.53) 
Net asset value, at September 30, 2021  $31.71  $24.43  $50.83  $49.14  $15.13  $7.02 
Market value per share, at June 30, 2021
†
  $46.12  $27.98  $51.26  $45.96  $18.11  $20.44 
Market value per share, at September 30, 2021
†
  $31.99  $24.55  $50.82  $49.16  $15.18  $7.12 
Total Return, at net asset value^
   (31.0)%   (12.5)%   (0.8)%   6.6%   (16.5)%   (67.4)% 
Total Return, at market value^
   (30.6)%   (12.3)%   (0.9)%   7.0%   (16.2)%   (65.2)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.00%   1.71%   0.95%   1.05%   1.17%   1.35% 
Net investment income gain (loss)   (0.97)%   (1.71)%   (0.91)%   (1.01)%   (1.14)%   (1.32)% 
 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the Three Months Ended JuneSeptember 30, 2021 (unaudited)
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at June 30, 2021  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Net investment income (loss)   (0.06)   (0.08)   (0.07)   (0.17)   (0.08)   (0.07) 
Net realized and unrealized gain (loss)#   1.19   0.21   7.97   0.16   1.79   (1.34) 
Change in net asset value from operations   1.13   0.13   7.90   (0.01)   1.71   (1.41) 
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at June 30, 2021
†
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Market value per share, at September 30, 2021
†
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Total Return, at net asset value^
   4.8%   0.4%   33.8%   (0.0)%
@
 		  5.6%   (5.8)% 
Total Return, at market value^
   4.7%   0.4%   33.0%   (0.0)%
@
 		  5.8%   (5.3)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.95%   1.02%   1.10%   0.95%   1.04%   1.17% 
Net investment income gain (loss)   (0.91)%   (0.98)%   (1.07)%   (0.91)%   (1.01)%   (1.16)% 
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2021
  $24.41  $37.60  $27.92  $77.73  $34.74  $37.29 
Net investment income (loss)
   (0.05)   (0.08)   (0.06)   (0.17)   (0.08)   (0.09) 
Net realized and unrealized gain (loss)#
   (0.55)   (2.85)   (4.49)   0.40   (4.15)   (13.11) 
Change in net asset value from operations
   (0.60)   (2.93)   (4.55)   0.23   (4.23)   (13.20) 
Net asset value, at June 30, 2021
  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Market value per share, at March 31, 2021
†
  $24.42  $37.89  $28.04  $77.75  $35.06  $37.40 
Market value per share, at June 30, 2021
†
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Total Return, at net asset value^
   (2.5)%   (7.8)%   (16.3)%   0.3%   (12.2)%   (35.6)% 
Total Return, at market value^
   (2.5)%   (8.4)%   (17.0)%   0.3%   (12.9)%   (35.4)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95%   1.01%   1.05%   0.95%   1.07%   1.19% 
Net investment income gain (loss)
   (0.90)%   (0.96)%   (1.02)%   (0.90)%   (1.03)%   (1.14)% 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
@Amount represents greater than (0.05)%.
 
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Table of Contents
Selected data for a Share o
u
tstandingoutstanding throughout the three months ended JuneSeptember 30, 2020
For the Three Months Ended JuneSeptember 30, 2020 (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 June 30, 2020  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Net investment income (loss)   (0.11)   (0.11)   (0.10)   (0.14)   (0.03)   (0.17) 
Net realized and unrealized gain (loss)#   (1.85)   4.08   0.25   6.19   1.13   4.05 
Change in net asset value from operations   (1.96)   3.97   0.15   6.05   1.10   3.88 
Net asset value, at September 30, 2020  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at June 30, 2020
†
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Market value per share, at September 30, 2020
†
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   (4.3)%   12.6%   0.5%   21.4%   8.1%   6.0% 
Total Return, at market value^
   (3.5)%   12.7%   (0.8)%   22.1%   7.9%   5.8% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.98%   1.36%   1.32%   1.61%   0.96%   1.00% 
Net investment income gain (loss)   (0.95)%   (1.31)%   (1.31)%   (1.54)%   (0.93)%   (0.92)% 
 
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 March 31, 2020
  $46.66  $31.02  $40.15  $41.82  $13.16  $52.44 
Net investment income (loss)
   (0.11)   (0.10)   (0.08)   (0.13)   (0.03)   (0.12) 
Net realized and unrealized gain (loss)#
   (0.82)   0.48   (11.48)   (13.38)   0.43   12.66 
Change in net asset value from operations
   (0.93)   0.38   (11.56)   (13.51)   0.40   12.54 
Net asset value, at June 30, 2020
  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Market value per share, at March 31, 2020
†
  $45.09  $31.01  $39.75  $42.60  $13.15  $52.00 
Market value per share, at June 30, 2020
†
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Total Return, at net asset value^
   (2.0)%   1.2%   (29.0)%   (32.2)%   3.0%   23.9% 
Total Return, at market value^
   (0.6)%   1.6%   (27.9)%   (33.4)%   3.2%   24.7% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.97%   1.34%   1.47%   1.82%   0.95%   1.00% 
Net investment income gain (loss)
   (0.96)%   (1.28)%   (1.35)%   (1.40)%   (0.93)%   (0.80)% 
**
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the Three Months Ended JuneSeptember 30, 2020 (unaudited)
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
                    
Net asset value, at June 30, 2020  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Net investment income (loss)   (0.12)   (0.97)   (0.13)   (0.13)   (0.22)   (0.16) 
Net realized and unrealized gain (loss)#   12.81   (126.77)   2.50   (4.27)   (6.50)   (28.73) 
Change in net asset value from operations   12.69   (127.74)   2.37   (4.40)   (6.72)   (28.89) 
Net asset value, at September 30, 2020  $42.25  $201.54  $57.69  $51.74  $66.46  $38.32 
Market value per share, at June 30, 2020
†
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Market value per share, at September 30, 2020
†
  $41.77  $199.20  $57.69  $51.67  $67.08  $38.01 
Total Return, at net asset value^
   42.9%   (38.8)%   4.3%   (7.8)%   (9.2)%   (43.0)% 
Total Return, at market value^
   42.4%   (39.2)%   4.3%   (7.8)%   (8.1)%   (43.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.04%   1.67%   0.96%   1.03%   1.39%   1.77% 
Net investment income gain (loss)   (0.97)%   (1.64)%   (0.94)%   (1.01)%   (1.37)%   (1.71)% 
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at March 31, 2020
  $18.42  $585.16  $56.21  $72.30  $196.27  $63.38 
Net investment income (loss)
   (0.05)   (1.50)   (0.13)   (0.16)   (0.61)   (0.32) 
Net realized and unrealized gain (loss)#
   11.19   (254.38)   (0.76)   (16.00)   (122.48)   4.15 
Change in net asset value from operations
   11.14   (255.88)   (0.89)   (16.16)   (123.09)   3.83 
Net asset value, at June 30, 2020
  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Market value per share, at March 31, 2020
†
  $18.44  $585.60  $56.19  $72.06  $199.96  $62.02 
Market value per share, at June 30, 2020
†
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Total Return, at net asset value^
   60.5%   (43.7)%   (1.6)%   (22.4)%   (62.7)%   6.1% 
Total Return, at market value^
   59.1%   (44.0)%   (1.6)%   (22.2)%   (63.5)%   8.4% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.06%   1.61%   0.95%   1.04%   2.14%   2.30% 
Net investment income gain (loss)
   (0.75)%   (1.54)%   (0.94)%   (1.03)%   (2.12)%   (2.27)% 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
125
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Table of Contents
For the Three Months Ended JuneSeptember 30, 2020 (unaudited)
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at June 30, 2020  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Net investment income (loss)   (0.05)   (0.08)   (0.09)   (0.16)   (0.10)   (0.26) 
Net realized and unrealized gain (loss)#   (2.19)   (3.34)   (39.64)   (3.49)   0.69 �� (29.31) 
Change in net asset value from operations   (2.24)   (3.42)   (39.73)   (3.65)   0.59   (29.57) 
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at June 30, 2020
†
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Market value per share, at September 30, 2020
†
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Total Return, at net asset value^
   (8.4)%   (9.7)%   (50.6)%   (4.9)%   1.5%   (26.5)% 
Total Return, at market value^
   (8.4)%   (9.5)%   (50.4)%   (4.9)%   1.1%   (26.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97%   1.03%   1.11%   0.96%   1.07%   1.20% 
Net investment income gain (loss)   (0.85)%   (0.99)%   (1.07)%   (0.88)%   (1.01)%   (1.15)% 
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2020
  $27.82  $46.02  $146.14  $74.10  $38.74  $151.83 
Net investment income (loss)
   (0.04)   (0.09)   (0.28)   (0.16)   (0.09)   (0.29) 
Net realized and unrealized gain (loss)#
   (1.05)   (10.47)   (67.36)   0.66   1.75   (39.84) 
Change in net asset value from operations
   (1.09)   (10.56)   (67.64)   0.50   1.66   (40.13) 
Net asset value, at June 30, 2020
  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Market value per share, at March 31, 2020
†
  $27.76  $46.28  $146.64  $74.11  $38.44  $151.72 
Market value per share, at June 30, 2020
†
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Total Return, at net asset value^
   (3.9)%   (22.9)%   (46.3)%   0.7%   4.3%   (26.4)% 
Total Return, at market value^
   (3.7)%   (23.1)%   (46.1)%   0.6%   4.7%   (26.8)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95%   1.02%   1.17%   0.95%   1.10%   1.21% 
Net investment income gain (loss)
   (0.65)%   (0.97)%   (1.14)%   (0.88)%   (0.91)%   (0.95)% 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.96%0.95%, 0.95%, 0.85%, and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
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Selected data for a Share o
u
tstandingoutstanding throughout the sixnine months ended JuneSeptember 30, 2021
For the SixNine Months Ended JuneSeptember 30, 2021 (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, 2020  $41.92  $41.42  $36.38  $21.00  $15.79  $67.57 
Net investment income (loss)   (0.29)   (0.49)   (0.49)   (0.29)   (0.10)   (0.43) 
Net realized and unrealized gain (loss)#   2.51   13.53   48.58   62.76   (1.77)   (11.50) 
Change in net asset value from operations   2.22   13.04   48.09   62.47   (1.87)   (11.93) 
Net asset value, at September 30, 2021  $44.14  $54.46  $84.47  $83.47  $13.92  $55.64 
Market value per share, at December 31, 2020
†
  $41.35  $41.44  $36.27  $21.07  $15.81  $68.20 
Market value per share, at September 30, 2021
†
  $44.16  $54.39  $84.22  $82.30  $13.92  $55.59 
Total Return, at net asset value^
   5.2%   31.5%   132.2%   297.6%   (11.9)%   (17.7)% 
Total Return, at market value^
   6.8%   31.3%   132.2%   290.7%   (11.9)%   (18.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97%   1.35%   1.11%   1.47%   0.95%   1.00% 
Net investment income gain (loss)   (0.91)%   (1.33)%   (1.07)%   (1.41)%   (0.90)%   (0.97)% 
 
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, 2020
  $41.92  $41.42  $36.38  $21.00  $15.79  $67.57 
Net investment income (loss)
   (0.19)   (0.31)   (0.30)   (0.17)   (0.07)   (0.29) 
Net realized and unrealized gain (loss)#
   1.45   14.50   42.16   14.50   (1.05)   (10.00) 
Change in net asset value from operations
   1.26   14.19   41.86   14.33   (1.12)   (10.29) 
Net asset value, at June 30, 2021
  $43.18  $55.61  $78.24  $35.33  $14.67  $57.28 
Market value per share, at December 31, 2020
†
  $41.35  $41.44  $36.27  $21.07  $15.81  $68.20 
Market value per share, at June 30, 2021
†
  $43.14  $55.55  $78.23  $37.17  $14.66  $57.22 
Total Return, at net asset value^
   3.0%   34.3%   115.0%   68.3%   (7.1)%   (15.2)% 
Total Return, at market value^
   4.3%   34.1%   115.7%   76.4%   (7.3)%   (16.1)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.97%   1.36%   1.11%   1.53%   0.95%   1.01% 
Net investment income gain (loss)
   (0.91)%   (1.33)%   (1.06)%   (1.47)%   (0.90)%   (0.96)% 
**
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the SixNine Months Ended JuneSeptember 30, 2021 (unaudited)
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
                    
Net asset value, at December 31, 2020  $50.71  $106.68  $59.83  $44.45  $46.45  $47.59 
Net investment income (loss)   (0.33)   (0.59)   (0.36)   (0.34)   (0.21)   (0.23) 
Net realized and unrealized gain (loss)#   (18.67)   (81.66)   (8.64)   5.03   (31.11)   (40.34) 
Change in net asset value from operations   (19.00)   (82.25)   (9.00)   4.69   (31.32)   (40.57) 
Net asset value, at September 30, 2021  $31.71  $24.43  $50.83  $49.14  $15.13  $7.02 
Market value per share, at December 31, 2020
†
  $51.28  $106.50  $59.82  $43.89  $46.56  $47.38 
Market value per share, at September 30, 2021
†
  $31.99  $24.55  $50.82  $49.16  $15.18  $7.12 
Total Return, at net asset value^
   (37.5)%   (77.1)%   (15.0)%   10.6%   (67.4)%   (85.3)% 
Total Return, at market value^
   (37.6)%   (77.0)%   (15.1)%   12.0%   (67.4)%   (85.0)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.03%   1.75%   0.95%   1.04%   1.24%   1.49% 
Net investment income gain (loss)   (0.98)%   (1.71)%   (0.90)%   (0.99)%   (1.18)%   (1.45)% 
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at December 31, 2020
  $50.71  $106.68  $59.83  $44.45  $46.45  $47.59 
Net investment income (loss)
   (0.24)   (0.55)   (0.25)   (0.21)   (0.16)   (0.26) 
Net realized and unrealized gain (loss)#
   (4.50)   (78.22)   (8.34)   1.85   (28.18)   (25.78) 
Change in net asset value from operations
   (4.74)   (78.77)   (8.59)   1.64   (28.34)   (26.04) 
Net asset value, at June 30, 2021
  $45.97  $27.91  $51.24  $46.09  $18.11  $21.55 
Market value per share, at December 31, 2020
†
  $51.28  $106.50  $59.82  $43.89  $46.56  $47.38 
Market value per share, at June 30, 2021
†
  $46.12  $27.98  $51.26  $45.96  $18.11  $20.44 
Total Return, at net asset value^
   (9.4)%   (73.8)%   (14.4)%   3.7%   (61.0)%   (54.7)% 
Total Return, at market value^
   (10.1)%   (73.7)%   (14.3)%   4.7%   (61.1)%   (56.9)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.04%   1.76%   0.95%   1.02%   1.27%   1.60% 
Net investment income gain (loss)
   (0.99)%   (1.71)%   (0.90)%   (0.97)%   (1.20)%   (1.56)% 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the SixNine Months Ended Ju
n
eSeptember 30, 2021 (unaudited)
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at December 31, 2020  $22.53  $31.43  $27.73  $67.83  $36.73  $55.03 
Net investment income (loss)   (0.16)   (0.25)   (0.20)   (0.50)   (0.25)   (0.28) 
Net realized and unrealized gain (loss)#   2.57   3.62   3.74   10.62   (4.26)   (32.07) 
Change in net asset value from operations   2.41   3.37   3.54   10.12   (4.51)   (32.35) 
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at December 31, 2020
†
  $22.52  $31.14  $27.40  $67.81  $36.70  $54.96 
Market value per share, at September 30, 2021
†
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Total Return, at net asset value^
   10.7%   10.7%   12.8%   14.9%   (12.3)%   (58.8)% 
Total Return, at market value^
   10.7%   11.8%   13.0%   15.0%   (12.0)%   (58.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.95%   1.03%   1.10%   0.95%   1.05%   1.23% 
Net investment income gain (loss)   (0.90)%   (0.99)%   (1.07)%   (0.90)%   (1.01)%   (1.19)% 
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2020
  $22.53  $31.43  $27.73  $67.83  $36.73  $55.03 
Net investment income (loss)
   (0.10)   (0.17)   (0.13)   (0.33)   (0.18)   (0.23) 
Net realized and unrealized gain (loss)#
   1.38   3.41   (4.23)   10.46   (6.04)   (30.71) 
Change in net asset value from operations
   1.28   3.24   (4.36)   10.13   (6.22)   (30.94) 
Net asset value, at June 30, 2021
  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Market value per share, at December 31, 2020
†
  $22.52  $31.14  $27.40  $67.81  $36.70  $54.96 
Market value per share, at June 30, 2021
†
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Total Return, at net asset value^
   5.7%   10.3%   (15.7)%   15.0%   (16.9)%   (56.2)% 
Total Return, at market value^
   5.8%   11.4%   (15.0)%   14.9%   (16.8)%   (56.2)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95%   1.04%   1.10%   0.95%   1.05%   1.25% 
Net investment income gain (loss)
   (0.90)%   (0.99)%   (1.07)%   (0.90)%   (1.00)%   (1.21)% 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
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Table of Contents
Selected data for a Share outstanding throughout the sixnine months ended JuneSeptember 30, 2020
For the SixNine Months Ended JuneSeptember 30, 2020 (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, 2019  $45.64  $65.62  $509.23  $83.97  $13.79  $49.21 
Net investment income (loss)   (0.18)   (0.28)   (0.25)   (0.35)   (0.05)   (0.28) 
Net realized and unrealized gain (loss)#   (1.69)   (29.97)   (480.24)   (49.26)   0.92   19.93 
Change in net asset value from operations   (1.87)   (30.25)   (480.49)   (49.61)   0.87   19.65 
Net asset value, at September 30, 2020  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at December 31, 2019
†
  $45.69  $65.23  $511.50  $83.40  $13.77  $49.05 
Market value per share, at September 30, 2020
†
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   (4.1)%   (46.1)%   (94.4)%   (59.1)%   6.3%   39.9% 
Total Return, at market value^
   (5.3)%   (45.6)%   (94.4)%   (58.5)%   6.3%   39.8% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97%   1.31%   1.35%   1.60%   0.95%   1.00% 
Net investment income gain (loss)   (0.52)%   (1.07)%   (1.10)%   (1.12)%   (0.49)%   (0.59)% 
 
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, 2019
  $45.64  $65.62  $509.23  $83.97  $13.79  $49.21 
Net investment income (loss)
   (0.07)   (0.17)   (0.14)   (0.16)   (0.02)   (0.07) 
Net realized and unrealized gain (loss)#
   0.16   (34.05)   (480.50)   (55.50)   (0.21)   15.84 
Change in net asset value from operations
   0.09   (34.22)   (480.64)   (55.66)   (0.23)   15.77 
Net asset value, at June 30, 2020
  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Market value per share, at December 31, 2019
†
  $45.69  $65.23  $511.50  $83.40  $13.77  $49.05 
Market value per share, at June 30, 2020
†
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Total Return, at net asset value^
   0.2%   (52.1)%   (94.4)%   (66.3)%   (1.7)%   32.0% 
Total Return, at market value^
   (1.9)%   (51.7)%   (94.4)%   (66.0)%   (1.5)%   32.2% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.97%   1.29%   1.38%   1.59%   0.95%   0.99% 
Net investment income gain (loss)
   (0.31)%   (0.96)%   (0.92)%   (0.66)%   (0.24)%   (0.26)% 
**
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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Table of Contents
For the SixNine Months Ended JuneSeptember 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at December 31, 2019
  $31.70  $126.74  $55.83  $56.09  $48.77  $38.53 
Net investment income (loss)
   (0.01)   (1.24)   (0.09)   (0.13)   (0.65)   (0.40) 
Net realized and unrealized gain (loss)#
   (2.13)   203.78   (0.42)   0.18   25.06   29.08 
Change in net asset value from operations
   (2.14)   202.54   (0.51)   0.05   24.41   28.68 
Net asset value, at June 30, 2020
  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Market value per share, at December 31, 2019
†
  $31.65  $128.90  $55.83  $55.88  $48.60  $38.82 
Market value per share, at June 30, 2020
†
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Total Return, at net asset value^
   (6.8)%   159.8%   (0.9)%   0.1%   50.1%   74.5% 
Total Return, at market value^
   (7.3)%   154.2%   (0.9)%   0.3%   50.2%   73.1% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.02%   1.54%   0.95%   1.04%   1.83%   2.11% 
Net investment income gain (loss)
   (0.06)%   (1.00)%   (0.34)%   (0.40)%   (1.40)%   (1.51)% 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
                    
Net asset value, at December 31, 2019  $31.70  $126.74  $55.83  $56.09  $48.77  $38.53 
Net investment income (loss)   (0.17)   (2.43)   (0.22)   (0.26)   (0.86)   (0.52) 
Net realized and unrealized gain (loss)#   10.72   77.23   2.08   (4.09)   18.55   0.31 
Change in net asset value from operations   10.55   74.80   1.86   (4.35)   17.69   (0.21) 
Net asset value, at September 30, 2020  $42.25  $201.54  $57.69  $51.74  $66.46  $38.32 
Market value per share, at December 31, 2019
†
  $31.65  $128.90  $55.83  $55.88  $48.60  $38.82 
Market value per share, at September 30, 2020
†
  $41.77  $199.20  $57.69  $51.67  $67.08  $38.01 
Total Return, at net asset value^
   33.3%   59.0%   3.3%   (7.8)%   36.3%   (0.5)% 
Total Return, at market value^
   32.0%   54.5%   3.3%   (7.5)%   38.0%   (2.1)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.03%   1.61%   0.95%   1.04%   1.70%   1.88% 
Net investment income gain (loss)   (0.62)%   (1.34)%   (0.54)%   (0.58)%   (1.39)%   (1.64)% 
 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the SixNine Months Ended JuneSeptember 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2019
  $26.80  $53.02  $107.04  $76.37  $21.27  $49.19 
Net investment income (loss)
   0.00(1)   (0.06)   (0.23)   (0.04)   (0.05)   (0.10) 
Net realized and unrealized gain (loss)#
   (0.07)   (17.50)   (28.31)   (1.73)   19.18   62.61 
Change in net asset value from operations
   (0.07)   (17.56)   (28.54)   (1.77)   19.13   62.51 
Net asset value, at June 30, 2020
  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Market value per share, at December 31, 2019
†
  $26.80  $53.21  $107.20  $76.35  $21.29  $49.72 
Market value per share, at June 30, 2020
†
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Total Return, at net asset value^
   (0.3)%   (33.1)%   (26.7)%   (2.3)%   90.0%   127.1% 
Total Return, at market value^
   (0.3)%   (33.2)%   (26.2)%   (2.3)%   89.0%   123.3% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95%   1.01%   1.10%   0.95%   1.06%   1.15% 
Net investment income gain (loss)
   (0.02)%   (0.29)%   (0.41)%   (0.11)%   (0.33)%   (0.25)% 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at December 31, 2019  $26.80  $53.02  $107.04  $76.37  $21.27  $49.19 
Net investment income (loss)   (0.05)   (0.15)   (0.29)   (0.19)   (0.16)   (0.34) 
Net realized and unrealized gain (loss)#   (2.26)   (20.83)   (67.98)   (5.23)   19.88   33.28 
Change in net asset value from operations   (2.31)   (20.98)   (68.27)   (5.42)   19.72   32.94 
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at December 31, 2019
†
  $26.80  $53.21  $107.20  $76.35  $21.29  $49.72 
Market value per share, at September 30, 2020
†
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Total Return, at net asset value^
   (8.6)%   (39.6)%   (63.8)%   (7.1)%   92.8%   67.0% 
Total Return, at market value^
   (8.6)%   (39.5)%   (63.4)%   (7.1)%   91.1%   64.2% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.95%   1.02%   1.10%   0.95%   1.06%   1.17% 
Net investment income gain (loss)   (0.23)%   (0.54)%   (0.79)%   (0.33)%   (0.63)%   (0.57)% 
 
*
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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended JuneSeptember 30, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents greater 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),
one and
one-half
times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), 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 and UltraShort 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 with a 1.5x or 2x multiple should be approximately one and
one-half
or two 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 Fund is designed to return two times the inverse
(-2x) 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 Lever
a
gedLeveraged 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. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,
-0.5x,
-1x,
-2x,
1.5x, or 2x, 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
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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.
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 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 increases the risk of 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. This would be the case with downward
single-day
or intraday movements in the underlying benchmark of an Ultra Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort 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 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For
e
xample, 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 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.
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.
In April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause significant losses.
Change to Investment Strategies
In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.
 
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
 
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
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Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse
(-2x),
as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil.
Change to the Oil Funds Benchmark Index
Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex
SM
to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse
(-2x),
as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.
In order to have exposure to the WTI crude oil futures contracts included in the New Benchmark in a manner designed to achieve its respective investment objective by the beginning of business on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020.
Description of the New Benchmark
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.
Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus
COVID-19),
have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these
 
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circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the
COVID-19
pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.
Change to the VIX Funds Benchmark Indices
Change to VIX Futures Contracts Settlement Time \ Index Methodology.
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX
Mid-Term
Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, and the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information
about the calculation of NAV is included in each Fund’s Prospectus.
Change to the VIX Funds Exchange Listing.
On December 16, 2020, each of the Matching VIX Funds and Geared VIX Funds transferred its listing from the NYSE Arca to the Cboe BZX Exchange.
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, the Trustee, or the Administrator 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 JuneSeptember 30, 2021, the following eighteen 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 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 Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.
On March 15, 2020 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
On April 3, 2020, the Trust announced a
1-for-25
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a
1-for-10
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulting in a proportionate increase in the price per share and per share information of these funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On May 11, 2021, the Trust announced a
1-for-10
reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a
1-for-4
reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a
1-for-4
reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a
1-for-4
reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
 
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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 Commodity Exchange Act (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,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
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.
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 “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 Matching VIX Fund seeks investment results, before fees and expenses, both for 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,
1.5x, or 2x, 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
“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 Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, 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.
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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 its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
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The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
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 and sixnine months ended JuneSeptember 30, 2021 and 2020, each of the Funds earned interest income as follows:
 
Fund
  
Interest Income
Three Months
Ended
June 30, 2021
   
Interest Income
Three Months
Ended
June 30, 2020
   
Interest Income
Six Months
Ended
June 30, 2021
   
Interest Income
Six Months
Ended
June 30, 2020
   
Interest Income

Three Months

Ended

September 30, 2021
   
Interest Income

Three Months

Ended

September 30, 2020
   
Interest Income

Nine Months

Ended

September 30, 2021
   
Interest Income

Nine Months

Ended

September 30, 2020
 
                
ProShares Short Euro
  $310   $54   $906   $7,649   $269   $127   $1,175   $7,776 
ProShares Short VIX Short-Term Futures ETF
   33,687    106,023    67,577    855,884    8,152    53,301    75,729    909,185 
ProShares Ultra Bloomberg Crude Oil
   111,333    365,747    279,408    1,767,207    86,370    50,356    365,778    1,817,563 
ProShares Ultra Bloomberg Natural Gas
   11,544    36,474    25,359    175,813    7,355    15,347    32,714    191,160 
ProShares Ultra Euro
   438    192    1,022    15,993    393    357    1,415    16,350 
ProShares Ultra Gold
   20,094    69,857    55,921    484,541    14,338    59,354    70,259    543,895 
ProShares Ultra Silver
   65,529    138,315    163,658    914,602    44,511    103,976    208,169    1,018,578 
ProShares Ultra VIX Short-Term Futures ETF
   202,556    101,523    316,525    1,513,263    11,979    88,621    328,504    1,601,884 
ProShares Ultra Yen
   307    62    663    8,929    260    171    923    9,100 
ProShares UltraPro 3x Crude Oil ETF*
   —      —      —      346,326    —      —      —      346,326 
ProShares UltraPro 3x Short Crude Oil ETF*
   —      —      —      166,789    —      —      —      166,789 
ProShares UltraShort Australian Dollar
   260    42    518    20,096    443    289    961    20,385 
ProShares UltraShort Bloomberg Crude Oil
   18,343    6,209    29,178    254,918    6,891    4,832    36,069    259,750 
ProShares UltraShort Bloomberg Natural Gas
   7,750    1,371    15,633    43,803    9,879    8,136    25,512    51,939 
ProShares UltraShort Euro
   5,640    68,027    12,806    467,684    5,008    18,939    17,814    486,623 
ProShares UltraShort Gold
   3,176    2,259    6,138    63,280    3,075    1,831    9,213    65,111 
ProShares UltraShort Silver
   2,678    651    5,795    45,187    3,100    3,192    8,895    48,379 
ProShares UltraShort Yen
   3,570    5,143    7,166    131,326    2,392    5,085    9,558    136,411 
ProShares VIX Mid-Term Futures ETF
   8,349    27,603    18,573    185,901    8,914    13,590    27,487    199,491 
ProShares VIX Short-Term Futures ETF
   40,988    122,772    79,448    1,082,847    11,739    34,770    91,187    1,117,617 
 
*
The operations presented here areinclude the activity of ProShares UltraPro 3x Crude Oil ETF through March 27,April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of their liquidation. See Note 1 of the Notes to Financial Statements.liquidation, respectively.
 
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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange”
“off-exchange”
between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying 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.
 
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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 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 August 6,November 5, 2021, 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.
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 JuneSeptember 30, 2021.
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, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short 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
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determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are
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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 a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.
Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open 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 futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions 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 JuneSeptember 30, 2021 Compared to the Three Months Ended JuneSeptember 30, 2020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,184,540  $2,332,843   $2,159,102  $2,286,467 
NAV end of period
  $2,159,102  $2,286,467   $2,206,818  $2,188,644 
Percentage change in NAV
   (1.2)%   (2.0)%    2.2%   (4.3)% 
Shares outstanding beginning of period
   50,000   50,000    50,000   50,000 
Shares outstanding end of period
   50,000   50,000    50,000   50,000 
Percentage change in shares outstanding
   —  %   —  %    —  %   —  % 
Shares created
   —     —      —     —   
Shares redeemed
   —     —      —     —   
Per share NAV beginning of period
  $43.69  $46.66   $43.18  $45.73 
Per share NAV end of period
  $43.18  $45.73   $44.14  $43.77 
Percentage change in per share NAV
   (1.2)%   (2.0)%    2.3%   (4.3)% 
Percentage change in benchmark
   1.1%   1.9%    (2.3)%   4.4% 
Benchmark annualized volatility
   5.9%   7.4%    4.5%   6.3% 
During the three months ended JuneSeptember 30, 2021, the decreaseincrease 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 inverse
(-1x)
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 March 31,June 30, 2021 to JuneSeptember 30, 2021. By comparison, during the three months ended JuneSeptember 30, 2020, 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 inverse
(-1x)
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 March 31,June 30, 2020 to JuneSeptember 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 decreaseincrease of 1.2%2.3% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 2.0%4.3% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser depreciationappreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s risedecline of 1.1%2.3% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 1.9%4.4% for the three months ended JuneSeptember 30, 2020, can be attributed to an lesser increasea decrease in the value of the euro versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(4,801)   $(5,552)   $(5,003)   $(5,267) 
Management fee
   5,032    5,516    5,193    5,247 
Brokerage commission
   79    90    79    82 
Non-recurring
fees and expenses
   —      65 
Net realized gain (loss)
   (38,172)    (20,020)    57,489    (77,567) 
Change in net unrealized appreciation (depreciation)
   17,535    (20,804)    (4,770)    (14,989) 
Net Income (loss)
  $(25,438)   $(46,376)   $47,716   $(97,823) 
The Fund’s net income increased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to an lesser increasea decrease in the value of the euro versus the U.S. dollar during the three months ended JuneSeptember 30, 2021.
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $527,130,851  $809,257,658   $588,615,946  $509,811,853 
NAV end of period
  $588,615,946  $509,811,853   $388,523,845  $335,465,066 
Percentage change in NAV
   11.7%   (37.0)%    (34.0)%   (34.2)% 
Shares outstanding beginning of period
   11,184,307   26,084,307    10,584,307   16,234,307 
Shares outstanding end of period
   10,584,307   16,234,307    7,134,307   9,484,307 
Percentage change in shares outstanding
   (5.4)%   (37.8)%    (32.6)%   (41.6)% 
Shares created
   450,000   1,000,000    550,000   —   
Shares redeemed
   1,050,000   10,850,000    4,000,000   6,750,000 
Per share NAV beginning of period
  $47.13  $31.02   $55.61  $31.40 
Per share NAV end of period
  $55.61  $31.40   $54.46  $35.37 
Percentage change in per share NAV
   18.0%   1.2%    (2.1)%   12.6% 
Percentage change in benchmark
   (35.2)%   (26.1)%    (5,6)%   (26.3)% 
Benchmark annualized volatility
   70.4%   122.3%    69.6%   56.2% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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During the three months ended JuneSeptember 30, 2021, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 11,184,307 outstanding Shares at March 31, 2021 to 10,584,307 outstanding Shares at June 30, 2021. By comparison, during the three months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 26,084,307 outstanding Shares
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at March 31, 2020 to 16,234,307 outstanding Shares at June 30, 2020 to 9,484,307 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended JuneSeptember 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to
one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increasedecrease of 18.0%2.1% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 1.2%12.6% for the three months ended JuneSeptember 30, 2020, was primarily due to greater appreciationdepreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s decline of 35.2%5.6% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s decline of 26.1%26.3% for the three months ended JuneSeptember 30, 2020, can be attributed to a greaterlesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,865,757)   $(2,142,980)   $(1,466,273)   $(1,544,734) 
Management fee
   1,317,153    1,589,036    1,055,823    1,116,999 
Brokerage commission
   253,949    228,176    208,885    167,648 
Non-recurring
fees and expenses
   —      22,038 
Net realized gain (loss)
   109,337,017    54,615,005    34,572,603    60,593,305 
Change in net unrealized appreciation (depreciation)
   (13,308,130)    (22,301,329)    (43,349,844)    (1,463,399) 
Net Income (loss)
  $94,163,130   $30,170,696   $(10,243,514)   $57,585,172 
The Fund’s net income increaseddecreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a greaterlesser decrease in the value of futures prices during the three months ended JuneSeptember 30, 2021.
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ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $1,088,579,093  $435,593,381   $1,303,530,902  $1,508,661,459 
NAV end of period
  $1,303,530,902  $1,508,661,459   $1,090,613,716  $1,195,885,056 
Percentage change in NAV
   19.7%   246.3%    (16.3)%   (20.7)% 
Shares outstanding beginning of period
   20,710,774   10,848,453    16,660,774   52,760,774 
Shares outstanding end of period
   16,660,774   52,760,774    12,910,774   41,610,774 
Percentage change in shares outstanding
   (19.6)%   386.3%    (22.5)%   (21.1)% 
Shares created
   1,050,000   77,482,000    950,000   21,500,000 
Shares redeemed
   5,100,000   35,569,679    4,700,000   32,650,000 
Per share NAV beginning of period
  $52.56  $40.15   $78.24  $28.59 
Per share NAV end of period
  $78.24  $28.59   $84.47  $28.74 
Percentage change in per share NAV
   48.9%   (29.0)%    8.0%   0.5% 
Percentage change in benchmark
   23.1%   23.6%    5.4%   2.6% 
Benchmark annualized volatility
   23.9%   116.3%    30.9%   26.3% 
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On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 20,710,774 outstanding Shares at March 31, 2021 to 16,660,774 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 10,848,453 outstanding Shares at March 31, 2020 to 52,760,774 outstanding Shares at June 30, 2020. 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 two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the three months ended June 30, 2021 and 2020, 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 48.9% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 29.0% for the three months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The new benchmark’s rise of 23.1% for the three months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s rise of 23.6% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(3,210,719)   $(3,994,835) 
Management fee
   2,794,292    2,806,288 
Brokerage commission
   210,012    1,017,545 
Net realized gain (loss)
   320,505,659    (671,420,708) 
Change in net unrealized appreciation (depreciation)
   157,919,139    661,178,846 
Net Income (loss)
  $475,214,079   $(14,236,697) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 30, 2021.
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $74,307,070  $26,671,617 
NAV end of period
  $70,213,227  $50,599,783 
Percentage change in NAV
   (5.5)%   89.7% 
Shares outstanding beginning of period
   3,487,527   637,815 
Shares outstanding end of period
   1,987,527   1,787,527 
Percentage change in shares outstanding
   (43.0)%   180.3% 
Shares created
   650,000   1,260,000 
Shares redeemed
   2,150,000   110,288 
Per share NAV beginning of period
  $21.31  $41.82 
Per share NAV end of period
  $35.33  $28.31 
Percentage change in per share NAV
   65.8%   (32.2)% 
Percentage change in benchmark
   30.3%   (14.2)% 
Benchmark annualized volatility
   27.8%   56.4% 
During the three months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,487,52716,660,774 outstanding Shares at March 31,June 30, 2021 to 1,987,52712,910,774 outstanding Shares at JuneSeptember 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexCommodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 52,760,774 outstanding Shares at June 30, 2020 to 41,610,774 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the three months ended September 30, 2021 and 2020, 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 8.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 0.5% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
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The benchmark’s rise of 5.4% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(3,130,493)   $(4,420,342) 
Management fee
   2,775,351    3,210,517 
Brokerage commission
   198,498    600,233 
Non-recurring
fees and expenses
   27,500    24,637 
Net realized gain (loss)
   106,325,821    285,954,263 
Change in net unrealized appreciation (depreciation)
   (16,878,588)    (232,630,286) 
Net Income (loss)
  $86,316,740   $48,903,635 
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended September 30, 2021.
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $70,213,227  $50,599,783 
NAV end of period
  $145,038,381  $99,203,762 
Percentage change in NAV
   106.6%   96.1% 
Shares outstanding beginning of period
   1,987,527   1,787,527 
Shares outstanding end of period
   1,737,527   2,887,527 
Percentage change in shares outstanding
   (12.6)%   61.5% 
Shares created
   1,150,000   4,350,000 
Shares redeemed
   1,400,000   3,250,000 
Per share NAV beginning of period
  $35.33  $28.31 
Per share NAV end of period
  $83.47  $34.36 
Percentage change in per share NAV
   136.3%   21.4% 
Percentage change in benchmark
   58.6%   15.0% 
Benchmark annualized volatility
   48.6%   58.7% 
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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,787,527 outstanding Shares at June 30, 2020 to 2,887,527 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timingcumulative effect of shareholder activity, which was offset by a decrease from 637,815 outstanding Shares at March 31, 2020the Fund seeking daily investment results, before fees and expenses, that correspond to 1,787,527 outstanding Shares at June 30, 2020.two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 65.8%136.3% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decreaseincrease of 32.2%21.4% for the three months ended JuneSeptember 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
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The benchmark’s rise of 30.3%58.6% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s declinerise of 14.2%15.0% for the three months ended JuneSeptember 30, 2020, can be attributed to ana greater increase in the value of Henry Hub Natural Gas during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(217,363)   $(121,296)   $(212,510)   $(323,543) 
Management fee
   152,958    81,904    161,130    199,772 
Brokerage commission
   63,062    63,224    40,472    106,449 
Non-recurring
fees and expenses
   —      1,129 
Net realized gain (loss)
   4,901,288    (16,111,238)    33,925,723    41,156,156 
Change in net unrealized appreciation (depreciation)
   28,347,917    4,853,272    25,135,708    (4,754,827) 
Net Income (loss)
  $33,031,842   $(11,379,262)   $58,848,921   $36,077,786 
The Fund’s net income increased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to ana greater increase in the value of Henry Hub Natural Gas during the three months ended JuneSeptember 30, 2021.
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $3,611,724  $3,949,142   $3,668,741  $4,067,686 
NAV end of period
  $3,668,741  $4,067,686   $3,479,104  $4,397,675 
Percentage change in NAV
   1.6%   3.0%    (5.2)%   8.1% 
Shares outstanding beginning of period
   250,000   300,000    250,000   300,000 
Shares outstanding end of period
   250,000   300,000    250,000   300,000 
Percentage change in shares outstanding
   —  %   —  %    —  %   —  % 
Shares created
   100,000   50,000    —     100,000 
Shares redeemed
   100,000   50,000    —     100,000 
Per share NAV beginning of period
  $14.45  $13.16   $14.67  $13.56 
Per share NAV end of period
  $14.67  $13.56   $13.92  $14.66 
Percentage change in per share NAV
   1.5%   3.0%    (5.1)%   8.1% 
Percentage change in benchmark
   1.1%   1.9%    (2.3)%   4.4% 
Benchmark annualized volatility
   5.9%   7.4%    4.5%   6.3% 
During the three months ended JuneSeptember 30, 2021, the increasedecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31,June 30, 2021 to JuneSeptember 30,
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2021. By comparison, during the three months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31,June 30, 2020 to JuneSeptember 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 increasedecrease of 1.5%5.1% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 3.0%8.1% for the three months ended JuneSeptember 30, 2020, was primarily due to greater appreciationdepreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s risedecline of 1.1%2.3% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 1.9%4.4% for the three months ended JuneSeptember 30, 2020, can be attributed to an lesser increasea decrease in the value of the euro versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(8,978)   $(8,702)   $(8,271)   $(12,155) 
Management fee
   9,416    8,894    8,664    12,404 
Non-recurring
fees and expenses
   —      108 
Net realized gain (loss)
   95,412    (18,635)    (254,219)    441,714 
Change in net unrealized appreciation (depreciation)
   (13,219)    97,408    72,853    (84,317) 
Net Income (loss)
  $73,215   $70,071   $(189,637)   $345,242 
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The Fund’s net income decreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to an lesser increasea decrease in the value of the euro versus the U.S. dollar during the three months ended JuneSeptember 30, 2021.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $214,548,056  $128,481,796   $243,456,703  $165,689,050 
NAV end of period
  $243,456,703  $165,689,050   $230,917,847  $275,450,606 
Percentage change in NAV
   13.5%   29.0%    (5.2)%   66.2% 
Shares outstanding beginning of period
   3,950,000   2,450,000    4,250,000   2,550,000 
Shares outstanding end of period
   4,250,000   2,550,000    4,150,000   4,000,000 
Percentage change in shares outstanding
   7.6%   4.1%    (2.4)%   56.9% 
Shares created
   400,000   300,000    250,000   1,700,000 
Shares redeemed
   100,000   200,000    350,000   250,000 
Per share NAV beginning of period
  $54.32  $52.44   $57.28  $64.98 
Per share NAV end of period
  $57.28  $64.98   $55.64  $68.86 
Percentage change in per share NAV
   5.4%   23.9%    (2.9)%   6.0% 
Percentage change in benchmark
   3.2%   12.1%    (1.0)%   3.6% 
Benchmark annualized volatility
   14.6%   19.7%    13.8%   25.4% 
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During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 3,950,000 outstanding Shares at March 31, 2021 to 4,250,0002,550,000 outstanding Shares at June 30, 2021.2020 to 4,000,000 outstanding Shares at September 30, 2020. 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 two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,450,000 outstanding Shares at March 31, 2020 to 2,550,000 outstanding Shares at June 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 increasedecrease of 5.4%2.9% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 23.9%6.0% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser appreciationdepreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s risedecline of 3.2%1.0% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 12.1%3.6% for the three months ended JuneSeptember 30, 2020, can be attributed to an lesser increasea decrease in the value of gold futures contracts during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(569,965)   $(279,921)   $(596,194)   $(617,991) 
Management fee
   568,040    333,463    582,103    640,992 
Brokerage commission
   8,665    6,119    9,421    12,115 
Non-recurring
fees and expenses
   —      3,751 
Net realized gain (loss)
   45,506,367    4,365,328    (21,858,089)    25,742,296 
Change in net unrealized appreciation (depreciation)
   (33,478,303)    25,893,012    15,574,284    (18,054,591) 
Net Income (loss)
  $11,458,099   $29,978,419   $(6,879,999)   $7,069,714 
The Fund’s net income decreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to an lesser increasea decrease in the value of futures prices in conjunction with the timing of shareholder activity, during the three months ended JuneSeptember 30, 2021.
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $572,501,249  $129,785,536   $661,778,727  $249,671,968 
NAV end of period
  $661,778,727  $249,671,968   $480,309,476  $620,883,156 
Percentage change in NAV
   15.6%   92.4%    (27.4)%   148.7% 
Shares outstanding beginning of period
   13,846,526   7,046,526    14,396,526   8,446,526 
Shares outstanding end of period
   14,396,526   8,446,526    15,146,526   14,696,526 
Percentage change in shares outstanding
   4.0%   19.9%    5.2%   74.0% 
Shares created
   1,000,000   1,500,000    1,050,000   8,050,000 
Shares redeemed
   450,000   100,000    300,000   1,800,000 
Per share NAV beginning of period
  $41.35  $18.42   $45.97  $29.56 
Per share NAV end of period
  $45.97  $29.56   $31.71  $42.25 
Percentage change in per share NAV
   11.2%   60.5%    (31.0)%   42.9% 
Percentage change in benchmark
   6.5%   29.2%    (16.0)%   25.1% 
Benchmark annualized volatility
   25.5%   37.1%    26.7%   33.8% 
During the three months ended JuneSeptember 30, 2021, the increasedecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increasedecrease in the Fund’s NAV also resulted in part fromwas offset by an increase from 13,846,526 outstanding Shares at March 31, 2021 to 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021. By comparison, during the three months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 8,446,526 outstanding Shares at June 30, 2020 to 14,696,526 outstanding Shares at September 30, 2020. 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 two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV also resulted in part from an increase from 7,046,526 outstanding Shares at March 31, 2020 to 8,446,526 outstanding Shares at June 30, 2020.Subindex
SM
.
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For the three months ended JuneSeptember 30, 2021 and 2020, 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 increasedecrease of 11.2%31.0% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 60.5%42.9% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser appreciationdepreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s risedecline of 6.5%16.0% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 29.2%25.1% for the three months ended JuneSeptember 30, 2020, can be attributed to a lesser increasedecrease in the value of silver futures contracts during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,639,236)   $(335,243)   $(1,424,705)   $(1,497,215) 
Management fee
   1,615,157    425,646    1,394,627    1,462,400 
Brokerage commission
   40,715    26,966    27,419    54,812 
Non-recurring
fees and expenses
   —      3,943 
Net realized gain (loss)
   116,370,479    11,386,313    (201,320,030)    290,238,797 
Change in net unrealized appreciation (depreciation)
   (48,394,245)    69,302,060    (6,018,290)    (199,313,772) 
Net Income (loss)
  $66,336,998   $80,353,130   $(208,763,025)   $89,427,810 
The Fund’s net income decreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a lesser increasedecrease in the value of futures prices during the three months ended JuneSeptember 30, 2021.
 
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ProShares Ultra VIX Short-Term Futures ETF*ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $1,284,373,170  $592,820,492   $840,870,703  $992,156,607 
NAV end of period
  $840,870,703  $992,156,607   $1,020,845,873  $1,307,611,521 
Percentage change in NAV
   (34.5)%   67.4%    21.4%   31.8% 
Shares outstanding beginning of period
   22,803,091   1,013,091    30,128,420   3,013,091 
Shares outstanding end of period
   30,128,420   3,013,091    41,778,420   6,488,091 
Percentage change in shares outstanding
   32.1%   197.4%    38.7%   115.3% 
Shares created
   12,955,000   2,485,000    37,800,000   4,280,000 
Shares redeemed
   5,629,671   485,000    26,150,000   805,000 
Per share NAV beginning of period
  $56.32  $585.16   $27.91  $329.28 
Per share NAV end of period
  $27.91  $329.28   $24.43  $201.54 
Percentage change in per share NAV
   (50.4)%   (43.7)%    (12.5)%   (38.8)% 
Percentage change in benchmark
   (35.2)%   (26.1)%    (5.6)%   (26.3)% 
Benchmark annualized volatility
   70.4%   122.3%    69.6%   56.2% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended JuneSeptember 30, 2021, the decreaseincrease in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021. 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 one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 22,803,091 outstanding Shares at March 31, 2021 to 30,128,420 outstanding Shares at June 30, 2021. By comparison, during the three months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,013,091 outstanding Shares at March 31, 2020 to 3,013,091 outstanding Shares at June 30, 2020 to 6,488,091 outstanding Shares at September 30, 2020. 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 one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended JuneSeptember 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 50.4%12.5% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 43.7%38.8% for the three months ended JuneSeptember 30, 2020, was primarily due to a greaterlesser depreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
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The benchmark’s decline of 35.2%5.6% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s decline of 26.1%26.3% for the three months ended JuneSeptember 30, 2020, can be attributed to a greaterlesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(3,975,284)   $(2,085,756)   $(3,993,799)   $(5,136,994) 
Management fee
   2,293,121    1,293,878    2,221,755    2,969,740 
Brokerage commission
   1,173,276    438,851    1,095,975    1,102,235 
Non-recurring
fees and expenses
   —      10,480 
Net realized gain (loss)
   (854,526,924)    (107,880,791)    (198,380,990)    (559,537,850) 
Change in net unrealized appreciation (depreciation)
   244,115,248    (125,500,879)    186,742,221    15,303,127 
Net Income (loss)
  $(614,386,960)   $(235,467,426)   $(15,632,568)   $(549,371,717) 
The Fund’s net income decreasedincreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a greaterlesser decrease in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended JuneSeptember 30, 2021.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares 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 JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,587,694  $2,808,780   $2,560,348  $2,764,355 
NAV end of period
  $2,560,348  $2,764,355   $2,539,880  $2,882,680 
Percentage change in NAV
   (1.1)%   (1.6)%    (0.8)%   4.3% 
Shares outstanding beginning of period
   49,970   49,970    49,970   49,970 
Shares outstanding end of period
   49,970   49,970    49,970   49,970 
Percentage change in shares outstanding
   —  %   —  %    —  %   —  % 
Shares created
   —     —      —     —   
Shares redeemed
   —     —      —     —   
Per share NAV beginning of period
  $51.78  $56.21   $51.24  $55.32 
Per share NAV end of period
  $51.24  $55.32   $50.83  $57.69 
Percentage change in per share NAV
   (1.0)%   (1.6)%    (0.8)%   4.3% 
Percentage change in benchmark
   (0.3)%   (0.4)%    (0.2)%   2.4% 
Benchmark annualized volatility
   4.9%   6.2%    5.5%   5.8% 
During the three months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot
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price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31,June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to JuneSeptember 30, 2020.
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For the three months ended JuneSeptember 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0%0.8% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decreaseincrease of 1.6%4.3% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s decline of 0.3%0.2% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s declinerise of 0.4%2.4% for the three months ended JuneSeptember 30, 2020, can be attributed to an lessera decrease in the value of the Japanese yen versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(5,955)   $(6,539)   $(5,973)   $(6,720) 
Management fee
   6,262    6,601    6,233    6,813 
Non-recurring
fees and expenses
   —      78 
Net realized gain (loss)
   (140,007)    (106,753)    (25,554)    126,569 
Change in net unrealized appreciation (depreciation)
   118,616    68,867    11,059    (1,524) 
Net Income (loss)
  $(27,346)   $(44,425)   $(20,468)   $118,325 
The Fund’s net income decreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to an lessera decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended JuneSeptember 30, 2021.
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ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,258,880  $7,230,367   $2,304,732  $5,614,042 
NAV end of period
  $2,304,732  $5,614,042   $4,914,269  $5,173,668 
Percentage change in NAV
   2.0%   (22.4)%    113.2%   (7.8)% 
Shares outstanding beginning of period
   50,000   100,000    50,000   100,000 
Shares outstanding end of period
   50,000   100,000    100,000   100,000 
Percentage change in shares outstanding
   —  %   —  %    100.0%   —  % 
Shares created
   —     —      50,000   —   
Shares redeemed
   —     —      —     —   
Per share NAV beginning of period
  $45.18  $72.30   $46.09  $56.14 
Per share NAV end of period
  $46.09  $56.14   $49.14  $51.74 
Percentage change in per share NAV
   2.0%   (22.4)%    6.6%   (7.8)% 
Percentage change in benchmark
   (1.3)%   12.3%    (3.6)%   3.8% 
Benchmark annualized volatility
   8.8%   14.2%    8.8%   9.0% 
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During the three months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at June 30, 2021 to 100,000 outstanding Shares at September 30, 2021. 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 two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. By comparison, during the three months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31,June 30, 2020 to JuneSeptember 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 increase of 2.0%6.6% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 22.4%7.8% for the three months ended JuneSeptember 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s decline of 1.3%3.6% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 12.3%3.8% for the three months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(5,306)   $(16,185)   $(9,379)   $(13,294) 
Management fee
   5,192    14,888    8,860    12,478 
Brokerage commission
   374    1,339    962    928 
Non-recurring
fees and expenses
   —      177 
Net realized gain (loss)
   (7,133)    (1,037,904)    188,884    (432,100) 
Change in net unrealized appreciation (depreciation)
   58,291    (562,236)    56,770    5,020 
Net Income (loss)
  $45,852   $(1,616,325)   $236,275   $(440,374) 
The Fund’s net income increased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended JuneSeptember 30, 2021.
 
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ProShares UltraShort Bloomberg Crude Oil*Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $91,718,390  $100,094,023   $79,400,059  $117,821,898 
NAV end of period
  $79,400,059  $117,821,898   $93,575,213  $80,418,166 
Percentage change in NAV
   (13.4)%   17.7%    17.9%   (31.7)% 
Shares outstanding beginning of period
   3,184,971   509,971    4,383,799   1,609,971 
Shares outstanding end of period
   4,383,799   1,609,971    6,183,799   1,209,971 
Percentage change in shares outstanding
   37.6%   215.7%    41.1%   (24.8)% 
Shares created
   1,937,500   4,750,000    3,350,000   1,075,000 
Shares redeemed
   738,672   3,650,000    1,550,000   1,475,000 
Per share NAV beginning of period
  $28.80  $196.27   $18.11  $73.18 
Per share NAV end of period
  $18.11  $73.18   $15.13  $66.46 
Percentage change in per share NAV
   (37.1)%   (62.7)%    (16.5)%   (9.2)% 
Percentage change in benchmark
   23.1%   23.6%    5.4%   2.6% 
Benchmark annualized volatility
   23.9%   116.3%    30.9%   26.3% 
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,383,799 outstanding Shares at June 30, 2021 to 6,183,799 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,609,971 outstanding Shares at June 30, 2020 to 1,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,184,971 outstanding Shares at March 31, 2021 to 4,383,799 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 509,971
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outstanding Shares at March 31, 2020 to 1,609,971 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 37.1%16.5% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 62.7%9.2% for the three months ended JuneSeptember 30, 2020, was primarily due to lessergreater depreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
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The new benchmark’s rise of 23.1%5.4% for the three months ended JuneSeptember 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s rise of 23.6%2.6% for the three months ended JuneSeptember 30, 2020, can be attributed to a lessergreater increase in the value of WTI Crude Oil during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(208,741)   $(782,726)   $(241,725)   $(342,320) 
Management fee
   181,035    348,900    201,146    238,038 
Brokerage commission
   28,581    346,732    29,277    64,657 
Non-recurring
fees and expenses
   —      4,892 
Net realized gain (loss)
   (26,010,421)    (6,947,347)    (11,449,562)    (16,296,829) 
Change in net unrealized appreciation (depreciation)
   (9,947,432)    (75,201,725)    (1,520,893)    5,848,114 
Net Income (loss)
  $(36,166,594)   $(82,931,798)   $(13,212,180)   $(10,791,035) 
The Fund’s net income increaseddecreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a lessergreater increase in the value of WTI Crude Oil during the three months ended JuneSeptember 30, 2021.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
Form 10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.
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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 JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $69,459,275  $17,419,933   $97,525,300  $28,552,210 
NAV end of period
  $97,525,300  $28,552,210   $138,468,677  $46,937,986 
Percentage change in NAV
   40.4%   63.9%    42.0%   64.4% 
Shares outstanding beginning of period
   1,774,832   274,832    4,524,832   424,832 
Shares outstanding end of period
   4,524,832   424,832    19,724,832   1,224,832 
Percentage change in shares outstanding
   154.9%   54.6%    335.9%   188.3% 
Shares created
   3,450,000   650,000    20,500,000   3,200,000 
Shares redeemed
   700,000   500,000    5,300,000   2,400,000 
Per share NAV beginning of period
  $39.14  $63.38   $21.55  $67.21 
Per share NAV end of period
  $21.55  $67.21   $7.02  $38.32 
Percentage change in per share NAV
   (44.9)%   6.0%    (67.4)%   (43.0)% 
Percentage change in benchmark
   30.3%   (14.2)%    58.6%   15.0% 
Benchmark annualized volatility
   27.8%   56.4%    48.6%   58.7% 
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During the three months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,774,832 outstanding Shares at March 31, 2021 to 4,524,832 outstanding Shares at June 30, 2021 to 19,724,832 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 274,832 outstanding Shares at March 31, 2020 to 424,832 outstanding Shares at June 30, 2020 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part fromwas offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 44.9%67.4% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increasedecrease of 6.0%43.0% for the three months ended JuneSeptember 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s rise of 30.3%58.6% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s declinerise of 14.2%15.0% for the three months ended JuneSeptember 30, 2020, can be attributed to ana greater increase in the value of Henry Hub Natural Gas during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(313,757)   $(87,047)   $(358,817)   $(249,586) 
Management fee
   191,311    36,607    258,824    138,507 
Brokerage commission
   96,343    46,462    67,808    98,416 
Non-recurring
fees and expenses
   —      345 
Net realized gain (loss)
   (10,305,304)    5,236,091    (95,609,878)    (31,449,992) 
Change in net unrealized appreciation (depreciation)
   (33,693,761)    (2,774,639)    (17,871,536)    8,969,137 
Net Income (loss)
  $(44,312,822)   $2,374,405   $(113,840,231)   $(22,730,441) 
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The Fund’s net income decreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to ana greater increase in the value of Henry Hub Natural Gas during the three months ended JuneSeptember 30, 2021.
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $54,932,137  $93,194,599   $48,820,440  $78,848,965 
NAV end of period
  $48,820,440  $78,848,965   $48,640,817  $68,577,533 
Percentage change in NAV
   (11.1)%   (15.4)%    (0.4)%   (13.0)% 
Shares outstanding beginning of period
   2,250,000   3,350,000    2,050,000   2,950,000 
Shares outstanding end of period
   2,050,000   2,950,000    1,950,000   2,800,000 
Percentage change in shares outstanding
   (8.9)%   (11.9)%    (4.9)%   (5.1)% 
Shares created
   —     150,000    100,000   1,000,000 
Shares redeemed
   200,000   550,000    200,000   1,150,000 
Per share NAV beginning of period
  $24.41  $27.82   $23.81  $26.73 
Per share NAV end of period
  $23.81  $26.73   $24.94  $24.49 
Percentage change in per share NAV
   (2.5)%   (3.9)%    4.8%   (8.4)% 
Percentage change in benchmark
   1.1%   1.9%    (2.3)%   4.4% 
Benchmark annualized volatility
   5.9%   7.4%    4.5%   6.3% 
During the three months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,250,000 outstanding Shares at March 31, 2021 to 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,350,000 outstanding Shares at March 31, 2020 to 2,950,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,950,000 outstanding Shares at June 30, 2020 to 2,800,000 outstanding Shares at September 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 decreaseincrease of 2.5%4.8% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 3.9%8.4% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser depreciationappreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s risedecline of 1.1%2.3% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 1.9%4.4% for the three months ended JuneSeptember 30, 2020, can be attributed to a lesser increasedecrease in the value of the euro versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(109,040)   $(145,604)   $(111,725)   $(144,828) 
Management fee
   114,680    213,631    116,733    161,145 
Non-recurring
fees and expenses
   —      2,622 
Net realized gain (loss)
   (795,757)    (2,285,868)    2,974,466    (7,511,167) 
Change in net unrealized appreciation (depreciation)
   (511,170)    (1,269,683)    (617,958)    1,525,791 
Net Income (loss)
  $(1,415,967)   $(3,701,155)   $2,244,783   $(6,130,204) 
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The Fund’s net income increased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a lesser increasedecrease in the value of the euro versus the U.S. dollar during the three months ended JuneSeptember 30, 2021.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $41,243,515  $20,569,044   $32,835,014  $15,851,043 
NAV end of period
  $32,835,014  $15,851,043   $27,731,022  $27,139,981 
Percentage change in NAV
   (20.4)%   (22.9)%    (15.5)%   71.2% 
Shares outstanding beginning of period
   1,096,977   446,977    946,977   446,977 
Shares outstanding end of period
   946,977   446,977    796,977   846,977 
Percentage change in shares outstanding
   (13.7)%   —  %    (15.8)%   89.5% 
Shares created
   300,000   150,000    650,000   750,000 
Shares redeemed
   450,000   150,000    800,000   350,000 
Per share NAV beginning of period
  $37.60  $46.02   $34.67  $35.46 
Per share NAV end of period
  $34.67  $35.46   $34.80  $32.04 
Percentage change in per share NAV
   (7.8)%   (22.9)%    0.4%   (9.6)% 
Percentage change in benchmark
   3.2%   12.1%    (1.0)%   3.6% 
Benchmark annualized volatility
   14.6%   19.7%    13.8%   19.1% 
During the three months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at March 31, 2021 to 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part fromwas offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended JuneSeptember 30, 2020, the decreaseincrease in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at June 30, 2020 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 decreaseincrease of 7.8%0.4% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 22.9%9.6% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser depreciationappreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s decline of 1.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.
 
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The benchmark’s rise of 3.2% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 12.1% for the three months ended June 30, 2020, can be attributed to lesser increase in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(70,877)   $(41,386)   $(68,386)   $(47,471) 
Management fee
   69,968    40,621    66,304    45,591 
Brokerage commission
   2,283    1,659    3,301    1,980 
Non-recurring
fees and expenses
   —      499 
Net realized gain (loss)
   (6,984,547)    (2,089,271)    1,213,721    (4,021,537) 
Change in net unrealized appreciation (depreciation)
   3,806,053    (2,638,931)    (1,898,419)    2,689,061 
Net Income (loss)
  $(3,249,371)   $(4,769,588)   $(753,084)   $(1,379,947) 
The Fund’s net income increased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to lesser increasea decrease in the value of the futures prices in conjunction with the timing of shareholder activity, during the three months ended JuneSeptember 30, 2021.
ProShares UltraShort Silver*Silver
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $45,144,664  $18,887,831   $34,859,763  $10,145,625 
NAV end of period
  $34,859,763  $10,145,625   $40,373,877  $51,055,675 
Percentage change in NAV
   (22.8)%   (46.3)%    15.8%   403.2% 
Shares outstanding beginning of period
   1,616,744   129,244    1,491,329   129,244 
Shares outstanding end of period
   1,491,329   129,244    1,291,329   1,316,744 
Percentage change in shares outstanding
   (7.8)%   —  %    (13.4)%   918.8% 
Shares created
   300,000   150,000    1,000,000   2,825,000 
Shares redeemed
   425,415   150,000    1,200,000   1,637,500 
Per share NAV beginning of period
  $27.92  $146.14   $23.37  $78.50 
Per share NAV end of period
  $23.37  $78.50   $31.27  $38.77 
Percentage change in per share NAV
   (16.3)%   (46.3)%    33.8%   (50.6)% 
Percentage change in benchmark
   6.5%   29.2%    (16.0)%   25.1% 
Benchmark annualized volatility
   25.5%   37.1%    26.7%   57.7% 
During the three months ended JuneSeptember 30, 2021, the decreaseincrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. The decreaseincrease in the Fund’s NAV also resulted in part fromwas offset by a decrease from
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1,616,744 outstanding Shares at March 31, 2021 to 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021. By comparison, during the three months ended JuneSeptember 30, 2020, the decreaseincrease in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at June 30, 2020 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
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For the three months ended JuneSeptember 30, 2021 and 2020, 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 decreaseincrease of 16.3%33.8% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 46.3%50.6% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser depreciationappreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s risedecline of 6.5%16.0% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 29.2%25.1% for the three months ended JuneSeptember 30, 2020, can be attributed to a lesser increasedecrease in the value of the silver futures contracts during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(78,184)   $(30,713)   $(102,532)   $(94,990) 
Management fee
   72,831    25,749    90,963    84,377 
Brokerage commission
   3,824    3,940    8,141    8,539 
Non-recurring
fees and expenses
   —      321 
Net realized gain (loss)
   (5,876,456)    (3,877,739)    6,662,145    (15,896,820) 
Change in net unrealized appreciation (depreciation)
   (925,320)    (2,754,071)    3,922,596    11,129,734 
Net Income (loss)
  $(6,879,960)   $(6,662,523)   $10,482,209   $(4,862,076) 
The Fund’s net income decreasedincreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a lesser increasedecrease in the value of futures prices in conjunction with the timing of shareholder activity, during the three months ended JuneSeptember 30, 2021.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Silver.
 
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ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $34,921,840  $29,586,170   $27,231,748  $29,787,034 
NAV end of period
  $27,231,748  $29,787,034   $23,328,922  $24,780,763 
Percentage change in NAV
   (22.0)%   0.7%    (14.3)%   (16.8)% 
Shares outstanding beginning of period
   449,290   399,290    349,290   399,290 
Shares outstanding end of period
   349,290   399,290    299,290   349,290 
Percentage change in shares outstanding
   (22.3)%   —  %    (14.3)%   (12.5)% 
Shares created
   —     50,000    —     —   
Shares redeemed
   100,000   50,000    50,000   50,000 
Per share NAV beginning of period
  $77.73  $74.10   $77.96  $74.60 
Per share NAV end of period
  $77.96  $74.60   $77.95  $70.95 
Percentage change in per share NAV
   0.3%   0.7%    (0.0)%@   (4.9)% 
Percentage change in benchmark
   (0.3)%   (0.4)%    (0.2)%   2.4% 
Benchmark annualized volatility
   4.9%   6.2%    5.5%   5.8% 
@
Amount represents greater than (0.05)%.
During the three months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 449,290 outstanding Shares at March 31, 2021 to 349,290 outstanding Shares at June 30, 2021 to 299,290 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended JuneSeptember 30, 2020, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 399,290 outstanding Shares at June 30, 2020 to 349,290 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 increasedecrease of 0.3%0.0% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increasedecrease of 0.7%4.9% for the three months ended JuneSeptember 30, 2020, was primarily due to lesser appreciationdepreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s decline of 0.3%0.2% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s declinerise of 0.4%2.4% for the three months ended JuneSeptember 30, 2020, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(68,876)   $(59,287)   $(54,645)   $(55,870) 
Management fee
   72,446    64,430    57,037    60,238 
Non-recurring
fees and expenses
   —      717 
Net realized gain (loss)
   1,598,086    110,748    197,444    (1,451,651) 
Change in net unrealized appreciation (depreciation)
   (1,645,477)    66,461    (189,932)    201,521 
Net Income (loss)
  $(116,267)   $117,922   $(47,133)   $(1,306,000) 
 
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The Fund’s net income increased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended JuneSeptember 30, 2021.
ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $75,122,747  $45,034,386   $92,662,734  $59,085,470 
NAV end of period
  $92,662,734  $59,085,470   $127,673,137  $101,957,520 
Percentage change in NAV
   23.3%   31.2%    37.7%   72.6% 
Shares outstanding beginning of period
   2,162,403   1,162,403    3,037,403   1,462,403 
Shares outstanding end of period
   3,037,403   1,462,403    3,962,403   2,487,403 
Percentage change in shares outstanding
   40.5%   25.8%    30.5%   70.1% 
Shares created
   1,025,000   725,000    1,200,000   1,150,000 
Shares redeemed
   150,000   425,000    275,000   125,000 
Per share NAV beginning of period
  $34.74  $38.74   $30.51  $40.40 
Per share NAV end of period
  $30.51  $40.40   $32.22  $40.99 
Percentage change in per share NAV
   (12.2)%   4.3%    5.6%   1.5% 
Percentage change in benchmark
   (11.9)%   4.6%    6.0%   1.8% 
Benchmark annualized volatility
   31.1%   61.3%    22.9%   26.2% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 2,162,403 outstanding Shares at March 31, 2021 to 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset byalso resulted in part 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. By comparison, during the three months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,162,403 outstanding Shares at March 31, 2020 to 1,462,403 outstanding Shares at June 30, 2020 to 2,487,403 outstanding Shares at September 30, 2020. 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 daily performance of the S&P 500 VIX
Mid-Term
Futures Index.
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For the three months ended JuneSeptember 30, 2021 and 2020, 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 decreaseincrease of 12.2%5.6% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 4.3%1.5% for the three months ended JuneSeptember 30, 2020, was primarily due to a depreciationgreater appreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
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The benchmark’s declinerise of 11.9%6.0% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 4.6%1.8% for the three months ended JuneSeptember 30, 2020, can be attributed to a decreasegreater increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(227,144)   $(133,713)   $(262,156)   $(204,460) 
Management fee
   187,266    124,276    221,356    172,587 
Brokerage commission
   16,096    16,684    20,803    19,350 
Net realized gain (loss)
   (14,405,542)    13,196,415    (4,024,133)    755,845 
Change in net unrealized appreciation (depreciation)
   3,572,030    (12,313,533)    10,652,952    1,752,080 
Net Income (loss)
  $(11,060,656)   $749,169   $6,366,663   $2,303,465 
The Fund’s net income decreasedincreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a decreasegreater increase in the value of the futures prices during the three months ended JuneSeptember 30, 2021.
ProShares VIX Short-Term Futures ETF*ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
 
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $349,578,758  $223,055,354   $272,352,675  $221,343,175 
NAV end of period
  $272,352,675  $221,343,175   $368,777,333  $279,272,297 
Percentage change in NAV
   (22.1)%   (0.8)%    35.3%   26.2% 
Shares outstanding beginning of period
   9,375,329   1,469,079    11,307,826   1,981,579 
Shares outstanding end of period
   11,307,826   1,981,579    16,257,826   3,400,329 
Percentage change in shares outstanding
   20.6%   34.9%    43.8%   71.6% 
Shares created
   3,925,000   968,750    6,300,000   1,662,500 
Shares redeemed
   1,992,503   456,250    1,350,000   243,750 
Per share NAV beginning of period
  $37.29  $151.83   $24.09  $111.70 
Per share NAV end of period
  $24.09  $111.70   $22.68  $82.13 
Percentage change in per share NAV
   (35.4)%   (26.4)%    (5.8)%   (26.5)% 
Percentage change in benchmark
   (35.2)%   (26.1)%    (5.6)%   (26.3)% 
Benchmark annualized volatility
   70.5%   122.3%    69.6%   56.2% 
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On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
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As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended JuneSeptember 30, 2021, the decreaseincrease in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 to 16,257,826 outstanding Shares at September 30, 2021. 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 September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,981,579 outstanding Shares at June 30, 2020 to 3,400,329 outstanding Shares at September 30, 2020. The decreaseincrease in the Fund’s NAV was offset by an increase from 9,375,329 outstanding Shares at March 31, 2021 to 11,307,826 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, 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 Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,469,079 outstanding Shares at March 31, 2020 to 1,981,579 outstanding Shares at June 30, 2020.
For the three months ended JuneSeptember 30, 2021 and 2020, 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 35.4%5.8% for the three months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.4%26.5% for the three months ended JuneSeptember 30, 2020, was primarily due to greaterlesser depreciation in the value of the assets held by the Fund during the three months ended JuneSeptember 30, 2021.
The benchmark’s decline of 35.2%5.6% for the three months ended JuneSeptember 30, 2021, as compared to the benchmark’s decline of 26.1%26.3% for the three months ended JuneSeptember 30, 2020, can be attributed to a greaterlesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended JuneSeptember 30, 2021 and 2020:
 
  
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(897,582)   $(443,622)   $(897,586)   $(758,225) 
Management fee
   669,363    398,044    660,051    560,301 
Brokerage commission
   94,839    60,097    97,516    66,969 
Net realized gain (loss)
   (175,846,641)    (845,717)    (51,868,433)    (75,120,135) 
Change in net unrealized appreciation (depreciation)
   38,992,347    (51,868,970)    42,168,297    556,466 
Net Income (loss)
  $(137,751,876)   $(53,158,309)   $(10,597,722)   $(75,321,894) 
The Fund’s net income decreasedincreased for the three months ended JuneSeptember 30, 2021 as compared to the three months ended JuneSeptember 30, 2020, primarily due to a greaterlesser decrease in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended JuneSeptember 30, 2021.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
 
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Results of Operations for the SixNine Months Ended JuneSeptember 30, 2021 Compared to the SixNine Months Ended JuneSeptember 30, 2020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $4,191,955  $2,282,195   $4,191,955  $2,282,195 
NAV end of period
  $2,159,102  $2,286,467   $2,206,818  $2,188,644 
Percentage change in NAV
   (48.5)%   0.2%    (47.4)%   (4.1)% 
Shares outstanding beginning of period
   100,000   50,000    100,000   50,000 
Shares outstanding end of period
   50,000   50,000    50,000   50,000 
Percentage change in shares outstanding
   (50.0)%   —  %    (50.0)%   –% 
Shares created
   —     —      —     —   
Shares redeemed
   50,000   —      50,000   —   
Per share NAV beginning of period
  $41.92  $45.64   $41.92  $45.64 
Per share NAV end of period
  $43.18  $45.73   $44.14  $43.77 
Percentage change in per share NAV
   3.0%   0.2%    5.2%   (4.1)% 
Percentage change in benchmark
   (2.9)%   0.2%    (5.2)%   4.5% 
Benchmark annualized volatility
   5.9%   8.7%    5.6%   7.9% 
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at JuneSeptember 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increasedecrease 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 inverse
(-1x)
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, 2019 to JuneSeptember 30, 2020.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 3.0%5.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increasedecrease of 0.2%4.1% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to [greater/lesser] greater appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 2.9%5.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 0.2%4.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(13,439)   $(3,560)   $(18,442)   $(8,827) 
Management fee
   14,085    11,019    19,278    16,266 
Brokerage commission
   260    190    339    272 
Non-recurring
fees and expenses
   —      65 
Net realized gain (loss)
   31,221    (38,658)    88,710    (116,225) 
Change in net unrealized appreciation (depreciation)
   96,177    46,490    91,407    31,501 
Net Income (loss)
  $113,959   $4,272   $161,675   $(93,551) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $409,371,468  $284,437,179   $409,371,468  $284,437,179 
NAV end of period
  $588,615,946  $509,811,853   $388,523,845  $335,465,066 
Percentage change in NAV
   43.8%   79.2%    (5.1)%   17.9% 
Shares outstanding beginning of period
   9,884,307   4,334,307    9,884,307   4,334,307 
Shares outstanding end of period
   10,584,307   16,234,307    7,134,307   9,484,307 
Percentage change in shares outstanding
   7.1%   274.6%    (27.8)%   118.8% 
Shares created
   2,850,000   25,850,000    3,400,000   25,850,000 
Shares redeemed
   2,150,000   13,950,000    6,150,000   20,700,000 
Per share NAV beginning of period
  $41.42  $65.62   $41.42  $65.62 
Per share NAV end of period
  $55.61  $31.40   $54.46  $35.37 
Percentage change in per share NAV
   34.3%   (52.1)%    31.5%   (46.1)% 
Percentage change in benchmark
   (56.0)%   128.5%    (58.4)%   68.5% 
Benchmark annualized volatility
   76.0%   132.5%    73.8%   112.9% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the sixnine months ended JuneSeptember 30, 2021, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 10,584,307 outstanding Shares at June 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 16,234,3079,484,307 outstanding Shares at JuneSeptember 30, 2020. 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
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.3%31.5% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 52.1%46.1% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 56.0%58.4% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 128.5%68.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended JuneSeptember 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(3,308,123)   $(2,498,576)   $(4,774,396)   $(4,043,310) 
Management fee
   2,359,722    2,475,233    3,415,545    3,592,232 
Brokerage commission
   429,859    417,708    638,744    585,356 
Non-recurring
fees and expenses
   —      22,038 
Net realized gain (loss)
   133,546,434    (189,685,599)    168,119,037    (129,092,294) 
Change in net unrealized appreciation (depreciation)
   28,816,988    (1,245,671)    (14,532,856)    (2,709,070) 
Net Income (loss)
  $159,055,299   $(193,429,846)   $148,811,785   $(135,844,674) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of futures prices during the sixnine months ended JuneSeptember 30, 2021.
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ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $902,739,250  $309,844,582   $902,739,250  $309,844,582 
NAV end of period
  $1,303,530,902  $1,508,661,459   $1,090,613,716  $1,195,885,056 
Percentage change in NAV
   44.4%   386.9%    20.8%   286.0% 
Shares outstanding beginning of period
   24,810,774   608,453    24,810,774   608,453 
Shares outstanding end of period
   16,660,774   52,760,774    12,910,774   41,610,774 
Percentage change in shares outstanding
   (32.8)%   8,571.3%    (48.0)%   6,738.8% 
Shares created
   3,400,000   88,162,000    4,350,000   109,662,000 
Shares redeemed
   11,550,000   36,009,679    16,250,000   68,659,679 
Per share NAV beginning of period
  $36.38  $509.23   $36.38  $509.23 
Per share NAV end of period
  $78.24  $28.59   $84.47  $28.74 
Percentage change in per share NAV
   115.0%   (94.4)%    132.2%   (94.4)% 
Percentage change in benchmark
   50.1%   (58.6)%    58.2%   (33.6)% 
Benchmark annualized volatility
   28.2%   109.8%    29.1%   90.6% 
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always
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designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the sixnine months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 16,660,77412,910,774 outstanding Shares at JuneSeptember 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 52,760,77441,610,774 outstanding Shares at JuneSeptember 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil SubindexIndex
SM
.
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For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 115.0%132.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 94.4% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The new benchmark’s rise of 50.1%58.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s decline of 58.6%33.6% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(5,969,866)   $(3,589,951)   $(9,100,359)   $(8,010,293) 
Management fee
   5,329,377    3,676,527    8,104,728    6,887,044 
Brokerage commission
   503,212    1,143,882    701,710    1,744,115 
Non-recurring
fees and expenses
   27,500    24,637 
Net realized gain (loss)
   654,856,887    (1,176,974,505)    761,182,708    (891,020,242) 
Change in net unrealized appreciation (depreciation)
   192,954,795    338,757,185    176,076,207    106,126,899 
Net Income (loss)
  $841,841,816   $(841,807,271)   $928,158,556   $(792,903,636) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $169,800,371  $45,160,205   $169,800,371  $45,160,205 
NAV end of period
  $70,213,227  $50,599,783   $145,038,381  $99,203,762 
Percentage change in NAV
   (58.6)%   12.0%    (14.6)%   119.7% 
Shares outstanding beginning of period
   8,087,527   537,815    8,087,527   537,815 
Shares outstanding end of period
   1,987,527   1,787,527    1,737,527   2,887,527 
Percentage change in shares outstanding
   (75.4)%   232.4%    (78.5)%   436.9% 
Shares created
   4,050,000   1,485,000    5,200,000   5,835,000 
Shares redeemed
   10,150,000   235,288    11,550,000   3,485,288 
Per share NAV beginning of period
  $21.00  $83.97   $21.00  $83.97 
Per share NAV end of period
  $35.33  $28.31   $83.47  $34.36 
Percentage change in per share NAV
   68.3%   (66.3)%    297.6%   (59.1)% 
Percentage change in benchmark
   34.2%   (37.8)%    113.0%   (28.5)% 
Benchmark annualized volatility
   35.5%   50.5%    40.5%   53.5% 
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,987,5271,737,527 outstanding Shares at JuneSeptember 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 537,815 outstanding Shares at December 31, 2019 to 1,787,527 outstanding Shares at June 30, 2020. 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 two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by a decrease from 537,815 outstanding Shares at December 31, 2019 to 2,887,527 outstanding Shares at September 30, 2020.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 68.3%297.6% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 66.3%59.1% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
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The benchmark’s rise of 34.2%113.0% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s decline of 37.8%28.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(632,508)   $(123,647)   $(845,018)   $(447,190) 
Management fee
   407,773    179,012    568,903    378,784 
Brokerage commission
   155,359    107,806    195,831    214,255 
Non-recurring
fees and expenses
   —      1,129 
Net realized gain (loss)
   46,484,224    (38,929,789)    80,409,947    2,226,367 
Change in net unrealized appreciation (depreciation)
   10,549,049    416,235    35,684,757    (4,338,592) 
Net Income (loss)
  $56,400,765   $(38,637,201)   $115,249,686   $(2,559,415) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
       
NAV beginning of period
  $4,737,350  $6,204,424   $4,737,350  $6,204,424 
NAV end of period
  $3,668,741  $4,067,686   $3,479,104  $4,397,675 
Percentage change in NAV
   (22.6)%   (34.4)%    (26.6)%   (29.1)% 
Shares outstanding beginning of period
   300,000   450,000    300,000   450,000 
Shares outstanding end of period
   250,000   300,000    250,000   300,000 
Percentage change in shares outstanding
   (16.7)%   (33.3)%    (16.7)%   (33.3)% 
Shares created
   100,000   100,000    100,000   200,000 
Shares redeemed
   150,000   250,000    150,000   350,000 
Per share NAV beginning of period
  $15.79  $13.79   $15.79  $13.79 
Per share NAV end of period
  $14.67  $13.56   $13.92  $14.66 
Percentage change in per share NAV
   (7.1)%   (1.7)%    (11.9)%   6.3% 
Percentage change in benchmark
   (2.9)%   0.2%    (5.2)%   4.5% 
Benchmark annualized volatility
   6.1%   8.7%    5.6%   7.9% 
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at JuneSeptember 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at JuneSeptember 30, 2020. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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%11.9% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decreaseincrease of 1.7%6.3% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
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The benchmark’s decline of 2.9%5.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 0.2%4.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(18,472)   $(5,455)   $(26,743)   $(17,610) 
Management fee
   19,494    21,448    28,158    33,852 
Non-recurring
fees and expenses
   —      108 
Net realized gain (loss)
   68,070    (71,903)    (186,149)    369,811 
Change in net unrealized appreciation (depreciation)
   (324,271)    (124,134)    (251,418)    (208,451) 
Net Income (loss)
  $(274,673)   $(201,492)   $(464,310)   $143,750 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $263,540,473  $110,726,032   $263,540,473  $110,726,032 
NAV end of period
  $243,456,703  $165,689,050   $230,917,847  $275,450,606 
Percentage change in NAV
   (7.6)%   49.6%    (12.4)%   148.8% 
Shares outstanding beginning of period
   3,900,000   2,250,000    3,900,000   2,250,000 
Shares outstanding end of period
   4,250,000   2,550,000    4,150,000   4,000,000 
Percentage change in shares outstanding
   9.0%   13.3%    6.4%   77.8% 
Shares created
   1,000,000   1,450,000    1,250,000   3,150,000 
Shares redeemed
   650,000   1,150,000    1,000,000   1,400,000 
Per share NAV beginning of period
  $67.57  $49.21   $67.57  $49.21 
Per share NAV end of period
  $57.28  $64.98   $55.64  $68.86 
Percentage change in per share NAV
   (15.2)%   32.0%    (17.7)%   39.9% 
Percentage change in benchmark
   (7.0)%   17.1%    (7.9)%   21.4% 
Benchmark annualized volatility
   16.6%   50.5%    15.7%   22.6% 
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,250,0004,150,000 outstanding Shares at JuneSeptember 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 4,000,000 outstanding Shares at September 30, 2020. 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 two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,550,000 outstanding Shares at June 30, 2020.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 15.2%17.7% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 32.0%39.9% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 7.0%7.9% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 17.1%21.4% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,149,635)   $(171,013)   $(1,745,829)   $(789,004) 
Management fee
   1,136,247    628,874    1,718,350    1,269,866 
Brokerage commission
   23,553    16,484    32,974    28,599 
Non-recurring
fees and expenses
   —      3,751 
Net realized gain (loss)
   (5,741,520)    25,863,384    (27,599,609)    51,605,680 
Change in net unrealized appreciation (depreciation)
   (34,710,806)    6,795,652    (19,136,522)    (11,258,939) 
Net Income (loss)
  $(41,601,961)   $32,488,023   $(48,481,960)   $39,557,737 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of futures prices during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $745,304,028  $239,254,842   $745,304,028  $239,254,842 
NAV end of period
  $661,778,727  $249,671,968   $480,309,476  $620,883,156 
Percentage change in NAV
   (11.2)%   4.4%    (35.6)%   159.5% 
Shares outstanding beginning of period
   14,696,526   7,546,526    14,696,526   7,546,526 
Shares outstanding end of period
   14,396,526   8,446,526    15,146,526   14,696,526 
Percentage change in shares outstanding
   (2.0)%   11.9%    3.1%   94.7% 
Shares created
   3,400,000   2,250,000    4,450,000   10,300,000 
Shares redeemed
   3,700,000   1,350,000    4,000,000   3,150,000 
Per share NAV beginning of period
  $50.71  $31.70   $50.71  $31.70 
Per share NAV end of period
  $45.97  $29.56   $31.71  $42.25 
Percentage change in per share NAV
   (9.4)%   (6.8)%    (37.5)%   33.3% 
Percentage change in benchmark
   (1.2)%   1.9%    (17.0)%   27.4% 
Benchmark annualized volatility
   35.9%   43.3%    33.0%   48.6% 
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decreasewas offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 14,396,52615,146,526 outstanding Shares at JuneSeptember 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,526 outstanding Shares at December 31, 2019 to 8,446,52614,696,526 outstanding Shares at JuneSeptember 30, 2020. The increase in the Fund’s NAV was offset byalso resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 9.4%37.5% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decreaseincrease of 6.8%33.3% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 1.2%17.0% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 1.9%27.4% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(3,381,011)   $(58,411)   $(4,805,716)   $(1,555,626) 
Management fee
   3,246,292    906,893    4,640,919    2,369,293 
Brokerage commission
   87,297    45,174    114,716    99,986 
Non-recurring
fees and expenses
   —      3,943 
Net realized gain (loss)
   121,281,221    7,688,659    (80,038,809)    297,927,456 
Change in net unrealized appreciation (depreciation)
   (186,138,026)    (15,759,771)    (192,156,316)    (215,073,543) 
Net Income (loss)
  $(68,237,816)   $(8,129,523)   $(277,000,841)   $81,298,287 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of futures prices during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares Ultra VIX Short-Term Futures ETF*ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $1,356,204,199  $527,636,003   $1,356,204,199  $527,636,003 
NAV end of period
  $840,870,703  $992,156,607   $1,020,845,873  $1,307,611,521 
Percentage change in NAV
   (38.0)%   88.0%    (24.7)%   147.8% 
Shares outstanding beginning of period
   12,713,091   4,163,091    12,713,091   4,163,091 
Shares outstanding end of period
   30,128,420   3,013,091    41,778,420   6,488,091 
Percentage change in shares outstanding
   137.0%   (27.6)%    228.6%   55.8% 
Shares created
   32,585,000   3,475,000    70,385,000   7,755,000 
Shares redeemed
   15,169,671   4,625,000    41,319,671   5,430,000 
Per share NAV beginning of period
  $106.68  $126.74   $106.68  $126.74 
Per share NAV end of period
  $27.91  $329.28   $24.43  $201.54 
Percentage change in per share NAV
   (73.8)%   159.8%    (77.1)%   59.0% 
Percentage change in benchmark
   (56.0)%   128.5%    (58.4)%   68.5% 
Benchmark annualized volatility
   76.0%   132.5%    73.8%   112.9% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 30,128,42041,778,420 outstanding Shares at JuneSeptember 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,163,091 outstanding Shares at December 31, 2019 to 6,488,091 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 4,163,091 outstanding Shares at December 31, 2019 to 3,013,091 outstanding Shares at June 30, 2020.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 73.8%77.1% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 159.8%59.0% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 56.0%58.4% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 128.5%68.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended JuneSeptember 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(12,044,833)   $(2,815,021)   $(16,038,632)   $(7,952,015) 
Management fee
   6,676,198    2,677,153    8,897,953    5,646,893 
Brokerage commission
   3,129,904    1,179,860    4,225,879    2,282,095 
Non-recurring
fees and expenses
   —      10,480 
Net realized gain (loss)
   (1,559,026,428)    618,204,440    (1,757,407,418)    58,666,590 
Change in net unrealized appreciation (depreciation)
   (40,244,083)    51,016,036    146,498,138    66,319,163 
Net Income (loss)
  $(1,611,315,344)   $666,405,455   $(1,626,947,912)   $117,033,738 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of futures prices during the sixnine months ended JuneSeptember 30, 2021.
*
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $2,989,499  $5,580,964   $2,989,499  $5,580,964 
NAV end of period
  $2,560,348  $2,764,355   $2,539,880  $2,882,680 
Percentage change in NAV
   (14.4)%   (50.5)%    (15.0)%   (48.3)% 
Shares outstanding beginning of period
   49,970   99,970    49,970   99,970 
Shares outstanding end of period
   49,970   49,970    49,970   49,970 
Percentage change in shares outstanding
   —  %   (50.0)%    —  %   (50.0)% 
Shares created
   —     —      —     —   
Shares redeemed
   —     50,000    —     50,000 
Per share NAV beginning of period
  $59.83  $55.83   $59.83  $55.83 
Per share NAV end of period
  $51.24  $55.32   $50.83  $57.69 
Percentage change in per share NAV
   (14.4)%   (0.9)%    (15.0)%   3.3% 
Percentage change in benchmark
   (7.1)%   0.6%    (7.2)%   3.0% 
Benchmark annualized volatility
   5.0%   11.8%    5.2%   10.2% 
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to JuneSeptember 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at JuneSeptember 30, 2020. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 14.4%15.0% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decreaseincrease of 0.9%3.3% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 7.1%7.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 0.6%3.0% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(12,248)   $(4,913)   $(18,221)   $(11,633) 
Management fee
   12,911    13,842    19,144    20,655 
Non-recurring
fees and expenses
   —      78 
Net realized gain (loss)
   (279,474)    (115,236)    (305,028)    11,333 
Change in net unrealized appreciation (depreciation)
   (137,429)    49,554    (126,370)    48,030 
Net Income (loss)
  $(429,151)   $(70,595)   $(449,619)   $47,730 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the sixnine months ended JuneSeptember 30, 2021.
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ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $2,222,639  $5,608,612   $2,222,639  $5,608,612 
NAV end of period
  $2,304,732  $5,614,042   $4,914,269  $5,173,668 
Percentage change in NAV
   3.7%   0.1%    121.1%   (7.8)% 
Shares outstanding beginning of period
   50,000   100,000    50,000   100,000 
Shares outstanding end of period
   50,000   100,000    100,000   100,000 
Percentage change in shares outstanding
   —  %   —  %    100.0%   —  % 
Shares created
   —     —      50,000   —   
Shares redeemed
   —     —      —     —   
Per share NAV beginning of period
  $44.45  $56.09   $44.45  $56.09 
Per share NAV end of period
  $46.09  $56.14   $49.14  $51.74 
Percentage change in per share NAV
   3.7%   0.1%    10.6%   (7.8)% 
Percentage change in benchmark
   (2.7)%   (1.6)%    (6.2)%   2.1% 
Benchmark annualized volatility
   9.9%   14.6%    9.5%   13.0% 
During the sixnine months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2020 to 100,000 outstanding Shares at September 30, 2021. 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 two times the inverse
(-2x)
of the daily performance of
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the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increasedecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to JuneSeptember 30, 2020.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 3.7%10.6% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increasedecrease of 0.1%7.8% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 2.7%6.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s declinerise of 1.6%2.1% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a greater decrease in the value of the Australian dollar versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(10,573)   $(12,760)   $(19,952)   $(26,054) 
Management fee
   10,331    30,018    19,191    42,496 
Brokerage commission
   760    2,838    1,722    3,766 
Non-recurring
fees and expenses
   —      177 
Net realized gain (loss)
   (171,677)    (366,954)    17,207    (799,054) 
Change in net unrealized appreciation (depreciation)
   264,343    385,144    321,113    390,164 
Net Income (loss)
  $82,093   $5,430   $318,368   $(434,944) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a greater decrease in the value of the Australian dollar versus the U.S. dollar during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares UltraShort Bloomberg Crude Oil*Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $96,839,233  $125,451,681   $96,839,233  $125,451,681 
NAV end of period
  $79,400,059  $117,821,898   $93,575,213  $80,418,166 
Percentage change in NAV
   (18.0)%   (6.1)%    (3.4)%   (35.9)% 
Shares outstanding beginning of period
   2,084,971   2,572,471    2,084,971   2,572,471 
Shares outstanding end of period
   4,383,799   1,609,971    6,183,799   1,209,971 
Percentage change in shares outstanding
   110.3%   (37.4)%    196.6%   (53.0)% 
Shares created
   3,887,500   5,587,500    7,237,500   6,662,500 
Shares redeemed
   1,588,672   6,550,000    3,138,672   8,025,000 
Per share NAV beginning of period
  $46.45  $48.77   $46.45  $48.77 
Per share NAV end of period
  $18.11  $73.18   $15.13  $66.46 
Percentage change in per share NAV
   (61.0)%   50.1%    (67.4)%   36.3% 
Percentage change in benchmark
   50.1%   (58.6)%    58.2%   (33.6)% 
Benchmark annualized volatility
   28.2%   109.8%    29.1%   90.6% 
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
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During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 2,084,971 outstanding Shares at December 31, 2020 to 4,383,7996,183,799 outstanding Shares at JuneSeptember 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,572,471 outstanding Shares at December 31, 2019 to 1,609,9711,209,971 outstanding Shares at JuneSeptember 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil SubindexIndex
SM
.
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For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 61.0%67.4% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 50.1%36.3% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The new benchmark’s rise of 50.1%58.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s decline of 58.6%33.6% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(509,925)   $(813,439)   $(751,650)   $(1,155,759) 
Management fee
   402,298    551,269    603,444    789,307 
Brokerage commission
   71,625    423,785    100,902    488,442 
Non-recurring
fees and expenses
   —      4,892 
Net realized gain (loss)
   (75,188,186)    44,726,655    (86,637,748)    28,429,826 
Change in net unrealized appreciation (depreciation)
   (4,308,588)    1,379,632    (5,829,481)    7,227,746 
Net Income (loss)
  $(80,006,699)   $45,292,848   $(93,218,879)   $34,501,813 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the sixnine months ended JuneSeptember 30, 2021.
*
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.
 
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ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $24,977,745  $12,515,603   $24,977,745  $12,515,603 
NAV end of period
  $97,525,300  $28,552,210   $138,468,677  $46,937,986 
Percentage change in NAV
   290.4%   128.1%    454.4%   275.0% 
Shares outstanding beginning of period
   524,832   324,832    524,832   324,832 
Shares outstanding end of period
   4,524,832   424,832    19,724,832   1,224,832 
Percentage change in shares outstanding
   762.1%   30.8%    3,658.3%   277.1% 
Shares created
   7,550,000   1,200,000    28,050,000   4,400,000 
Shares redeemed
   3,550,000   1,100,000    8,850,000   3,500,000 
Per share NAV beginning of period
  $47.59  $38.53   $47.59  $38.53 
Per share NAV end of period
  $21.55  $67.21   $7.02  $38.32 
Percentage change in per share NAV
   (54.7)%   74.5%    (85.3)%   (0.5)% 
Percentage change in benchmark
   34.2%   (37.8)%    113.0%   (28.5)% 
Benchmark annualized volatility
   35.5%   50.5%    40.5%   53.5% 
During the sixnine months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,832 outstanding Shares at December 31, 2020 to 4,524,83219,724,832 outstanding Shares at JuneSeptember 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 324,832 outstanding Shares at December 31, 2019 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 324,832 outstanding Shares at December 31, 2019 to 424,832 outstanding Shares at June 30, 2020.
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For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 54.7%85.3% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increasedecrease of 74.5%0.5% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s rise of 34.2%113.0% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s decline of 37.8%28.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended JuneSeptember 30, 2021.
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(574,164)   $(109,326)   $(932,981)   $(358,912) 
Management fee
   350,648    69,037    609,472    207,544 
Brokerage commission
   182,023    78,743    249,831    177,159 
Non-recurring
fees and expenses
   —      345 
Net realized gain (loss)
   (16,664,698)    10,862,268    (112,274,576)    (20,587,724) 
Change in net unrealized appreciation (depreciation)
   (17,798,697)    560,972    (35,670,233)    9,530,109 
Net Income (loss)
  $(35,037,559)   $11,313,914   $(148,877,790)   $(11,416,527) 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas, during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $52,953,339  $120,581,173   $52,953,339  $120,581,173 
NAV end of period
  $48,820,440  $78,848,965   $48,640,817  $68,577,533 
Percentage change in NAV
   (7.8)%   (34.6)%    (8.1)%   (43.1)% 
Shares outstanding beginning of period
   2,350,000   4,500,000    2,350,000   4,500,000 
Shares outstanding end of period
   2,050,000   2,950,000    1,950,000   2,800,000 
Percentage change in shares outstanding
   (12.8)%   (34.4)%    (17.0)%   (37.8)% 
Shares created
   200,000   350,000    300,000   1,350,000 
Shares redeemed
   500,000   1,900,000    700,000   3,050,000 
Per share NAV beginning of period
  $22.53  $26.80   $22.53  $26.80 
Per share NAV end of period
  $23.81  $26.73   $24.94  $24.49 
Percentage change in per share NAV
   5.7%   (0.3)%    10.7%   (8.6)% 
Percentage change in benchmark
   (2.9)%   0.2%    (5.2)%   4.5% 
Benchmark annualized volatility
   6.1%   8.7%    5.6%   7.9% 
During the sixnine months ended JuneSeptember 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,050,0001,950,000 outstanding Shares at JuneSeptember 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,950,0002,800,000 outstanding Shares at JuneSeptember 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 5.7%10.7% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.3%8.6% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 2.9%5.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 0.2%4.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(225,912)   $(9,389)   $(337,637)   $(154,217) 
Management fee
   238,718    477,073    355,451    638,218 
Non-recurring
fees and expenses
   —      2,622 
Net realized gain (loss)
   (725,230)    (1,238,585)    2,249,236    (8,749,752) 
Change in net unrealized appreciation (depreciation)
   3,881,067    1,920,568    3,263,109    3,446,359 
Net Income (loss)
  $2,929,925   $672,594   $5,174,708   $(5,457,610) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $20,337,376  $21,047,560   $20,337,376  $21,047,560 
NAV end of period
  $32,835,014  $15,851,043   $27,731,022  $27,139,981 
Percentage change in NAV
   61.5%   (24.7)%    36.4%   28.9% 
Shares outstanding beginning of period
   646,977   396,977    646,977   396,977 
Shares outstanding end of period
   946,977   446,977    796,977   846,977 
Percentage change in shares outstanding
   46.4%   12.6%    23.2%   113.4% 
Shares created
   1,050,000   350,000    1,700,000   1,100,000 
Shares redeemed
   750,000   300,000    1,550,000   650,000 
Per share NAV beginning of period
  $31.43  $53.02   $31.43  $53.02 
Per share NAV end of period
  $34.67  $35.46   $34.80  $32.04 
Percentage change in per share NAV
   10.3%   (33.1)%    10.7%   (39.6)% 
Percentage change in benchmark
   (7.0)%   17.1%    (7.9)%   3.6% 
Benchmark annualized volatility
   16.6%   24.2%    15.7%   22.6% 
During the sixnine months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 946,977796,977 outstanding Shares at JuneSeptember 30, 2021. 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 two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the decreaseincrease in the Fund’s NAV resulted primarily from an increase from 396,977 outstanding Shares at December 31, 2019 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 396,977 outstanding Shares at December 31, 2019 to 446,977 outstanding Shares at June 30, 2020.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 10.3%10.7% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 33.1%39.6% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 7.0%7.9% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 17.1%3.6% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended JuneSeptember 30, 2021.
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(139,918)   $(25,708)   $(208,304)   $(73,179) 
Management fee
   133,695    83,860    199,999    129,451 
Brokerage commission
   5,873    3,763    9,174    5,743 
Non-recurring
fees and expenses
   —      499 
Net realized gain (loss)
   (2,981,188)    (8,020,153)    (1,767,467)    (12,041,690) 
Change in net unrealized appreciation (depreciation)
   3,626,200    38,043    1,727,781    2,727,104 
Net Income (loss)
  $505,094   $(8,007,818)   $(247,990)   $(9,387,765) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the futures prices during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares UltraShort Silver*Silver
*
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $28,885,775  $13,834,163   $28,885,775  $13,834,163 
NAV end of period
  $34,859,763  $10,145,625   $40,373,877  $51,055,675 
Percentage change in NAV
   20.7%   (26.7)%    39.8%   269.1% 
Shares outstanding beginning of period
   1,041,744   129,244    1,041,744   129,244 
Shares outstanding end of period
   1,491,329   129,244    1,291,329   1,316,744 
Percentage change in shares outstanding
   43.2%   —  %    24.0%   918.8% 
Shares created
   2,750,000   200,000    3,750,000   3,025,000 
Shares redeemed
   2,300,415   200,000    3,500,415   1,837,500 
Per share NAV beginning of period
  $27.73  $107.04   $27.73  $107.04 
Per share NAV end of period
  $23.37  $78.50   $31.27  $38.77 
Percentage change in per share NAV
   (15.7)%   (26.7)%    12.8%   (63.8)% 
Percentage change in benchmark
   (1.2)%   1.9%    (17.0)%   27.4% 
Benchmark annualized volatility
   35.9%   43.3%    33.0%   48.6% 
During the sixnine months ended JuneSeptember 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,491,3291,291,329 outstanding Shares at JuneSeptember 30, 2021. 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 two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at December 31, 2019 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 decreaseincrease of 15.7%12.8% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.7%63.8% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to lesser depreciationappreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 1.2%17.0% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 1.9%27.4% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended JuneSeptember 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(177,247)   $(27,294)   $(279,779)   $(122,284) 
Management fee
   157,576    62,885    248,539    147,262 
Brokerage commission
   11,268    7,921    19,409    16,460 
Non-recurring
fees and expenses
   —      321 
Net realized gain (loss)
   (8,808,722)    (3,035,499)    (2,146,577)    (18,932,319) 
Change in net unrealized appreciation (depreciation)
   6,541,191    1,436,385    10,463,787    12,566,119 
Net Income (loss)
  $(2,444,778)   $(1,626,408)   $8,037,431   $(6,488,484) 
The Fund’s net income decreasedincreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of futures in conjunction with the timing of shareholder activity, prices during the sixnine months ended JuneSeptember 30, 2021.
*
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Silver.
 
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ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $23,691,070  $38,132,320   $23,691,070  $38,132,320 
NAV end of period
  $27,231,748  $29,787,034   $23,328,922  $24,780,763 
Percentage change in NAV
   14.9%   (21.9)%    (1.5)%   (35.0)% 
Shares outstanding beginning of period
   349,290   499,290    349,290   499,290 
Shares outstanding end of period
   349,290   399,290    299,290   349,290 
Percentage change in shares outstanding
   —  %   (20.0)%    (14.3)%   (30.0)% 
Shares created
   100,000   100,000    100,000   100,000 
Shares redeemed
   100,000   200,000    150,000   250,000 
Per share NAV beginning of period
  $67.83  $76.37   $67.83  $76.37 
Per share NAV end of period
  $77.96  $74.60   $77.95  $70.95 
Percentage change in per share NAV
   15.0%   (2.3)%    14.9%   (7.1)% 
Percentage change in benchmark
   (7.1)%   0.6%    (7.2)%   3.0% 
Benchmark annualized volatility
   5.0%   11.8%    5.2%   10.2% 
During the sixnine months ended JuneSeptember 30, 2021, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 349,290 outstanding Shares at December 31, 2020 to 299,290 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 399,290349,290 outstanding Shares at JuneSeptember 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the sixnine months ended JuneSeptember 30, 2021 and 2020, 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 15.0%14.9% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV decrease of 2.3%7.1% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 7.1%7.2% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 0.6%3.0% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended JuneSeptember 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(131,833)   $(17,541)   $(186,478)   $(73,411) 
Management fee
   138,999    148,867    196,036    209,105 
Non-recurring
fees and expenses
   —      717 
Net realized gain (loss)
   2,857,659    (395,772)    3,055,103    (1,847,423) 
Change in net unrealized appreciation (depreciation)
   1,256,265    (630,608)    1,066,333    (429,087) 
Net Income (loss)
  $3,982,091   $(1,043,921)   $3,934,958   $(2,349,921) 
The Fund’s net income increased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the sixnine months ended JuneSeptember 30, 2021.
 
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ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
 
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $72,075,095  $45,986,584   $72,075,095  $45,986,584 
NAV end of period
  $92,662,734  $59,085,470   $127,673,137  $101,957,520 
Percentage change in NAV
   28.6%   28.5%    77.1%   121.7% 
Shares outstanding beginning of period
   1,962,403   2,162,403    1,962,403   2,162,403 
Shares outstanding end of period
   3,037,403   1,462,403    3,962,403   2,487,403 
Percentage change in shares outstanding
   54.8%   (32.4)%    101.9%   15.0% 
Shares created
   1,425,000   1,100,000    2,625,000   2,250,000 
Shares redeemed
   350,000   1,800,000    625,000   1,925,000 
Per share NAV beginning of period
  $36.73  $21.27   $36.73  $21.27 
Per share NAV end of period
  $30.51  $40.40   $32.22  $40.99 
Percentage change in per share NAV
   (16.9)%   90.0%    (12.3)%   92.8% 
Percentage change in benchmark
   (16.4)  %   90.9%    (11.4)%   94.3% 
Benchmark annualized volatility
   30.8  %   75.1%    28.3%   63.0% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. 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
Mid-Term
Futures Index. By comparison, during the nine months ended September 30, 2020, 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 the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 2,162,403 outstanding Shares at December 31, 2019 to 2,487,403 outstanding Shares at September 30, 2020.
For the nine months ended September 30, 2021 and 2020, 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 12.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 92.8% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 11.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 94.3% for the nine months ended September 30, 2020, 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 September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(694,100)   $(290,253) 
Management fee
   586,702    391,147 
Brokerage commission
   48,211    51,973 
Net realized gain (loss)
   (14,890,359)    21,708,785 
Change in net unrealized appreciation (depreciation)
   5,949,460    5,421,417 
Net Income (loss)
  $(9,634,999)   $26,839,949 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.
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ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $293,390,549  $279,792,503 
NAV end of period
  $368,777,333  $279,272,297 
Percentage change in NAV
   25.7%   (0.2)% 
Shares outstanding beginning of period
   5,331,579   5,687,829 
Shares outstanding end of period
   16,257,826   3,400,329 
Percentage change in shares outstanding
   204.9%   (40.2)% 
Shares created
   16,556,250   4,331,250 
Shares redeemed
   5,630,003   6,618,750 
Per share NAV beginning of period
  $55.03  $49.19 
Per share NAV end of period
  $22.68  $82.13 
Percentage change in per share NAV
   (58.8)%   67.0% 
Percentage change in benchmark
   (58.4)%   68.5% 
Benchmark annualized volatility
   73.8%   112.9% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500® VIX Short-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, to reflect the new settlement time.500
®
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,037,403 outstanding Shares at June 30, 2021. 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 Mid-Term Futures Index. By comparison, during the six months ended June 30, 2020, 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,162,403 outstanding Shares at December 31, 2019 to 1,462,403 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, 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 16.9% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 90.0% for the six months ended June 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 16.4% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 90.9% for the six months ended June 30, 2020, 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 June 30, 2021.
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(431,944)   $(85,793) 
Management fee
   365,346    218,560 
Brokerage commission
   27,408    32,623 
Net realized gain (loss)
   (10,866,226)    20,952,940 
Change in net unrealized appreciation (depreciation)
   (4,703,492)    3,669,337 
Net Income (loss)
  $(16,001,662)   $24,536,484 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the six months ended June 30, 2021.
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ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $293,390,549  $279,792,503 
NAV end of period
  $272,352,675  $221,343,175 
Percentage change in NAV
   (7.2)%   (20.9)% 
Shares outstanding beginning of period
   5,331,579   5,687,829 
Shares outstanding end of period
   11,307,826   1,981,579 
Percentage change in shares outstanding
   112.1%   (65.2)% 
Shares created
   10,256,250   2,668,750 
Shares redeemed
   4,280,003   6,375,000 
Per share NAV beginning of period
  $55.03  $49.19 
Per share NAV end of period
  $24.09  $111.70 
Percentage change in per share NAV
   (56.2)%   127.1% 
Percentage change in benchmark
   (56.0)%   128.5% 
Benchmark annualized volatility
   76.0%   132.5% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the sixnine months ended JuneSeptember 30, 2021, the decreaseincrease in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. 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. The decrease in the Fund’s NAV was offset by an increase from 5,331,579 outstanding Shares at December 31, 2020 to 11,307,826 outstanding Shares at June 30, 2021. By comparison, during the sixnine months ended JuneSeptember 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,687,829 outstanding Shares at December 31, 2019 to 1,981,5793,400,329 outstanding Shares at JuneSeptember 30, 2020. 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 sixnine months ended JuneSeptember 30, 2021 and 2020, 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 56.2%58.8% for the sixnine months ended JuneSeptember 30, 2021, as compared to the Fund’s per Share NAV increase of 127.1%67.0% for the sixnine months ended JuneSeptember 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the sixnine months ended JuneSeptember 30, 2021.
The benchmark’s decline of 56.0%58.4% for the sixnine months ended JuneSeptember 30, 2021, as compared to the benchmark’s rise of 128.5%68.5% for the sixnine months ended JuneSeptember 30, 2020, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended JuneSeptember 30, 2021.
 
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the sixnine months ended JuneSeptember 30, 2021 and 2020:
 
  
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(2,122,386)   $(299,597)   $(3,019,972)   $(1,057,822) 
Management fee
   1,494,823    1,024,560    2,154,874    1,584,861 
Brokerage commission
   267,497    244,857    365,013    311,826 
Net realized gain (loss)
   (252,481,234)    324,892,071    (304,349,667)    249,771,936 
Change in net unrealized appreciation (depreciation)
   (14,438,507)    16,033,274    27,729,790    16,589,740 
Net Income (loss)
  $(269,042,127)   $340,625,748   $(279,639,849)   $265,303,854 
The Fund’s net income decreased for the sixnine months ended JuneSeptember 30, 2021 as compared to the sixnine months ended JuneSeptember 30, 2020, primarily due to a decrease in the value of the futures prices during the sixnine months ended JuneSeptember 30, 2021.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
 
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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 JuneSeptember 30, 2021 and 2020, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)
  Short  September 2021   15   $1.19    125,000   $(2,224,688)   Short  December 2021   15   $1.16    125,000   $(2,175,000) 
Futures Positions as of JuneSeptember 30, 2020
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)
  Long  September 2020   16   $1.13    125,000   $2,250,500   Short  December 2020   15   $1.17    125,000   $(2,200,406) 
The JuneSeptember 30, 2021 and 2020 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
for additional information regarding performance for periods longer than a single day.
ProShares Short VIX Short-Term Futures ETF
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to equity market volatility risk.
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  July 2021   8,517   $17.90    1,000   $(152,482,406)   Short  October 2021   4,341   $22.87    1,000   $(99,269,120) 
VIX Futures (Cboe)
  Short  August 2021   7,201    19.75    1,000    (142,210,389)   Short  November 2021   4,001    23.69    1,000    (94,767,286) 
 
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Futures Positions as of September 30, 2020
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  July 2020   4,764   $30.88    1,000   $(147,088,500) 
VIX Futures (Cboe)
  Short  August 2020   3,411    31.83    1,000    (108,555,075) 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  October 2020   2,972   $30.38    1,000   $(90,274,500) 
VIX Futures (Cboe)
  Short  November 2020   2,335    32.88    1,000    (76,763,125) 
The JuneSeptember 30, 2021 and 2020 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
for additional information regarding performance for periods longer than a single day.
ProShares Ultra Bloomberg Crude Oil:
As of June 30, 2021 and 2020, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of June
ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2021 and 2020, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2021   8,113   $72.77    1,000   $590,383,010   Long  December 2021   5,657   $74.70    1,000   $422,577,900 
WTI Crude Oil (NYMEX)
  Long  December 2021   8,603    70.13    1,000    603,328,390   Long  June 2022   5,843    71.15    1,000    415,729,450 
WTI Crude Oil (NYMEX)
  Long  June 2022   8,948    66.54    1,000    595,399,920   Long  December 2022   6,063    67.70    1,000    410,465,100 
Swap Agreements as of September 30, 2021
 
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
   
Counterparty
  
Long or
Short
   
Index
Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.  Long  $60.4445   $54,331,869   Citibank, N.A.   Long   $63.6871   $143,554,545 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   60.4445    192,754,488   Goldman Sachs International   Long    63.6871    203,094,978 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC		  Long   60.4445    249,583,741   Morgan Stanley & Co.
International PLC		   Long    63.6871    248,642,399 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   60.4445    128,583,706   Societe Generale   Long    63.6871    135,481,695 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   60.4445    191,424,891   UBS AG   Long    63.6871    201,694,052 
 
195
205
Table of Contents
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2020   17,132   $39.34    1,000   $673,972,880 
WTI Crude Oil (NYMEX)
  Long  October 2020   22,205    39.48    1,000    876,653,400 
WTI Crude Oil (NYMEX)
  Long  December 2020   25,357    39.68    1,000    1,006,165,760 
Futures Positions as of September 30, 2020
 
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
  Goldman Sachs International  Long  $37.2575   $225,096,897 
Morgan Stanley WTI Crude Oil Subindex
  Morgan Stanley  Long   287.8039    129,511,755 
Bloomberg WTI Crude Oil Subindex
  Societe Generale  Long   37.2575    107,081,626 
                                                                                                                                                                  
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
                       
WTI Crude Oil (NYMEX)
  Long  December 2020   19,296   $40.47    1,000   $780,909,120 
WTI Crude Oil (NYMEX)
  Long  June 2021   18,635    42.28    1,000    787,887,800 
WTI Crude Oil (NYMEX)
  Long  December 2021   18,385    43.12    1,000    792,761,200 
Swap Agreements as of September 30, 2020
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
                
Bloomberg Commodity Balanced WTI Crude Oil Subindex
  Societe Generale   Long   $35.2114   $30,255,607 
The JuneSeptember 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The JuneSeptember 30, 2021 and 2020 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
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 third-party custodian.
ProShares Ultra Bloomberg Natural Gas:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  September 2021   3,875   $3.62    10,000   $140,430,000 
 
Futures Positions as of June 30, 2020
 
                                 
                                 
                                 
                                 
                                 
                                 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
                      
Natural Gas (NYMEX)
  Long  September 2020   5,659   $1.79    10,000   $101,239,510   Long  November 2021   4,944   $5.87    10,000   $290,064,480 
Futures Positions as of September 30, 2020
                                                                                                                                                            
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
                       
Natural Gas (NYMEX)
  Long  November 2020   7,854   $2.53    10,000   $198,470,580 
The JuneSeptember 30, 2021 and 2020 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
for additional information regarding performance for periods longer than a single day.
 
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ProShares Ultra Euro:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2021
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/09/21    3,450,921   1.2118   $4,181,993 
Euro
  UBS AG  Long   07/09/21    4,235,502   1.2213    5,172,812 
Euro
  UBS AG  Short   07/09/21    (1,496,000)   1.1883    (1,777,623) 
 
Foreign Currency Forward Contracts as of June 30, 2020
 
                                                                                                                                                            
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
 
Forward
Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/10/20    3,440,921   1.1227   $3,862,950   Goldman Sachs International  Long   10/08/21    3,388,921   1.1851   $4,016,217 
Euro
  UBS AG  Long   07/10/20    4,020,302   1.1283    4,536,305   UBS AG  Long   10/08/21    2,801,502   1.1849    3,319,491 
Euro
  UBS AG  Short   07/10/20    (203,000)   1.1264    (228,659)   Goldman Sachs International  Short   10/08/21    (93,000)   1.1685    (108,671) 
Euro
  UBS AG  Short   10/08/21    (84,000)   1.1726    (98,499) 
Foreign Currency Forward Contracts as of September 30, 2020
                                                                                                                                                            
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/09/20    3,440,921   1.1835   $4,072,330 
Euro
  UBS AG  Long   10/09/20    6,830,302   1.1845    8,090,716 
Euro
  UBS AG  Short   10/09/20    (2,760,000)   1.1801    (3,257,049) 
The JuneSeptember 30, 2021 and 2020 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
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Gold:
As of JuneSeptember 30, 2021 and 2020 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of JuneSeptember 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2021
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2021   972   $1,771.60    100   $172,199,520 
 
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $195.7033   $108,368,339 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   195.7033    93,647,812 
Bloomberg Gold Subindex
  UBS AG  Long   195.7033    112,731,674 
                     
                     
                     
                     
                     
                     
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2021   856   $1,757.00    100   $150,399,200 
Swap Agreements as of September 30, 2021
 
Futures Positions as of June 30, 2020
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2020   721   $1,800.50    100   $129,816,050 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $193.6583   $107,235,945 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   193.6583    92,669,240 
Bloomberg Gold Subindex
  UBS AG  Long   193.6583    111,553,685 
Futures Positions as of September 30, 2020
                     
                     
                     
                     
                     
                     
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2020   1,114   $1,895.50    100   $211,158,700 
 
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Table of Contents
Swap Agreements as of JuneSeptember 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
   
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $203.8550   $70,552,163   Citibank, N.A.  Long  $211.1862   $116,941,808 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   203.8550    69,644,070   Goldman Sachs International  Long   211.1862    101,056,679 
Bloomberg Gold Subindex
  UBS AG  Long   203.8550    61,364,755   UBS AG  Long   211.1862    121,650,344 
The JuneSeptember 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The JuneSeptember 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap 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 third-party custodian.
ProShares Ultra Silver:
As of JuneSeptember 30, 2021 and 2020 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of JuneSeptember 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  September 2021   2,217   $26.19    5,000   $290,360,490   Long  December 2021   1,213   $22.05    5,000   $133,715,055 
Swap Agreements as of JuneSeptember 30, 2021
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
   
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $238.4964   $310,326,474   Citibank, N.A.  Long  $200.3035   $219,572,067 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   238.4964    261,540,197   Goldman Sachs International  Long   200.3035    219,657,055 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Long   238.4964    243,690,136   Morgan Stanley & Co. International PLC  Long   200.3035    204,665,509 
Bloomberg Silver Subindex
  UBS AG  Long   238.4964    217,640,652   UBS AG  Long   200.3035    182,787,599 
Futures Positions as of JuneSeptember 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  September 2020   1,928   $18.64    5,000   $179,660,680   Long  December 2020   3,288   $23.49    5,000   $386,241,359 
 
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Table of Contents
Swap Agreements as of JuneSeptember 30, 2020
 
                                                                                    
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
   
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $172.6990   $135,066,136   Citibank, N.A.  Long  $215.9803   $257,181,535 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   172.6990    93,005,691   Goldman Sachs International  Long   215.9803    223,086,085 
Bloomberg Silver Subindex
  UBS AG  Long   172.6990    91,761,402   Morgan Stanley & Co. International PLC  Long   215.9803    205,360,117 
Bloomberg Silver Subindex
  UBS AG  Long   215.9803    169,907,857 
The JuneSeptember 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The JuneSeptember 30, 2021 and 2020 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap 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 third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of JuneSeptember 30, 2021 and 2020, 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 agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of JuneSeptember 30, 2021 and 2020, which were sensitive to equity market volatility risk.
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  July 2021   34,175   $17.90    1,000   $611,845,278   Long  October 2021   32,595   $22.87    1,000   $745,375,941 
VIX Futures (Cboe)
  Long  August 2021   28,926    19.75    1,000    571,250,896   Long  November 2021   30,104    23.69    1,000    713,040,334 
Swap Agreements as of JuneSeptember 30, 2021
 
                                                                                                                
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
   
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 & Co.  Long  $29.4600   $77,700,750   Goldman Sachs International  Long  $27.8300   $73,401,625 
Futures Positions as of JuneSeptember 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2020   26,764   $30.88    1,000   $826,338,500 
VIX Futures (Cboe)
  Long  August 2020   19,103    31.83    1,000    607,952,975 
Swap Agreements as of June 30, 2020
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 & Co.  Long  $34.0592   $52,525,586 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2020   34,258   $30.38    1,000   $1,040,586,750 
VIX Futures (Cboe)
  Long  November 2020   26,919    32.88    1,000    884,962,125 
 
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Swap Agreements as of September 30, 2020
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 & Co.  Long  $25.0468   $38,626,764 
The JuneSeptember 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The JuneSeptember 30, 2021 and 2020 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
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 third-party custodian.
ProShares Ultra Yen:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of JuneSeptember 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/09/21    336,192,517   0.009125   $3,067,633   Goldman Sachs International  Long   10/08/21    327,930,517   0.009089   $2,980,604 
Yen
  UBS AG  Long   07/09/21    246,112,756   0.009124    2,245,458   UBS AG  Long   10/08/21    253,562,756   0.009086    2,303,860 
Yen
  UBS AG  Short   07/09/21    (13,400,000)   0.009047    (121,227)   Goldman Sachs International  Short   10/08/21    (6,319,000)   0.008956    (56,590) 
Yen
  UBS AG  Short   10/08/21    (10,090,000)   0.009078    (91,593) 
Foreign Currency Forward Contracts as of JuneSeptember 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/10/20    336,014,517   0.009196   $3,089,931   Goldman Sachs International  Long   10/09/20    332,532,517   0.009418   $3,131,929 
Yen
  UBS AG  Long   07/10/20    274,932,756   0.009201    2,529,705   UBS AG  Long   10/09/20    278,602,756   0.009425    2,625,726 
Yen
  UBS AG  Short   07/10/20    (12,240,000)   0.009236    (113,045)   UBS AG  Short   10/09/20    (2,680,000)   0.009488    (25,429) 
The JuneSeptember 30, 2021 and 2020 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
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
210
Table of Contents
ProShares UltraShort Australian Dollar:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to exchange rate price risk.
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Table of Contents
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)
   Short    September 2021    61   $75.01    1,000   $(4,573,780)   Short  December 2021   136   $72.29    1,000   $(9,838,240) 
Futures Positions as of JuneSeptember 30, 2020
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)
   Short    September 2020    163   $69.01    1,000   $(11,255,150)   Short  December 2020   145   $71.63    1,000   $(10,386,350) 
The JuneSeptember 30, 2021 and 2020 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
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Crude Oil:
As of JuneSeptember 30, 2021 and 2020, 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 Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of JuneSeptember 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short   September 2021   720   $72.77    1,000   $(52,394,400)   Short  December 2021   848   $74.70    1,000   $(63,345,600) 
WTI Crude Oil (NYMEX)
   Short   December 2021   764    70.13    1,000    (53,579,320)   Short  June 2022   876    71.15    1,000    (62,327,400) 
WTI Crude Oil (NYMEX)
   Short   June 2022   794    66.54    1,000    (52,832,760)   Short  December 2022   909    67.70    1,000    (61,539,300) 
Futures Positions as of JuneSeptember 30, 2020
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short   September 2020   919   $39.34    1,000   $(36,153,460)   Short  December 2020   1,314   $40.47    1,000   $(53,177,580) 
WTI Crude Oil (NYMEX)
   Short   October 2020   1,990    39.48    1,000    (78,565,200)   Short  June 2021   1,269    42.28    1,000    (53,653,320) 
WTI Crude Oil (NYMEX)
   Short   December 2020   1,980    39.68    1,000    (78,566,400)   Short  December 2021   1,252    43.12    1,000    (53,986,240) 
 
201211
Table of Contents
Swap Agreements as of June 30, 2020
Reference Index
  
Counterparty
   
Long or
Short
   
Index Close
   
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   Goldman Sachs International    Short   $37.2575   $(42,317,531) 
The JuneSeptember 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. JuneSeptember 30, 2021 and 2020 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Natural Gas:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short   September
2021		   5,382   $3.62    10,000   $(195,043,680)   Short  November 2021   4,720   $5.87    10,000   $(276,922,400) 
Futures Positions as of JuneSeptember 30, 2020
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short   September
2020		   3,192   $1.79    10,000   $(57,104,880)   Short  November 2020   3,715   $2.53    10,000   $(93,878,050) 
The JuneSeptember 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to exchange rate price risk.
 
202212
Table of Contents
Foreign Currency Forward Contracts as of June 30, 2021
 
 
Reference Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International   Long    07/09/21    950,000   1.2101   $1,149,583 
Euro
  UBS AG   Long    07/09/21    2,380,000   1.2022    2,861,261 
Euro
  Goldman Sachs International   Short    07/09/21    (37,911,263)   1.2211    (46,293,004) 
Euro
  UBS AG   Short    07/09/21    (47,835,199)   1.2168    (58,206,953) 
Foreign Currency Forward Contracts as of September 30, 2021
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  UBS AG  Long   10/08/21    5,650,000   1.1862   $6,702,072 
Euro
  Goldman Sachs International  Short   10/08/21    (39,458,263)   1.1837    (46,708,330) 
Euro
  UBS AG  Short   10/08/21    (49,895,199)   1.1841    (59,081,294) 
Foreign Currency Forward Contracts as of JuneSeptember 30, 2020
 
Reference Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local
Currency
 
Forward
Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Euro
  UBS AG   Long    07/10/20    24,450,000   1.1306   $27,643,554   Goldman Sachs International  Long   10/09/20    3,698,000   1.1727   $4,336,534 
Euro
  Goldman Sachs International   Short    07/10/20    (42,027,263)   1.1227    (47,181,907)   UBS AG  Long   10/09/20    6,700,000   1.1787    7,897,485 
Euro
  UBS AG   Short    07/10/20    (123,240,199)   1.1229    (138,384,964)   Goldman Sachs International  Short   10/09/20    (41,689,263)   1.1835    (49,339,243) 
Euro
  UBS AG  Short   10/09/20    (85,627,199)   1.1818    (101,193,803) 
The JuneSeptember 30, 2021 and 2020 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of JuneSeptember 30, 2021 and 2020 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of JuneSeptember 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of JuneSeptember 30, 2021
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
   Short    August 2021    169   $1,771.60    100   $(29,940,040)   Short  December 2021   114   $1,757.00    100   $(20,029,800) 
Swap Agreements as of JuneSeptember 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional
Amount at
Value
   
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $195.7033   $(14,671,543)   Citibank, N.A.  Short  $193.6583   $(14,518,233) 
Bloomberg Gold Subindex
  Goldman Sachs International   Short    195.7033    (9,598,230)   Goldman Sachs International  Short   193.6583    (9,497,933) 
Bloomberg Gold Subindex
  UBS AG   Short    195.7033    (11,477,443)   UBS AG  Short   193.6583    (11,357,509) 
Futures Positions as of JuneSeptember 30, 2020
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
   Short    August 2020    46   $1,800.50    100   $(8,282,300)   Short  December 2020   111   $1,895.50    100   $(21,040,050) 
 
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Swap Agreements as of JuneSeptember 30, 2020
 
                                                                                                                    
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
   
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $203.8550   $(10,722,833)   Citibank, N.A.  Short  $211.1862   $(10,138,690) 
Bloomberg Gold Subindex
  Goldman Sachs International  Short   203.8550    (8,036,739)   Goldman Sachs International  Short   211.1862    (8,325,763) 
Bloomberg Gold Subindex
  UBS AG  Short   203.8550    (4,678,097)   UBS AG  Short   211.1862    (14,773,987) 
The JuneSeptember 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The JuneSeptember 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap 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 third-party custodian.
ProShares UltraShort Silver:
As of JuneSeptember 30, 2021 and 2020 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of JuneSeptember 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Short  September 2021   179   $26.19    5,000   $(23,443,630) 
 
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $238.4964   $(8,849,343) 
Bloomberg Silver Subindex
  Goldman Sachs International  Short   238.4964    (11,715,662) 
  Morgan Stanley & Co.      
Bloomberg Silver Subindex
  International PLC  Short   238.4964    (9,263,439) 
Bloomberg Silver Subindex
  UBS AG  Short   238.4964    (16,415,733) 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2021   380   $22.05    5,000   $(41,889,300) 
Swap Agreements as of September 30, 2021
 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Short  September 2020   74   $18.64    5,000   $(6,895,690) 
                                                                                    
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $200.3035   $(7,432,206) 
Bloomberg Silver Subindex
  Goldman Sachs International  Short   200.3035    (9,839,512) 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Short   200.3035    (7,779,988) 
Bloomberg Silver Subindex
  UBS AG  Short   200.3035    (13,786,912) 
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2020   296   $23.49    5,000   $(34,771,120) 
 
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Table of Contents
Swap Agreements as of September 30, 2020
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional
Amount at
Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $172.6990   $(5,885,533) 
Bloomberg Silver Subindex
  Goldman Sachs International  Short   172.6990    (3,503,375) 
Bloomberg Silver Subindex
  UBS AG  Short   172.6990    (4,010,780) 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $215.9803   $(26,820,589) 
Bloomberg Silver Subindex
  Goldman Sachs International  Short   215.9803    (22,073,190) 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Short   215.9803    (4,366,690) 
Bloomberg Silver Subindex
  UBS AG  Short   215.9803    (14,081,291) 
The JuneSeptember 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The JuneSeptember 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap 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 third-party custodian.
ProShares UltraShort Yen:
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2021
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/09/21    995,120,000   0.009133   $9,088,259 
Yen
  UBS AG  Long   07/09/21    152,800,000   0.009096    1,389,896 
Yen
  Goldman Sachs International  Short   07/09/21    (2,069,325,165)   0.009121    (18,874,773) 
Yen
  UBS AG  Short   07/09/21    (5,125,948,875)   0.009118    (46,736,956) 
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  UBS AG  Long   07/10/20    667,860,000   0.009305   $6,214,279 
Yen
  Goldman Sachs International  Short   07/10/20    (1,888,338,165)   0.009196    (17,364,827) 
Yen
  UBS AG  Short   07/10/20    (5,209,742,875)   0.009190    (47,878,145) 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/08/21    32,600,000   0.009147   $298,181 
Yen
  UBS AG  Long   10/08/21    373,110,000   0.009098    3,394,710 
Yen
  Goldman Sachs International  Short   10/08/21    (1,558,854,165)   0.009077    (14,149,247) 
Yen
  UBS AG  Short   10/08/21    (4,049,118,875)   0.009085    (36,785,074) 
Foreign Currency Forward Contracts as of September 30, 2020
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/09/20    23,643,000   0.009483   $224,207 
Yen
  UBS AG  Long   10/09/20    223,810,000   0.009506    2,127,624 
Yen
  Goldman Sachs International  Short   10/09/20    (2,032,728,165)   0.009418    (19,145,073) 
Yen
  UBS AG  Short   10/09/20    (3,439,162,875)   0.009426    (32,416,476) 
The JuneSeptember 30, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
 
205215
Table of Contents
ProShares VIX
Mid-Term
Futures ETF
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2021
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2021   747   $21.85    1,000   $16,325,237   Long  January 2022   872   $24.80    1,000   $21,626,210 
VIX Futures (Cboe)
  Long  November 2021   1,379    22.26    1,000    30,695,161   Long  February 2022   1,677    25.23    1,000    42,304,841 
VIX Futures (Cboe)
  Long  December 2021   1,379    22.38    1,000    30,859,951   Long  March 2022   1,677    25.66    1,000    43,023,603 
VIX Futures (Cboe)
  Long  January 2022   632    23.38    1,000    14,775,781   Long  April 2022   804    25.83    1,000    20,765,953 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  October 2020   378   $33.18    1,000   $12,540,150 
VIX Futures (Cboe)
  Long  November 2020   647    30.58    1,000    19,782,025 
VIX Futures (Cboe)
  Long  December 2020   647    29.08    1,000    18,811,525 
VIX Futures (Cboe)
  Long  January 2021   270    29.43    1,000    7,944,750 
Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  January 2021   652   $29.88    1,000   $19,478,500 
VIX Futures (Cboe)
  Long  February 2021   1,165    29.40    1,000    34,251,000 
VIX Futures (Cboe)
  Long  March 2021   1,165    28.93    1,000    33,697,625 
VIX Futures (Cboe)
  Long  April 2021   512    28.38    1,000    14,528,000 
The JuneSeptember 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares VIX Short-Term Futures ETF
As of JuneSeptember 30, 2021 and 2020, 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 JuneSeptember 30, 2021 and 2020, which were sensitive to equity market volatility risk.
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2021   7,861   $17.90    1,000   $140,737,841 
VIX Futures (Cboe)
  Long  August 2021   6,655    19.75    1,000    131,427,599 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2020   4,125   $30.88    1,000   $127,359,375 
VIX Futures (Cboe)
  Long  August 2020   2,943    31.83    1,000    93,660,975 
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Futures Positions as of September 30, 2021
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2021   8,245   $22.87    1,000   $188,545,011 
VIX Futures (Cboe)
  Long  November 2021   7,617    23.69    1,000    180,415,500 
Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2020   4,979   $30.38    1,000   $151,237,125 
VIX Futures (Cboe)
  Long  November 2020   3,912    32.88    1,000    128,607,000 
The JuneSeptember 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
 
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Qualitative Disclosure
As described in Item 7 in the Annual Report on Form
10-K,
it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, 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 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
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,
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,
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)
*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,
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
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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)
*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,
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,
(-0.5x,
-1x,
-2x,
1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), 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,
these adjustments are done through the use of various Financial Instruments. 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 has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day. 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).
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 Rules
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, 2020, 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
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Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
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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 JuneSeptember 30, 2021 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, Sections 10(b) and 20(a) and Rule
10b-5
of the 1934 Act, and Items 303 and 105 of Regulation
S-K,
17 C.F.R. Section 229.303(a)(3)(ii), 229.105 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. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and affirmed the District Court’s judgement.
Item 1A. Risk Factors.
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to
COVID-19
and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
 
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Natural Disasters and Public Health Disruptions, such as the
COVID-19
Virus, May Have a Significant Negative Impact on the Performance of Each Fund
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus
COVID-19),
have been and may continue to be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the
COVID-19
pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the
COVID-19
pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
Natural or environmental disasters or public health crisis, such as the
COVID-19
pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the
COVID-19
pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.
The
COVID-19
pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. In April 2020, the unemployment rate in the U.S. was extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.
Market downturns, disruptions or illiquidity as a result of, or related to, the
COVID-19
pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the
COVID-19
pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
 
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The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing
COVID-19
pandemic
Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The
COVID-19
pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The
COVID-19
pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.
Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
a) None.
Not applicable.
 
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Title of Securities Registered
  
Amount Registered as of
June 30, 2021
   
Shares Sold For the
Three Months Ended
June 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2021
   
Shares Sold For the
Six Months Ended
June 30, 2021
   
Sale Price of Shares Sold
For the Six Months
Ended June 30, 2021
 
ProShares Short Euro Common Units of Beneficial Interest
  $203,055,627    —     $—      —     $—   
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest
  $1,418,967,805    450,000   $21,503,474    2,850,000   $119,612,942 
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest
  $2,698,414,797    1,050,000   $60,208,663    3,400,000   $177,252,853 
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest
  $386,032,584    650,000   $13,706,591    4,050,000   $90,187,414 
ProShares Ultra Euro Common Units of Beneficial Interest
  $186,681,873    100,000   $1,488,793    100,000   $1,488,793 
ProShares Ultra Gold Common Units of Beneficial Interest
  $594,079,932    400,000   $23,214,269    1,000,000   $60,276,530 
ProShares Ultra Silver Common Units of Beneficial Interest
  $817,900,286    1,000,000   $46,374,159    3,400,000   $166,773,794 
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest
  $6,066,240,184    12,955,000   $434,635,046    32,585,000   $2,373,778,077 
ProShares Ultra Yen Common Units of Beneficial Interest
  $201,792,144    —     $—      —     $—   
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest
  $159,935,804    —     $—      —     $—   
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest
  $1,124,471,841    1,937,500   $43,181,460    3,887,500   $107,484,439 
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest
  $478,890,865    3,450,000   $93,913,245    7,550,000   $235,963,431 
ProShares UltraShort Euro Common Units of Beneficial Interest
  $486,592,151    —     $—      200,000   $4,613,244 
ProShares UltraShort Gold Common Units of Beneficial Interest
  $178,478,592    300,000   $10,071,690    1,050,000   $37,362,906 
Title of Securities
Registered
  
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
ProShares Short Euro
          
Common Units of Beneficial Interest
  $35,191,282    —     $—      —     $—   
ProShares Short VIX Short-Term Futures ETF
          
Common Units of Beneficial Interest
  $1,389,373,514    550,000   $30,777,084    3,400,000   $150,390,026 
ProShares Ultra Bloomberg Crude Oil
          
Common Units of Beneficial Interest
  $1,385,606,139    950,000   $62,865,806    4,350,000   $240,118,659 
ProShares Ultra Bloomberg Natural Gas
          
Common Units of Beneficial Interest
  $548,831,164    1,150,000   $79,122,213    5,200,000   $169,309,627 
ProShares Ultra Euro
          
Common Units of Beneficial Interest
  $12,965,765    —     $—      100,000   $1,488,793 
ProShares Ultra Gold
          
Common Units of Beneficial Interest
  $437,056,102    250,000   $14,836,141    1,250,000   $75,112,671 
ProShares Ultra Silver
          
Common Units of Beneficial Interest
  $382,208,757    1,050,000   $38,538,861    4,450,000   $205,312,655 
ProShares Ultra VIX Short-Term Futures ETF
          
Common Units of Beneficial Interest
  $6,664,421,573    37,800,000   $923,628,398    70,385,000   $3,297,406,475 
ProShares Ultra Yen
          
Common Units of Beneficial Interest
  $21,407,176    —     $—      —     $—   
ProShares UltraShort Australian Dollar
          
Common Units of Beneficial Interest
  $51,054,751    50,000   $2,373,262    50,000   $2,373,262 
ProShares UltraShort Bloomberg Crude Oil
          
Common Units of Beneficial Interest
  $447,139,262    3,350,000   $56,590,239    7,237,500   $164,074,678 
ProShares UltraShort Bloomberg Natural Gas
          
Common Units of Beneficial Interest
  $1,546,810,909    20,500,000   $210,189,776    28,050,000   $446,153,207 
ProShares UltraShort Euro
          
Common Units of Beneficial Interest
  $115,002,443    100,000   $2,387,142    300,000   $7,000,386 
ProShares UltraShort Gold
          
Common Units of Beneficial Interest
  $75,106,370    650,000   $21,916,482    1,700,000   $59,279,388 
 
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Table of Contents
Title of Securities Registered
  
Amount Registered as of
June 30, 2021
   
Shares Sold For the
Three Months Ended
June 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2021
   
Shares Sold For the
Six Months Ended
June 30, 2021
   
Sale Price of Shares Sold
For the Six Months
Ended June 30, 2021
 
ProShares UltraShort Silver Common Units of Beneficial Interest
  $454,916,081    300,000   $7,086,666    2,750,000   $65,182,313 
ProShares UltraShort Yen Common Units of Beneficial Interest
  $484,084,957    —     $—      100,000   $7,132,412 
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest
  $332,636,785    1,025,000   $33,730,245    1,425,000   $49,610,239 
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest
  $1,128,860,082    3,925,000   $124,484,014    10,256,250   $451,376,724 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust:
  
$
17,402,032,390
    
27,542,500
   
$
913,598,315
    
74,603,750
   
$
3,948,096,111
 
Title of Securities
Registered
  
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
ProShares UltraShort Silver
          
Common Units of Beneficial Interest
  $316,715,689    1,000,000   $26,169,229    3,750,000   $91,351,542 
ProShares UltraShort Yen
          
Common Units of Beneficial Interest
  $114,882,391    —     $—      100,000   $7,132,412 
ProShares VIX
Mid-Term
Futures ETF
          
Common Units of Beneficial Interest
  $269,455,873    1,200,000   $37,425,551    2,625,000   $87,035,790 
ProShares VIX Short-Term Futures ETF
          
Common Units of Beneficial Interest
  $1,884,359,393    6,300,000   $142,476,815    16,556,250   $593,853,539 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust:
  
$
15,697,588,553
 
  
 
74,900,000
 
  
$
1,649,296,999
 
  
 
149,503,750
 
  
$
5,597,393,110
 
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)
  Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1  tags are embedded within the inline XBRL document.
(1)
Filed herewith.
*
These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
 
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Table of Contents
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: August 6,November 5, 2021
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: August 6,November 5, 2021
 
217227