☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 87-6284802 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
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 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 |
Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||||||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||||||
Emerging Growth Company | ☐ |
Page | ||||
Part I. FINANCIAL INFORMATION | ||||
Part II. OTHER INFORMATION | ||||
Index | ||||
Documents | Page | |||
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: | ||||
71 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $89,711,485 and $144,283,581, respectively) | $ | 89,727,034 | $ | 144,307,676 | ||||
Cash | 62,993,244 | 6,852,395 | ||||||
Segregated cash balances with brokers for futures contracts | 110,594,314 | 127,094,546 | ||||||
Receivable on open futures contracts | 18,825,539 | 67,086,947 | ||||||
Interest receivable | 432,544 | 475,930 | ||||||
Total assets | 282,572,675 | 345,817,494 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,861,814 | ||||||
Brokerage commissions and futures account fees payable | 8,756 | 21,576 | ||||||
Payable to Sponsor | 210,652 | 342,466 | ||||||
Total liabilities | 219,408 | 6,225,856 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 282,353,267 | 339,591,638 | ||||||
Total liabilities and shareholders’ equity | $ | 282,572,675 | $ | 345,817,494 | ||||
Shares outstanding | 3,334,307 | 5,784,307 | ||||||
Net asset value per share | $ | 84.68 | $ | 58.71 | ||||
Market value per share (Note 2) | $ | 84.68 | $ | 58.68 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $144,283,581, respectively) | $ | 94,860,624 | $ | 144,307,676 | ||||
Cash | 71,307,875 | 6,852,395 | ||||||
Segregated cash balances with brokers for futures contracts | 94,991,815 | 127,094,546 | ||||||
Receivable on open futures contracts | 43,457,674 | 67,086,947 | ||||||
Interest receivable | 472,061 | 475,930 | ||||||
Total assets | 305,090,049 | 345,817,494 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 9,552,818 | 5,861,814 | ||||||
Brokerage commissions and futures account fees payable | 5,185 | 21,576 | ||||||
Payable to Sponsor | 191,653 | 342,466 | ||||||
Total liabilities | 9,749,656 | 6,225,856 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 295,340,393 | 339,591,638 | ||||||
Total liabilities and shareholders’ equity | $ | 305,090,049 | $ | 345,817,494 | ||||
Shares outstanding | 4,634,307 | 5,784,307 | ||||||
Net asset value per share | $ | 63.73 | $ | 58.71 | ||||
Market value per share (Note 2) | $ | 63.75 | $ | 58.68 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 | $ | 15,000,000 | $ | 14,993,694 | ||||
4.959% due 07/13/23 | 25,000,000 | 24,964,895 | ||||||
5.104% due 08/01/23 | 25,000,000 | 24,897,695 | ||||||
4.972% due 08/08/23 | 25,000,000 | 24,870,750 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $89,711,485) | $ | 89,727,034 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 5,241 | $ | 78,672,651 | $ | 21,799,615 | |||||||
VIX Futures - Cboe, expires August 2023 | 3,810 | 62,485,143 | 2,129,590 | |||||||||
$ | 23,929,205 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
3.874% due 04/11/23 | 25,000,000 | 24,973,528 | ||||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $94,860,159) | $ | 94,860,624 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,437,210 | $ | 225,134 | $ | 4,546,332 | $ | 319,477 | ||||||||
Expenses | ||||||||||||||||
Management fee | 617,036 | 1,034,361 | 1,182,813 | 2,020,898 | ||||||||||||
Brokerage commissions | 123,422 | 177,552 | 249,925 | 365,250 | ||||||||||||
Futures account fees | — | 107,221 | — | 324,251 | ||||||||||||
Total expenses | 740,458 | 1,319,134 | 1,432,738 | 2,710,399 | ||||||||||||
Net investment income (loss) | 1,696,752 | (1,094,000 | ) | 3,113,594 | (2,390,922 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 65,228,142 | (13,029,194 | ) | 94,832,290 | (54,129,808 | ) | ||||||||||
Short-term U.S. government and agency obligations | (25,811 | ) | (76,018 | ) | (25,811 | ) | (86,512 | ) | ||||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | 94,806,479 | (54,216,320 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 9,658,017 | (34,466,848 | ) | 12,836,824 | (29,757,664 | ) | ||||||||||
Short-term U.S. government and agency obligations | 15,084 | (40,932 | ) | (8,546 | ) | (452,209 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | 12,828,278 | (30,209,873 | ) | ||||||||||
Net realized and unrealized gain (loss) | 74,875,432 | (47,612,992 | ) | 107,634,757 | (84,426,193 | ) | ||||||||||
Net income (loss) | $ | 76,572,184 | $ | (48,706,992 | ) | $ | 110,748,351 | $ | (86,817,115 | ) | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures – Cboe, expires April 2023 | 4,007 | $ | 83,202,149 | $ | 11,676,653 | |||||||
VIX Futures – Cboe, expires May 2023 | 2,915 | 64,504,578 | 2,594,535 | |||||||||
$ | 14,271,188 | |||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 2,109,122 | $ | 94,343 | ||||
Expenses | ||||||||
Management fee | 565,777 | 986,537 | ||||||
Brokerage commissions | 126,503 | 187,698 | ||||||
Futures accounts fees | — | 217,030 | ||||||
Total expenses | 692,280 | 1,391,265 | ||||||
Net investment income (loss) | 1,416,842 | (1,296,922 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 29,604,148 | (41,100,614 | ) | |||||
Short-term U.S. government and agency obligations | — | (10,494 | ) | |||||
Net realized gain (loss) | 29,604,148 | (41,111,108 | ) | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 3,178,807 | 4,709,184 | ||||||
Short-term U.S. government and agency obligations | (23,630 | ) | (411,277 | ) | ||||
Change in net unrealized appreciation (depreciation) | 3,155,177 | 4,297,907 | ||||||
Net realized and unrealized gain (loss) | 32,759,325 | (36,813,201 | ) | |||||
Net income (loss) | $ | 34,176,167 | $ | (38,110,123 | ) | |||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 295,340,393 | $ | 495,588,849 | $ | 339,591,638 | $ | 423,812,594 | ||||||||
Addition of 550,000, 1,600,000, 3,000,000 and 4,600,000 shares, respectively | 38,020,154 | 75,921,860 | 185,319,488 | 232,437,331 | ||||||||||||
Redemption of 1,850,000, 2,300,000, 5,450,000 and 3,100,000 shares, respectively | (127,579,464 | ) | (119,158,761 | ) | (353,306,210 | ) | (165,787,854 | ) | ||||||||
Net addition (redemption) of (1,300,000 ), (700,000), (2,450,000) and 1,500,000 shares, respectively | (89,559,310 | ) | (43,236,901 | ) | (167,986,722 | ) | 66,649,477 | |||||||||
Net investment income (loss) | 1,696,752 | (1,094,000 | ) | 3,113,594 | (2,390,922 | ) | ||||||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | 94,806,479 | (54,216,320 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | 12,828,278 | (30,209,873 | ) | ||||||||||
Net income (loss) | 76,572,184 | (48,706,992 | ) | 110,748,351 | (86,817,115 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 282,353,267 | $ | 403,644,956 | $ | 282,353,267 | $ | 403,644,956 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
Addition of 2,450,000 and 3,000,000 shares, respectively | 147,299,334 | 156,515,471 | ||||||
Redemption of 3,600,000 and 800,000 shares, respectively | (225,726,746 | ) | (46,629,093 | ) | ||||
Net addition (redemption) of (1,150,000) and 2,200,000 shares, respectively | (78,427,412 | ) | 109,886,378 | |||||
Net investment income (loss) | 1,416,842 | (1,296,922 | ) | |||||
Net realized gain (loss) | 29,604,148 | (41,111,108 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,155,177 | 4,297,907 | ||||||
Net income (loss) | 34,176,167 | (38,110,123 | ) | |||||
Shareholders’ equity, end of period | $ | 295,340,393 | $ | 495,588,849 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 110,748,351 | $ | (86,817,115 | ) | |||
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 | (278,358,687 | ) | (569,767,938 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 334,826,194 | 565,832,801 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,921,222 | ) | (206,220 | ) | ||||
Net realized (gain) loss on investments | 25,811 | 86,512 | ||||||
Change in unrealized (appreciation) depreciation on investments | 8,546 | 452,209 | ||||||
Decrease (Increase) in receivable on open futures contracts | 48,261,408 | (6,253,293 | ) | |||||
Decrease (Increase) in interest receivable | 43,386 | (73,181 | ) | |||||
Increase (Decrease) in payable to Sponsor | (131,814 | ) | (2,886 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (12,820 | ) | (92,191 | ) | ||||
Increase (Decrease) in payable on open futures contracts | — | 1,735,890 | ||||||
Net cash provided by (used in) operating activities | 213,489,153 | (95,105,412 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 185,319,488 | 232,437,331 | ||||||
Payment on shares redeemed | (359,168,024 | ) | (171,912,984 | ) | ||||
Net cash provided by (used in) financing activities | (173,848,536 | ) | 60,524,347 | |||||
Net increase (decrease) in cash | 39,640,617 | (34,581,065 | ) | |||||
Cash, beginning of period | 133,946,941 | 183,010,984 | ||||||
Cash, end of period | $ | 173,587,558 | $ | 148,429,919 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 34,176,167 | $ | (38,110,123 | ) | |||
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 | (99,763,542 | ) | (184,846,445 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 150,000,000 | 151,980,347 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (813,036 | ) | (97,211 | ) | ||||
Net realized (gain) loss on investments | — | 10,494 | ||||||
Change in unrealized (appreciation) depreciation on investments | 23,630 | 411,277 | ||||||
Decrease (Increase) in receivable on open futures contracts | 23,629,273 | 2,719,889 | ||||||
Decrease (Increase) in interest receivable | 3,869 | 2,868 | ||||||
Increase (Decrease) in payable to Sponsor | (150,813 | ) | 33,446 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (16,391 | ) | (34,038 | ) | ||||
Increase (Decrease) in payable on open futures contracts | — | 12,542,043 | ||||||
Net cash provided by (used in) operating activities | 107,089,157 | (55,387,453 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 147,299,334 | 156,515,471 | ||||||
Payment on shares redeemed | (222,035,742 | ) | (52,754,223 | ) | ||||
Net cash provided by (used in) financing activities | (74,736,408 | ) | 103,761,248 | |||||
Net increase (decrease) in cash | 32,352,749 | 48,373,795 | ||||||
Cash, beginning of period | 133,946,941 | 183,010,984 | ||||||
Cash, end of period | $ | 166,299,690 | $ | 231,384,779 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $413,892,685 and $313,413,683, respectively) | $ | 413,997,952 | $ | 313,465,007 | ||||
Cash | 67,718,783 | 224,296,858 | ||||||
Segregated cash balances with brokers for futures contracts | 75,508,570 | 76,813,658 | ||||||
Segregated cash balances with brokers for swap agreements | 182,681,745 | 175,489,745 | ||||||
Unrealized appreciation on swap agreements | — | 74,159,577 | ||||||
Receivable on open futures contracts | 2,846,634 | 8,466,027 | ||||||
Interest receivable | 449,770 | 618,549 | ||||||
Total assets | 743,203,454 | 873,309,421 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,186,903 | 13,545,014 | ||||||
Payable on open futures contracts | 1,541,204 | — | ||||||
Brokerage commissions and futures account fees payable | 7,646 | 7,154 | ||||||
Payable to Sponsor | 581,092 | 662,979 | ||||||
Unrealized depreciation on swap agreements | 1,692,241 | — | ||||||
Total liabilities | 5,009,086 | 14,215,147 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 738,194,368 | 859,094,274 | ||||||
Total liabilities and shareholders’ equity | $ | 743,203,454 | $ | 873,309,421 | ||||
Shares outstanding (Note 1) | 31,093,096 | 28,393,096 | ||||||
Net asset value per share (Note 1) | $ | 23.74 | $ | 30.26 | ||||
Market value per share (Note 1) (Note 2) | $ | 23.65 | $ | 30.31 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $199,701,287 and $313,413,683, respectively) | $ | 199,701,685 | $ | 313,465,007 | ||||
Cash | 340,933,444 | 224,296,858 | ||||||
Segregated cash balances with brokers for futures contracts | 65,465,226 | 76,813,658 | ||||||
Segregated cash balances with brokers for swap agreements | 306,075,745 | 175,489,745 | ||||||
Unrealized appreciation on swap agreements | — | 74,159,577 | ||||||
Receivable on open futures contracts | 14,241,357 | 8,466,027 | ||||||
Interest receivable | 806,649 | 618,549 | ||||||
Total assets | 927,224,106 | 873,309,421 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 47,715,339 | 13,545,014 | ||||||
Brokerage commissions and futures account fees payable | 6,487 | 7,154 | ||||||
Payable to Sponsor | 631,438 | 662,979 | ||||||
Unrealized depreciation on swap agreements | 67,202,386 | — | ||||||
Total liabilities | 115,555,650 | 14,215,147 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 811,668,456 | 859,094,274 | ||||||
Total liabilities and shareholders’ equity | $ | 927,224,106 | $ | 873,309,421 | ||||
Shares outstanding (Note 1) | 30,593,096 | 28,393,096 | ||||||
Net asset value per share (Note 1) | $ | 26.53 | $ | 30.26 | ||||
Market value per share (Note 1) (Note 2) | $ | 26.47 | $ | 30.31 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(25% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 † | $ | 50,000,000 | $ | 49,993,605 | ||||
3.874% due 04/11/23 | 50,000,000 | 49,947,055 | ||||||
4.156% due 04/18/23 † | 50,000,000 | 49,902,190 | ||||||
4.205% due 04/25/23 † | 50,000,000 | 49,858,835 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $199,701,287) | $ | 199,701,685 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(56% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 100,000,000 | $ | 99,957,960 | ||||
4.959% due 07/13/23 † | 40,000,000 | 39,943,832 | ||||||
5.242% due 07/18/23 † | 100,000,000 | 99,789,580 | ||||||
5.251% due 07/25/23 | 75,000,000 | 74,769,690 | ||||||
5.104% due 08/01/23 | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 † | 50,000,000 | 49,741,500 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $413,892,685) | $ | 413,997,952 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil – NYMEX, expires June 2023 | 2,112 | $ | 160,089,600 | $ | 12,570,821 | |||||||
WTI Crude Oil – NYMEX, expires December 2023 | 2,182 | 160,486,100 | 10,055,416 | |||||||||
WTI Crude Oil – NYMEX, expires June 2024 | 2,261 | 161,051,030 | 6,867,926 | |||||||||
$ | 29,494,163 | |||||||||||
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 | % | 04/06/23 | $ | 180,552,235 | $ | (10,629,759 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 04/06/23 | 224,484,374 | (13,216,202 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 04/06/23 | 312,723,926 | (18,411,182 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 04/06/23 | 170,398,805 | (10,019,635 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 04/06/23 | 253,675,785 | (14,925,608 | ) | |||||||||||
Total Unrealized Depreciation | $ | (67,202,386 | ) | |||||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 6,007,908 | $ | 308,880 | ||||
Expenses | ||||||||
Management fee | 1,874,618 | 3,084,812 | ||||||
Brokerage commissions | 94,344 | 195,541 | ||||||
Futures accounts fees | — | 252,687 | ||||||
Total expenses | 1,968,962 | 3,533,040 | ||||||
Net investment income (loss) | 4,038,946 | (3,224,160 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 10,834,024 | 266,409,832 | ||||||
Swap agreements | 74,946,403 | 533,013,238 | ||||||
Short-term U.S. government and agency obligations | — | (3,136 | ) | |||||
Net realized gain (loss) | 85,780,427 | 799,419,934 | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 3,202,447 | 98,135,638 | ||||||
Swap agreements | (141,361,963 | ) | (192,213,567 | ) | ||||
Short-term U.S. government and agency obligations | (50,926 | ) | (586,058 | ) | ||||
Change in net unrealized appreciation (depreciation) | (138,210,442 | ) | (94,663,987 | ) | ||||
Net realized and unrealized gain (loss) | (52,430,015 | ) | 704,755,947 | |||||
Net income (loss) | $ | (48,391,069 | ) | $ | 701,531,787 | |||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil - NYMEX, expires September 2023 | 2,315 | $ | 163,855,700 | $ | 534,428 | |||||||
WTI Crude Oil - NYMEX, expires December 2023 | 2,393 | 168,467,200 | 3,955,084 | |||||||||
WTI Crude Oil - NYMEX, expires June 2024 | 2,478 | 171,031,560 | 4,928,794 | |||||||||
$ | 9,418,306 | |||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
Addition of 19,100,000 and 8,600,000 shares, respectively (Note 1) | 459,350,575 | 330,317,033 | ||||||
Redemption of 16,900,000 and 24,600,000 shares, respectively (Note 1) | (458,385,324 | ) | (798,651,705 | ) | ||||
Net addition (redemption) of 2,200,000 and (16,000,000) shares, respectively (Note 1) | 965,251 | (468,334,672 | ) | |||||
Net investment income (loss) | 4,038,946 | (3,224,160 | ) | |||||
Net realized gain (loss) | 85,780,427 | 799,419,934 | ||||||
Change in net unrealized appreciation (depreciation) | (138,210,442 | ) | (94,663,987 | ) | ||||
Net income (loss) | (48,391,069 | ) | 701,531,787 | |||||
Shareholders’ equity, end of period | $ | 811,668,456 | $ | 1,336,980,685 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (48,391,069 | ) | $ | 701,531,787 | |||
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 | (7,526,215,542 | ) | (1,394,562,680 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 7,644,000,000 | 1,226,992,801 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,072,062 | ) | (312,402 | ) | ||||
Net realized (gain) loss on investments | — | 3,136 | ||||||
Change in unrealized (appreciation) depreciation on investments | 141,412,889 | 192,799,625 | ||||||
Decrease (Increase) in receivable on open futures contracts | (5,775,330 | ) | (187,616 | ) | ||||
Decrease (Increase) in interest receivable | (188,100 | ) | 3,522 | |||||
Increase (Decrease) in payable to Sponsor | (31,541 | ) | 375,565 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (667 | ) | 74,671 | |||||
Increase (Decrease) in payable on open futures contracts | — | 12,321,787 | ||||||
Net cash provided by (used in) operating activities | 200,738,578 | 739,040,196 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 459,350,575 | 330,317,033 | ||||||
Payment on shares redeemed | (424,214,999 | ) | (783,468,195 | ) | ||||
Net cash provided by (used in) financing activities | 35,135,576 | (453,151,162 | ) | |||||
Net increase (decrease) in cash | 235,874,154 | 285,889,034 | ||||||
Cash, beginning of period | 476,600,261 | 217,287,389 | ||||||
Cash, end of period | $ | 712,474,415 | $ | 503,176,423 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $299,678,924 and $263,209,299, respectively) | $ | 299,709,730 | $ | 263,260,158 | ||||
Cash | 132,433,633 | 13,689,494 | ||||||
Segregated cash balances with brokers for futures contracts | 531,082,000 | 163,045,170 | ||||||
Receivable from capital shares sold | 9,220,442 | — | ||||||
Receivable on open futures contracts | 231,758,209 | 149,650,221 | ||||||
Interest receivable | 1,903,275 | 653,922 | ||||||
Total assets | 1,206,107,289 | 590,298,965 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 26,001,646 | 1,826,653 | ||||||
Payable on open futures contracts | — | 1,835,443 | ||||||
Brokerage commissions and futures account fees payable | 73,674 | 35,242 | ||||||
Payable to Sponsor | 959,877 | 450,514 | ||||||
Unrealized depreciation on swap agreements | 39,088,319 | — | ||||||
Total liabilities | 66,123,516 | 4,147,852 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 1,139,983,773 | 586,151,113 | ||||||
Total liabilities and shareholders’ equity | $ | 1,206,107,289 | $ | 590,298,965 | ||||
Shares outstanding | 309,087,527 | 32,287,527 | ||||||
Net asset value per share | $ | 3.69 | $ | 18.15 | ||||
Market value per share (Note 2) | $ | 3.61 | $ | 17.78 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(26% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.283% due 04/04/23 † | $ | 125,000,000 | $ | 124,984,013 | ||||
4.329% due 04/11/23 † | 100,000,000 | 99,894,110 | ||||||
4.156% due 04/18/23 † | 50,000,000 | 49,902,190 | ||||||
4.205% due 04/25/23 † | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $299,678,924) | $ | 299,709,730 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas – NYMEX, expires May 2023 | 95,284 | $ | 2,111,493,440 | $ | (324,515,287 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex | 0.50 | % | 04/06/23 | $ | 67,247,193 | $ | (15,605,398 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 04/06/23 | 100,389,846 | (23,296,489 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex | 0.35 | 04/06/23 | 803,815 | (186,432 | ) | |||||||||||
Total Unrealized Depreciation | $ | (39,088,319 | ) | |||||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 8,958,523 | $ | 39,581 | ||||
Expenses | ||||||||
Management fee | 2,328,410 | 396,610 | ||||||
Brokerage commissions | 952,779 | 88,452 | ||||||
Futures accounts fees | 187,693 | 71,117 | ||||||
Total expenses | 3,468,882 | 556,179 | ||||||
Net investment income (loss) | 5,489,641 | (516,598 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (1,100,791,083 | ) | 76,220,688 | |||||
Swap agreements | 39,159,789 | — | ||||||
Short-term U.S. government and agency obligations | (3,570 | ) | (3,452 | ) | ||||
Net realized gain (loss) | (1,061,634,864 | ) | 76,217,236 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (13,901,318 | ) | 85,030,764 | |||||
Swap agreements | (39,088,319 | ) | — | |||||
Short-term U.S. government and agency obligations | (20,053 | ) | (163,020 | ) | ||||
Change in net unrealized appreciation (depreciation) | (53,009,690 | ) | 84,867,744 | |||||
Net realized and unrealized gain (loss) | (1,114,644,554 | ) | 161,084,980 | |||||
Net income (loss) | $ | (1,109,154,913 | ) | $ | 160,568,382 | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
Addition of 379,450,000 and 2,600,000 shares, respectively | 2,345,948,834 | 87,880,355 | ||||||
Redemption of 102,650,000 and 7,600,000 shares, respectively | (682,961,261 | ) | (297,271,429 | ) | ||||
Net addition (redemption) of 276,800,000 and (5,000,000) shares, respectively | 1,662,987,573 | (209,391,074 | ) | |||||
Net investment income (loss) | 5,489,641 | (516,598 | ) | |||||
Net realized gain (loss) | (1,061,634,864 | ) | 76,217,236 | |||||
Change in net unrealized appreciation (depreciation) | (53,009,690 | ) | 84,867,744 | |||||
Net income (loss) | (1,109,154,913 | ) | 160,568,382 | |||||
Shareholders’ equity, end of period | $ | 1,139,983,773 | $ | 145,069,486 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,109,154,913 | ) | $ | 160,568,382 | |||
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 | (7,560,364,945 | ) | (135,944,242 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 7,527,849,267 | 130,991,301 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (3,957,517 | ) | (40,710 | ) | ||||
Net realized (gain) loss on investments | 3,570 | 3,452 | ||||||
Change in unrealized (appreciation) depreciation on investments | 39,108,372 | 163,020 | ||||||
Decrease (Increase) in receivable on open futures contracts | (82,107,988 | ) | 20,996,970 | |||||
Decrease (Increase) in interest receivable | (1,249,353 | ) | 1,130 | |||||
Increase (Decrease) in payable to Sponsor | 509,363 | (11,937 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 38,432 | (40,216 | ) | |||||
Increase (Decrease) in payable on open futures contracts | (1,835,443 | ) | (5,403,658 | ) | ||||
Net cash provided by (used in) operating activities | (1,191,161,155 | ) | 171,283,492 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,336,728,392 | 108,329,096 | ||||||
Payment on shares redeemed | (658,786,268 | ) | (288,851,227 | ) | ||||
Net cash provided by (used in) financing activities | 1,677,942,124 | (180,522,131 | ) | |||||
Net increase (decrease) in cash | 486,780,969 | (9,238,639 | ) | |||||
Cash, beginning of period | 176,734,664 | 54,135,725 | ||||||
Cash, end of period | $ | 663,515,633 | $ | 44,897,086 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 7,171,419 | $ | 9,156,418 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,103,000 | 1,103,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 319,670 | 514,115 | ||||||
Interest receivable | 30,947 | 40,421 | ||||||
Total assets | 8,625,036 | 10,813,954 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 7,644 | 10,833 | ||||||
Unrealized depreciation on foreign currency forward contracts | 959 | 98,459 | ||||||
Total liabilities | 8,603 | 109,292 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 8,616,433 | 10,704,662 | ||||||
Total liabilities and shareholders’ equity | $ | 8,625,036 | $ | 10,813,954 | ||||
Shares outstanding | 750,000 | 950,000 | ||||||
Net asset value per share | $ | 11.49 | $ | 11.27 | ||||
Market value per share (Note 2) | $ | 11.49 | $ | 11.26 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 04/14/23 | 8,826,921 | $ | 9,580,310 | $ | 152,785 | ||||||||||
Euro with UBS AG | 04/14/23 | 9,821,502 | 10,659,779 | 166,885 | ||||||||||||
Total Unrealized Appreciation | | $ | 319,670 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 04/14/23 | (308,000 | ) | $ | (334,288 | ) | $ | (6,791 | ) | |||||||
Euro with UBS AG | 04/14/23 | (2,461,000 | ) | (2,671,050 | ) | 5,832 | ||||||||||
Total Unrealized Depreciation | $ | (959 | ) | |||||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 97,237 | $ | 4,587 | ||||
Expenses | ||||||||
Management fee | 24,246 | 20,278 | ||||||
Total expenses | 24,246 | 20,278 | ||||||
Net investment income (loss) | 72,991 | (15,691 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Foreign currency forward contracts | 280,279 | (441,030 | ) | |||||
Short-term U.S. government and agency obligations | — | (5,949 | ) | |||||
Net realized gain (loss) | 280,279 | (446,979 | ) | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Foreign currency forward contracts | (96,945 | ) | (132,970 | ) | ||||
Short-term U.S. government and agency obligations | — | (5,455 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,945 | ) | (138,425 | ) | ||||
Net realized and unrealized gain (loss) | 183,334 | (585,404 | ) | |||||
Net income (loss) | $ | 256,325 | $ | (601,095 | ) | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
Addition of 200,000 and 100,000 shares, respectively | 2,296,437 | 1,316,267 | ||||||
Redemption of 400,000 and 250,000 shares, respectively | (4,640,991 | ) | (3,137,285 | ) | ||||
Net addition (redemption) of (200,000) and (150,000) shares, respectively | (2,344,554 | ) | (1,821,018 | ) | ||||
Net investment income (loss) | 72,991 | (15,691 | ) | |||||
Net realized gain (loss) | 280,279 | (446,979 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,945 | ) | (138,425 | ) | ||||
Net income (loss) | 256,325 | (601,095 | ) | |||||
Shareholders’ equity, end of period | $ | 8,616,433 | $ | 6,236,982 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 256,325 | $ | (601,095 | ) | |||
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 | — | (5,984,289 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 2,290,249 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (4,740 | ) | |||||
Net realized (gain) loss on investments | — | 5,949 | ||||||
Change in unrealized (appreciation) depreciation on investments | 96,945 | 138,425 | ||||||
Decrease (Increase) in interest receivable | 9,474 | 153 | ||||||
Increase (Decrease) in payable to Sponsor | (3,189 | ) | 2,160 | |||||
Net cash provided by (used in) operating activities | 359,555 | (4,153,188 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,296,437 | 1,316,267 | ||||||
Payment on shares redeemed | (4,640,991 | ) | (3,137,285 | ) | ||||
Net cash provided by (used in) financing activities | (2,344,554 | ) | (1,821,018 | ) | ||||
Net increase (decrease) in cash | (1,984,999 | ) | (5,974,206 | ) | ||||
Cash, beginning of period | 10,259,418 | 7,582,458 | ||||||
Cash, end of period | $ | 8,274,419 | $ | 1,608,252 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $129,100,287, respectively) | $ | 94,860,624 | $ | 129,123,489 | ||||
Cash | 53,885,007 | 16,568,417 | ||||||
Segregated cash balances with brokers for futures contracts | 5,396,000 | 2,611,350 | ||||||
Segregated cash balances with brokers for swap agreements | 32,250,000 | 18,730,000 | ||||||
Unrealized appreciation on swap agreements | 15,353,259 | 6,496,466 | ||||||
Receivable on open futures contracts | — | 8,169 | ||||||
Interest receivable | 246,513 | 126,595 | ||||||
Total assets | 201,991,403 | 173,664,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 684,839 | — | ||||||
Payable to Sponsor | 145,035 | 140,350 | ||||||
Total liabilities | 829,874 | 140,350 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 201,161,529 | 173,524,136 | ||||||
Total liabilities and shareholders’ equity | $ | 201,991,403 | $ | 173,664,486 | ||||
Shares outstanding | 3,200,000 | 3,150,000 | ||||||
Net asset value per share | $ | 62.86 | $ | 55.09 | ||||
Market value per share (Note 2) | $ | 63.02 | $ | 55.27 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(46% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 † | $ | 25,000,000 | $ | 24,996,803 | ||||
3.874% due 04/11/23 | 25,000,000 | 24,973,528 | ||||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $94,860,159) | $ | 94,860,624 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures – COMEX, expires June 2023 | 667 | $ | 132,479,540 | $ | 5,096,411 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 04/06/23 | $ | 115,835,052 | $ | 6,674,065 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 04/06/23 | 55,017,986 | 3,169,970 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 04/06/23 | 98,916,314 | 5,509,224 | ||||||||||||
| Total Unrealized Appreciation | $ | 15,353,259 | |||||||||||||
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 | % | 07/06/23 | $ | 172,685,565 | $ | (303,753 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 07/06/23 | 214,703,580 | (377,662 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 07/06/23 | 179,707,950 | (316,105 | ) | |||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 07/06/23 | 162,974,521 | (275,938 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 07/06/23 | 242,623,120 | (418,783 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (1,692,241 | ) | ||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 1,649,014 | $ | 95,113 | ||||
Expenses | ||||||||
Management fee | 427,114 | 671,415 | ||||||
Brokerage commissions | 8,615 | 21,659 | ||||||
Futures accounts fees | — | 19,505 | ||||||
Total expenses | 435,729 | 712,579 | ||||||
Net investment income (loss) | 1,213,285 | (617,466 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 2,760,579 | 20,190,020 | ||||||
Swap agreements | 8,039,317 | 37,628,576 | ||||||
Net realized gain (loss) | 10,799,896 | 57,818,596 | ||||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 1,854,323 | (7,899,907 | ) | |||||
Swap agreements | 8,856,793 | (16,749,744 | ) | |||||
Short-term U.S. government and agency obligations | (22,737 | ) | (170,860 | ) | ||||
Change in net unrealized appreciation (depreciation) | 10,688,379 | (24,820,511 | ) | |||||
Net realized and unrealized gain (loss) | 21,488,275 | 32,998,085 | ||||||
Net income (loss) | $ | 22,701,560 | $ | 32,380,619 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 5,878,092 | $ | 1,264,011 | $ | 11,886,000 | $ | 1,572,891 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,744,998 | 3,098,904 | 3,619,616 | 6,183,716 | ||||||||||||
Brokerage commissions | 94,303 | 140,210 | 188,647 | 335,751 | ||||||||||||
Futures account fees | — | 109,601 | — | 362,288 | ||||||||||||
Total expenses | 1,839,301 | 3,348,715 | 3,808,263 | 6,881,755 | ||||||||||||
Net investment income (loss) | 4,038,791 | (2,084,704 | ) | 8,077,737 | (5,308,864 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 29,371,809 | 244,497,710 | 40,205,833 | 510,907,542 | ||||||||||||
Swap agreements | (105,727,226 | ) | 118,798,382 | (30,780,823 | ) | 651,811,620 | ||||||||||
Short-term U.S. government and agency obligations | (59,378 | ) | (4,653 | ) | (59,378 | ) | (7,789 | ) | ||||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | 9,365,632 | 1,162,711,373 | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (20,075,857 | ) | (187,136,364 | ) | (16,873,410 | ) | (89,000,726 | ) | ||||||||
Swap agreements | 65,510,145 | (24,001,881 | ) | (75,851,818 | ) | (216,215,448 | ) | |||||||||
Short-term U.S. government and agency obligations | 104,869 | (405,864 | ) | 53,943 | (991,922 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | (92,671,285 | ) | (306,208,096 | ) | |||||||||
Net realized and unrealized gain (loss) | (30,875,638 | ) | 151,747,330 | (83,305,653 | ) | 856,503,277 | ||||||||||
Net income (loss) | $ | (26,836,847 | ) | $ | 149,662,626 | $ | (75,227,916 | ) | $ | 851,194,413 | ||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
Addition of 400,000 and 1,500,000 shares, respectively | 24,973,354 | 95,684,676 | ||||||
Redemption of 350,000 and 100,000 shares, respectively | (20,037,521 | ) | (5,816,007 | ) | ||||
Net addition (redemption) of 50,000 and 1,400,000 shares, respectively | 4,935,833 | 89,868,669 | ||||||
Net investment income (loss) | 1,213,285 | (617,466 | ) | |||||
Net realized gain (loss) | 10,799,896 | 57,818,596 | ||||||
Change in net unrealized appreciation (depreciation) | 10,688,379 | (24,820,511 | ) | |||||
Net income (loss) | 22,701,560 | 32,380,619 | ||||||
Shareholders’ equity, end of period | $ | 201,161,529 | $ | 355,029,822 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 811,668,456 | $ | 1,336,980,685 | $ | 859,094,274 | $ | 1,103,783,570 | ||||||||
Addition of 15,550,000, 1,700,000, 34,650,000 and 10,300,000 shares, respectively (Note 1) | 353,363,209 | 72,419,653 | 812,713,784 | 402,736,686 | ||||||||||||
Redemption of 15,050,000, 11,450,000, 31,950,000 and 36,050,000 shares, respectively (Note 1) | (400,000,450 | ) | (498,195,726 | ) | (858,385,774 | ) | (1,296,847,431 | ) | ||||||||
Net addition (redemption) of 500,000, (9,750,000) , 2,700,000 and (25,750,000) shares, respectively (Note 1) | (46,637,241 | ) | (425,776,073 | ) | (45,671,990 | ) | (894,110,745 | ) | ||||||||
Net investment income (loss) | 4,038,791 | (2,084,704 | ) | 8,077,737 | (5,308,864 | ) | ||||||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | 9,365,632 | 1,162,711,373 | |||||||||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | (92,671,285 | ) | (306,208,096 | ) | |||||||||
Net income (loss) | (26,836,847 | ) | 149,662,626 | (75,227,916 | ) | 851,194,413 | ||||||||||
Shareholders’ equity, end of period | $ | 738,194,368 | $ | 1,060,867,238 | $ | 738,194,368 | $ | 1,060,867,238 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 22,701,560 | $ | 32,380,619 | ||||
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 | (264,664,939 | ) | (439,592,586 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 300,000,000 | 349,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,094,933 | ) | (95,803 | ) | ||||
Change in unrealized (appreciation) depreciation on investments | (8,834,056 | ) | 16,920,604 | |||||
Decrease (Increase) in receivable on open futures contracts | 8,169 | (1,618,170 | ) | |||||
Decrease (Increase) in interest receivable | (119,918 | ) | 690 | |||||
Increase (Decrease) in payable to Sponsor | 4,685 | 99,065 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | 6,496 | ||||||
Increase (Decrease) in payable on open futures contracts | 684,839 | — | ||||||
Net cash provided by (used in) operating activities | 48,685,407 | (42,899,085 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 24,973,354 | 95,684,676 | ||||||
Payment on shares redeemed | (20,037,521 | ) | (5,816,007 | ) | ||||
Net cash provided by (used in) financing activities | 4,935,833 | 89,868,669 | ||||||
Net increase (decrease) in cash | 53,621,240 | 46,969,584 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 91,531,007 | $ | 62,391,666 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (75,227,916 | ) | $ | 851,194,413 | |||
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 | (8,286,191,814 | ) | (4,782,347,856 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 8,193,611,806 | 5,104,987,142 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (7,958,372 | ) | (1,304,714 | ) | ||||
Net realized (gain) loss on investments | 59,378 | 7,789 | ||||||
Change in unrealized (appreciation) depreciation on investments | 75,797,875 | 217,207,370 | ||||||
Decrease (Increase) in receivable on open futures contracts | 5,619,393 | — | ||||||
Decrease (Increase) in interest receivable | 168,779 | (210,318 | ) | |||||
Increase (Decrease) in payable to Sponsor | (81,887 | ) | 174,702 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 492 | (12,077 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 1,541,204 | (4,104,319 | ) | |||||
Net cash provided by (used in) operating activities | (92,661,062 | ) | 1,385,592,132 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 812,713,784 | 402,736,686 | ||||||
Payment on shares redeemed | (870,743,885 | ) | (1,276,766,479 | ) | ||||
Net cash provided by (used in) financing activities | (58,030,101 | ) | (874,029,793 | ) | ||||
Net increase (decrease) in cash | (150,691,163 | ) | 511,562,339 | |||||
Cash, beginning of period | 476,600,261 | 217,287,389 | ||||||
Cash, end of period | $ | 325,909,098 | $ | 728,849,728 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $149,794,065 and $228,617,421, respectively) | $ | 149,798,740 | $ | 228,657,634 | ||||
Cash | 126,500,008 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 27,421,750 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 61,009,000 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | 62,363,833 | 39,224,212 | ||||||
Receivable on open futures contracts | 1,907,867 | — | ||||||
Interest receivable | 401,200 | 300,712 | ||||||
Total assets | 429,402,398 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | — | 1,948,902 | ||||||
Payable to Sponsor | 287,064 | 344,467 | ||||||
Total liabilities | 287,064 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 429,115,334 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 429,402,398 | $ | 418,194,629 | ||||
Shares outstanding | 13,796,526 | 13,046,526 | ||||||
Net asset value per share | $ | 31.10 | $ | 31.75 | ||||
Market value per share (Note 2) | $ | 31.23 | $ | 32.00 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $298,722,860 and $263,209,299, respectively) | $ | 298,783,390 | $ | 263,260,158 | ||||
Cash | 193,070,994 | 13,689,494 | ||||||
Segregated cash balances with brokers for futures contracts | 405,057,584 | 163,045,170 | ||||||
Segregated cash balances with brokers for swap agreements | 83,160,000 | — | ||||||
Unrealized appreciation on swap agreements | 46,088,257 | — | ||||||
Receivable on open futures contracts | 117,556,776 | 149,650,221 | ||||||
Interest receivable | 1,694,276 | 653,922 | ||||||
Total assets | 1,145,411,277 | 590,298,965 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 3,473,947 | 1,826,653 | ||||||
Payable on open futures contracts | — | 1,835,443 | ||||||
Brokerage commissions and futures account fees payable | 69,389 | 35,242 | ||||||
Payable to Sponsor | 846,663 | 450,514 | ||||||
Total liabilities | 4,389,999 | 4,147,852 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 1,141,021,278 | 586,151,113 | ||||||
Total liabilities and shareholders’ equity | $ | 1,145,411,277 | $ | 590,298,965 | ||||
Shares outstanding (Note 1) | 16,421,876 | 1,614,376 | ||||||
Net asset value per share (Note 1) | $ | 69.48 | $ | 363.08 | ||||
Market value per share (Note 1) (Note 2) | $ | 68.99 | $ | 355.60 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.283% due 04/04/23 † | $ | 50,000,000 | $ | 49,993,605 | ||||
4.329% due 04/11/23 | 25,000,000 | 24,973,527 | ||||||
4.156% due 04/18/23 | 50,000,000 | 49,902,190 | ||||||
4.205% due 04/25/23 † | 25,000,000 | 24,929,418 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $149,794,065) | $ | 149,798,740 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(26% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.242% due 07/18/23 | $ | 100,000,000 | $ | 99,789,580 | ||||
5.104% due 08/01/23 | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 | 50,000,000 | 49,741,500 | ||||||
5.161% due 08/10/23 | 100,000,000 | 99,456,920 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $298,722,860) | $ | 298,783,390 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures – COMEX, expires May 2023 | 2,879 | $ | 347,725,620 | $ | 28,674,611 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires September 2023 | 71,349 | $ | 1,979,221,260 | $ | 248,335,437 |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | % | 04/06/23 | $ | 159,299,488 | $ | 18,503,019 | |||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | 177,727,745 | 22,200,338 | ||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 04/06/23 | 23,479,523 | 2,932,172 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | 149,931,926 | 18,728,304 | ||||||||||||
Total Unrealized Appreciation | $ | 62,363,833 | ||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex | 0.50 | % | 07/06/23 | $ | 148,091,216 | $ | 22,537,665 | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex | 0.50 | 07/06/23 | 101,183,890 | 15,398,946 | ||||||||||||
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex | 0.32 | 07/06/23 | 52,717,728 | 8,028,280 | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex | 0.35 | 07/06/23 | 810,173 | 123,366 | ||||||||||||
Total Unrealized Appreciation | | $ | 46,088,257 | |||||||||||||
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 3,374,396 | $ | 140,449 | ||||
Expenses | ||||||||
Management fee | 871,559 | 1,217,599 | ||||||
Brokerage commissions | 26,562 | 30,551 | ||||||
Futures accounts fees | — | 20,505 | ||||||
Total expenses | 898,121 | 1,268,655 | ||||||
Net investment income (loss) | 2,476,275 | (1,128,206 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 3,641,746 | (5,744,962 | ) | |||||
Swap agreements | (32,385,610 | ) | 122,381,989 | |||||
Short-term U.S. government and agency obligations | — | 10 | ||||||
Net realized gain (loss) | (28,743,864 | ) | 116,637,037 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (751,963 | ) | 6,685,833 | |||||
Swap agreements | 23,139,621 | (64,442,429 | ) | |||||
Short-term U.S. government and agency obligations | (35,538 | ) | (279,649 | ) | ||||
Change in net unrealized appreciation (depreciation) | 22,352,120 | (58,036,245 | ) | |||||
Net realized and unrealized gain (loss) | (6,391,744 | ) | 58,600,792 | |||||
Net income (loss) | $ | (3,915,469 | ) | $ | 57,472,586 | |||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 8,866,705 | $ | 146,470 | $ | 17,825,228 | $ | 186,051 | ||||||||
Expenses | ||||||||||||||||
Management fee | 2,588,571 | 534,624 | 4,916,981 | 931,234 | ||||||||||||
Brokerage commissions | 1,145,371 | 114,706 | 2,098,150 | 203,158 | ||||||||||||
Futures account fees | 211,785 | 63,213 | 399,478 | 134,330 | ||||||||||||
Total expenses | 3,945,727 | 712,543 | 7,414,609 | 1,268,722 | ||||||||||||
Net investment income (loss) | 4,920,978 | (566,073 | ) | 10,410,619 | (1,082,671 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (539,203,219 | ) | 164,990,694 | (1,639,994,302 | ) | 241,211,382 | ||||||||||
Swap agreements | (77,680,050 | ) | — | (38,520,261 | ) | — | ||||||||||
Short-term U.S. government and agency obligations | (3,646 | ) | — | (7,216 | ) | (3,452 | ) | |||||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | (1,678,521,779 | ) | 241,207,930 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 572,850,724 | (271,251,560 | ) | 558,949,406 | (186,220,796 | ) | ||||||||||
Swap agreements | 85,176,576 | — | 46,088,257 | — | ||||||||||||
Short-term U.S. government and agency obligations | 29,724 | (36,909 | ) | 9,671 | (199,929 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | 605,047,334 | (186,420,725 | ) | ||||||||||
Net realized and unrealized gain (loss) | 41,170,109 | (106,297,775 | ) | (1,073,474,445 | ) | 54,787,205 | ||||||||||
Net income (loss) | $ | 46,091,087 | $ | (106,863,848 | ) | $ | (1,063,063,826 | ) | $ | 53,704,534 | ||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
Addition of 1,900,000 and 1,000,000 shares, respectively | 51,232,279 | 39,033,941 | ||||||
Redemption of 1,150,000 and 1,500,000 shares, respectively | (32,487,354 | ) | (53,584,280 | ) | ||||
Net addition (redemption) of 750,000 and (500,000) shares, respectively | 18,744,925 | (14,550,339 | ) | |||||
Net investment income (loss) | 2,476,275 | (1,128,206 | ) | |||||
Net realized gain (loss) | (28,743,864 | ) | 116,637,037 | |||||
Change in net unrealized appreciation (depreciation) | 22,352,120 | (58,036,245 | ) | |||||
Net income (loss) | (3,915,469 | ) | 57,472,586 | |||||
Shareholders’ equity, end of period | $ | 429,115,334 | $ | 558,375,841 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,139,983,773 | $ | 145,069,486 | $ | 586,151,113 | $ | 193,892,178 | ||||||||
Addition of 13,792,500, 325,000, 32,765,000 and 455,000 shares, respectively (Note 1) | 814,876,179 | 549,486,344 | 3,160,825,013 | 637,366,699 | ||||||||||||
Redemption of 12,825,000, 217,500, 17,957,500 and 597,500 shares, respectively (Note 1) | (859,929,761 | ) | (400,394,140 | ) | (1,542,891,022 | ) | (697,665,569 | ) | ||||||||
Net addition (redemption) of 967,500, 107,500, 14,807,500 and (142,500) shares, respectively (Note 1) | (45,053,582 | ) | 149,092,204 | 1,617,933,991 | (60,298,870 | ) | ||||||||||
Net investment income (loss) | 4,920,978 | (566,073 | ) | 10,410,619 | (1,082,671 | ) | ||||||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | (1,678,521,779 | ) | 241,207,930 | ||||||||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | 605,047,334 | (186,420,725 | ) | ||||||||||
Net income (loss) | 46,091,087 | (106,863,848 | ) | (1,063,063,826 | ) | 53,704,534 | ||||||||||
Shareholders’ equity, end of period | $ | 1,141,021,278 | $ | 187,297,842 | $ | 1,141,021,278 | $ | 187,297,842 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (3,915,469 | ) | $ | 57,472,586 | |||
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 | (1,776,762,620 | ) | (555,554,828 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,858,000,000 | 541,999,742 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,414,024 | ) | (142,031 | ) | ||||
Net realized (gain) loss on investments | — | (10 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (23,104,083 | ) | 64,722,078 | |||||
Decrease (Increase) in receivable on open futures contracts | (1,907,867 | ) | 1,210,319 | |||||
Decrease (Increase) in interest receivable | (100,488 | ) | 1,582 | |||||
Increase (Decrease) in payable to Sponsor | (57,403 | ) | 69,683 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | 60 | ||||||
Increase (Decrease) in payable on open futures contracts | (1,948,902 | ) | — | |||||
Net cash provided by (used in) operating activities | 47,789,144 | 109,779,181 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 51,232,279 | 39,033,941 | ||||||
Payment on shares redeemed | (34,102,736 | ) | (57,068,050 | ) | ||||
Net cash provided by (used in) financing activities | 17,129,543 | (18,034,109 | ) | |||||
Net increase (decrease) in cash | 64,918,687 | 91,745,072 | ||||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 214,930,758 | $ | 117,233,575 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,063,063,826 | ) | $ | 53,704,534 | |||
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 | (10,025,950,123 | ) | (520,892,453 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 9,997,363,885 | 505,991,302 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (6,934,539 | ) | (119,696 | ) | ||||
Net realized (gain) loss on investments | 7,216 | 3,452 | ||||||
Change in unrealized (appreciation) depreciation on investments | (46,097,928 | ) | 199,929 | |||||
Decrease (Increase) in receivable on open futures contracts | 32,093,445 | 20,455,330 | ||||||
Decrease (Increase) in interest receivable | (1,040,354 | ) | (38,738 | ) | ||||
Increase (Decrease) in payable to Sponsor | 396,149 | 68,086 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 34,147 | (57,121 | ) | |||||
Increase (Decrease) in payable on open futures contracts | (1,835,443 | ) | 26,800,768 | |||||
Net cash provided by (used in) operating activities | (1,115,027,371 | ) | 86,115,393 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,160,825,013 | 638,028,828 | ||||||
Payment on shares redeemed | (1,541,243,728 | ) | (691,677,317 | ) | ||||
Net cash provided by (used in) financing activities | 1,619,581,285 | (53,648,489 | ) | |||||
Net increase (decrease) in cash | 504,553,914 | 32,466,904 | ||||||
Cash, beginning of period | 176,734,664 | 54,135,725 | ||||||
Cash, end of period | $ | 681,288,578 | $ | 86,602,629 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $69,869,161 and $34,728,989, respectively) | $ | 69,863,821 | $ | 34,732,372 | ||||
Cash | 93,765,363 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 258,517,916 | 323,761,025 | ||||||
Receivable from capital shares sold | 13,423,891 | — | ||||||
Receivable on open futures contracts | 100,274,772 | 209,470,270 | ||||||
Interest receivable | 1,354,316 | 1,246,402 | ||||||
Total assets | 537,200,079 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 720,028 | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 41,938 | 58,772 | ||||||
Payable to Sponsor | 457,877 | 570,429 | ||||||
Total liabilities | 1,219,843 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 535,980,236 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 537,200,079 | $ | 640,296,551 | ||||
Shares outstanding | 115,878,420 | 93,078,420 | ||||||
Net asset value per share | $ | 4.63 | $ | 6.87 | ||||
Market value per share (Note 2) | $ | 4.65 | $ | 6.86 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 6,440,727 | $ | 9,156,418 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 833,000 | 1,103,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 241,390 | 514,115 | ||||||
Interest receivable | 28,208 | 40,421 | ||||||
Total assets | 7,543,325 | 10,813,954 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 6,188 | 10,833 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,702 | 98,459 | ||||||
Total liabilities | 7,890 | 109,292 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 7,535,435 | 10,704,662 | ||||||
Total liabilities and shareholders’ equity | $ | 7,543,325 | $ | 10,813,954 | ||||
Shares outstanding | 650,000 | 950,000 | ||||||
Net asset value per share | $ | 11.59 | $ | 11.27 | ||||
Market value per share (Note 2) | $ | 11.61 | $ | 11.26 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(13% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
3.874% due 04/11/23 | $ | 25,000,000 | $ | 24,973,527 | ||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,418 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $69,869,161) | $ | 69,863,821 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures – Cboe, expires April 2023 | 21,811 | $ | 452,887,966 | $ | (19,782,862 | ) | ||||||
VIX Futures – Cboe, expires May 2023 | 15,863 | 351,024,396 | (14,726,341 | ) | ||||||||
$ | (34,509,203 | ) | ||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 4,416,655 | $ | 95,261 | ||||
Expenses | ||||||||
Management fee | 1,373,770 | 1,961,177 | ||||||
Brokerage commissions | 777,701 | 936,758 | ||||||
Futures accounts fees | 123,361 | 782,688 | ||||||
Total expenses | 2,274,832 | 3,680,623 | ||||||
Net investment income (loss) | 2,141,823 | (3,585,362 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (182,233,430 | ) | 258,438,098 | |||||
Swap agreements | — | 22,556,586 | ||||||
Short-term U.S. government and agency obligations | (7,778 | ) | (15,153 | ) | ||||
Net realized gain (loss) | (182,241,208 | ) | 280,979,531 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 2,046,250 | (34,855,903 | ) | |||||
Swap agreements | — | 477,437 | ||||||
Short-term U.S. government and agency obligations | (8,723 | ) | (622,418 | ) | ||||
Change in net unrealized appreciation (depreciation) | 2,037,527 | (35,000,884 | ) | |||||
Net realized and unrealized gain (loss) | (180,203,681 | ) | 245,978,647 | |||||
Net income (loss) | $ | (178,061,858 | ) | $ | 242,393,285 | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
Addition of 83,700,000 and 83,100,000 shares, respectively | 436,460,449 | 1,171,715,867 | ||||||
Redemption of 60,900,000 and 65,400,000 shares, respectively | (361,736,717 | ) | (1,103,180,147 | ) | ||||
Net addition (redemption) of 22,800,000 and 17,700,000 shares, respectively | 74,723,732 | 68,535,720 | ||||||
Net investment income (loss) | 2,141,823 | (3,585,362 | ) | |||||
Net realized gain (loss) | (182,241,208 | ) | 280,979,531 | |||||
Change in net unrealized appreciation (depreciation) | 2,037,527 | (35,000,884 | ) | |||||
Net income (loss) | (178,061,858 | ) | 242,393,285 | |||||
Shareholders’ equity, end of period | $ | 535,980,236 | $ | 1,127,608,641 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (178,061,858 | ) | $ | 242,393,285 | |||
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 | (664,522,118 | ) | (396,948,446 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 629,900,478 | 424,952,914 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (526,310 | ) | (100,321 | ) | ||||
Net realized (gain) loss on investments | 7,778 | 15,153 | ||||||
Change in unrealized (appreciation) depreciation on investments | 8,723 | 144,981 | ||||||
Decrease (Increase) in securities sold receivable | — | (6,195,418 | ) | |||||
Decrease (Increase) in receivable on open futures contracts | 109,195,498 | (318,669,084 | ) | |||||
Decrease (Increase) in interest receivable | (107,914 | ) | 5,060 | |||||
Increase (Decrease) in payable to Sponsor | (112,552 | ) | 98,097 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (16,834 | ) | 66,511 | |||||
Increase (Decrease) in payable on open futures contracts | 371,040 | (9,447,456 | ) | |||||
Net cash provided by (used in) operating activities | (103,864,069 | ) | (63,684,724 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 423,036,558 | 1,156,170,922 | ||||||
Payment on shares redeemed | (361,736,717 | ) | (1,103,180,147 | ) | ||||
Net cash provided by (used in) financing activities | 61,299,841 | 52,990,775 | ||||||
Net increase (decrease) in cash | (42,564,228 | ) | (10,693,949 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 352,283,279 | $ | 561,426,930 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 9,915,279 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,137,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 502,639 | 1,152,834 | ||||||
Interest receivable | 34,903 | 39,204 | ||||||
Total assets | 11,589,821 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,653,365 | — | ||||||
Payable to Sponsor | 9,216 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 12,157 | 168,285 | ||||||
Total liabilities | 1,674,738 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 9,915,083 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 11,589,821 | $ | 13,993,996 | ||||
Shares outstanding | 299,970 | 399,970 | ||||||
Net asset value per share | $ | 33.05 | $ | 34.54 | ||||
Market value per share (Note 2) | $ | 33.02 | $ | 34.56 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 04/14/23 | 1,492,519,517 | $ | 11,266,763 | $ | 221,961 | ||||||||||
Yen with UBS AG | 04/14/23 | 1,730,435,856 | 13,062,750 | 280,678 | ||||||||||||
Total Unrealized Appreciation | | $ | 502,639 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 04/14/23 | (16,977,000 | ) | $ | (128,156 | ) | $ | (2,749 | ) | |||||||
Yen with UBS AG | 04/14/23 | (577,337,000 | ) | (4,358,214 | ) | (9,408 | ) | |||||||||
Total Unrealized Depreciation | $ | (12,157 | ) | |||||||||||||
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 | 07/14/23 | 7,784,921 | $ | 8,501,340 | $ | 129,303 | ||||||||||
Euro with UBS AG | 07/14/23 | 7,204,502 | 7,867,506 | 112,087 | ||||||||||||
Total Unrealized Appreciation | | $ | 241,390 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | (93,000 | ) | $ | (101,558 | ) | $ | (197 | ) | |||||||
Euro with UBS AG | 07/14/23 | (1,152,000 | ) | (1,258,014 | ) | (1,505 | ) | |||||||||
Total Unrealized Depreciation | | $ | (1,702 | ) | ||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 120,118 | $ | 873 | ||||
Expenses | ||||||||
Management fee | 30,560 | 5,429 | ||||||
Total expenses | 30,560 | 5,429 | ||||||
Net investment income (loss) | 89,558 | (4,556 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Foreign currency forward contracts | (298,808 | ) | (118,771 | ) | ||||
Short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net realized gain (loss) | (298,808 | ) | (117,223 | ) | ||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Foreign currency forward contracts | (494,067 | ) | (138,539 | ) | ||||
Short-term U.S. government and agency obligations | — | (2,826 | ) | |||||
Change in net unrealized appreciation (depreciation) | (494,067 | ) | (141,365 | ) | ||||
Net realized and unrealized gain (loss) | (792,875 | ) | (258,588 | ) | ||||
Net income (loss) | $ | (703,317 | ) | $ | (263,144 | ) | ||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 88,182 | $ | 6,522 | $ | 185,419 | $ | 11,109 | ||||||||
Expenses | ||||||||||||||||
Management fee | 19,851 | 15,037 | 44,097 | 35,315 | ||||||||||||
Total expenses | 19,851 | 15,037 | 44,097 | 35,315 | ||||||||||||
Net investment income (loss) | 68,331 | (8,515 | ) | 141,322 | (24,206 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 78,291 | (446,365 | ) | 358,570 | (887,395 | ) | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | (5,949 | ) | |||||||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | 358,570 | (893,344 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (79,023 | ) | (282,077 | ) | (175,968 | ) | (415,047 | ) | ||||||||
Short-term U.S. government and agency obligations | — | 787 | — | (4,668 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | (175,968 | ) | (419,715 | ) | ||||||||
Net realized and unrealized gain (loss) | (732 | ) | (727,655 | ) | 182,602 | (1,313,059 | ) | |||||||||
Net income (loss) | $ | 67,599 | $ | (736,170 | ) | $ | 323,924 | $ | (1,337,265 | ) | ||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
Addition of 50,000 and – shares, respectively | 1,812,626 | — | ||||||
Redemption of 150,000 and – shares, respectively | (5,009,022 | ) | — | |||||
Net addition (redemption) of (100,000) and – shares, respectively | (3,196,396 | ) | — | |||||
Net investment income (loss) | 89,558 | (4,556 | ) | |||||
Net realized gain (loss) | (298,808 | ) | (117,223 | ) | ||||
Change in net unrealized appreciation (depreciation) | (494,067 | ) | (141,365 | ) | ||||
Net income (loss) | (703,317 | ) | (263,144 | ) | ||||
Shareholders’ equity, end of period | $ | 9,915,083 | $ | 2,099,705 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 8,616,433 | $ | 6,236,982 | $ | 10,704,662 | $ | 8,659,095 | ||||||||
Addition of –, 450,000, 200,000 and 550,000 shares, respectively | — | 5,052,555 | 2,296,437 | 6,368,822 | ||||||||||||
Redemption of 100,000, 100,000, 500,000 and 350,000 shares, respectively | (1,148,597 | ) | (1,137,741 | ) | (5,789,588 | ) | (4,275,026 | ) | ||||||||
Net addition (redemption) of (100,000), 350,000, (300,000) and 200,000 shares, respectively | (1,148,597 | ) | 3,914,814 | (3,493,151 | ) | 2,093,796 | ||||||||||
Net investment income (loss) | 68,331 | (8,515 | ) | 141,322 | (24,206 | ) | ||||||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | 358,570 | (893,344 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | (175,968 | ) | (419,715 | ) | ||||||||
Net income (loss) | 67,599 | (736,170 | ) | 323,924 | (1,337,265 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 7,535,435 | $ | 9,415,626 | $ | 7,535,435 | $ | 9,415,626 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (703,317 | ) | $ | (263,144 | ) | ||
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 | — | (995,769 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (967 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 494,067 | 141,365 | ||||||
Decrease (Increase) in interest receivable | 4,301 | 95 | ||||||
Increase (Decrease) in payable to Sponsor | (1,699 | ) | (154 | ) | ||||
Net cash provided by (used in) operating activities | (206,648 | ) | (1,118,574 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 1,812,626 | — | ||||||
Payment on shares redeemed | (3,355,657 | ) | — | |||||
Net cash provided by (used in) financing activities | (1,543,031 | ) | — | |||||
Net increase (decrease) in cash | (1,749,679 | ) | (1,118,574 | ) | ||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 11,052,279 | $ | 1,339,246 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 323,924 | $ | (1,337,265 | ) | |||
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 | — | (5,984,289 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 2,290,249 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (9,602 | ) | |||||
Net realized (gain) loss on investments | — | 5,949 | ||||||
Change in unrealized (appreciation) depreciation on investments | 175,968 | 419,715 | ||||||
Decrease (Increase) in interest receivable | 12,213 | (1,382 | ) | |||||
Increase (Decrease) in payable to Sponsor | (4,645 | ) | 2,121 | |||||
Net cash provided by (used in) operating activities | 507,460 | (4,614,504 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 2,296,437 | 6,368,822 | ||||||
Payment on shares redeemed | (5,789,588 | ) | (4,275,026 | ) | ||||
Net cash provided by (used in) financing activities | (3,493,151 | ) | 2,093,796 | |||||
Net increase (decrease) in cash | (2,985,691 | ) | (2,520,708 | ) | ||||
Cash, beginning of period | 10,259,418 | 7,582,458 | ||||||
Cash, end of period | $ | 7,273,727 | $ | 5,061,750 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $44,952,937 and $89,407,308, respectively) | $ | 44,957,679 | $ | 89,426,935 | ||||
Cash | 43,870,581 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 44,519,487 | 65,184,460 | ||||||
Receivable from capital shares sold | 18,906,418 | 41,694 | ||||||
Receivable on open futures contracts | — | 1,604,847 | ||||||
Interest receivable | 281,264 | 384,856 | ||||||
Total assets | 152,535,429 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,257,090 | ||||||
Payable on open futures contracts | 7,629,422 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 3,407 | 4,134 | ||||||
Payable to Sponsor | 140,037 | 208,602 | ||||||
Total liabilities | 7,772,866 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 144,762,563 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 152,535,429 | $ | 231,269,843 | ||||
Shares outstanding (Note 1) | 5,755,220 | 9,305,220 | ||||||
Net asset value per share (Note 1) | $ | 25.15 | $ | 23.93 | ||||
Market value per share (Note 1) (Note 2) | $ | 25.22 | $ | 23.85 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $134,680,616 and $129,100,287, respectively) | $ | 134,714,723 | $ | 129,123,489 | ||||
Cash | 15,660,964 | 16,568,417 | ||||||
Segregated cash balances with brokers for futures contracts | 4,415,600 | 2,611,350 | ||||||
Segregated cash balances with brokers for swap agreements | 32,723,000 | 18,730,000 | ||||||
Unrealized appreciation on swap agreements | — | 6,496,466 | ||||||
Receivable on open futures contracts | 496,067 | 8,169 | ||||||
Interest receivable | 107,021 | 126,595 | ||||||
Total assets | 188,117,375 | 173,664,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 147,761 | 140,350 | ||||||
Unrealized depreciation on swap agreements | 7,053,083 | — | ||||||
Total liabilities | 7,200,844 | 140,350 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 180,916,531 | 173,524,136 | ||||||
Total liabilities and shareholders’ equity | $ | 188,117,375 | $ | 173,664,486 | ||||
Shares outstanding | 3,100,000 | 3,150,000 | ||||||
Net asset value per share | $ | 58.36 | $ | 55.09 | ||||
Market value per share (Note 2) | $ | 58.24 | $ | 55.27 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(31% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $44,952,937) | $ | 44,957,679 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
WTI Crude Oil – NYMEX, expires June 2023 | 1,269 | $ | 96,190,200 | $ | 13,187,668 | |||||||
WTI Crude Oil – NYMEX, expires December 2023 | 1,312 | 96,497,600 | 5,095,651 | |||||||||
WTI Crude Oil – NYMEX, expires June 2024 | 1,359 | 96,801,570 | 2,932,689 | |||||||||
$ | 21,216,008 | |||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 2,003,209 | $ | 53,907 | ||||
Expenses | ||||||||
Management fee | 484,880 | 492,647 | ||||||
Brokerage commissions | 65,757 | 77,056 | ||||||
Futures accounts fees | — | 70,177 | ||||||
Total expenses | 550,637 | 639,880 | ||||||
Net investment income (loss) | 1,452,572 | (585,973 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 27,614,279 | (106,482,101 | ) | |||||
Short-term U.S. government and agency obligations | 488 | — | ||||||
Net realized gain (loss) | 27,614,767 | (106,482,101 | ) | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 10,971,115 | 2,115,992 | ||||||
Short-term U.S. government and agency obligations | (14,885 | ) | (186,950 | ) | ||||
Change in net unrealized appreciation (depreciation) | 10,956,230 | 1,929,042 | ||||||
Net realized and unrealized gain (loss) | 38,570,997 | (104,553,059 | ) | |||||
Net income (loss) | $ | 40,023,569 | $ | (105,139,032 | ) | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
Addition of 5,300,000 and 15,570,000 shares, respectively (Note 1) | 127,905,875 | 510,028,879 | ||||||
Redemption of 8,850,000 and 3,060,000 shares, respectively (Note 1) | (245,864,218 | ) | (102,258,218 | ) | ||||
Net addition (redemption) of (3,550,000) and 12,510,000 shares, respectively (Note 1) | (117,958,343 | ) | 407,770,661 | |||||
Net investment income (loss) | 1,452,572 | (585,973 | ) | |||||
Net realized gain (loss) | 27,614,767 | (106,482,101 | ) | |||||
Change in net unrealized appreciation (depreciation) | 10,956,230 | 1,929,042 | ||||||
Net income (loss) | 40,023,569 | (105,139,032 | ) | |||||
Shareholders’ equity, end of period | $ | 144,762,563 | $ | 416,799,231 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 40,023,569 | $ | (105,139,032 | ) | |||
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 | (239,587,448 | ) | (203,890,683 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 284,998,708 | 87,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (956,401 | ) | (55,266 | ) | ||||
Net realized (gain) loss on investments | (488 | ) | — | |||||
Change in unrealized (appreciation) depreciation on investments | 14,885 | 186,950 | ||||||
Decrease (Increase) in receivable on open futures contracts | 1,604,847 | (20,653,809 | ) | |||||
Decrease (Increase) in interest receivable | 103,592 | 1,359 | ||||||
Increase (Decrease) in payable to Sponsor | (68,565 | ) | 196,247 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (727 | ) | 34,348 | |||||
Increase (Decrease) in payable on open futures contracts | 526,742 | 3,806,529 | ||||||
Net cash provided by (used in) operating activities | 86,658,714 | (238,513,357 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 109,041,151 | 507,693,464 | ||||||
Payment on shares redeemed | (247,121,308 | ) | (102,258,218 | ) | ||||
Net cash provided by (used in) financing activities | (138,080,157 | ) | 405,435,246 | |||||
Net increase (decrease) in cash | (51,421,443 | ) | 166,921,889 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 88,390,068 | $ | 221,365,442 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $24,990,998 and $61,469,726, respectively) | $ | 24,996,803 | $ | 61,482,526 | ||||
Cash | 33,253,799 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 52,300,800 | 38,758,160 | ||||||
Receivable from capital shares sold | 28,445,000 | — | ||||||
Receivable on open futures contracts | 19,197,683 | 33,637,888 | ||||||
Interest receivable | 214,834 | 293,818 | ||||||
Total assets | 158,408,919 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 5,365,196 | ||||||
Payable on open futures contracts | 11,323,200 | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 9,059 | 7,497 | ||||||
Payable to Sponsor | 94,900 | 132,197 | ||||||
Total liabilities | 11,427,159 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 146,981,760 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 158,408,919 | $ | 139,896,772 | ||||
Shares outstanding (Note 1) | 2,066,856 | 4,966,856 | ||||||
Net asset value per share (Note 1) | $ | 71.11 | $ | 27.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 72.42 | $ | 27.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(17% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $24,990,998) | $ | 24,996,803 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(74% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 50,000,000 | $ | 49,978,980 | ||||
4.959% due 07/13/23 † | 20,000,000 | 19,971,916 | ||||||
5.242% due 07/18/23 | 15,000,000 | 14,968,437 | ||||||
5.104% due 08/01/23 † | 50,000,000 | 49,795,390 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $134,680,616) | $ | 134,714,723 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Natural Gas - NYMEX, expires May 2023 | 13,265 | $ | 293,952,400 | $ | 40,936,595 |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Gold Futures - COMEX, expires August 2023 | 530 | $ | 102,258,200 | $ | (5,385,731 | ) |
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 | % | 07/06/23 | $ | 111,454,930 | $ | (3,028,491 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | 52,937,566 | (1,438,439 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | 95,175,948 | (2,586,153 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (7,053,083 | ) | ||||||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 1,186,752 | $ | 55,825 | ||||
Expenses | ||||||||
Management fee | 296,862 | 542,364 | ||||||
Brokerage commissions | 209,641 | 220,951 | ||||||
Futures accounts fees | 29,609 | 129,929 | ||||||
Total expenses | 536,112 | 893,244 | ||||||
Net investment income (loss) | 650,640 | (837,419 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 183,408,644 | (114,665,698 | ) | |||||
Short-term U.S. government and agency obligations | (2,678 | ) | (58,610 | ) | ||||
Net realized gain (loss) | 183,405,966 | (114,724,308 | ) | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (44,952,803 | ) | (87,532,158 | ) | ||||
Short-term U.S. government and agency obligations | (6,995 | ) | (254,913 | ) | ||||
Change in net unrealized appreciation (depreciation) | (44,959,798 | ) | (87,787,071 | ) | ||||
Net realized and unrealized gain (loss) | 138,446,168 | (202,511,379 | ) | |||||
Net income (loss) | $ | 139,096,808 | $ | (203,348,798 | ) | |||
† | All or partial amount pledged as collateral for swap agreements. |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
Addition of 7,250,000 and 4,640,000 shares, respectively (Note 1) | 376,009,637 | 454,959,241 | ||||||
Redemption of 10,150,000 and 1,750,123 shares, respectively (Note 1) | (502,234,205 | ) | (243,414,736 | ) | ||||
Net addition (redemption) of (2,900,000) and 2,889,877 shares, respectively (Note 1) | (126,224,568 | ) | 211,544,505 | |||||
Net investment income (loss) | 650,640 | (837,419 | ) | |||||
Net realized gain (loss) | 183,405,966 | (114,724,308 | ) | |||||
Change in net unrealized appreciation (depreciation) | (44,959,798 | ) | (87,787,071 | ) | ||||
Net income (loss) | 139,096,808 | (203,348,798 | ) | |||||
Shareholders’ equity, end of period | $ | 146,981,760 | $ | 250,340,837 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 139,096,808 | $ | (203,348,798 | ) | |||
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 | (34,903,867 | ) | (171,922,547 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 71,888,275 | 185,860,345 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (508,358 | ) | (57,574 | ) | ||||
Net realized (gain) loss on investments | 2,678 | 58,610 | ||||||
Change in unrealized (appreciation) depreciation on investments | 6,995 | 254,913 | ||||||
Decrease (Increase) in receivable on open futures contracts | 14,440,205 | 11,635,357 | ||||||
Decrease (Increase) in interest receivable | 78,984 | 1,749 | ||||||
Increase (Decrease) in payable to Sponsor | (37,297 | ) | (22,809 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,562 | (17,357 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 11,040,838 | (6,200,338 | ) | |||||
Net cash provided by (used in) operating activities | 201,106,823 | (183,758,449 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 347,564,637 | 435,523,078 | ||||||
Payment on shares redeemed | (507,599,401 | ) | (259,400,738 | ) | ||||
Net cash provided by (used in) financing activities | (160,034,764 | ) | 176,122,340 | |||||
Net increase (decrease) in cash | 41,072,059 | (7,636,109 | ) | |||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 85,554,599 | $ | 105,364,818 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively) | $ | — | $ | 39,996,624 | ||||
Cash | 54,803,973 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 8,391,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 332,826 | 193,192 | ||||||
Interest receivable | 144,160 | 109,830 | ||||||
Total assets | 63,672,080 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,435,389 | — | ||||||
Payable to Sponsor | 51,362 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 2,648,069 | 2,654,448 | ||||||
Total liabilities | 4,134,820 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 59,537,260 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 63,672,080 | $ | 77,831,002 | ||||
Shares outstanding | 2,050,000 | 2,550,000 | ||||||
Net asset value per share | $ | 29.04 | $ | 29.46 | ||||
Market value per share (Note 2) | $ | 29.04 | $ | 29.45 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Euro with Goldman Sachs International | 04/14/23 | 13,747,000 | $ | 14,920,324 | $ | 177,561 | ||||||||||
Euro with UBS AG | 04/14/23 | 21,381,000 | 23,205,896 | 155,265 | ||||||||||||
Total Unrealized Appreciation | | $ | 332,826 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 04/14/23 | (71,345,263 | ) | $ | (77,434,672 | ) | $ | (1,288,634 | ) | |||||||
Euro with UBS AG | 04/14/23 | (73,465,199 | ) | (79,735,547 | ) | (1,359,435 | ) | |||||||||
Total Unrealized Depreciation | $ | (2,648,069 | ) | |||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 647,120 | $ | 15,405 | ||||
Expenses | ||||||||
Management fee | 161,568 | 117,456 | ||||||
Total expenses | 161,568 | 117,456 | ||||||
Net investment income (loss) | 485,552 | (102,051 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Foreign currency forward contracts | (1,407,311 | ) | 2,542,134 | |||||
Short-term U.S. government and agency obligations | — | 210,974 | ||||||
Net realized gain (loss) | (1,407,311 | ) | 2,753,108 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Foreign currency forward contracts | 146,013 | 342,076 | ||||||
Short-term U.S. government and agency obligations | (4,802 | ) | (73,335 | ) | ||||
Change in net unrealized appreciation (depreciation) | 141,211 | 268,741 | ||||||
Net realized and unrealized gain (loss) | (1,266,100 | ) | 3,021,849 | |||||
Net income (loss) | $ | (780,548 | ) | $ | 2,919,798 | |||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
Addition of 100,000 and 50,000 shares, respectively | 3,051,886 | 1,371,662 | ||||||
Redemption of 600,000 and 300,000 shares, respectively | (17,847,257 | ) | (8,056,421 | ) | ||||
Net addition (redemption) of (500,000) and (250,000) shares, respectively | (14,795,371 | ) | (6,684,759 | ) | ||||
Net investment income (loss) | 485,552 | (102,051 | ) | |||||
Net realized gain (loss) | (1,407,311 | ) | 2,753,108 | |||||
Change in net unrealized appreciation (depreciation) | 141,211 | 268,741 | ||||||
Net income (loss) | (780,548 | ) | 2,919,798 | |||||
Shareholders’ equity, end of period | $ | 59,537,260 | $ | 50,498,084 | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (780,548 | ) | $ | 2,919,798 | |||
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 | (54,925,175 | ) | (29,988,234 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 35,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (16,008 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (141,211 | ) | (268,741 | ) | ||||
Decrease (Increase) in interest receivable | (34,330 | ) | 603 | |||||
Increase (Decrease) in payable to Sponsor | (12,013 | ) | (3,776 | ) | ||||
Net cash provided by (used in) operating activities | 39,023,720 | 7,643,642 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 1,371,662 | ||||||
Payment on shares redeemed | (16,411,868 | ) | (8,056,421 | ) | ||||
Net cash provided by (used in) financing activities | (13,359,982 | ) | (6,684,759 | ) | ||||
Net increase (decrease) in cash | 25,663,738 | 958,883 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 63,195,094 | $ | 8,512,948 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 13,054,368 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 614,000 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 3,476,000 | 3,536,000 | ||||||
Receivable on open futures contracts | 59,952 | — | ||||||
Interest receivable | 41,782 | 42,135 | ||||||
Total assets | 17,246,102 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | — | 700 | ||||||
Payable to Sponsor | 11,441 | 12,854 | ||||||
Unrealized depreciation on swap agreements | 1,185,388 | 592,957 | ||||||
Total liabilities | 1,196,829 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 16,049,273 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 17,246,102 | $ | 16,062,548 | ||||
Shares outstanding | 596,977 | 496,977 | ||||||
Net asset value per share | $ | 26.88 | $ | 31.10 | ||||
Market value per share (Note 2) | $ | 26.84 | $ | 30.99 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Gold Futures – COMEX, expires June 2023 | 76 | $ | 15,095,120 | $ | (162,157 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex | 0.25 | % | 04/06/23 | $ | (3,932,159 | ) | $ | (227,829 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 04/06/23 | (5,153,543 | ) | (495,713 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 04/06/23 | (7,971,123 | ) | (461,846 | ) | ||||||||||
Total Unrealized Depreciation | $ | (1,185,388 | ) | |||||||||||||
^^ | Rates shown represent discount rate at the time of |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 132,562 | $ | 9,685 | ||||
Expenses | ||||||||
Management fee | 36,373 | 66,138 | ||||||
Brokerage commissions | 1,361 | 2,811 | ||||||
Futures accounts fees | — | 1,866 | ||||||
Total expenses | 37,734 | 70,815 | ||||||
Net investment income (loss) | 94,828 | (61,130 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (114,050 | ) | (1,991,249 | ) | ||||
Swap agreements | (916,831 | ) | (4,317,424 | ) | ||||
Short-term U.S. government and agency obligations | — | 4 | ||||||
Net realized gain (loss) | (1,030,881 | ) | (6,308,669 | ) | ||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (63,271 | ) | 167,908 | |||||
Swap agreements | (592,431 | ) | 1,901,440 | |||||
Short-term U.S. government and agency obligations | — | (40,569 | ) | |||||
Change in net unrealized appreciation (depreciation) | (655,702 | ) | 2,028,779 | |||||
Net realized and unrealized gain (loss) | (1,686,583 | ) | (4,279,890 | ) | ||||
Net income (loss) | $ | (1,591,755 | ) | $ | (4,341,020 | ) | ||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,983,196 | $ | 319,154 | $ | 3,632,210 | $ | 414,267 | ||||||||
Expenses | ||||||||||||||||
Management fee | 474,261 | 716,148 | 901,375 | 1,387,563 | ||||||||||||
Brokerage commissions | 6,925 | 14,064 | 15,540 | 35,723 | ||||||||||||
Futures account fees | — | 8,664 | — | 28,169 | ||||||||||||
Total expenses | 481,186 | 738,876 | 916,915 | 1,451,455 | ||||||||||||
Net investment income (loss) | 1,502,010 | (419,722 | ) | 2,715,295 | (1,037,188 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 5,160,588 | (28,896,339 | ) | 7,921,167 | (8,706,319 | ) | ||||||||||
Swap agreements | 12,035,981 | (29,004,744 | ) | 20,075,298 | 8,623,832 | |||||||||||
Short-term U.S. government and agency obligations | (28,462 | ) | — | (28,462 | ) | — | ||||||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | 27,968,003 | (82,487 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (10,482,142 | ) | 3,312,504 | (8,627,819 | ) | (4,587,403 | ) | |||||||||
Swap agreements | (22,406,342 | ) | 1,658,698 | (13,549,549 | ) | (15,091,046 | ) | |||||||||
Short-term U.S. government and agency obligations | 33,642 | (159 | ) | 10,905 | (171,019 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | (22,166,463 | ) | (19,849,468 | ) | |||||||||
Net realized and unrealized gain (loss) | (15,686,735 | ) | (52,930,040 | ) | 5,801,540 | (19,931,955 | ) | |||||||||
Net income (loss) | $ | (14,184,725 | ) | $ | (53,349,762 | ) | $ | 8,516,835 | $ | (20,969,143 | ) | |||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
Addition of 300,000 and 450,000 shares, respectively | 8,364,270 | 13,189,949 | ||||||
Redemption of 200,000 and 100,000 shares, respectively | (6,179,279 | ) | (3,110,322 | ) | ||||
Net addition (redemption) of 100,000 and 350,000 shares, respectively | 2,184,991 | 10,079,627 | ||||||
Net investment income (loss) | 94,828 | (61,130 | ) | |||||
Net realized gain (loss) | (1,030,881 | ) | (6,308,669 | ) | ||||
Change in net unrealized appreciation (depreciation) | (655,702 | ) | 2,028,779 | |||||
Net income (loss) | (1,591,755 | ) | (4,341,020 | ) | ||||
Shareholders’ equity, end of period | $ | 16,049,273 | $ | 32,598,451 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 201,161,529 | $ | 355,029,822 | $ | 173,524,136 | $ | 232,780,534 | ||||||||
Addition of 50,000, 100,000, 450,000 and 1,600,000 shares, respectively | 3,236,120 | 6,573,039 | 28,209,474 | 102,257,715 | ||||||||||||
Redemption of 150,000, 1,150,000, 500,000 and 1,250,000 shares, respectively | (9,296,393 | ) | (68,314,246 | ) | (29,333,914 | ) | (74,130,253 | ) | ||||||||
Net addition (redemption) of (100,000), (1,050,000), (50,000) and 350,000 shares, respectively | (6,060,273 | ) | (61,741,207 | ) | (1,124,440 | ) | 28,127,462 | |||||||||
Net investment income (loss) | 1,502,010 | (419,722 | ) | 2,715,295 | (1,037,188 | ) | ||||||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | 27,968,003 | (82,487 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | (22,166,463 | ) | (19,849,468 | ) | |||||||||
Net income (loss) | (14,184,725 | ) | (53,349,762 | ) | 8,516,835 | (20,969,143 | ) | |||||||||
Shareholders’ equity, end of period | $ | 180,916,531 | $ | 239,938,853 | $ | 180,916,531 | $ | 239,938,853 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,591,755 | ) | $ | (4,341,020 | ) | ||
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 | — | (17,987,492 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 21,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (10,118 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 592,431 | (1,860,871 | ) | |||||
Decrease (Increase) in receivable on open futures contracts | (59,952 | ) | — | |||||
Decrease (Increase) in interest receivable | 353 | 434 | ||||||
Increase (Decrease) in payable to Sponsor | (1,413 | ) | (1,726 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | 239 | ||||||
Increase (Decrease) in payable on open futures contracts | (700 | ) | 62,888 | |||||
Net cash provided by (used in) operating activities | (1,061,036 | ) | (2,137,680 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 8,364,270 | 13,189,949 | ||||||
Payment on shares redeemed | (6,179,279 | ) | (3,110,322 | ) | ||||
Net cash provided by (used in) financing activities | 2,184,991 | 10,079,627 | ||||||
Net increase (decrease) in cash | 1,123,955 | 7,941,947 | ||||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 17,144,368 | $ | 9,932,301 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 8,516,835 | $ | (20,969,143 | ) | |||
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 | (492,848,662 | ) | (704,533,509 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 489,813,291 | 704,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (2,573,420 | ) | (377,637 | ) | ||||
Net realized (gain) loss on investments | 28,462 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 13,538,644 | 15,262,065 | ||||||
Decrease (Increase) in receivable on open futures contracts | (487,898 | ) | 944,644 | |||||
Decrease (Increase) in interest receivable | 19,574 | (31,715 | ) | |||||
Increase (Decrease) in payable to Sponsor | 7,411 | 24,571 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (4,034 | ) | |||||
Increase (Decrease) in payable on open futures contracts | — | 1,022,544 | ||||||
Net cash provided by (used in) operating activities | 16,014,237 | (4,662,214 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 28,209,474 | 102,257,715 | ||||||
Payment on shares redeemed | (29,333,914 | ) | (71,305,703 | ) | ||||
Net cash provided by (used in) financing activities | (1,124,440 | ) | 30,952,012 | |||||
Net increase (decrease) in cash | 14,889,797 | 26,289,798 | ||||||
Cash, beginning of period | 37,909,767 | 15,422,082 | ||||||
Cash, end of period | $ | 52,799,564 | $ | 41,711,880 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 13,761,074 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 1,319,312 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 7,502,000 | 7,875,000 | ||||||
Receivable from capital shares sold | 931,710 | 972,789 | ||||||
Receivable on open futures contracts | — | 59,575 | ||||||
Interest receivable | 53,223 | 60,480 | ||||||
Total assets | 23,567,319 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 192,643 | — | ||||||
Payable to Sponsor | 16,663 | 20,705 | ||||||
Unrealized depreciation on swap agreements | 3,022,322 | 1,722,623 | ||||||
Total liabilities | 3,231,628 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 20,335,691 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 23,567,319 | $ | 33,676,127 | ||||
Shares outstanding | 1,091,329 | 1,641,329 | ||||||
Net asset value per share | $ | 18.63 | $ | 19.46 | ||||
Market value per share (Note 2) | $ | 18.56 | $ | 19.30 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $224,295,385 and $228,617,421, respectively) | $ | 224,344,440 | $ | 228,657,634 | ||||
Cash | 43,579,042 | 74,136,821 | ||||||
Segregated cash balances with brokers for futures contracts | 19,465,500 | 19,452,250 | ||||||
Segregated cash balances with brokers for swap agreements | 85,841,000 | 56,423,000 | ||||||
Unrealized appreciation on swap agreements | — | 39,224,212 | ||||||
Receivable on open futures contracts | 1,635,164 | — | ||||||
Interest receivable | 270,810 | 300,712 | ||||||
Total assets | 375,135,956 | 418,194,629 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 1,615,382 | ||||||
Payable on open futures contracts | — | 1,948,902 | ||||||
Payable to Sponsor | 298,935 | 344,467 | ||||||
Unrealized depreciation on swap agreements | 18,045,362 | — | ||||||
Total liabilities | 18,344,297 | 3,908,751 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 356,791,659 | 414,285,878 | ||||||
Total liabilities and shareholders’ equity | $ | 375,135,956 | $ | 418,194,629 | ||||
Shares outstanding | 13,196,526 | 13,046,526 | ||||||
Net asset value per share | $ | 27.04 | $ | 31.75 | ||||
Market value per share (Note 2) | $ | 26.95 | $ | 32.00 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(63% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 † | $ | 25,000,000 | $ | 24,989,490 | ||||
4.959% due 07/13/23 † | 50,000,000 | 49,929,790 | ||||||
5.242% due 07/18/23 | 50,000,000 | 49,894,790 | ||||||
5.104% due 08/01/23 † | 50,000,000 | 49,795,390 | ||||||
4.972% due 08/08/23 † | 25,000,000 | 24,870,750 | ||||||
5.161% due 08/10/23 | 25,000,000 | 24,864,230 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $224,295,385) | $ | 224,344,440 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
Silver Futures – COMEX, expires May 2023 | 137 | $ | 16,546,860 | $ | (824,037 | ) |
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Silver Futures - COMEX, expires September 2023 | 2,047 | $ | 235,609,700 | $ | (9,977,916 | ) |
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25 | % | 04/06/23 | $ | (2,858,231 | ) | $ | (357,884 | ) | |||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | (10,412,145 | ) | (1,303,722 | ) | ||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 04/06/23 | (8,232,766 | ) | (1,031,085 | ) | ||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 04/06/23 | (2,632,575 | ) | (329,631 | ) | ||||||||||
Total Unrealized Depreciation | $ | (3,022,322 | ) | |||||||||||||
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 | % | 07/06/23 | $ | 166,412,438 | $ | (6,281,114 | ) | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | 21,984,663 | (830,545 | ) | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | 149,157,444 | (5,634,927 | ) | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | 140,386,283 | (5,298,776 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (18,045,362 | ) | ||||||||||||
† | All or partial amount pledged as collateral for swap agreements. |
^ | The positions and counterparties herein are as of |
^^ | Rates shown represent discount rate at the time of purchase. |
* | Reflects the floating financing rate, as of |
** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 200,078 | $ | 8,920 | ||||
Expenses | ||||||||
Management fee | 60,168 | 60,953 | ||||||
Brokerage commissions | 5,703 | 5,301 | ||||||
Futures accounts fees | — | 3,274 | ||||||
Total expenses | 65,871 | 69,528 | ||||||
Net investment income (loss) | 134,207 | (60,608 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | 1,331,998 | (1,293,770 | ) | |||||
Swap agreements | 1,381,625 | (6,079,976 | ) | |||||
Short-term U.S. government and agency obligations | — | (190 | ) | |||||
Net realized gain (loss) | 2,713,623 | (7,373,936 | ) | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 116,463 | (385,346 | ) | |||||
Swap agreements | (1,299,699 | ) | 2,194,508 | |||||
Short-term U.S. government and agency obligations | — | (19,510 | ) | |||||
Change in net unrealized appreciation (depreciation) | (1,183,236 | ) | 1,789,652 | |||||
Net realized and unrealized gain (loss) | 1,530,387 | (5,584,284 | ) | |||||
Net income (loss) | $ | 1,664,594 | $ | (5,644,892 | ) | |||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 3,701,182 | $ | 421,514 | $ | 7,075,578 | $ | 561,963 | ||||||||
Expenses | ||||||||||||||||
Management fee | 976,505 | 1,082,340 | 1,848,064 | 2,299,939 | ||||||||||||
Brokerage commissions | 47,075 | 28,732 | 73,637 | 59,283 | ||||||||||||
Futures account fees | — | 6,188 | — | 26,693 | ||||||||||||
Total expenses | 1,023,580 | 1,117,260 | 1,921,701 | 2,385,915 | ||||||||||||
Net investment income (loss) | 2,677,602 | (695,746 | ) | 5,153,877 | (1,823,952 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 17,097,790 | (10,869,422 | ) | 20,739,536 | (16,614,384 | ) | ||||||||||
Swap agreements | 47,564,510 | (145,324,753 | ) | 15,178,900 | (22,942,764 | ) | ||||||||||
Short-term U.S. government and agency obligations | (46,857 | ) | (1,174 | ) | (46,857 | ) | (1,164 | ) | ||||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | 35,871,579 | (39,558,312 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (38,652,527 | ) | (13,510,319 | ) | (39,404,490 | ) | (6,824,486 | ) | ||||||||
Swap agreements | (80,409,195 | ) | (36,561,200 | ) | (57,269,574 | ) | (101,003,629 | ) | ||||||||
Short-term U.S. government and agency obligations | 44,380 | (64,280 | ) | 8,842 | (343,929 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | (96,665,222 | ) | (108,172,044 | ) | ||||||||
Net realized and unrealized gain (loss) | (54,401,899 | ) | (206,331,148 | ) | (60,793,643 | ) | (147,730,356 | ) | ||||||||
Net income (loss) | $ | (51,724,297 | ) | $ | (207,026,894 | ) | $ | (55,639,766 | ) | $ | (149,554,308 | ) | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
Addition of 650,000 and 1,100,000 shares, respectively | 13,789,540 | 25,560,144 | ||||||
Redemption of 1,200,000 and 1,000,000 shares, respectively | (27,051,242 | ) | (23,045,736 | ) | ||||
Net addition (redemption) of (550,000) and 100,000 shares, respectively | (13,261,702 | ) | 2,514,408 | |||||
Net investment income (loss) | 134,207 | (60,608 | ) | |||||
Net realized gain (loss) | 2,713,623 | (7,373,936 | ) | |||||
Change in net unrealized appreciation (depreciation) | (1,183,236 | ) | 1,789,652 | |||||
Net income (loss) | 1,664,594 | (5,644,892 | ) | |||||
Shareholders’ equity, end of period | $ | 20,335,691 | $ | 23,406,516 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 429,115,334 | $ | 558,375,841 | $ | 414,285,878 | $ | 515,453,594 | ||||||||
Addition of 700,000, 800,000, 2,600,000 and 1,800,000 shares, respectively | 20,692,563 | 26,625,358 | 71,924,842 | 65,659,299 | ||||||||||||
Redemption of 1,300,000, 750,000, 2,450,000 and 2,250,000 shares, respectively | (41,291,941 | ) | (22,396,790 | ) | (73,779,295 | ) | (75,981,070 | ) | ||||||||
Net addition (redemption) of (600,000), 50,000, 150,000 and (450,000) shares, respectively | (20,599,378 | ) | 4,228,568 | (1,854,453 | ) | (10,321,771 | ) | |||||||||
Net investment income (loss) | 2,677,602 | (695,746 | ) | 5,153,877 | (1,823,952 | ) | ||||||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | 35,871,579 | (39,558,312 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | (96,665,222 | ) | (108,172,044 | ) | ||||||||
Net income (loss) | (51,724,297 | ) | (207,026,894 | ) | (55,639,766 | ) | (149,554,308 | ) | ||||||||
Shareholders’ equity, end of period | $ | 356,791,659 | $ | 355,577,515 | $ | 356,791,659 | $ | 355,577,515 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 1,664,594 | $ | (5,644,892 | ) | |||
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 | — | (20,979,052 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 30,052,082 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (9,298 | ) | |||||
Net realized (gain) loss on investments | — | 190 | ||||||
Change in unrealized (appreciation) depreciation on investments | 1,299,699 | (2,174,998 | ) | |||||
Decrease (Increase) in receivable on open futures contracts | 59,575 | 15,446 | ||||||
Decrease (Increase) in interest receivable | 7,257 | 378 | ||||||
Increase (Decrease) in payable to Sponsor | (4,042 | ) | (8,791 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (14 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 192,643 | 1,523 | ||||||
Net cash provided by (used in) operating activities | 3,219,726 | 1,252,574 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 13,830,619 | 25,560,144 | ||||||
Payment on shares redeemed | (27,051,242 | ) | (23,045,736 | ) | ||||
Net cash provided by (used in) financing activities | (13,220,623 | ) | 2,514,408 | |||||
Net increase (decrease) in cash | (10,000,897 | ) | 3,766,982 | |||||
Cash, beginning of period | 32,583,283 | 5,483,476 | ||||||
Cash, end of period | $ | 22,582,386 | $ | 9,250,458 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (55,639,766 | ) | $ | (149,554,308 | ) | ||
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 | (2,203,304,232 | ) | (1,255,430,782 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,212,588,221 | 1,416,997,680 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (5,008,810 | ) | (497,182 | ) | ||||
Net realized (gain) loss on investments | 46,857 | 1,164 | ||||||
Change in unrealized (appreciation) depreciation on investments | 57,260,732 | 101,347,558 | ||||||
Decrease (Increase) in receivable on open futures contracts | (1,635,164 | ) | 1,384,919 | |||||
Decrease (Increase) in interest receivable | 29,902 | (55,579 | ) | |||||
Increase (Decrease) in payable to Sponsor | (45,532 | ) | (78,578 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (9,833 | ) | |||||
Increase (Decrease) in payable on open futures contracts | (1,948,902 | ) | 2,248,743 | |||||
Net cash provided by (used in) operating activities | 2,343,306 | 116,353,802 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 71,924,842 | 64,418,960 | ||||||
Payment on shares redeemed | (75,394,677 | ) | (79,464,840 | ) | ||||
Net cash provided by (used in) financing activities | (3,469,835 | ) | (15,045,880 | ) | ||||
Net increase (decrease) in cash | (1,126,529 | ) | 101,307,922 | |||||
Cash, beginning of period | 150,012,071 | 25,488,503 | ||||||
Cash, end of period | $ | 148,885,542 | $ | 126,796,425 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively) | $ | — | $ | 22,998,059 | ||||
Cash | 19,852,266 | 451,616 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 3,562,511 | 3,652,511 | ||||||
Unrealized appreciation on foreign currency forward contracts | 102,137 | 963,369 | ||||||
Receivable from capital shares sold | 2,799,847 | — | ||||||
Interest receivable | 81,452 | 36,071 | ||||||
Total assets | 26,398,213 | 28,101,626 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,683,455 | ||||||
Payable to Sponsor | 19,087 | 29,633 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,267,308 | 3,990,802 | ||||||
Total liabilities | 1,286,395 | 6,703,890 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 25,111,818 | 21,397,736 | ||||||
Total liabilities and shareholders’ equity | $ | 26,398,213 | $ | 28,101,626 | ||||
Shares outstanding (Note 1) | 448,580 | 398,580 | ||||||
Net asset value per share (Note 1) | $ | 55.98 | $ | 53.68 | ||||
Market value per share (Note 1) (Note 2) | $ | 56.00 | $ | 53.57 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $34,728,989, respectively) | $ | — | $ | 34,732,372 | ||||
Cash | 116,071,941 | 71,086,482 | ||||||
Segregated cash balances with brokers for futures contracts | 222,756,461 | 323,761,025 | ||||||
Receivable on open futures contracts | 50,445,515 | 209,470,270 | ||||||
Interest receivable | 952,517 | 1,246,402 | ||||||
Total assets | 390,226,434 | 640,296,551 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 2,056,385 | 348,988 | ||||||
Brokerage commissions and futures account fees payable | 44,656 | 58,772 | ||||||
Payable to Sponsor | 361,334 | 570,429 | ||||||
Total liabilities | 2,462,375 | 978,189 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 387,764,059 | 639,318,362 | ||||||
Total liabilities and shareholders’ equity | $ | 390,226,434 | $ | 640,296,551 | ||||
Shares outstanding (Note 1) | 20,977,842 | 9,307,842 | ||||||
Net asset value per share (Note 1) | $ | 18.48 | $ | 68.69 | ||||
Market value per share (Note 1) (Note 2) | $ | 18.49 | $ | 68.60 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 21,591 | $ | 324,102,501 | $ | (69,897,187 | ) | ||||||
VIX Futures - Cboe, expires August 2023 | 15,704 | 257,550,311 | (9,932,533 | ) | ||||||||
$ | (79,829,720 | ) | ||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 4,750,595 | $ | 430,670 | $ | 9,167,250 | $ | 525,931 | ||||||||
Expenses | ||||||||||||||||
Management fee | 1,330,081 | 2,293,738 | 2,703,851 | 4,254,915 | ||||||||||||
Brokerage commissions | 712,511 | 970,211 | 1,490,212 | 1,906,969 | ||||||||||||
Futures account fees | 126,999 | 444,123 | 250,360 | 1,226,811 | ||||||||||||
Total expenses | 2,169,591 | 3,708,072 | 4,444,423 | 7,388,695 | ||||||||||||
Net investment income (loss) | 2,581,004 | (3,277,402 | ) | 4,722,827 | (6,862,764 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (426,304,544 | ) | 91,039,435 | (608,537,974 | ) | 349,477,533 | ||||||||||
Swap agreements | — | — | — | 22,556,586 | ||||||||||||
Short-term U.S. government and agency obligations | 4,188 | (337,934 | ) | (3,590 | ) | (353,087 | ) | |||||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | (608,541,564 | ) | 371,681,032 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (45,320,517 | ) | 196,657,178 | (43,274,267 | ) | 161,801,275 | ||||||||||
Swap agreements | — | — | — | 477,437 | ||||||||||||
Short-term U.S. government and agency obligations | 5,340 | 78,171 | (3,383 | ) | (544,247 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | (43,277,650 | ) | 161,734,465 | ||||||||||
Net realized and unrealized gain (loss) | (471,615,533 | ) | 287,436,850 | (651,819,214 | ) | 533,415,497 | ||||||||||
Net income (loss) | $ | (469,034,529 | ) | $ | 284,159,448 | $ | (647,096,387 | ) | $ | 526,552,733 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 535,980,236 | $ | 1,127,608,641 | $ | 639,318,362 | $ | 816,679,636 | ||||||||
Addition of 12,940,000, 5,840,000, 21,310,000 and 14,150,000 shares, respectively (Note 1) | 455,030,425 | 799,757,076 | 891,490,874 | 1,971,472,943 | ||||||||||||
Redemption of 3,550,000, 7,470,000, 9,640,000 and 14,010,000 shares, respectively (Note 1) | (134,212,073 | ) | (1,235,841,632 | ) | (495,948,790 | ) | (2,339,021,779 | ) | ||||||||
Net addition (redemption) of 9,390,000, (1,630,000), 11,670,000 and 140,000 shares, respectively (Note 1) | 320,818,352 | (436,084,556 | ) | 395,542,084 | (367,548,836 | ) | ||||||||||
Net investment income (loss) | 2,581,004 | (3,277,402 | ) | 4,722,827 | (6,862,764 | ) | ||||||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | (608,541,564 | ) | 371,681,032 | ||||||||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | (43,277,650 | ) | 161,734,465 | ||||||||||
Net income (loss) | (469,034,529 | ) | 284,159,448 | (647,096,387 | ) | 526,552,733 | ||||||||||
Shareholders’ equity, end of period | $ | 387,764,059 | $ | 975,683,533 | $ | 387,764,059 | $ | 975,683,533 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (647,096,387 | ) | $ | 526,552,733 | |||
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 | (1,156,102,958 | ) | (1,476,792,269 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,192,359,088 | 1,454,556,289 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,530,731 | ) | (252,157 | ) | ||||
Net realized (gain) loss on investments | 3,590 | 353,166 | ||||||
Change in unrealized (appreciation) depreciation on investments | 3,383 | 66,810 | ||||||
Decrease (Increase) in receivable on open futures contracts | 159,024,755 | (225,561,488 | ) | |||||
Decrease (Increase) in interest receivable | 293,885 | (193,393 | ) | |||||
Increase (Decrease) in payable to Sponsor | (209,095 | ) | 126,268 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (14,116 | ) | (96,420 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 1,707,397 | (9,447,456 | ) | |||||
Net cash provided by (used in) operating activities | (451,561,189 | ) | 269,312,083 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 891,490,874 | 1,969,293,116 | ||||||
Payment on shares redeemed | (495,948,790 | ) | (2,339,021,779 | ) | ||||
Net cash provided by (used in) financing activities | 395,542,084 | (369,728,663 | ) | |||||
Net increase (decrease) in cash | (56,019,105 | ) | (100,416,580 | ) | ||||
Cash, beginning of period | 394,847,507 | 572,120,879 | ||||||
Cash, end of period | $ | 338,828,402 | $ | 471,704,299 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 11,390,854 | $ | 11,444,958 | ||||
Segregated cash balances with brokers for foreign currency forward contracts | 1,767,000 | 1,357,000 | ||||||
Unrealized appreciation on foreign currency forward contracts | 18,889 | 1,152,834 | ||||||
Interest receivable | 39,252 | 39,204 | ||||||
Total assets | 13,215,995 | 13,993,996 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 8,505 | 10,915 | ||||||
Unrealized depreciation on foreign currency forward contracts | 876,516 | 168,285 | ||||||
Total liabilities | 885,021 | 179,200 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 12,330,974 | 13,814,796 | ||||||
Total liabilities and shareholders’ equity | $ | 13,215,995 | $ | 13,993,996 | ||||
Shares outstanding | 449,970 | 399,970 | ||||||
Net asset value per share | $ | 27.40 | $ | 34.54 | ||||
Market value per share (Note 2) | $ | 27.42 | $ | 34.56 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with Goldman Sachs International | 04/14/23 | 1,438,381,000 | $ | 10,858,080 | $ | (40,031 | ) | |||||||||
Yen with UBS AG | 04/14/23 | 1,461,674,000 | 11,033,916 | 142,168 | ||||||||||||
Total Unrealized Appreciation | | $ | 102,137 | |||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 04/14/23 | (4,075,246,165 | ) | $ | (30,763,304 | ) | $ | (565,997 | ) | |||||||
Yen with UBS AG | 04/14/23 | (5,475,162,574 | ) | (41,331,023 | ) | (701,311 | ) | |||||||||
Total Unrealized Depreciation | $ | (1,267,308 | ) | |||||||||||||
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 | 07/14/23 | 1,507,359,517 | $ | 10,470,698 | $ | (407,188 | ) | |||||||||
Yen with UBS AG | 07/14/23 | 2,188,352,856 | 15,201,139 | (469,328 | ) | |||||||||||
Total Unrealized Depreciation | | $ | (876,516 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 07/14/23 | (1,461 | ) | $ | (10 | ) | $ | — | ||||||||
Yen with UBS AG | 07/14/23 | (158,537,000 | ) | (1,101,259 | ) | 18,889 | ||||||||||
Total Unrealized Appreciation | | $ | 18,889 | |||||||||||||
^ | The positions and counterparties herein are as of |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 204,200 | $ | 9,399 | ||||
Expenses | ||||||||
Management fee | 50,812 | 59,820 | ||||||
Total expenses | 50,812 | 59,820 | ||||||
Net investment income (loss) | 153,388 | (50,421 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Foreign currency forward contracts | (1,027,976 | ) | 1,080,173 | |||||
Short-term U.S. government and agency obligations | — | 102,971 | ||||||
Net realized gain (loss) | (1,027,976 | ) | 1,183,144 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Foreign currency forward contracts | 1,862,262 | 1,466,402 | ||||||
Short-term U.S. government and agency obligations | (2,761 | ) | (27,938 | ) | ||||
Change in net unrealized appreciation (depreciation) | 1,859,501 | 1,438,464 | ||||||
Net realized and unrealized gain (loss) | 831,525 | 2,621,608 | ||||||
Net income (loss) | $ | 984,913 | $ | 2,571,187 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 114,980 | $ | 3,064 | $ | 235,098 | $ | 3,937 | ||||||||
Expenses | ||||||||||||||||
Management fee | 25,330 | 8,036 | 55,890 | 13,465 | ||||||||||||
Total expenses | 25,330 | 8,036 | 55,890 | 13,465 | ||||||||||||
Net investment income (loss) | 89,650 | (4,972 | ) | 179,208 | (9,528 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (880,249 | ) | ||||||||
Short-term U.S. government and agency obligations | — | — | — | 1,548 | ||||||||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (878,701 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | (1,348,109 | ) | 154,501 | (1,842,176 | ) | 15,962 | ||||||||||
Short-term U.S. government and agency obligations | — | (2,316 | ) | — | (5,142 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | (1,842,176 | ) | 10,820 | ||||||||||
Net realized and unrealized gain (loss) | (2,118,251 | ) | (609,293 | ) | (2,911,126 | ) | (867,881 | ) | ||||||||
Net income (loss) | $ | (2,028,601 | ) | $ | (614,265 | ) | $ | (2,731,918 | ) | $ | (877,409 | ) | ||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
Addition of 200,000 and 200,000 shares, respectively (Note 1) | 11,156,537 | 9,605,322 | ||||||
Redemption of 150,000 and 200,000 shares, respectively (Note 1) | (8,427,368 | ) | (9,290,592 | ) | ||||
Net addition (redemption) of 50,000 and – shares, respectively (Note 1) | 2,729,169 | 314,730 | ||||||
Net investment income (loss) | 153,388 | (50,421 | ) | |||||
Net realized gain (loss) | (1,027,976 | ) | 1,183,144 | |||||
Change in net unrealized appreciation (depreciation) | 1,859,501 | 1,438,464 | ||||||
Net income (loss) | 984,913 | 2,571,187 | ||||||
Shareholders’ equity, end of period | $ | 25,111,818 | $ | 27,726,701 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 9,915,083 | $ | 2,099,705 | $ | 13,814,796 | $ | 2,362,849 | ||||||||
Addition of 150,000, 100,000, 200,000 and 100,000 shares, respectively | 4,444,492 | 3,539,333 | 6,257,118 | 3,539,333 | ||||||||||||
Redemption of –, –, 150,000 and – shares, respectively | — | — | (5,009,022 | ) | — | |||||||||||
Net addition (redemption) of 150,000, 100,000, 50,000 and 100,000 shares, respectively | 4,444,492 | 3,539,333 | 1,248,096 | 3,539,333 | ||||||||||||
Net investment income (loss) | 89,650 | (4,972 | ) | 179,208 | (9,528 | ) | ||||||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | (1,068,950 | ) | (878,701 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | (1,842,176 | ) | 10,820 | ||||||||||
Net income (loss) | (2,028,601 | ) | (614,265 | ) | (2,731,918 | ) | (877,409 | ) | ||||||||
Shareholders’ equity, end of period | $ | 12,330,974 | $ | 5,024,773 | $ | 12,330,974 | $ | 5,024,773 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 984,913 | $ | 2,571,187 | ||||
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 | — | (17,984,733 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 18,102,971 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (9,737 | ) | ||||
Net realized (gain) loss on investments | — | (102,971 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (1,859,501 | ) | (1,438,464 | ) | ||||
Decrease (Increase) in interest receivable | (45,381 | ) | 339 | |||||
Increase (Decrease) in payable to Sponsor | (10,546 | ) | 1,513 | |||||
Net cash provided by (used in) operating activities | 22,064,783 | 1,140,105 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 8,356,690 | 9,605,322 | ||||||
Payment on shares redeemed | (11,110,823 | ) | — | |||||
Net cash provided by (used in) financing activities | (2,754,133 | ) | 9,605,322 | |||||
Net increase (decrease) in cash | 19,310,650 | 10,745,427 | ||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | ||||||
Cash, end of period | $ | 23,414,777 | $ | 13,748,678 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (2,731,918 | ) | $ | (877,409 | ) | ||
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 | — | (995,769 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 1,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (2,342 | ) | |||||
Net realized (gain) loss on investments | — | (1,548 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 1,842,176 | (10,820 | ) | |||||
Decrease (Increase) in interest receivable | (48 | ) | (1,269 | ) | ||||
Increase (Decrease) in payable to Sponsor | (2,410 | ) | 1,139 | |||||
Net cash provided by (used in) operating activities | (892,200 | ) | (1,886,470 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 6,257,118 | 3,539,333 | ||||||
Payment on shares redeemed | (5,009,022 | ) | — | |||||
Net cash provided by (used in) financing activities | 1,248,096 | 3,539,333 | ||||||
Net increase (decrease) in cash | 355,896 | 1,652,863 | ||||||
Cash, beginning of period | 12,801,958 | 2,457,820 | ||||||
Cash, end of period | $ | 13,157,854 | $ | 4,110,683 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $44,936,828 and $49,876,697, respectively) | $ | 44,934,404 | $ | 49,882,348 | ||||
Cash | 13,499,926 | 19,575,939 | ||||||
Segregated cash balances with brokers for futures contracts | 9,985,700 | 14,384,050 | ||||||
Receivable on open futures contracts | 168,815 | 142,794 | ||||||
Interest receivable | 116,972 | 88,180 | ||||||
Total assets | 68,705,817 | 84,073,311 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,339,113 | — | ||||||
Payable on open futures contracts | 14,074 | — | ||||||
Brokerage commissions and futures account fees payable | 2,677 | 3,688 | ||||||
Payable to Sponsor | 43,866 | 54,664 | ||||||
Total liabilities | 1,399,730 | 58,352 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 67,306,087 | 84,014,959 | ||||||
Total liabilities and shareholders’ equity | $ | 68,705,817 | $ | 84,073,311 | ||||
Shares outstanding | 2,512,403 | 2,762,403 | ||||||
Net asset value per share | $ | 26.79 | $ | 30.41 | ||||
Market value per share (Note 2) | $ | 26.82 | $ | 30.36 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,834,094 and $89,407,308, respectively) | $ | 74,852,080 | $ | 89,426,935 | ||||
Cash | 5,264,925 | 74,627,051 | ||||||
Segregated cash balances with brokers for futures contracts | 36,646,185 | 65,184,460 | ||||||
Receivable from capital shares sold | 2,561,440 | 41,694 | ||||||
Receivable on open futures contracts | — | 1,604,847 | ||||||
Interest receivable | 119,269 | 384,856 | ||||||
Total assets | 119,443,899 | 231,269,843 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 5,187,383 | 1,257,090 | ||||||
Payable on open futures contracts | 1,300,062 | 7,102,680 | ||||||
Brokerage commissions and futures account fees payable | 3,914 | 4,134 | ||||||
Payable to Sponsor | 97,588 | 208,602 | ||||||
Total liabilities | 6,588,947 | 8,572,506 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 112,854,952 | 222,697,337 | ||||||
Total liabilities and shareholders’ equity | $ | 119,443,899 | $ | 231,269,843 | ||||
Shares outstanding (Note 1) | 4,405,220 | 9,305,220 | ||||||
Net asset value per share (Note 1) | $ | 25.62 | $ | 23.93 | ||||
Market value per share (Note 1) (Note 2) | $ | 25.70 | $ | 23.85 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(67% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
3.874% due 04/11/23 | $ | 25,000,000 | $ | 24,973,528 | ||||
4.156% due 04/18/23 | 20,000,000 | 19,960,876 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $44,936,828) | $ | 44,934,404 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(66% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.132% due 07/06/23 | $ | 25,000,000 | $ | 24,989,490 | ||||
4.959% due 07/13/23 | 25,000,000 | 24,964,895 | ||||||
5.104% due 08/01/23 | 25,000,000 | 24,897,695 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $74,834,094) | $ | 74,852,080 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures – Cboe, expires July 2023 | 545 | $ | 12,858,785 | $ | (709,434 | ) | ||||||
VIX Futures – Cboe, expires August 2023 | 942 | 22,324,458 | 510,275 | |||||||||
VIX Futures – Cboe, expires September 2023 | 942 | 22,599,428 | 130,594 | |||||||||
VIX Futures – Cboe, expires October 2023 | 396 | 9,523,800 | (132,123 | ) | ||||||||
$ | (200,688 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
WTI Crude Oil - NYMEX, expires September 2023 | 1,038 | $ | 73,469,640 | $ | 877,640 | |||||||
WTI Crude Oil - NYMEX, expires December 2023 | 1,073 | 75,539,200 | 7,336,619 | |||||||||
WTI Crude Oil - NYMEX, expires June 2024 | 1,111 | 76,681,220 | 4,771,897 | |||||||||
$ | 12,986,156 | |||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 647,920 | $ | 23,923 | ||||
Expenses | ||||||||
Management fee | 150,123 | 215,663 | ||||||
Brokerage commissions | 9,169 | 24,869 | ||||||
Futures accounts fees | 11,440 | 35,488 | ||||||
Total expenses | 170,732 | 276,020 | ||||||
Net investment income (loss) | 477,188 | (252,097 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (15,820,720 | ) | 4,791,833 | |||||
Short-term U.S. government and agency obligations | — | (336 | ) | |||||
Net realized gain (loss) | (15,820,720 | ) | 4,791,497 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 4,590,535 | (335,175 | ) | |||||
Short-term U.S. government and agency obligations | (8,075 | ) | (138,660 | ) | ||||
Change in net unrealized appreciation (depreciation) | 4,582,460 | (473,835 | ) | |||||
Net realized and unrealized gain (loss) | (11,238,260 | ) | 4,317,662 | |||||
Net income (loss) | $ | (10,761,072 | ) | $ | 4,065,565 | |||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,560,028 | $ | 289,299 | $ | 3,563,237 | $ | 343,206 | ||||||||
Expenses | ||||||||||||||||
Management fee | 359,177 | 946,110 | 844,057 | 1,438,757 | ||||||||||||
Brokerage commissions | 60,079 | 107,079 | 125,836 | 184,135 | ||||||||||||
Futures account fees | — | 85,802 | — | 155,979 | ||||||||||||
Total expenses | 419,256 | 1,138,991 | 969,893 | 1,778,871 | ||||||||||||
Net investment income (loss) | 1,140,772 | (849,692 | ) | 2,593,344 | (1,435,665 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 28,046,795 | (102,594,000 | ) | 55,661,074 | (209,076,101 | ) | ||||||||||
Short-term U.S. government and agency obligations | (12,271 | ) | — | (11,783 | ) | — | ||||||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | 55,649,291 | (209,076,101 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (8,229,852 | ) | 34,810,301 | 2,741,263 | 36,926,293 | |||||||||||
Short-term U.S. government and agency obligations | 13,244 | (53,187 | ) | (1,641 | ) | (240,137 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | 2,739,622 | 36,686,156 | |||||||||||
Net realized and unrealized gain (loss) | 19,817,916 | (67,836,886 | ) | 58,388,913 | (172,389,945 | ) | ||||||||||
Net income (loss) | $ | 20,958,688 | $ | (68,686,578 | ) | $ | 60,982,257 | $ | (173,825,610 | ) | ||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 84,014,959 | $ | 112,875,680 | ||||
Addition of 275,000 and 700,000 shares, respectively | 7,751,336 | 22,135,602 | ||||||
Redemption of 525,000 and 1,275,000 shares, respectively | (13,699,136 | ) | (41,206,933 | ) | ||||
Net addition (redemption) of (250,000) and (575,000) shares, respectively | (5,947,800 | ) | (19,071,331 | ) | ||||
Net investment income (loss) | 477,188 | (252,097 | ) | |||||
Net realized gain (loss) | (15,820,720 | ) | 4,791,497 | |||||
Change in net unrealized appreciation (depreciation) | 4,582,460 | (473,835 | ) | |||||
Net income (loss) | (10,761,072 | ) | 4,065,565 | |||||
Shareholders’ equity, end of period | $ | 67,306,087 | $ | 97,869,914 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 144,762,563 | $ | 416,799,231 | $ | 222,697,337 | $ | 114,167,602 | ||||||||
Addition of 6,250,000, 12,320,000, 11,550,000 and 27,890,000 shares, respectively (Note 1) | 149,281,563 | 278,861,920 | 277,187,438 | 788,890,799 | ||||||||||||
Redemption of 7,600,000, 4,851,540, 16,450,000 and 7,911,540 shares, respectively (Note 1) | (202,147,862 | ) | (125,817,269 | ) | (448,012,080 | ) | (228,075,487 | ) | ||||||||
Net addition (redemption) of (1,350,000), 7,468,460, (4,900,000) and 19,978,460 shares, respectively (Note 1) | (52,866,299 | ) | 153,044,651 | (170,824,642 | ) | 560,815,312 | ||||||||||
Net investment income (loss) | 1,140,772 | (849,692 | ) | 2,593,344 | (1,435,665 | ) | ||||||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | 55,649,291 | (209,076,101 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | 2,739,622 | 36,686,156 | |||||||||||
Net income (loss) | 20,958,688 | (68,686,578 | ) | 60,982,257 | (173,825,610 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 112,854,952 | $ | 501,157,304 | $ | 112,854,952 | $ | 501,157,304 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (10,761,072 | ) | $ | 4,065,565 | |||
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 | (214,823,214 | ) | (51,992,010 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 220,000,000 | 73,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (236,917 | ) | (25,020 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 8,075 | 138,660 | ||||||
Decrease (Increase) in receivable on open futures contracts | (26,021 | ) | (1,523,098 | ) | ||||
Decrease (Increase) in interest receivable | (28,792 | ) | 1,097 | |||||
Increase (Decrease) in payable to Sponsor | (10,798 | ) | (10,387 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (1,011 | ) | 2,998 | |||||
Increase (Decrease) in payable on open futures contracts | 14,074 | (94,495 | ) | |||||
Net cash provided by (used in) operating activities | (5,865,676 | ) | 24,562,194 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 7,751,336 | 22,135,602 | ||||||
Payment on shares redeemed | (12,360,023 | ) | (41,206,933 | ) | ||||
Net cash provided by (used in) financing activities | (4,608,687 | ) | (19,071,331 | ) | ||||
Net increase (decrease) in cash | (10,474,363 | ) | 5,490,863 | |||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 23,485,626 | $ | 32,562,682 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 60,982,257 | $ | (173,825,610 | ) | |||
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 | (378,541,825 | ) | (988,742,468 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 394,924,819 | 812,000,000 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,821,563 | ) | (217,252 | ) | ||||
Net realized (gain) loss on investments | 11,783 | — | ||||||
Change in unrealized (appreciation) depreciation on investments | 1,641 | 240,137 | ||||||
Decrease (Increase) in receivable on open futures contracts | 1,604,847 | (28,947,961 | ) | |||||
Decrease (Increase) in interest receivable | 265,587 | (98,456 | ) | |||||
Increase (Decrease) in payable to Sponsor | (111,014 | ) | 264,125 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (220 | ) | 4,674 | |||||
Increase (Decrease) in payable on open futures contracts | (5,802,618 | ) | 11,507,191 | |||||
Net cash provided by (used in) operating activities | 71,513,694 | (367,815,620 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 274,667,692 | 788,890,799 | ||||||
Payment on shares redeemed | (444,081,787 | ) | (228,075,487 | ) | ||||
Net cash provided by (used in) financing activities | (169,414,095 | ) | 560,815,312 | |||||
Net increase (decrease) in cash | (97,900,401 | ) | 192,999,692 | |||||
Cash, beginning of period | 139,811,511 | 54,443,553 | ||||||
Cash, end of period | $ | 41,911,110 | $ | 247,443,245 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $104,841,128 and $89,329,814, respectively) | $ | 104,841,062 | $ | 89,347,714 | ||||
Cash | 19,325,280 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 71,032,224 | 91,634,942 | ||||||
Receivable from capital shares sold | 5,421,620 | — | ||||||
Receivable on open futures contracts | 26,161,690 | 52,643,553 | ||||||
Interest receivable | 512,515 | 403,667 | ||||||
Total assets | 227,294,391 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | 353,115 | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 14,043 | 27,102 | ||||||
Payable to Sponsor | 162,029 | 155,130 | ||||||
Total liabilities | 529,187 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 226,765,204 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 227,294,391 | $ | 267,556,744 | ||||
Shares outstanding | 25,107,826 | 23,382,826 | ||||||
Net asset value per share | $ | 9.03 | $ | 11.40 | ||||
Market value per share (Note 2) | $ | 9.05 | $ | 11.38 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $34,827,196 and $61,469,726, respectively) | $ | 34,829,828 | $ | 61,482,526 | ||||
Cash | 59,777,081 | 5,724,380 | ||||||
Segregated cash balances with brokers for futures contracts | 38,892,240 | 38,758,160 | ||||||
Receivable from capital shares sold | 2,752,997 | — | ||||||
Receivable on open futures contracts | 25,849,741 | 33,637,888 | ||||||
Interest receivable | 247,504 | 293,818 | ||||||
Total assets | 162,349,391 | 139,896,772 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 14,487,618 | 5,365,196 | ||||||
Payable on open futures contracts | 6,434,160 | 282,362 | ||||||
Brokerage commissions and futures account fees payable | 8,448 | 7,497 | ||||||
Payable to Sponsor | 94,202 | 132,197 | ||||||
Total liabilities | 21,024,428 | 5,787,252 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 141,324,963 | 134,109,520 | ||||||
Total liabilities and shareholders’ equity | $ | 162,349,391 | $ | 139,896,772 | ||||
Shares outstanding (Note 1) | 2,566,856 | 4,966,856 | ||||||
Net asset value per share (Note 1) | $ | 55.06 | $ | 27.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 55.45 | $ | 27.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(46% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.401% due 04/04/23 | $ | 25,000,000 | $ | 24,996,803 | ||||
3.874% due 04/11/23 | 25,000,000 | 24,973,528 | ||||||
4.156% due 04/18/23 | 30,000,000 | 29,941,314 | ||||||
4.205% due 04/25/23 | 25,000,000 | 24,929,417 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $104,841,128) | $ | 104,841,062 | ||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(25% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
5.104% due 08/01/23 | $ | 10,000,000 | $ | 9,959,078 | ||||
4.972% due 08/08/23 | 25,000,000 | 24,870,750 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $34,827,196) | $ | 34,829,828 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
VIX Futures – Cboe, expires April 2023 | 6,151 | $ | 127,720,594 | $ | (4,825,023 | ) | ||||||
VIX Futures – Cboe, expires May 2023 | 4,474 | 99,002,909 | (3,823,808 | ) | ||||||||
$ | (8,648,831 | ) | ||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Natural Gas - NYMEX, expires September 2023 | 10,189 | $ | 282,642,860 | $ | (20,310,332 | ) |
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Investment Income | ||||||||
Interest | $ | 2,120,561 | $ | 70,709 | ||||
Expenses | ||||||||
Management fee | 517,488 | 705,691 | ||||||
Brokerage commissions | 96,497 | 116,474 | ||||||
Futures accounts fees | 50,659 | 200,657 | ||||||
Total expenses | 664,644 | 1,022,822 | ||||||
Net investment income (loss) | 1,455,917 | (952,113 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (46,096,702 | ) | 53,734,127 | |||||
Short-term U.S. government and agency obligations | 8 | 97 | ||||||
Net realized gain (loss) | (46,096,694 | ) | 53,734,224 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | 1,147,992 | (13,174,318 | ) | |||||
Short-term U.S. government and agency obligations | (17,966 | ) | (274,063 | ) | ||||
Change in net unrealized appreciation (depreciation) | 1,130,026 | (13,448,381 | ) | |||||
Net realized and unrealized gain (loss) | (44,966,668 | ) | 40,285,843 | |||||
Net income (loss) | $ | (43,510,751 | ) | $ | 39,333,730 | |||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,344,889 | $ | 122,188 | $ | 2,531,641 | $ | 178,013 | ||||||||
Expenses | ||||||||||||||||
Management fee | 302,274 | 510,704 | 599,136 | 1,053,068 | ||||||||||||
Brokerage commissions | 233,647 | 144,907 | 443,288 | 365,858 | ||||||||||||
Futures account fees | 26,758 | 76,956 | 56,367 | 206,885 | ||||||||||||
Total expenses | 562,679 | 732,567 | 1,098,791 | 1,625,811 | ||||||||||||
Net investment income (loss) | 782,210 | (610,379 | ) | 1,432,850 | (1,447,798 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 48,736,428 | (282,646,685 | ) | 232,145,072 | (397,312,383 | ) | ||||||||||
Short-term U.S. government and agency obligations | 1,415 | (199 | ) | (1,263 | ) | (58,809 | ) | |||||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | 232,143,809 | (397,371,192 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (61,246,927 | ) | 228,166,248 | (106,199,730 | ) | 140,634,090 | ||||||||||
Short-term U.S. government and agency obligations | (3,173 | ) | (87,121 | ) | (10,168 | ) | (342,034 | ) | ||||||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | (106,209,898 | ) | 140,292,056 | ||||||||||
Net realized and unrealized gain (loss) | (12,512,257 | ) | (54,567,757 | ) | 125,933,911 | (257,079,136 | ) | |||||||||
Net income (loss) | $ | (11,730,047 | ) | $ | (55,178,136 | ) | $ | 127,366,761 | $ | (258,526,934 | ) | |||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Shareholders’ equity, beginning of period | $ | 266,580,320 | $ | 269,703,164 | ||||
Addition of 11,500,000 and 9,950,000 shares, respectively | 108,467,352 | 161,172,915 | ||||||
Redemption of 9,775,000 and 3,400,000 shares, respectively | (104,771,717 | ) | (65,259,409 | ) | ||||
Net addition (redemption) of 1,725,000 and 6,550,000 shares, respectively | 3,695,635 | 95,913,506 | ||||||
Net investment income (loss) | 1,455,917 | (952,113 | ) | |||||
Net realized gain (loss) | (46,096,694 | ) | 53,734,224 | |||||
Change in net unrealized appreciation (depreciation) | 1,130,026 | (13,448,381 | ) | |||||
Net income (loss) | (43,510,751 | ) | 39,333,730 | |||||
Shareholders’ equity, end of period | $ | 226,765,204 | $ | 404,950,400 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 146,981,760 | $ | 250,340,837 | $ | 134,109,520 | $ | 242,145,130 | ||||||||
Addition of 6,600,000, 18,700,000, 13,850,000 and 23,340,000 shares, respectively (Note 1) | 457,417,060 | 489,076,501 | 833,426,697 | 944,035,742 | ||||||||||||
Redemption of 6,100,000, 17,601,764, 16,250,000 and 19,351,886 shares, respectively (Note 1) | (451,343,810 | ) | (472,415,756 | ) | (953,578,015 | ) | (715,830,492 | ) | ||||||||
Net addition (redemption) of 500,000, 1,098,236, (2,400,000) and 3,988,114 shares, respectively (Note 1) | 6,073,250 | 16,660,745 | (120,151,318 | ) | 228,205,250 | |||||||||||
Net investment income (loss) | 782,210 | (610,379 | ) | 1,432,850 | (1,447,798 | ) | ||||||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | 232,143,809 | (397,371,192 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | (106,209,898 | ) | 140,292,056 | ||||||||||
Net income (loss) | (11,730,047 | ) | (55,178,136 | ) | 127,366,761 | (258,526,934 | ) | |||||||||
Shareholders’ equity, end of period | $ | 141,324,963 | $ | 211,823,446 | $ | 141,324,963 | $ | 211,823,446 | ||||||||
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (43,510,751 | ) | $ | 39,333,730 | |||
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 | (124,671,570 | ) | (167,928,504 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 109,979,608 | 148,999,840 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (819,344 | ) | (72,483 | ) | ||||
Net realized (gain) loss on investments | (8 | ) | (97 | ) | ||||
Change in unrealized (appreciation) depreciation on investments | 17,966 | 274,063 | ||||||
Decrease (Increase) in receivable on open futures contracts | 26,481,863 | (72,620,028 | ) | |||||
Decrease (Increase) in interest receivable | (108,848 | ) | 1,774 | |||||
Increase (Decrease) in payable to Sponsor | 6,899 | 59,476 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (13,059 | ) | 19,047 | |||||
Increase (Decrease) in payable on open futures contracts | 129,396 | (2,037,376 | ) | |||||
Net cash provided by (used in) operating activities | (32,507,848 | ) | (53,970,558 | ) | ||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 103,045,732 | 155,054,067 | ||||||
Payment on shares redeemed | (105,342,190 | ) | (65,259,409 | ) | ||||
Net cash provided by (used in) financing activities | (2,296,458 | ) | 89,794,658 | |||||
Net increase (decrease) in cash | (34,804,306 | ) | 35,824,100 | |||||
Cash, beginning of period | 125,161,810 | 115,960,816 | ||||||
Cash, end of period | $ | 90,357,504 | $ | 151,784,916 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 127,366,761 | $ | (258,526,934 | ) | |||
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 | (119,017,542 | ) | (346,906,626 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 146,569,111 | 410,859,860 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (910,302 | ) | (110,657 | ) | ||||
Net realized (gain) loss on investments | 1,263 | 58,809 | ||||||
Change in unrealized (appreciation) depreciation on investments | 10,168 | 342,034 | ||||||
Decrease (Increase) in receivable on open futures contracts | 7,788,147 | (43,089,309 | ) | |||||
Decrease (Increase) in interest receivable | 46,314 | (35,299 | ) | |||||
Increase (Decrease) in payable to Sponsor | (37,995 | ) | (37,097 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 951 | (35,587 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 6,151,798 | (1,699,127 | ) | |||||
Net cash provided by (used in) operating activities | 167,968,674 | (239,179,933 | ) | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 830,673,700 | 944,035,742 | ||||||
Payment on shares redeemed | (944,455,593 | ) | (706,724,583 | ) | ||||
Net cash provided by (used in) financing activities | (113,781,893 | ) | 237,311,159 | |||||
Net increase (decrease) in cash | 54,186,781 | (1,868,774 | ) | |||||
Cash, beginning of period | 44,482,540 | 113,000,927 | ||||||
Cash, end of period | $ | 98,669,321 | $ | 111,132,153 | ||||
March 31, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,128,485,646 and $1,466,423,925, respectively) | $ | 1,128,525,172 | $ | 1,466,680,542 | ||||
Cash | 1,047,333,295 | 625,964,378 | ||||||
Segregated cash balances with brokers for futures contracts | 1,162,646,230 | 925,792,861 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 14,193,632 | 12,956,632 | ||||||
Segregated cash balances with brokers for swap agreements | 410,312,745 | 262,053,745 | ||||||
Unrealized appreciation on swap agreements | 77,717,092 | 119,880,255 | ||||||
Unrealized appreciation on foreign currency forward contracts | 1,257,272 | 2,823,510 | ||||||
Receivable from capital shares sold | 79,148,928 | 1,014,483 | ||||||
Receivable on open futures contracts | 437,228,019 | 522,770,291 | ||||||
Interest receivable | 6,696,066 | 4,920,772 | ||||||
Total assets | 4,365,058,451 | 3,944,857,469 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 87,697,670 | 32,725,077 | ||||||
Payable on open futures contracts | 20,917,321 | 11,742,794 | ||||||
Brokerage commissions and futures account fees payable | 156,470 | 165,165 | ||||||
Payable to Sponsor | 3,229,189 | 3,210,113 | ||||||
Unrealized depreciation on swap agreements | 110,498,415 | 2,315,580 | ||||||
Unrealized depreciation on foreign currency forward contracts | 3,928,493 | 6,911,994 | ||||||
Total liabilities | 226,427,558 | 57,070,723 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 4,138,630,893 | 3,887,786,746 | ||||||
Total liabilities and shareholders’ equity | $ | 4,365,058,451 | $ | 3,944,857,469 | ||||
Shares outstanding (Note 1) | 517,869,037 | 222,594,037 | ||||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively) | $ | — | $ | 39,996,624 | ||||
Cash | 45,515,144 | 30,687,235 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 7,024,121 | 6,844,121 | ||||||
Unrealized appreciation on foreign currency forward contracts | 29,100 | 193,192 | ||||||
Interest receivable | 192,965 | 109,830 | ||||||
Total assets | 52,761,330 | 77,831,002 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable to Sponsor | 42,155 | 63,375 | ||||||
Unrealized depreciation on foreign currency forward contracts | 1,787,874 | 2,654,448 | ||||||
Total liabilities | 1,830,029 | 2,717,823 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 50,931,301 | 75,113,179 | ||||||
Total liabilities and shareholders’ equity | $ | 52,761,330 | $ | 77,831,002 | ||||
Shares outstanding | 1,750,000 | 2,550,000 | ||||||
Net asset value per share | $ | 29.10 | $ | 29.46 | ||||
Market value per share (Note 2) | $ | 29.11 | $ | 29.45 | ||||
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 | 07/14/23 | 4,446,000 | $ | 4,855,150 | $ | (36,237 | ) | |||||||||
Euro with UBS AG | 07/14/23 | 12,460,000 | 13,606,649 | 29,100 | ||||||||||||
Total Unrealized Depreciation | | $ | (7,137 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Euro with Goldman Sachs International | 07/14/23 | (51,941,263 | ) | $ | (56,721,233 | ) | $ | (836,536 | ) | |||||||
Euro with UBS AG | 07/14/23 | (58,308,199 | ) | (63,674,095 | ) | (915,101 | ) | |||||||||
Total Unrealized Depreciation | | $ | (1,751,637 | ) | ||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 593,746 | $ | 39,011 | $ | 1,240,866 | $ | 54,416 | ||||||||
Expenses | ||||||||||||||||
Management fee | 131,101 | 146,934 | 292,669 | 264,390 | ||||||||||||
Total expenses | 131,101 | 146,934 | 292,669 | 264,390 | ||||||||||||
Net investment income (loss) | 462,645 | (107,923 | ) | 948,197 | (209,974 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,607,263 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | 210,974 | ||||||||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,818,237 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 556,469 | 3,061,048 | 702,482 | 3,403,124 | ||||||||||||
Short-term U.S. government and agency obligations | — | (21,310 | ) | (4,802 | ) | (94,645 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | 697,680 | 3,308,479 | ||||||||||||
Net realized and unrealized gain (loss) | (489,473 | ) | 6,104,867 | (1,755,573 | ) | 9,126,716 | ||||||||||
Net income (loss) | $ | (26,828 | ) | $ | 5,996,944 | $ | (807,376 | ) | $ | 8,916,742 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 59,537,260 | $ | 50,498,084 | $ | 75,113,179 | $ | 54,263,045 | ||||||||
Addition of –, 500,000, 100,000 and 550,000 shares, respectively | — | 14,656,401 | 3,051,886 | 16,028,063 | ||||||||||||
Redemption of 300,000, 300,000, 900,000 and 600,000 shares, respectively | (8,579,131 | ) | (8,881,332 | ) | (26,426,388 | ) | (16,937,753 | ) | ||||||||
Net addition (redemption) of (300,000), 200,000, (800,000) and (50,000) shares, respectively | (8,579,131 | ) | 5,775,069 | (23,374,502 | ) | (909,690 | ) | |||||||||
Net investment income (loss) | 462,645 | (107,923 | ) | 948,197 | (209,974 | ) | ||||||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | (2,453,253 | ) | 5,818,237 | ||||||||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | 697,680 | 3,308,479 | ||||||||||||
Net income (loss) | (26,828 | ) | 5,996,944 | (807,376 | ) | 8,916,742 | ||||||||||
Shareholders’ equity, end of period | $ | 50,931,301 | $ | 62,270,097 | $ | 50,931,301 | $ | 62,270,097 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (807,376 | ) | $ | 8,916,742 | |||
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 | (54,925,175 | ) | (44,986,222 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 95,000,000 | 72,210,974 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (83,003 | ) | (32,410 | ) | ||||
Net realized (gain) loss on investments | — | (210,974 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (697,680 | ) | (3,308,479 | ) | ||||
Decrease (Increase) in interest receivable | (83,135 | ) | (17,256 | ) | ||||
Increase (Decrease) in payable to Sponsor | (21,220 | ) | 6,691 | |||||
Net cash provided by (used in) operating activities | 38,382,411 | 32,579,066 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 3,051,886 | 16,028,063 | ||||||
Payment on shares redeemed | (26,426,388 | ) | (16,937,753 | ) | ||||
Net cash provided by (used in) financing activities | (23,374,502 | ) | (909,690 | ) | ||||
Net increase (decrease) in cash | 15,007,909 | 31,669,376 | ||||||
Cash, beginning of period | 37,531,356 | 7,554,065 | ||||||
Cash, end of period | $ | 52,539,265 | $ | 39,223,441 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 13,595,466 | $ | 12,252,100 | ||||
Segregated cash balances with brokers for futures contracts | 657,360 | 232,313 | ||||||
Segregated cash balances with brokers for swap agreements | 2,476,000 | 3,536,000 | ||||||
Unrealized appreciation on swap agreements | 440,571 | — | ||||||
Receivable on open futures contracts | 40,101 | — | ||||||
Interest receivable | 61,501 | 42,135 | ||||||
Total assets | 17,270,999 | 16,062,548 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 1,445,160 | — | ||||||
Payable on open futures contracts | 2,300 | 700 | ||||||
Payable to Sponsor | 14,161 | 12,854 | ||||||
Unrealized depreciation on swap agreements | — | 592,957 | ||||||
Total liabilities | 1,461,621 | 606,511 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 15,809,378 | 15,456,037 | ||||||
Total liabilities and shareholders’ equity | $ | 17,270,999 | $ | 16,062,548 | ||||
Shares outstanding | 546,977 | 496,977 | ||||||
Net asset value per share | $ | 28.90 | $ | 31.10 | ||||
Market value per share (Note 2) | $ | 28.96 | $ | 30.99 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Gold Futures - COMEX, expires August 2023 | 79 | $ | 15,242,260 | $ | 970,805 |
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 | % | 07/06/23 | $ | (3,783,471 | ) | $ | 101,527 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 07/06/23 | (4,958,670 | ) | 133,231 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 07/06/23 | (7,669,707 | ) | 205,813 | |||||||||||
Total Unrealized Appreciation | | $ | 440,571 | |||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of June 30, 2023, 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. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 184,052 | $ | 19,975 | $ | 316,614 | $ | 29,660 | ||||||||
Expenses | ||||||||||||||||
Management fee | 42,869 | 75,676 | 79,242 | 141,814 | ||||||||||||
Brokerage commissions | 1,605 | 2,985 | 2,966 | 5,796 | ||||||||||||
Futures account fees | — | 580 | — | 2,446 | ||||||||||||
Total expenses | 44,474 | 79,241 | 82,208 | 150,056 | ||||||||||||
Net investment income (loss) | 139,578 | (59,266 | ) | 234,406 | (120,396 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (562,109 | ) | 1,310,720 | (676,159 | ) | (680,529 | ) | |||||||||
Swap agreements | (991,042 | ) | 3,247,150 | (1,907,873 | ) | (1,070,274 | ) | |||||||||
Short-term U.S. government and agency obligations | — | — | — | 4 | ||||||||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | (2,584,032 | ) | (1,750,799 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 1,132,962 | 485,575 | 1,069,691 | 653,483 | ||||||||||||
Swap agreements | 1,625,959 | (187,339 | ) | 1,033,528 | 1,714,101 | |||||||||||
Short-term U.S. government and agency obligations | — | (8,285 | ) | — | (48,854 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | 2,103,219 | 2,318,730 | ||||||||||||
Net realized and unrealized gain (loss) | 1,205,770 | 4,847,821 | (480,813 | ) | 567,931 | |||||||||||
Net income (loss) | $ | 1,345,348 | $ | 4,788,555 | $ | (246,407 | ) | $ | 447,535 | |||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 16,049,273 | $ | 32,598,451 | $ | 15,456,037 | $ | 26,859,844 | ||||||||
Addition of 300,000, 700,000, 600,000 and 1,150,000 shares, respectively | 7,934,073 | 20,554,617 | 16,298,343 | 33,744,566 | ||||||||||||
Redemption of 350,000, 800,000, 550,000 and 900,000 shares, respectively | (9,519,316 | ) | (23,330,339 | ) | (15,698,595 | ) | (26,440,661 | ) | ||||||||
Net addition (redemption) of (50,000), (100,000), 50,000 and 250,000 shares, respectively | (1,585,243 | ) | (2,775,722 | ) | 599,748 | 7,303,905 | ||||||||||
Net investment income (loss) | 139,578 | (59,266 | ) | 234,406 | (120,396 | ) | ||||||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | (2,584,032 | ) | (1,750,799 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | 2,103,219 | 2,318,730 | ||||||||||||
Net income (loss) | 1,345,348 | 4,788,555 | (246,407 | ) | 447,535 | |||||||||||
Shareholders’ equity, end of period | $ | 15,809,378 | $ | 34,611,284 | $ | 15,809,378 | $ | 34,611,284 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (246,407 | ) | $ | 447,535 | |||
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 | — | (17,987,491 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 29,999,990 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | — | (21,000 | ) | |||||
Net realized (gain) loss on investments | — | (4 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (1,033,528 | ) | (1,665,247 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (40,101 | ) | (5,100 | ) | ||||
Decrease (Increase) in interest receivable | (19,366 | ) | (6,385 | ) | ||||
Increase (Decrease) in payable to Sponsor | 1,307 | (1,526 | ) | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (294 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 1,600 | (77,583 | ) | |||||
Net cash provided by (used in) operating activities | (1,336,495 | ) | 10,682,895 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 16,298,343 | 32,164,882 | ||||||
Payment on shares redeemed | (14,253,435 | ) | (26,440,661 | ) | ||||
Net cash provided by (used in) financing activities | 2,044,908 | 5,724,221 | ||||||
Net increase (decrease) in cash | 708,413 | 16,407,116 | ||||||
Cash, beginning of period | 16,020,413 | 1,990,354 | ||||||
Cash, end of period | $ | 16,728,826 | $ | 18,397,470 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Cash | $ | 12,006,167 | $ | 21,887,346 | ||||
Segregated cash balances with brokers for futures contracts | 1,325,250 | 2,820,937 | ||||||
Segregated cash balances with brokers for swap agreements | 6,881,000 | 7,875,000 | ||||||
Unrealized appreciation on swap agreements | 845,012 | — | ||||||
Receivable from capital shares sold | — | 972,789 | ||||||
Receivable on open futures contracts | 245,272 | 59,575 | ||||||
Interest receivable | 61,813 | 60,480 | ||||||
Total assets | 21,364,514 | 33,676,127 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 2,049,307 | — | ||||||
Payable on open futures contracts | 5,550 | — | ||||||
Payable to Sponsor | 19,184 | 20,705 | ||||||
Unrealized depreciation on swap agreements | — | 1,722,623 | ||||||
Total liabilities | 2,074,041 | 1,743,328 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 19,290,473 | 31,932,799 | ||||||
Total liabilities and shareholders’ equity | $ | 21,364,514 | $ | 33,676,127 | ||||
Shares outstanding | 941,329 | 1,641,329 | ||||||
Net asset value per share | $ | 20.49 | $ | 19.46 | ||||
Market value per share (Note 2) | $ | 20.58 | $ | 19.30 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
Silver Futures - COMEX, expires September 2023 | 139 | $ | 15,998,900 | $ | 958,923 |
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 | % | 07/06/23 | $ | (2,676,258 | ) | $ | 100,100 | ||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | (9,749,240 | ) | 364,653 | |||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 07/06/23 | (7,708,614 | ) | 288,063 | |||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 07/06/23 | (2,464,968 | ) | 92,196 | |||||||||||
Total Unrealized Appreciation | | $ | 845,012 | |||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
* | Reflects the floating financing rate, as of June 30, 2023, 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. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 323,734 | $ | 18,743 | $ | 523,812 | $ | 27,663 | ||||||||
Expenses | ||||||||||||||||
Management fee | 82,417 | 62,381 | 142,585 | 123,334 | ||||||||||||
Brokerage commissions | 8,958 | 6,677 | 14,661 | 11,978 | ||||||||||||
Futures account fees | — | 1,169 | — | 4,443 | ||||||||||||
Total expenses | 91,375 | 70,227 | 157,246 | 139,755 | ||||||||||||
Net investment income (loss) | 232,359 | (51,484 | ) | 366,566 | (112,092 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | 3,460,638 | 5,944,050 | 4,792,636 | 4,650,280 | ||||||||||||
Swap agreements | (2,347,042 | ) | 3,467,182 | (965,417 | ) | (2,612,794 | ) | |||||||||
Short-term U.S. government and agency obligations | (906 | ) | — | (906 | ) | (190 | ) | |||||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | 3,826,313 | 2,037,296 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 1,782,960 | 2,249,743 | 1,899,423 | 1,864,397 | ||||||||||||
Swap agreements | 3,867,334 | 1,599,944 | 2,567,635 | 3,794,452 | ||||||||||||
Short-term U.S. government and agency obligations | — | 3,625 | — | (15,885 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | 4,467,058 | 5,642,964 | ||||||||||||
Net realized and unrealized gain (loss) | 6,762,984 | 13,264,544 | 8,293,371 | 7,680,260 | ||||||||||||
Net income (loss) | $ | 6,995,343 | $ | 13,213,060 | $ | 8,659,937 | $ | 7,568,168 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 20,335,691 | $ | 23,406,516 | $ | 31,932,799 | $ | 26,537,000 | ||||||||
Addition of 2,450,000, 700,000, 3,100,000 and 1,800,000 shares, respectively | 41,523,335 | 17,707,417 | 55,312,875 | 43,267,561 | ||||||||||||
Redemption of 2,600,000, 750,000, 3,800,000 and 1,750,000 shares, respectively | (49,563,896 | ) | (21,274,153 | ) | (76,615,138 | ) | (44,319,889 | ) | ||||||||
Net addition (redemption) of (150,000), (50,000), (700,000) and 50,000 shares, respectively | (8,040,561 | ) | (3,566,736 | ) | (21,302,263 | ) | (1,052,328 | ) | ||||||||
Net investment income (loss) | 232,359 | (51,484 | ) | 366,566 | (112,092 | ) | ||||||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | 3,826,313 | 2,037,296 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | 4,467,058 | 5,642,964 | ||||||||||||
Net income (loss) | 6,995,343 | 13,213,060 | 8,659,937 | 7,568,168 | ||||||||||||
Shareholders’ equity, end of period | $ | 19,290,473 | $ | 33,052,840 | $ | 19,290,473 | $ | 33,052,840 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 8,659,937 | $ | 7,568,168 | ||||
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 | (14,880,254 | ) | (20,979,051 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 14,937,156 | 30,999,081 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (57,808 | ) | (21,212 | ) | ||||
Net realized (gain) loss on investments | 906 | 190 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,567,635 | ) | (3,778,567 | ) | ||||
Decrease (Increase) in receivable on open futures contracts | (185,697 | ) | (176,048 | ) | ||||
Decrease (Increase) in interest receivable | (1,333 | ) | (4,807 | ) | ||||
Increase (Decrease) in payable to Sponsor | (1,521 | ) | (9,072 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | — | (747 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 5,550 | (5,840 | ) | |||||
Net cash provided by (used in) operating activities | 5,909,301 | 13,592,095 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 56,285,664 | 41,679,928 | ||||||
Payment on shares redeemed | (74,565,831 | ) | (44,319,889 | ) | ||||
Net cash provided by (used in) financing activities | (18,280,167 | ) | (2,639,961 | ) | ||||
Net increase (decrease) in cash | (12,370,866 | ) | 10,952,134 | |||||
Cash, beginning of period | 32,583,283 | 5,483,476 | ||||||
Cash, end of period | $ | 20,212,417 | $ | 16,435,610 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively) | $ | — | $ | 22,998,059 | ||||
Cash | 22,448,405 | 451,616 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 2,582,511 | 3,652,511 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,238,472 | 963,369 | ||||||
Interest receivable | 86,880 | 36,071 | ||||||
Total assets | 27,356,268 | 28,101,626 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 2,683,455 | ||||||
Payable to Sponsor | 19,992 | 29,633 | ||||||
Unrealized depreciation on foreign currency forward contracts | 258,620 | 3,990,802 | ||||||
Total liabilities | 278,612 | 6,703,890 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 27,077,656 | 21,397,736 | ||||||
Total liabilities and shareholders’ equity | $ | 27,356,268 | $ | 28,101,626 | ||||
Shares outstanding (Note 1) | 398,580 | 398,580 | ||||||
Net asset value per share (Note 1) | $ | 67.94 | $ | 53.68 | ||||
Market value per share (Note 1) (Note 2) | $ | 67.95 | $ | 53.57 | ||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
Yen with UBS AG | 07/14/23 | 1,228,677,000 | $ | 8,534,862 | $ | (258,620 | ) | |||||||||
Total Unrealized Depreciation | | $ | (258,620 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
Yen with Goldman Sachs International | 07/14/23 | (3,428,392,165 | ) | $ | (23,814,929 | ) | $ | 890,062 | ||||||||
Yen with UBS AG | 07/14/23 | (5,596,567,574 | ) | (38,875,908 | ) | 1,348,410 | ||||||||||
Total Unrealized Appreciation | | $ | 2,238,472 | |||||||||||||
^ | The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 255,354 | $ | 26,913 | $ | 459,554 | $ | 36,312 | ||||||||
Expenses | ||||||||||||||||
Management fee | 58,179 | 93,181 | 108,991 | 153,001 | ||||||||||||
Total expenses | 58,179 | 93,181 | 108,991 | 153,001 | ||||||||||||
Net investment income (loss) | 197,175 | (66,268 | ) | 350,563 | (116,689 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Foreign currency forward contracts | 1,370,771 | 7,917,170 | 342,795 | 8,997,343 | ||||||||||||
Short-term U.S. government and agency obligations | — | — | — | 102,971 | ||||||||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | 342,795 | 9,100,314 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Foreign currency forward contracts | 3,145,023 | (1,364,477 | ) | 5,007,285 | 101,925 | |||||||||||
Short-term U.S. government and agency obligations | — | (3,452 | ) | (2,761 | ) | (31,390 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | 5,004,524 | 70,535 | |||||||||||
Net realized and unrealized gain (loss) | 4,515,794 | 6,549,241 | 5,347,319 | 9,170,849 | ||||||||||||
Net income (loss) | $ | 4,712,969 | $ | 6,482,973 | $ | 5,697,882 | $ | 9,054,160 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 25,111,818 | $ | 27,726,701 | $ | 21,397,736 | $ | 24,840,784 | ||||||||
Addition of 250,000, 650,000, 450,000 and 850,000 shares, respectively (Note 1) | 14,899,838 | 34,515,397 | 26,056,375 | 44,120,719 | ||||||||||||
Redemption of 300,000, 450,000, 450,000 and 650,000 shares, respectively (Note 1) | (17,646,969 | ) | (23,156,189 | ) | (26,074,337 | ) | (32,446,781 | ) | ||||||||
Net addition (redemption) of (50,000), 200,000, – and 200,000 shares, respectively (Note 1) | (2,747,131 | ) | 11,359,208 | (17,962 | ) | 11,673,938 | ||||||||||
Net investment income (loss) | 197,175 | (66,268 | ) | 350,563 | (116,689 | ) | ||||||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | 342,795 | 9,100,314 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | 5,004,524 | 70,535 | |||||||||||
Net income (loss) | 4,712,969 | 6,482,973 | 5,697,882 | 9,054,160 | ||||||||||||
Shareholders’ equity, end of period | $ | 27,077,656 | $ | 45,568,882 | $ | 27,077,656 | $ | 45,568,882 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | 5,697,882 | $ | 9,054,160 | ||||
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 | — | (17,984,733 | ) | |||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,000,000 | 28,102,971 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (4,702 | ) | (20,093 | ) | ||||
Net realized (gain) loss on investments | — | (102,971 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | (5,004,524 | ) | (70,535 | ) | ||||
Decrease (Increase) in interest receivable | (50,809 | ) | (12,261 | ) | ||||
Increase (Decrease) in payable to Sponsor | (9,641 | ) | 11,416 | |||||
Net cash provided by (used in) operating activities | 23,628,206 | 18,977,954 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 26,056,375 | 44,120,719 | ||||||
Payment on shares redeemed | (28,757,792 | ) | (32,446,781 | ) | ||||
Net cash provided by (used in) financing activities | (2,701,417 | ) | 11,673,938 | |||||
Net increase (decrease) in cash | 20,926,789 | 30,651,892 | ||||||
Cash, beginning of period | 4,104,127 | 3,003,251 | ||||||
Cash, end of period | $ | 25,030,916 | $ | 33,655,143 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively) | $ | — | $ | 49,882,348 | ||||
Cash | 42,134,389 | 19,575,939 | ||||||
Segregated cash balances with brokers for futures contracts | 8,099,770 | 14,384,050 | ||||||
Receivable on open futures contracts | — | 142,794 | ||||||
Interest receivable | 189,748 | 88,180 | ||||||
Total assets | 50,423,907 | 84,073,311 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 962,275 | — | ||||||
Brokerage commissions and futures account fees payable | 4,683 | 3,688 | ||||||
Payable to Sponsor | 35,536 | 54,664 | ||||||
Total liabilities | 1,002,494 | 58,352 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 49,421,413 | 84,014,959 | ||||||
Total liabilities and shareholders’ equity | $ | 50,423,907 | $ | 84,073,311 | ||||
Shares outstanding | 2,412,403 | 2,762,403 | ||||||
Net asset value per share | $ | 20.49 | $ | 30.41 | ||||
Market value per share (Note 2) | $ | 20.48 | $ | 30.36 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires October 2023 | 501 | $ | 9,192,799 | $ | (2,627,316 | ) | ||||||
VIX Futures - Cboe, expires November 2023 | 865 | 16,305,250 | (4,252,873 | ) | ||||||||
VIX Futures - Cboe, expires December 2023 | 865 | 16,564,750 | (2,707,689 | ) | ||||||||
VIX Futures - Cboe, expires January 2024 | 364 | 7,352,800 | (290,336 | ) | ||||||||
$ | (9,878,214 | ) | ||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 650,585 | $ | 52,826 | $ | 1,298,505 | $ | 76,749 | ||||||||
Expenses | ||||||||||||||||
Management fee | 134,066 | 210,584 | 284,189 | 426,247 | ||||||||||||
Brokerage commissions | 12,200 | 15,500 | 21,369 | 40,369 | ||||||||||||
Futures account fees | 11,856 | 10,906 | 23,296 | 46,394 | ||||||||||||
Total expenses | 158,122 | 236,990 | 328,854 | 513,010 | ||||||||||||
Net investment income (loss) | 492,463 | (184,164 | ) | 969,651 | (436,261 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,885 | ||||||||||
Short-term U.S. government and agency obligations | — | — | — | (336 | ) | |||||||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,549 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (9,677,526 | ) | 4,040,230 | (5,086,991 | ) | 3,705,055 | ||||||||||
Short-term U.S. government and agency obligations | 2,424 | (47,560 | ) | (5,651 | ) | (186,220 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | (5,092,642 | ) | 3,518,835 | ||||||||||
Net realized and unrealized gain (loss) | (16,618,435 | ) | 11,854,722 | (27,856,695 | ) | 16,172,384 | ||||||||||
Net income (loss) | $ | (16,125,972 | ) | $ | 11,670,558 | $ | (26,887,044 | ) | $ | 15,736,123 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 67,306,087 | $ | 97,869,914 | $ | 84,014,959 | $ | 112,875,680 | ||||||||
Addition of 575,000, 300,000, 850,000 and 1,000,000 shares, respectively | 14,067,422 | 10,043,451 | 21,818,758 | 32,179,053 | ||||||||||||
Redemption of 675,000, 700,000, 1,200,000 and 1,975,000 shares, respectively | (15,826,124 | ) | (23,862,652 | ) | (29,525,260 | ) | (65,069,585 | ) | ||||||||
Net addition (redemption) of (100,000), (400,000), (350,000) and (975,000) shares, respectively | (1,758,702 | ) | (13,819,201 | ) | (7,706,502 | ) | (32,890,532 | ) | ||||||||
Net investment income (loss) | 492,463 | (184,164 | ) | 969,651 | (436,261 | ) | ||||||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | (22,764,053 | ) | 12,653,549 | ||||||||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | (5,092,642 | ) | 3,518,835 | ||||||||||
Net income (loss) | (16,125,972 | ) | 11,670,558 | (26,887,044 | ) | 15,736,123 | ||||||||||
Shareholders’ equity, end of period | $ | 49,421,413 | $ | 95,721,271 | $ | 49,421,413 | $ | 95,721,271 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (26,887,044 | ) | $ | 15,736,123 | |||
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 | (254,817,825 | ) | (51,992,010 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 305,000,000 | 105,998,548 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (305,478 | ) | (45,127 | ) | ||||
Net realized (gain) loss on investments | — | 336 | ||||||
Change in unrealized (appreciation) depreciation on investments | 5,651 | 186,220 | ||||||
Decrease (Increase) in receivable on open futures contracts | 142,794 | (752,378 | ) | |||||
Decrease (Increase) in interest receivable | (101,568 | ) | (21,835 | ) | ||||
Increase (Decrease) in payable to Sponsor | (19,128 | ) | (20,792 | ) | ||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 995 | (7,124 | ) | |||||
Increase (Decrease) in payable on open futures contracts | 962,275 | (94,495 | ) | |||||
Net cash provided by (used in) operating activities | 23,980,672 | 68,987,466 | ||||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 21,818,758 | 32,179,053 | ||||||
Payment on shares redeemed | (29,525,260 | ) | (65,069,585 | ) | ||||
Net cash provided by (used in) financing activities | (7,706,502 | ) | (32,890,532 | ) | ||||
Net increase (decrease) in cash | 16,274,170 | 36,096,934 | ||||||
Cash, beginning of period | 33,959,989 | 27,071,819 | ||||||
Cash, end of period | $ | 50,234,159 | $ | 63,168,753 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $74,762,717 and $89,329,814, respectively) | $ | 74,783,454 | $ | 89,347,714 | ||||
Cash | 50,424,148 | 33,526,868 | ||||||
Segregated cash balances with brokers for futures contracts | 88,397,850 | 91,634,942 | ||||||
Receivable on open futures contracts | 18,506,138 | 52,643,553 | ||||||
Interest receivable | 385,471 | 403,667 | ||||||
Total assets | 232,497,061 | 267,556,744 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | — | 570,473 | ||||||
Payable on open futures contracts | 2,131,494 | 223,719 | ||||||
Brokerage commissions and futures account fees payable | 19,141 | 27,102 | ||||||
Payable to Sponsor | 118,596 | 155,130 | ||||||
Total liabilities | 2,269,231 | 976,424 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 230,227,830 | 266,580,320 | ||||||
Total liabilities and shareholders’ equity | $ | 232,497,061 | $ | 267,556,744 | ||||
Shares outstanding (Note 1) | 9,226,565 | 4,676,565 | ||||||
Net asset value per share (Note 1) | $ | 24.95 | $ | 57.00 | ||||
Market value per share (Note 1) (Note 2) | $ | 24.96 | $ | 56.90 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
(32% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
4.959% due 07/13/23 | $ | 15,000,000 | $ | 14,978,937 | ||||
5.242% due 07/18/23 | 25,000,000 | 24,947,395 | ||||||
5.251% due 07/25/23 | 20,000,000 | 19,938,584 | ||||||
5.161% due 08/10/23 | 15,000,000 | 14,918,538 | ||||||
Total short-term U.S. government and agency obligations | ||||||||
(cost $74,762,717) | $ | 74,783,454 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/ Value | ||||||||||
VIX Futures - Cboe, expires July 2023 | 8,545 | $ | 128,268,995 | $ | (26,123,108 | ) | ||||||
VIX Futures - Cboe, expires August 2023 | 6,216 | 101,944,265 | (3,849,779 | ) | ||||||||
$ | (29,972,887 | ) | ||||||||||
^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 2,440,291 | $ | 207,903 | $ | 4,560,852 | $ | 278,612 | ||||||||
Expenses | ||||||||||||||||
Management fee | 530,826 | 773,717 | 1,048,314 | 1,479,408 | ||||||||||||
Brokerage commissions | 95,391 | 171,182 | 191,888 | 287,656 | ||||||||||||
Futures account fees | 48,732 | 115,783 | 99,391 | 316,440 | ||||||||||||
Total expenses | 674,949 | 1,060,682 | 1,339,593 | 2,083,504 | ||||||||||||
Net investment income (loss) | 1,765,342 | (852,779 | ) | 3,221,259 | (1,804,892 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (127,229,299 | ) | 23,659,182 | (173,326,001 | ) | 77,393,309 | ||||||||||
Short-term U.S. government and agency obligations | (10,613 | ) | (397 | ) | (10,605 | ) | (300 | ) | ||||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | (173,336,606 | ) | 77,393,009 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | (21,324,056 | ) | 46,680,364 | (20,176,064 | ) | 33,506,046 | ||||||||||
Short-term U.S. government and agency obligations | 20,803 | (79,587 | ) | 2,837 | (353,650 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | (20,173,227 | ) | 33,152,396 | ||||||||||
Net realized and unrealized gain (loss) | (148,543,165 | ) | 70,259,562 | (193,509,833 | ) | 110,545,405 | ||||||||||
Net income (loss) | $ | (146,777,823 | ) | $ | 69,406,783 | $ | (190,288,574 | ) | $ | 108,740,513 | ||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 226,765,204 | $ | 404,950,400 | $ | 266,580,320 | $ | 269,703,164 | ||||||||
Addition of 4,460,000, 1,635,000, 6,760,000 and 3,625,000 shares, respectively (Note 1) | 159,301,302 | 141,195,554 | 267,768,654 | 302,368,469 | ||||||||||||
Redemption of 255,000, 2,760,000, 2,210,000 and 3,440,000 shares, respectively (Note 1) | (9,060,853 | ) | (273,838,421 | ) | (113,832,570 | ) | (339,097,830 | ) | ||||||||
Net addition (redemption) of 4,205,000, (1,125,000), 4,550,000 and 185,000 shares, respectively (Note 1) | 150,240,449 | (132,642,867 | ) | 153,936,084 | (36,729,361 | ) | ||||||||||
Net investment income (loss) | 1,765,342 | (852,779 | ) | 3,221,259 | (1,804,892 | ) | ||||||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | (173,336,606 | ) | 77,393,009 | ||||||||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | (20,173,227 | ) | 33,152,396 | ||||||||||
Net income (loss) | (146,777,823 | ) | 69,406,783 | (190,288,574 | ) | 108,740,513 | ||||||||||
Shareholders’ equity, end of period | $ | 230,227,830 | $ | 341,714,316 | $ | 230,227,830 | $ | 341,714,316 | ||||||||
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (190,288,574 | ) | $ | 108,740,513 | |||
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 | (318,231,573 | ) | (772,834,858 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 334,754,108 | 753,998,870 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (1,966,043 | ) | (182,283 | ) | ||||
Net realized (gain) loss on investments | 10,605 | 300 | ||||||
Change in unrealized (appreciation) depreciation on investments | (2,837 | ) | 353,650 | |||||
Decrease (Increase) in receivable on open futures contracts | 34,137,415 | (36,332,848 | ) | |||||
Decrease (Increase) in interest receivable | 18,196 | (70,359 | ) | |||||
Increase (Decrease) in payable to Sponsor | (36,534 | ) | 32,486 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (7,961 | ) | (20,252 | ) | ||||
Increase (Decrease) in payable on open futures contracts | 1,907,775 | (2,037,391 | ) | |||||
Net cash provided by (used in) operating activities | (139,705,423 | ) | 51,647,828 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 267,768,654 | 305,395,083 | ||||||
Payment on shares redeemed | (114,403,043 | ) | (339,097,830 | ) | ||||
Net cash provided by (used in) financing activities | 153,365,611 | (33,702,747 | ) | |||||
Net increase (decrease) in cash | 13,660,188 | 17,945,081 | ||||||
Cash, beginning of period | 125,161,810 | 115,960,816 | ||||||
Cash, end of period | $ | 138,821,998 | $ | 133,905,897 | ||||
June 30, 2023 (unaudited) | December 31, 2022 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $1,345,727,038 and $1,466,423,925, respectively) | $ | 1,346,032,901 | $ | 1,466,680,542 | ||||
Cash | 768,092,274 | 625,964,378 | ||||||
Segregated cash balances with brokers for futures contracts | 1,011,816,684 | 925,792,861 | ||||||
Segregated cash balances with brokers for foreign currency forward contracts | 12,206,632 | 12,956,632 | ||||||
Segregated cash balances with brokers for swap agreements | 393,762,745 | 262,053,745 | ||||||
Unrealized appreciation on swap agreements | 47,373,840 | 119,880,255 | ||||||
Unrealized appreciation on foreign currency forward contracts | 2,527,851 | 2,823,510 | ||||||
Receivable from capital shares sold | 5,314,437 | 1,014,483 | ||||||
Receivable on open futures contracts | 236,446,947 | 522,770,291 | ||||||
Interest receivable | 5,319,549 | 4,920,772 | ||||||
Total assets | 3,828,893,860 | 3,944,857,469 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable for capital shares redeemed | 27,830,318 | 32,725,077 | ||||||
Payable on open futures contracts | 14,433,430 | 11,742,794 | ||||||
Brokerage commissions and futures account fees payable | 166,633 | 165,165 | ||||||
Payable to Sponsor | 2,902,544 | 3,210,113 | ||||||
Unrealized depreciation on swap agreements | 26,790,686 | 2,315,580 | ||||||
Unrealized depreciation on foreign currency forward contracts | 2,924,712 | 6,911,994 | ||||||
Total liabilities | 75,048,323 | 57,070,723 | ||||||
Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 3,753,845,537 | 3,887,786,746 | ||||||
Total liabilities and shareholders’ equity | $ | 3,828,893,860 | $ | 3,944,857,469 | ||||
Shares outstanding (Note 1) | 111,471,547 | 89,444,047 | ||||||
Three Months Ended March 31, | ||||||||
2023 | 2022* | |||||||
Investment Income | ||||||||
Interest | $ | 33,875,375 | $ | 1,026,882 | ||||
Expenses | ||||||||
Management fee | 9,254,328 | 10,616,957 | ||||||
Brokerage commissions | 2,374,632 | 1,908,765 | ||||||
Futures account fees | 402,762 | 1,804,923 | ||||||
Total expenses | 12,031,722 | 14,330,645 | ||||||
Net investment income (loss) | 21,843,653 | (13,303,763 | ) | |||||
Realized and unrealized gain (loss) on investment activity | ||||||||
Net realized gain (loss) on | ||||||||
Futures contracts | (1,085,860,567 | ) | 408,448,775 | |||||
Swap agreements | 90,224,693 | 705,182,989 | ||||||
Foreign currency forward contracts | (2,453,816 | ) | 3,062,506 | |||||
Short-term U.S. government and agency obligations | (13,530 | ) | 227,575 | |||||
Net realized gain (loss) | (998,103,220 | ) | 1,116,921,845 | |||||
Change in net unrealized appreciation (depreciation) on | ||||||||
Futures contracts | (32,561,423 | ) | 52,639,066 | |||||
Swap agreements | (150,345,998 | ) | (268,832,355 | ) | ||||
Foreign currency forward contracts | 1,417,263 | 1,536,969 | ||||||
Short-term U.S. government and agency obligations | (217,091 | ) | (3,257,507 | ) | ||||
Change in net unrealized appreciation (depreciation) | (181,707,249 | ) | (217,913,827 | ) | ||||
Net realized and unrealized gain (loss) | (1,179,810,469 | ) | 899,008,018 | |||||
Net income (loss) | $ | (1,157,966,816 | ) | $ | 885,704,255 | |||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022* | 2023 | 2022* | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 35,172,821 | $ | 3,593,473 | $ | 69,048,196 | $ | 4,620,355 | ||||||||
Expenses | ||||||||||||||||
Management fee | 9,417,542 | 11,608,051 | 18,671,870 | 22,225,008 | ||||||||||||
Brokerage commissions | 2,541,487 | 1,894,153 | 4,916,119 | 3,802,918 | ||||||||||||
Futures account fees | 426,130 | 1,030,206 | 828,892 | 2,835,129 | ||||||||||||
Total expenses | 12,385,159 | 14,532,410 | 24,416,881 | 28,863,055 | ||||||||||||
Net investment income (loss) | 22,787,662 | (10,938,937 | ) | 44,631,315 | (24,242,700 | ) | ||||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
Futures contracts | (903,140,314 | ) | 101,692,223 | (1,989,000,881 | ) | 510,140,998 | ||||||||||
Swap agreements | (127,144,869 | ) | (48,816,783 | ) | (36,920,176 | ) | 656,366,206 | |||||||||
Foreign currency forward contracts | (367,022 | ) | 9,774,456 | (2,820,838 | ) | 12,836,962 | ||||||||||
Short-term U.S. government and agency obligations | (182,341 | ) | (420,375 | ) | (195,871 | ) | (192,800 | ) | ||||||||
Net realized gain (loss) | (1,030,834,546 | ) | 62,229,521 | (2,028,937,766 | ) | 1,179,151,366 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
Futures contracts | 370,415,259 | 10,131,053 | 337,853,836 | 62,770,119 | ||||||||||||
Swap agreements | 53,364,477 | (57,491,778 | ) | (96,981,521 | ) | (326,324,133 | ) | |||||||||
Foreign currency forward contracts | 2,274,360 | 1,568,995 | 3,691,623 | 3,105,964 | ||||||||||||
Short-term U.S. government and agency obligations | 266,337 | (768,379 | ) | 49,246 | (4,025,886 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 426,320,433 | (46,560,109 | ) | 244,613,184 | (264,473,936 | ) | ||||||||||
Net realized and unrealized gain (loss) | (604,514,113 | ) | 15,669,412 | (1,784,324,582 | ) | 914,677,430 | ||||||||||
Net income (loss) | $ | (581,726,451 | ) | $ | 4,730,475 | $ | (1,739,693,267 | ) | $ | 890,434,730 | ||||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Three Months Ended March 31, | ||||||||
2023 | 2022* | |||||||
Shareholders’ equity, beginning of period | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||
Addition of 512,825,000 and 132,610,000 shares, respectively (Note 1) | 4,125,870,321 | 3,082,800,285 | ||||||
Redemption of 217,550,000 and 111,335,123 shares, respectively (Note 1) | (2,717,059,358 | ) | (2,803,912,313 | ) | ||||
Net addition (redemption) of 295,275,000 and 21,274,877 shares, respectively (Note 1) | 1,408,810,963 | 278,887,972 | ||||||
Net investment income (loss) | 21,843,653 | (13,303,763 | ) | |||||
Net realized gain (loss) | (998,103,220 | ) | 1,116,921,845 | |||||
Change in net unrealized appreciation (depreciation) | (181,707,249 | ) | (217,913,827 | ) | ||||
Net income (loss) | (1,157,966,816 | ) | 885,704,255 | |||||
Shareholders’ equity, end of period | $ | 4,138,630,893 | $ | 5,338,066,570 | ||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022* | 2023 | 2022* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 4,138,630,893 | $ | 5,338,066,570 | $ | 3,887,786,746 | $ | 4,173,474,343 | ||||||||
Addition of 64,617,500, 46,420,000, 132,435,000 and 93,810,000 shares, respectively (Note 1) | 2,534,087,735 | 2,545,986,476 | 6,659,958,056 | 5,628,786,761 | ||||||||||||
Redemption of 53,005,000, 51,800,804, 110,407,500 and 94,335,926 shares, respectively (Note 1) | (2,337,146,640 | ) | (3,325,413,745 | ) | (5,054,205,998 | ) | (6,129,326,058 | ) | ||||||||
Net addition (redemption) of 11,612,500, (5,380,804 ), 22,027,500 and (525,926) shares, respectively (Note 1) | 196,941,095 | (779,427,269 | ) | 1,605,752,058 | (500,539,297 | ) | ||||||||||
Net investment income (loss) | 22,787,662 | (10,938,937 | ) | 44,631,315 | (24,242,700 | ) | ||||||||||
Net realized gain (loss) | (1,030,834,546 | ) | 62,229,521 | (2,028,937,766 | ) | 1,179,151,366 | ||||||||||
Change in net unrealized appreciation (depreciation) | 426,320,433 | (46,560,109 | ) | 244,613,184 | (264,473,936 | ) | ||||||||||
Net income (loss) | (581,726,451 | ) | 4,730,475 | (1,739,693,267 | ) | 890,434,730 | ||||||||||
Shareholders’ equity, end of period | $ | 3,753,845,537 | $ | 4,563,369,776 | $ | 3,753,845,537 | $ | 4,563,369,776 | ||||||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Three Months Ended March 31, | ||||||||
2023 | 2022* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,157,966,816 | ) | $ | 885,704,255 | |||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
Purchases of short-term U.S. government and agency obligations | (18,561,204,980 | ) | (3,797,102,540 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 18,914,616,336 | 3,431,442,943 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (15,486,607 | ) | (1,049,820 | ) | ||||
Net realized (gain) loss on investments | 13,530 | (227,575 | ) | |||||
Change in unrealized (appreciation) depreciation on investments | 149,145,826 | 270,552,893 | ||||||
Decrease (Increase) in securities sold receivable | — | (6,195,418 | ) | |||||
Decrease (Increase) in receivable on futures contracts | 85,542,272 | (378,744,093 | ) | |||||
Decrease (Increase) in interest receivable | (1,775,294 | ) | 22,942 | |||||
Increase (Decrease) in payable to Sponsor | 19,076 | 876,923 | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable | (8,695 | ) | 112,745 | |||||
Increase (Decrease) in payable on futures contracts | 9,174,527 | 5,526,212 | ||||||
Net cash provided by (used in) operating activities | (577,930,825 | ) | 410,919,467 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 4,047,735,876 | 3,059,813,655 | ||||||
Payment on shares redeemed | (2,662,086,765 | ) | (2,796,612,911 | ) | ||||
Net cash provided by (used in) financing activities | 1,385,649,111 | 263,200,744 | ||||||
Net increase (decrease) in cash | 807,718,286 | 674,120,211 | ||||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | ||||||
Cash, end of period | $ | 2,634,485,902 | $ | 2,082,821,449 | ||||
Six Months Ended June 30, | ||||||||
2023 | 2022* | |||||||
Cash flow from operating activities | ||||||||
Net income (loss) | $ | (1,739,693,267 | ) | $ | 890,434,730 | |||
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 | (23,583,170,670 | ) | (11,579,158,324 | ) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations | 23,734,747,679 | 12,000,836,596 | ||||||
Net amortization and accretion on short-term U.S. government and agency obligations | (31,075,993 | ) | (3,419,714 | ) | ||||
Net realized (gain) loss on investments | 195,871 | 192,879 | ||||||
Change in unrealized (appreciation) depreciation on investments | 93,240,652 | 327,244,055 | ||||||
Decrease (Increase) in receivable on futures contracts | 286,323,344 | (318,333,532 | ) | |||||
Decrease (Increase) in interest receivable | (398,777 | ) | (872,124 | ) | ||||
Increase (Decrease) in payable to Sponsor | (307,569 | ) | 557,811 | |||||
Increase (Decrease) in brokerage commissions and futures account fees payable | 1,468 | (331,006 | ) | |||||
Increase (Decrease) in payable on futures contracts | 2,690,636 | 25,823,690 | ||||||
Net cash provided by (used in) operating activities | (1,237,446,626 | ) | 1,342,975,061 | |||||
Cash flow from financing activities | ||||||||
Proceeds from addition of shares | 6,655,658,102 | 5,625,888,021 | ||||||
Payment on shares redeemed | (5,059,100,757 | ) | (6,100,935,295 | ) | ||||
Net cash provided by (used in) financing activities | 1,596,557,345 | (475,047,274 | ) | |||||
Net increase (decrease) in cash | 359,110,719 | 867,927,787 | ||||||
Cash, beginning of period | 1,826,767,616 | 1,408,701,238 | ||||||
Cash, end of period | $ | 2,185,878,335 | $ | 2,276,629,025 | ||||
* | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Fund | Execution Date (Prior to Opening of Trading) | Type of Split | Date Trading Resumed at Post- Split Price | |||||
ProShares UltraShort Bloomberg Natural Gas | January 13, 2022 | 1-for-5 | January 14, 2022 | |||||
ProShares UltraShort Yen | May 25, 2022 | 2-for-1 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Crude Oil | May 25, 2022 | 4-for-1 | May 26, 2022 | |||||
ProShares UltraShort Bloomberg Natural Gas | May 25, 2022 | 1-for-4 | May 26, 2022 | |||||
ProShares UltraShort Bloomberg Crude Oil | May 25, 2022 | 1-for-5 | May 26, 2022 | |||||
ProShares Ultra Bloomberg Natural Gas | June 23, 2023 | 1-for-20 reverse Share split | June 24, 2023 | |||||
ProShares Ultra VIX Short-Term Futures | June 23, 2023 | 1-for-10 reverse Share split | June 24, 2023 | |||||
ProShares VIX Short-Term Futures | June 23, 2023 | 1-for-5 reverse Share split | June 24, 2023 |
Fund | Create/Redeem Cut-off* | NAV Calculation Time | NAV Calculation Date | |||
Ultra Silver and UltraShort Silver | 1:00 p.m. | 1:25 p.m. | ||||
Ultra Gold and UltraShort Gold | 1:00 p.m. | 1:30 p.m. | ||||
Ultra Bloomberg Crude Oil, | ||||||
Ultra Bloomberg Natural Gas, | ||||||
UltraShort Bloomberg Crude Oil and | ||||||
UltraShort Bloomberg Natural Gas | 2:00 p.m. | 2:30 p.m. | ||||
Ultra Euro, | ||||||
Ultra Yen, | ||||||
UltraShort Euro and | ||||||
UltraShort Yen | 3:00 p.m. | 4:00 p.m. | ||||
Short VIX Short-Term Futures ETF, | ||||||
Ultra VIX Short-Term Futures ETF, | ||||||
VIX Mid-Term Futures ETF and | ||||||
VIX Short-Term Futures ETF | 2:00 p.m. | 4:00 p.m. |
* | 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 |
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 VIX Short-Term Futures ETF | $ | 94,860,624 | $ | 14,271,188 | $ | — | $ | — | $ | 109,131,812 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 199,701,685 | 29,494,163 | — | (67,202,386 | ) | 161,993,462 | ||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 299,709,730 | (324,515,287 | ) | — | (39,088,319 | ) | (63,893,876 | ) | ||||||||||||
ProShares Ultra Euro | — | — | 318,711 | — | 318,711 | |||||||||||||||
ProShares Ultra Gold | 94,860,624 | 5,096,411 | — | 15,353,259 | 115,310,294 | |||||||||||||||
ProShares Ultra Silver | 149,798,740 | 28,674,611 | — | 62,363,833 | 240,837,184 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 69,863,821 | (34,509,203 | ) | — | — | 35,354,618 | ||||||||||||||
ProShares Ultra Yen | — | — | 490,482 | — | 490,482 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 44,957,679 | 21,216,008 | — | — | 66,173,687 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 24,996,803 | 40,936,595 | — | — | 65,933,398 | |||||||||||||||
ProShares UltraShort Euro | — | — | (2,315,243 | ) | — | (2,315,243 | ) | |||||||||||||
ProShares UltraShort Gold | — | (162,157 | ) | — | (1,185,388 | ) | (1,347,545 | ) | ||||||||||||
ProShares UltraShort Silver | — | (824,037 | ) | — | (3,022,322 | ) | (3,846,359 | ) | ||||||||||||
ProShares UltraShort Yen | — | — | (1,165,171 | ) | — | (1,165,171 | ) | |||||||||||||
ProShares VIX Mid-Term Futures ETF | 44,934,404 | (200,688 | ) | — | — | 44,733,716 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 104,841,062 | (8,648,831 | ) | — | — | 96,192,231 | ||||||||||||||
Combined Trust: | $ | 1,128,525,172 | $ | (229,171,227 | ) | $ | (2,671,221 | ) | $ | (32,781,323 | ) | $ | 863,901,401 |
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 VIX Short-Term Futures ETF | $ | 89,727,034 | $ | 23,929,205 | $ | — | $ | — | $ | 113,656,239 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 413,997,952 | 9,418,306 | — | (1,692,241 | ) | 421,724,017 | ||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 298,783,390 | 248,335,437 | — | 46,088,257 | 593,207,084 | |||||||||||||||
ProShares Ultra Euro | — | — | 239,688 | — | 239,688 | |||||||||||||||
ProShares Ultra Gold | 134,714,723 | (5,385,731 | ) | — | (7,053,083 | ) | 122,275,909 | |||||||||||||
ProShares Ultra Silver | 224,344,440 | (9,977,916 | ) | — | (18,045,362 | ) | 196,321,162 | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | (79,829,720 | ) | — | — | (79,829,720 | ) | |||||||||||||
ProShares Ultra Yen | — | — | (857,627 | ) | — | (857,627 | ) | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 74,852,080 | 12,986,156 | — | — | 87,838,236 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 34,829,828 | (20,310,332 | ) | — | — | 14,519,496 | ||||||||||||||
ProShares UltraShort Euro | — | — | (1,758,774 | ) | — | (1,758,774 | ) | |||||||||||||
ProShares UltraShort Gold | — | 970,805 | — | 440,571 | 1,411,376 | |||||||||||||||
ProShares UltraShort Silver | — | 958,923 | — | 845,012 | 1,803,935 | |||||||||||||||
ProShares UltraShort Yen | — | — | 1,979,852 | — | 1,979,852 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | — | (9,878,214 | ) | — | — | (9,878,214 | ) | |||||||||||||
ProShares VIX Short-Term Futures ETF | 74,783,454 | (29,972,887 | ) | — | — | 44,810,567 | ||||||||||||||
Combined Trust: | $ | 1,346,032,901 | $ | 141,244,032 | $ | (396,861 | ) | $ | 20,583,154 | $ | 1,507,463,226 |
* | 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. |
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 VIX Short-Term Futures ETF | $ | 144,307,676 | $ | 11,092,381 | $ | — | $ | — | $ | 155,400,057 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 313,465,007 | 26,291,716 | — | 74,159,577 | 413,916,300 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 263,260,158 | (310,613,969 | ) | — | — | (47,353,811 | ) | |||||||||||||
ProShares Ultra Euro | — | — | 415,656 | — | 415,656 | |||||||||||||||
ProShares Ultra Gold | 129,123,489 | 3,242,088 | — | 6,496,466 | 138,862,043 | |||||||||||||||
ProShares Ultra Silver | 228,657,634 | 29,426,574 | — | 39,224,212 | 297,308,420 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 34,732,372 | (36,555,453 | ) | — | — | (1,823,081 | ) | |||||||||||||
ProShares Ultra Yen | — | — | 984,549 | — | 984,549 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 89,426,935 | 10,244,893 | — | — | 99,671,828 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 61,482,526 | 85,889,398 | — | — | 147,371,924 | |||||||||||||||
ProShares UltraShort Euro | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | ||||||||||||||
ProShares UltraShort Gold | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | ||||||||||||
ProShares UltraShort Silver | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | ||||||||||||
ProShares UltraShort Yen | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | ||||||||||||||
ProShares VIX Mid-Term Futures ETF | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 89,347,714 | (9,796,823 | ) | — | — | 79,550,891 | ||||||||||||||
Combined Trust: | $ | 1,466,680,542 | $ | (196,609,804 | ) | $ | (4,088,484 | ) | $ | 117,564,675 | $ | 1,383,546,929 |
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 VIX Short-Term Futures ETF | $ | 144,307,676 | $ | 11,092,381 | $ | — | $ | — | $ | 155,400,057 | ||||||||||
ProShares Ultra Bloomberg Crude Oil | 313,465,007 | 26,291,716 | — | 74,159,577 | 413,916,300 | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 263,260,158 | (310,613,969 | ) | — | — | (47,353,811 | ) |
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 Ultra Euro | $ | — | $ | — | $ | 415,656 | $ | — | $ | 415,656 | ||||||||||
ProShares Ultra Gold | 129,123,489 | 3,242,088 | — | 6,496,466 | 138,862,043 | |||||||||||||||
ProShares Ultra Silver | 228,657,634 | 29,426,574 | — | 39,224,212 | 297,308,420 | |||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 34,732,372 | (36,555,453 | ) | — | — | (1,823,081 | ) | |||||||||||||
ProShares Ultra Yen | — | — | 984,549 | — | 984,549 | |||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 89,426,935 | 10,244,893 | — | — | 99,671,828 | |||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 61,482,526 | 85,889,398 | — | — | 147,371,924 | |||||||||||||||
ProShares UltraShort Euro | 39,996,624 | — | (2,461,256 | ) | — | 37,535,368 | ||||||||||||||
ProShares UltraShort Gold | — | (98,886 | ) | — | (592,957 | ) | (691,843 | ) | ||||||||||||
ProShares UltraShort Silver | — | (940,500 | ) | — | (1,722,623 | ) | (2,663,123 | ) | ||||||||||||
ProShares UltraShort Yen | 22,998,059 | — | (3,027,433 | ) | — | 19,970,626 | ||||||||||||||
ProShares VIX Mid-Term Futures ETF | 49,882,348 | (4,791,223 | ) | — | — | 45,091,125 | ||||||||||||||
ProShares VIX Short-Term Futures ETF | 89,347,714 | (9,796,823 | ) | — | — | 79,550,891 | ||||||||||||||
Combined Trust: | $ | 1,466,680,542 | $ | (196,609,804 | ) | $ | (4,088,484 | ) | $ | 117,564,675 | $ | 1,383,546,929 |
* | 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. |
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 | Receivable 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 | $ | 14,271,188 | * | $ | — | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 34,509,203 | * | |||||||||||||
ProShares VIX Mid-Term Futures ETF | 640,869 | * | 841,557 | * | ||||||||||||
ProShares VIX Short- Term Futures ETF | — | 8,648,831 | * | |||||||||||||
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 | 29,494,163 | * | 67,202,386 | * | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 363,603,606 | * | |||||||||||||
ProShares Ultra Gold | 20,449,670 | * | — | |||||||||||||
ProShares Ultra Silver | 91,038,444 | * | — | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 21,216,008 | * | — | |||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 40,936,595 | * | — | |||||||||||||
ProShares UltraShort Gold | — | 1,347,545 | * | |||||||||||||
ProShares UltraShort Silver | — | 3,846,359 | * |
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 | Receivable 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 | $23,929,205 * | $ | — | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 79,829,720 * | ||||||||||||
ProShares VIX Mid-Term Futures ETF | — | 9,878,214 * | ||||||||||||
ProShares VIX Short-Term Futures ETF | — | 29,972,887 * | ||||||||||||
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 | 9,418,306 * | 1,692,241 * | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 294,423,694 * | — | ||||||||||||
ProShares Ultra Gold | — | 12,438,814 * | ||||||||||||
ProShares Ultra Silver | — | 28,023,278 * | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 12,986,156 * | — |
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 Ultra Euro | 319,670 | 959 | ||||||||||||||||
ProShares Ultra Yen | 502,639 | 12,157 | ||||||||||||||||
ProShares UltraShort Euro | | 332,826 | 2,648,069 | |||||||||||||||
ProShares UltraShort Yen | 102,137 | 1,267,308 | ||||||||||||||||
Combined Trust: | $ | 219,304,209 | * | $ | 483,927,980 | * |
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 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | — | 20,310,332 * | ||||||||||||
ProShares UltraShort Gold | 1,411,376 * | — | ||||||||||||
ProShares UltraShort Silver | 1,803,935 * | — | ||||||||||||
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 Ultra Euro | 241,390 | 1,702 | ||||||||||||
ProShares Ultra Yen | 18,889 | 876,516 | ||||||||||||
ProShares UltraShort Euro | 29,100 | 1,787,874 | ||||||||||||
ProShares UltraShort Yen | 2,238,472 | 258,620 | ||||||||||||
Combined Trust: | $346,500,523 * | $185,070,198 * |
* | 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. |
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 | Receivable 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 | $ | 11,092,381 | * | $ | — | |||||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 36,555,453 | * | |||||||||||||
ProShares VIX Mid-Term Futures ETF | — | 4,791,223 | * | |||||||||||||
ProShares VIX Short- Term Futures ETF | — | 9,796,823 | * | |||||||||||||
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 | 100,451,293 | * | — | |||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 310,613,969 | * | |||||||||||||
ProShares Ultra Gold | 9,738,554 | * | — | |||||||||||||
ProShares Ultra Silver | 68,650,786 | * | — | |||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 13,202,924 | * | 2,958,031 | * | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 85,889,398 | * | — | |||||||||||||
ProShares UltraShort Gold | — | 691,843 | * | |||||||||||||
ProShares UltraShort Silver | — | 2,663,123 | * | |||||||||||||
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 | |
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 | Receivable 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 | $11,092,381 * | $— |
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 | |||||||||
ProShares Ultra VIX Short-Term Futures ETF | — | 36,555,453 * | ||||||||||||
ProShares VIX Mid-Term Futures ETF | — | 4,791,223 * | ||||||||||||
ProShares VIX Short-Term Futures ETF | — | 9,796,823 * | ||||||||||||
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 | 100,451,293 * | — | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | — | 310,613,969 * | ||||||||||||
ProShares Ultra Gold | 9,738,554 * | — | ||||||||||||
ProShares Ultra Silver | 68,650,786 * | — | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 13,202,924 * | 2,958,031 * | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 85,889,398 * | — | ||||||||||||
ProShares UltraShort Gold | — | 691,843 * | ||||||||||||
ProShares UltraShort Silver | — | 2,663,123 * | ||||||||||||
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 |
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 | |||||||||
ProShares Ultra Euro | 514,115 | 98,459 | ||||||||||||
ProShares Ultra Yen | 1,152,834 | 168,285 | ||||||||||||
ProShares UltraShort Euro | 193,192 | 2,654,448 | ||||||||||||
ProShares UltraShort Yen | 963,369 | 3,990,802 | ||||||||||||
Combined Trust: | $291,848,846 * | $374,982,459 * |
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 | $65,228,142 | $9,658,017 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (426,304,544) | (45,320,517) | ||||||||||
ProShares VIX Mid-Term Futures ETF | (6,943,333) | (9,677,526) | ||||||||||
ProShares VIX Short-Term Futures ETF | (127,229,299) | (21,324,056) |
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 | ||||||||
Commodities Contracts | Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | (76,355,417) | 45,434,288 | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (616,883,269) | 658,027,300 | ||||||||||
ProShares Ultra Gold | 17,196,569 | (32,888,484) | ||||||||||
ProShares Ultra Silver | 64,662,300 | (119,061,722) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | 28,046,795 | (8,229,852) | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 48,736,428 | (61,246,927) | ||||||||||
ProShares UltraShort Gold | (1,553,151) | 2,758,921 | ||||||||||
ProShares UltraShort Silver | 1,113,596 | 5,650,294 | ||||||||||
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 Ultra Euro | 78,291 | (79,023) | ||||||||||
ProShares Ultra Yen | (770,142) | (1,348,109) | ||||||||||
ProShares UltraShort Euro | (1,045,942) | 556,469 | ||||||||||
ProShares UltraShort Yen | 1,370,771 | 3,145,023 | ||||||||||
Combined Trust | $(1,030,652,205) | $426,054,096 |
ProShares Ultra Euro | 514,115 | 98,459 | ||||||||||||||||
ProShares Ultra Yen | 1,152,834 | 168,285 | ||||||||||||||||
ProShares UltraShort Euro | | 193,192 | 2,654,448 | |||||||||||||||
ProShares UltraShort Yen | 963,369 | 3,990,802 | ||||||||||||||||
Combined Trust: | $ | 291,848,846 | * | $ | 374,982,459 | * |
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 | $94,832,290 | $12,836,824 | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | (608,537,974) | (43,274,267) | ||||||||||
ProShares VIX Mid-Term Futures ETF | (22,764,053) | (5,086,991) | ||||||||||
ProShares VIX Short-Term Futures ETF | (173,326,001) | (20,176,064) | ||||||||||
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 | 9,425,010 | (92,725,228) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | (1,678,514,563) | 605,037,663 | ||||||||||
ProShares Ultra Gold | 27,996,465 | (22,177,368) | ||||||||||
ProShares Ultra Silver | 35,918,436 | (96,674,064) |
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 | ||||||||
ProShares UltraShort Bloomberg Crude Oil | 55,661,074 | 2,741,263 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 232,145,072 | (106,199,730) | ||||||||||
ProShares UltraShort Gold | (2,584,032) | 2,103,219 | ||||||||||
ProShares UltraShort Silver | 3,827,219 | 4,467,058 | ||||||||||
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 Ultra Euro | 358,570 | (175,968) | ||||||||||
ProShares Ultra Yen | (1,068,950) | (1,842,176) | ||||||||||
ProShares UltraShort Euro | (2,453,253) | 702,482 | ||||||||||
ProShares UltraShort Yen | 342,795 | 5,007,285 | ||||||||||
Combined Trust: | $(2,028,741,895) | $244,563,938 |
* | 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. |
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 | $ | 29,604,148 | $ | 3,178,807 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | (182,233,430 | ) | 2,046,250 | |||||||||
ProShares VIX Mid-Term Futures ETF | (15,820,720 | ) | 4,590,535 | |||||||||
ProShares VIX Short-Term Futures ETF | (46,096,702 | ) | 1,147,992 | |||||||||
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 | 85,780,427 | (138,159,516 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | (1,061,631,294 | ) | (52,989,637 | ) | ||||||||
ProShares Ultra Gold | 10,799,896 | 10,711,116 | ||||||||||
ProShares Ultra Silver | (28,743,864 | ) | 22,387,658 | |||||||||
ProShares UltraShort Bloomberg Crude Oil | 27,614,279 | 10,971,115 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | 183,408,644 | (44,952,803 | ) | |||||||||
ProShares UltraShort Gold | (1,030,881 | ) | (655,702 | ) | ||||||||
ProShares UltraShort Silver | 2,713,623 | (1,183,236 | ) |
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 | $(13,029,194) | $(34,466,848) | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 91,039,435 | 196,657,178 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 7,862,052 | 4,040,230 | ||||||||||
ProShares VIX Short-Term Futures ETF | 23,659,182 | 46,680,364 | ||||||||||
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 | 363,296,092 | (211,138,245) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 164,990,694 | (271,251,560) | ||||||||||
ProShares Ultra Gold | (57,901,083) | 4,971,202 | ||||||||||
ProShares Ultra Silver | (156,194,175) | (50,071,519) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | (102,594,000) | 34,810,301 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | (282,646,685) | 228,166,248 |
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 Ultra Euro | 280,279 | (96,945 | ) | |||||||||
ProShares Ultra Yen | (298,808 | ) | (494,067 | ) | ||||||||
ProShares UltraShort Euro | (1,407,311 | ) | 146,013 | |||||||||
ProShares UltraShort Yen | (1,027,976 | ) | 1,862,262 | |||||||||
Combined Trust: | $ | (998,089,690 | ) | $ | (181,490,158 | ) |
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 | ||||||||
ProShares UltraShort Gold | 4,557,870 | 298,236 | ||||||||||
ProShares UltraShort Silver | 9,411,232 | 3,849,687 | ||||||||||
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 Ultra Euro | (446,365) | (282,077) | ||||||||||
ProShares Ultra Yen | (761,478) | 154,501 | ||||||||||
ProShares UltraShort Euro | 3,065,129 | 3,061,048 | ||||||||||
ProShares UltraShort Yen | 7,917,170 | (1,364,477) | ||||||||||
Combined Trust | $62,225,876 | $(45,885,731) |
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 | $(54,129,808) | $(29,757,664) |
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 | $ | (41,100,614 | ) | $ | 4,709,184 | |||||||
ProShares Ultra VIX Short-Term Futures ETF | 280,994,684 | (34,378,466 | ) | |||||||||
ProShares VIX Mid-Term Futures ETF | 4,791,833 | (335,175 | ) | |||||||||
ProShares VIX Short-Term Futures ETF | 53,734,127 | (13,174,318 | ) | |||||||||
Commodities Contracts | Net r e alized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements | |||||||||||
ProShares Ultra Bloomberg Crude Oil | 799,423,070 | (94,077,929 | ) | |||||||||
ProShares Ultra Bloomberg Natural Gas | 76,220,688 | 85,030,764 | ||||||||||
ProShares Ultra Gold | 57,818,596 | (24,649,651 | ) | |||||||||
ProShares Ultra Silver | 116,637,027 | (57,756,596 | ) | |||||||||
ProShares UltraShort Bloomberg Crude Oil | (106,482,101 | ) | 2,115,992 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | (114,665,698 | ) | (87,532,158 | ) |
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 | ||||||||
ProShares Ultra VIX Short-Term Futures ETF | 372,034,119 | 162,278,712 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 12,653,885 | 3,705,055 | ||||||||||
ProShares VIX Short-Term Futures ETF | 77,393,309 | 33,506,046 | ||||||||||
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 | 1,162,719,162 | (305,216,174) | ||||||||||
ProShares Ultra Bloomberg Natural Gas | 241,211,382 | (186,220,796) | ||||||||||
ProShares Ultra Gold | (82,487) | (19,678,449) | ||||||||||
ProShares Ultra Silver | (39,557,148) | (107,828,115) | ||||||||||
ProShares UltraShort Bloomberg Crude Oil | (209,076,101) | 36,926,293 | ||||||||||
ProShares UltraShort Bloomberg Natural Gas | (397,312,383) | 140,634,090 | ||||||||||
ProShares UltraShort Gold | (1,750,803) | 2,367,584 | ||||||||||
ProShares UltraShort Silver | 2,037,486 | 5,658,849 |
ProShares UltraShort Gold | (6,308,673 | ) | 2,069,348 | |||||||||
ProShares UltraShort Silver | (7,373,746 | ) | 1,809,162 | |||||||||
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 | 59,419 | 8,056 | ||||||||||
ProShares Ultra Euro | (441,030 | ) | (132,970 | ) | ||||||||
ProShares Ultra Yen | (118,771 | ) | (138,539 | ) | ||||||||
ProShares UltraShort Australian Dollar | (116,848 | ) | (31,502 | ) | ||||||||
ProShares UltraShort Euro | 2,542,134 | 342,076 | ||||||||||
ProShares UltraShort Yen | 1,080,173 | 1,466,402 | ||||||||||
Combined Trust: | $ | 1,116,694,270 | $ | (214,656,320 | ) |
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 | ||||||||
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 Ultra Euro | (887,395) | (415,047) | ||||||||||
ProShares Ultra Yen | (880,249) | 15,962 | ||||||||||
ProShares UltraShort Euro | 5,607,263 | 3,403,124 | ||||||||||
ProShares UltraShort Yen | 8,997,343 | 101,925 | ||||||||||
Combined Trust: | $1,178,977,575 | $(260,518,605) |
Fair Values of Derivative Instruments as of June 30, 2023 | ||||||||||||||||||||||||
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 | $ | — | $ | — | $ | — | $ | 1,692,241 | $ | — | $ | 1,692,241 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||
Swap agreements | 46,088,257 | — | 46,088,257 | — | — | — |
Fair Values of Derivative Instruments as of March 31, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||
Fair Values of Derivative Instruments as of June 30, 2023 | Fair Values of Derivative Instruments as of June 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||
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 | $ | — | $ | — | $ | — | $ | 67,202,386 | $ | — | $ | 67,202,386 | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | — | — | — | 39,088,319 | — | 39,088,319 | ||||||||||||||||||||||||||||||||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 319,670 | — | 319,670 | 959 | — | 959 | 241,390 | — | 241,390 | 1,702 | — | 1,702 | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 15,353,259 | — | 15,353,259 | — | — | — | — | — | — | 7,053,083 | — | 7,053,083 | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | 62,363,833 | — | 62,363,833 | — | — | — | — | — | — | 18,045,362 | — | 18,045,362 | ||||||||||||||||||||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 502,639 | — | 502,639 | 12,157 | — | 12,157 | 18,889 | — | 18,889 | 876,516 | — | 876,516 | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 332,826 | — | 332,826 | 2,648,069 | — | 2,648,069 | 29,100 | — | 29,100 | 1,787,874 | — | 1,787,874 | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | — | — | — | 1,185,388 | — | 1,185,388 | 440,571 | — | 440,571 | — | — | — | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||||||||||||||||||||||||||
Swap agreements | — | — | — | 3,022,322 | — | 3,022,322 | 845,012 | — | 845,012 | — | — | — | ||||||||||||||||||||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | 102,137 | — | 102,137 | 1,267,308 | — | 1,267,308 | 2,238,472 | — | 2,238,472 | 258,620 | — | 258,620 |
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2023 | ||||||||||||||||
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. | $ | (10,629,759 | ) | $ | — | $ | 10,629,759 | $ | — | |||||||
Goldman Sachs International | (13,216,202 | ) | — | 13,216,202 | — | |||||||||||
Morgan Stanley & Co. International PLC | (18,411,182 | ) | — | 18,411,182 | — | |||||||||||
Societe Generale | (10,019,635 | ) | — | 10,019,635 | — | |||||||||||
UBS AG | (14,925,608 | ) | — | 14,925,608 | — | |||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||
Citibank N.A. | (15,605,398 | ) | 15,605,398 | — | — | |||||||||||
Goldman Sachs International | (23,296,489 | ) | — | — | (23,296,489 | ) | ||||||||||
UBS AG | (186,432 | ) | 186,432 | — | — |
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023 | ||||||||||||||||
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. | $ | (303,753 | ) | $ | 303,753 | $ | — | $ | — | |||||||
Goldman Sachs International | (377,662 | ) | — | 377,662 | — | |||||||||||
Morgan Stanley & Co. International PLC | (316,105 | ) | — | 316,105 | — | |||||||||||
Societe Generale | (275,938 | ) | 275,938 | — | — | |||||||||||
UBS AG | (418,783 | ) | — | 418,783 | — |
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 145,994 | — | — | 145,994 | ||||||||||||
UBS AG | 172,717 | — | — | 172,717 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 6,674,065 | (6,674,065 | ) | — | — | |||||||||||
Goldman Sachs International | 3,169,970 | (3,169,970 | ) | — | — | |||||||||||
UBS AG | 5,509,224 | (5,509,224 | ) | — | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 22,200,338 | (21,755,480 | ) | — | 444,858 | |||||||||||
Goldman Sachs International | 2,932,172 | (2,905,625 | ) | — | 26,547 | |||||||||||
Morgan Stanley & Co. International PLC | 18,503,019 | — | (17,394,000 | ) | 1,109,019 | |||||||||||
UBS AG | 18,728,304 | (17,967,788 | ) | (9,608 | ) | 750,908 | ||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | 219,212 | (219,212 | ) | — | — | |||||||||||
UBS AG | 271,270 | (263,083 | ) | — | 8,187 | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,111,073 | ) | — | 1,111,073 | — | |||||||||||
UBS AG | (1,204,170 | ) | — | 1,204,170 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (227,829 | ) | — | 227,829 | — | |||||||||||
Goldman Sachs International | (495,713 | ) | — | 495,713 | — | |||||||||||
UBS AG | (461,846 | ) | — | 461,846 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (357,884 | ) | — | 357,884 | — | |||||||||||
Goldman Sachs International | (1,303,722 | ) | — | 1,303,722 | — | |||||||||||
Morgan Stanley & Co. International PLC | (1,031,085 | ) | — | 1,031,085 | — | |||||||||||
UBS AG | (329,631 | ) | — | 320,000 | (9,631 | ) | ||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | (606,028 | ) | — | 606,028 | — | |||||||||||
UBS AG | (559,143 | ) | — | 559,143 | — |
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023 | ||||||||||||||||
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 Natural Gas | ||||||||||||||||
Citibank, N.A. | 22,537,665 | (18,660,347 | ) | — | 3,877,318 | |||||||||||
Goldman Sachs International | 15,398,946 | (11,008,327 | ) | — | 4,390,619 | |||||||||||
Societe Generale S.A. | 8,028,280 | (6,677,182 | ) | — | 1,351,098 | |||||||||||
UBS AG | 123,366 | — | — | 123,366 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 129,106 | — | — | 129,106 | ||||||||||||
UBS AG | 110,582 | — | — | 110,582 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | (3,028,491 | ) | — | 3,028,491 | — | |||||||||||
Goldman Sachs International | (1,438,439 | ) | — | 1,438,439 | — | |||||||||||
UBS AG | (2,586,153 | ) | — | 2,586,153 | — | |||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | (6,281,114 | ) | — | 6,281,114 | — | |||||||||||
Goldman Sachs International | (830,545 | ) | — | 830,545 | — | |||||||||||
Morgan Stanley & Co. International PLC | (5,634,927 | ) | — | 5,634,927 | — | |||||||||||
UBS AG | (5,298,776 | ) | — | 5,298,776 | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | (407,188 | ) | — | 407,188 | — | |||||||||||
UBS AG | (450,439 | ) | — | 450,439 | — | |||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (872,773 | ) | — | 872,773 | — | |||||||||||
UBS AG | (886,001 | ) | — | 886,001 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | 101,527 | — | — | 101,527 | ||||||||||||
Goldman Sachs International | 133,231 | — | — | 133,231 | ||||||||||||
UBS AG | 205,813 | (22,545 | ) | — | 183,268 | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | 100,100 | — | — | 100,100 | ||||||||||||
Goldman Sachs International | 364,653 | (364,653 | ) | — | — | |||||||||||
Morgan Stanley & Co. International PLC | 288,063 | — | (288,000 | ) | 63 | |||||||||||
UBS AG | 92,196 | — | — | 92,196 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | 890,062 | (817,881 | ) | — | 72,181 | |||||||||||
UBS AG | 1,089,790 | (1,089,790 | ) | — | — |
Fair Values of Derivative Instruments as of December 31, 2022 | ||||||||||||||||||||||||
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 | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 514,115 | — | 514,115 | 98,459 | — | 98,459 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 6,496,466 | — | 6,496,466 | — | — | — | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 39,224,212 | — | 39,224,212 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,152,834 | — | 1,152,834 | 168,285 | — | 168,285 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 193,192 | — | 193,192 | 2,654,448 | — | 2,654,448 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 592,957 | — | 592,957 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,722,623 | — | 1,722,623 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 963,369 | — | 963,369 | 3,990,802 | — | 3,990,802 |
Fair Values of Derivative Instruments as of December 31, 2022 | ||||||||||||||||||||||||
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 | $ | 74,159,577 | $ | — | $ | 74,159,577 | $ | — | $ | — | $ | — | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 514,115 | — | 514,115 | 98,459 | — | 98,459 | ||||||||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||||||
Swap agreements | 6,496,466 | — | 6,496,466 | — | — | — | ||||||||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||||||
Swap agreements | 39,224,212 | — | 39,224,212 | — | — | — | ||||||||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 1,152,834 | — | 1,152,834 | 168,285 | — | 168,285 | ||||||||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||||||
Foreign currency forward contracts | 193,192 | — | 193,192 | 2,654,448 | — | 2,654,448 | ||||||||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||||||
Swap agreements | — | — | — | 592,957 | — | 592,957 | ||||||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||||||
Swap agreements | — | — | — | 1,722,623 | — | 1,722,623 | ||||||||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||||||
Foreign currency forward contracts | 963,369 | — | 963,369 | 3,990,802 | — | 3,990,802 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 | ||||||||||||||||
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. | $ | 11,723,388 | $ | — | $ | — | $ | 11,723,388 | ||||||||
Goldman Sachs International | 14,575,933 | (9,281,322 | ) | — | 5,294,611 | |||||||||||
Morgan Stanley & Co. International PLC | 20,305,392 | — | — | 20,305,392 | ||||||||||||
Societe Generale | 11,075,235 | (7,038,055 | ) | — | 4,037,180 | |||||||||||
UBS AG | 16,479,629 | (10,808,424 | ) | (41,993 | ) | 5,629,212 |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 | ||||||||||||||||
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. | $ | 11,723,388 | $ | — | $ | (7,220,000 | ) | $ | 4,503,388 | |||||||
Goldman Sachs International | 14,575,933 | (9,281,322 | ) | — | 5,294,611 | |||||||||||
Morgan Stanley & Co. International PLC | 20,305,392 | — | (12,510,000 | ) | 7,795,392 | |||||||||||
Societe Generale | 11,075,235 | (7,038,055 | ) | — | 4,037,180 | |||||||||||
UBS AG | 16,479,629 | (10,808,424 | ) | (41,993 | ) | 5,629,212 | ||||||||||
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 217,491 | — | — | 217,491 | ||||||||||||
UBS AG | 198,165 | (198,165 | ) | — | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,582,849 | — | (2,570,000 | ) | 12,849 | |||||||||||
Goldman Sachs International | 1,226,772 | (1,193,425 | ) | — | 33,347 | |||||||||||
UBS AG | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | ||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 12,628,472 | — | (12,628,472 | ) | — | |||||||||||
Goldman Sachs International | 1,667,621 | (1,667,621 | ) | — | — | |||||||||||
Morgan Stanley & Co. International PLC | 13,862,180 | — | (10,733,000 | ) | 3,129,180 | |||||||||||
UBS AG | 11,065,939 | (11,065,939 | ) | — | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | 683,120 | (308,636 | ) | — | 374,484 | |||||||||||
UBS AG | 301,429 | — | — | 301,429 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,121,150 | ) | — | 1,121,150 | — | |||||||||||
UBS AG | (1,340,106 | ) | — | 1,340,106 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (181,291 | ) | — | 181,291 | — | |||||||||||
Goldman Sachs International | (231,533 | ) | — | 231,533 | — | |||||||||||
UBS AG | (180,133 | ) | — | 180,133 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (203,969 | ) | — | 203,969 | — | |||||||||||
Goldman Sachs International | (743,029 | ) | — | 743,029 | — | |||||||||||
Morgan Stanley & Co. International PLC | (587,758 | ) | — | 587,758 | — | |||||||||||
UBS AG | (187,867 | ) | — | 187,867 | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | (936,322 | ) | — | 936,322 | — | |||||||||||
UBS AG | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) |
ProShares Ultra Euro | ||||||||||||||||
Goldman Sachs International | 217,491 | — | — | 217,491 | ||||||||||||
UBS AG | 198,165 | (198,165 | ) | — | — | |||||||||||
ProShares Ultra Gold | ||||||||||||||||
Citibank, N.A. | 2,582,849 | — | — | 2,582,849 | ||||||||||||
Goldman Sachs International | 1,226,772 | (1,193,425 | ) | — | 33,347 | |||||||||||
UBS AG | 2,686,845 | (2,682,652 | ) | (4,193 | ) | — | ||||||||||
ProShares Ultra Silver | ||||||||||||||||
Citibank, N.A. | 12,628,472 | — | — | 12,628,472 | ||||||||||||
Goldman Sachs International | 1,667,621 | (1,667,621 | ) | — | — | |||||||||||
Morgan Stanley & Co. International PLC | 13,862,180 | — | — | 13,862,180 | ||||||||||||
UBS AG | 11,065,939 | (11,065,939 | ) | — | — | |||||||||||
ProShares Ultra Yen | ||||||||||||||||
Goldman Sachs International | 683,120 | (308,636 | ) | — | 374,484 | |||||||||||
UBS AG | 301,429 | — | — | 301,429 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||
Goldman Sachs International | (1,121,150 | ) | — | 1,121,150 | — | |||||||||||
UBS AG | (1,340,106 | ) | — | 1.340,106 | — | |||||||||||
ProShares UltraShort Gold | ||||||||||||||||
Citibank, N.A. | (181,291 | ) | — | 181,291 | — | |||||||||||
Goldman Sachs International | (231,533 | ) | — | 231,533 | — | |||||||||||
UBS AG | (180,133 | ) | — | 180,133 | — | |||||||||||
ProShares UltraShort Silver | ||||||||||||||||
Citibank, N.A. | (203,969 | ) | — | 203,969 | — | |||||||||||
Goldman Sachs International | (743,029 | ) | — | 743,029 | — | |||||||||||
Morgan Stanley & Co. International PLC | (587,758 | ) | — | 587,758 | — | |||||||||||
UBS AG | (187,867 | ) | — | 187,867 | — | |||||||||||
ProShares UltraShort Yen | ||||||||||||||||
Goldman Sachs International | (936,322 | ) | — | 936,322 | — | |||||||||||
UBS AG | (2,091,111 | ) | — | 1,690,000 | (401,111 | ) |
Fund | Three Months Ended March 31, 2023 | |||
ProShares Short VIX Short-Term Futures ETF | $ | 112,214 | ||
ProShares Ultra Bloomberg Crude Oil | — | |||
ProShares Ultra Bloomberg Natural Gas | — | |||
ProShares Ultra Euro | — | |||
ProShares Ultra Gold | — | |||
ProShares Ultra Silver | — | |||
ProShares Ultra VIX Short-Term Futures ETF | 431,018 | |||
ProShares Ultra Yen | — | |||
ProShares UltraShort Bloomberg Crude Oil | — | |||
ProShares UltraShort Bloomberg Natural Gas | — | |||
ProShares UltraShort Euro | — | |||
ProShares UltraShort Gold | — | |||
ProShares UltraShort Silver | — | |||
ProShares UltraShort Yen | — | |||
ProShares VIX Mid-Term Futures ETF | 6,465 | |||
ProShares VIX Short-Term Futures ETF | 84,321 | |||
Combined Trust: | $ | 634,018 |
Fund | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 49,722 | $ | 161,936 | ||||
ProShares Ultra Bloomberg Crude Oil | — | — | ||||||
ProShares Ultra Bloomberg Natural Gas | — | — | ||||||
ProShares Ultra Euro | — | — | ||||||
ProShares Ultra Gold | — | — | ||||||
ProShares Ultra Silver | — | — | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 389,333 | 820,351 | ||||||
ProShares Ultra Yen | — | — | ||||||
ProShares UltraShort Bloomberg Crude Oil | — | — | ||||||
ProShares UltraShort Bloomberg Natural Gas | — | — | ||||||
ProShares UltraShort Euro | — | — | ||||||
ProShares UltraShort Gold | — | — | ||||||
ProShares UltraShort Silver | — | — | ||||||
ProShares UltraShort Yen | — | — | ||||||
ProShares VIX Mid-Term Futures ETF | 9,046 | 15,511 | ||||||
ProShares VIX Short-Term Futures ETF | 82,901 | 167,222 | ||||||
Combined Trust: | $ | 531,002 | $ | 1,165,020 |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 58.71 | $ | 30.26 | $ | 18.15 | $ | 11.27 | $ | 55.09 | $ | 31.75 | ||||||||||||
Net investment income (loss) | 0.37 | 0.14 | 0.03 | 0.08 | 0.39 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 4.65 | (3.87 | ) | (14.49 | ) | 0.14 | 7.38 | (0.84 | ) | |||||||||||||||
Change in net asset value from operations | 5.02 | (3.73 | ) | (14.46 | ) | 0.22 | 7.77 | (0.65 | ) | |||||||||||||||
Net asset value, at March 31, 2023 | $ | 63.73 | $ | 26.53 | $ | 3.69 | $ | 11.49 | $ | 62.86 | $ | 31.10 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 58.68 | $ | 30.31 | $ | 17.78 | $ | 11.26 | $ | 55.27 | $ | 32.00 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 63.75 | $ | 26.47 | $ | 3.61 | $ | 11.49 | $ | 63.02 | $ | 31.23 | ||||||||||||
Total Return, at net asset value^ | 8.6 | % | (12.3 | )% | (79.7 | )% | 2.0 | % | 14.1 | % | (2.0 | )% | ||||||||||||
Total Return, at market value^ | 8.6 | % | (12.7 | )% | (79.7 | )% | 2.0 | % | 14.0 | % | (2.4 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.16 | % | 1.00 | % | 1.42 | % | 0.95 | % | 0.97 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 2.38 | % | 2.05 | % | 2.24 | % | 2.86 | % | 2.70 | % | 2.70 | % |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at March 31, 2023 | $ | 63.73 | $ | 26.53 | $ | 73.76 | $ | 11.49 | $ | 62.86 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.46 | 0.14 | 0.28 | 0.09 | 0.47 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 20.49 | (2.93 | ) | (4.56 | ) | 0.01 | (4.97 | ) | (4.26 | ) | ||||||||||||||
Change in net asset value from operations | 20.95 | (2.79 | ) | (4.28 | ) | 0.10 | (4.50 | ) | (4.06 | ) | ||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 63.75 | $ | 26.47 | $ | 72.20 | $ | 11.49 | $ | 63.02 | $ | 31.23 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Total Return, at net asset value^ | 32.9 | % | (10.5 | )% | (5.8 | )% | 0.9 | % | (7.2 | )% | (13.1 | )% | ||||||||||||
Total Return, at market value^ | 32.8 | % | (10.7 | )% | (4.5 | )% | 1.0 | % | (7.6 | )% | (13.7 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.14 | % | 1.00 | % | 1.45 | % | 0.95 | % | 0.96 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | 2.61 | % | 2.20 | % | 1.81 | % | 3.27 | % | 3.01 | % | 2.61 | % |
* | 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 |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 6.87 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.02 | 0.23 | 0.18 | 0.25 | 0.21 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (2.26 | ) | (1.72 | ) | 1.04 | 43.86 | (0.63 | ) | (4.40 | ) | ||||||||||||||
Change in net asset value from operations | (2.24 | ) | (1.49 | ) | 1.22 | 44.11 | (0.42 | ) | (4.22 | ) | ||||||||||||||
Net asset value, at March 31, 2023 | $ | 4.63 | $ | 33.05 | $ | 25.15 | $ | 71.11 | $ | 29.04 | $ | 26.88 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 6.86 | $ | 34.56 | $ | 23.85 | $ | 27.56 | $ | 29.45 | $ | 30.99 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 4.65 | $ | 33.02 | $ | 25.22 | $ | 72.42 | $ | 29.04 | $ | 26.84 | ||||||||||||
Total Return, at net asset value^ | (32.7 | )% | (4.3 | )% | 5.1 | % | 163.4 | % | (1.4 | )% | (13.6 | )% | ||||||||||||
Total Return, at market value^ | (32.2 | )% | (4.5 | )% | 5.8 | % | 162.8 | % | (1.4 | )% | (13.4 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.57 | % | 0.95 | % | 1.08 | % | 1.72 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 1.48 | % | 2.78 | % | 2.85 | % | 2.08 | % | 2.85 | % | 2.48 | % |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at March 31, 2023 | $ | 46.25 | $ | 33.05 | $ | 25.15 | $ | 71.11 | $ | 29.04 | $ | 26.88 | ||||||||||||
Net investment income (loss) | 0.15 | 0.26 | 0.19 | 0.44 | 0.24 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (27.92 | ) | (5.91 | ) | 0.28 | (16.49 | ) | (0.18 | ) | 1.80 | ||||||||||||||
Change in net asset value from operations | (27.77 | ) | (5.65 | ) | 0.47 | (16.05 | ) | 0.06 | 2.02 | |||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Market value per share, at March 31, 2023 † | $ | 46.50 | $ | 33.02 | $ | 25.22 | $ | 72.42 | $ | 29.04 | $ | 26.84 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Total Return, at net asset value^ | (60.0 | )% | (17.1 | )% | 1.9 | % | (22.6 | )% | 0.2 | % | 7.5 | % | ||||||||||||
Total Return, at market value^ | (60.2 | )% | (17.0 | )% | 1.9 | % | (23.4 | )% | 0.2 | % | 7.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.55 | % | 0.95 | % | 1.11 | % | 1.77 | % | 0.95 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | 1.84 | % | 3.36 | % | 3.01 | % | 2.47 | % | 3.36 | % | 3.09 | % |
* | 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 |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||
Net asset value, at December 31, 2022 | $ | 19.46 | $ | 53.68 | $ | 30.41 | $ | 11.40 | ||||||||
Net investment income (loss) | 0.11 | 0.39 | 0.18 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss)# | (0.94 | ) | 1.91 | (3.80 | ) | (2.43 | ) | |||||||||
Change in net asset value from operations | (0.83 | ) | 2.30 | (3.62 | ) | (2.37 | ) | |||||||||
Net asset value, at March 31, 2023 | $ | 18.63 | $ | 55.98 | $ | 26.79 | $ | 9.03 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 11.38 | ||||||||
Market value per share, at March 31, 2023 † | $ | 18.56 | $ | 56.00 | $ | 26.82 | $ | 9.05 | ||||||||
Total Return, at net asset value^ | (4.2 | )% | 4.3 | % | (11.9 | )% | (20.8 | )% | ||||||||
Total Return, at market value^ | (3.8 | )% | 4.5 | % | (11.7 | )% | (20.5 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.04 | % | 0.95 | % | 0.97 | % | 1.09 | % | ||||||||
Net investment income gain (loss) | 2.12 | % | 2.87 | % | 2.70 | % | 2.39 | % |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at March 31, 2023 | $ | 18.63 | $ | 55.98 | $ | 26.79 | $ | 45.16 | ||||||||
Net investment income (loss) | 0.12 | 0.49 | 0.20 | 0.25 | ||||||||||||
Net realized and unrealized gain (loss)# | 1.74 | 11.47 | (6.50 | ) | (20.46 | ) | ||||||||||
Change in net asset value from operations | 1.86 | 11.96 | (6.30 | ) | (20.21 | ) | ||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Market value per share, at March 31, 2023 † | $ | 18.56 | $ | 56.00 | $ | 26.82 | $ | 45.25 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Total Return, at net asset value^ | 10.0 | % | 21.4 | % | (23.5 | )% | (44.8 | )% | ||||||||
Total Return, at market value^ | 10.9 | % | 21.3 | % | (23.6 | )% | (44.8 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.05 | % | 0.95 | % | 1.00 | % | 1.08 | % | ||||||||
Net investment income gain (loss) | 2.68 | % | 3.22 | % | 3.13 | % | 2.82 | % |
* | 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 |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 25.55 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.17 | ) | (0.08 | ) | (0.11 | ) | (0.02 | ) | (0.14 | ) | (0.08 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (6.84 | ) | 16.48 | 30.62 | (0.83 | ) | 7.44 | 4.30 | ||||||||||||||||
Change in net asset value from operations | (7.01 | ) | 16.40 | 30.51 | (0.85 | ) | 7.30 | 4.22 | ||||||||||||||||
Net asset value, at March 31, 2022 | $ | 54.55 | $ | 37.94 | $ | 56.06 | $ | 12.47 | $ | 66.99 | $ | 39.06 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 26.09 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 54.56 | $ | 38.33 | $ | 56.31 | $ | 12.46 | $ | 66.14 | $ | 38.53 | ||||||||||||
Total Return, at net asset value^ | (11.4 | )% | 76.1 | % | 119.4 | % | (6.4 | )% | 12.2 | % | 12.1 | % | ||||||||||||
Total Return, at market value^ | (11.4 | )% | 76.7 | % | 115.8 | % | (6.5 | )% | 10.6 | % | 10.9 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.34 | % | 1.09 | % | 1.33 | % | 0.95 | % | 1.01 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | (1.25 | )% | (0.99 | )% | (1.23 | )% | (0.74 | )% | (0.87 | )% | (0.88 | )% |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil* | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at March 31, 2022 | $ | 54.55 | $ | 37.94 | $ | 1121.30 | $ | 12.47 | $ | 66.99 | $ | 39.06 | ||||||||||||
Net investment income (loss) | (0.13 | ) | (0.07 | ) | (4.28 | ) | (0.02 | ) | (0.09 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (6.28 | ) | 3.74 | (326.32 | ) | (1.37 | ) | (10.44 | ) | (14.23 | ) | |||||||||||||
Change in net asset value from operations | (6.41 | ) | 3.67 | (330.60 | ) | (1.39 | ) | (10.53 | ) | (14.28 | ) | |||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 54.56 | $ | 38.33 | $ | 1126.20 | $ | 12.46 | $ | 66.14 | $ | 38.53 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Total Return, at net asset value^ | (11.8 | )% | 9.7 | % | (29.5 | )% | (11.1 | )% | (15.7 | )% | (36.6 | )% | ||||||||||||
Total Return, at market value^ | (11.6 | )% | 9.2 | % | (25.2 | )% | (10.8 | )% | (14.6 | )% | (36.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.21 | % | 1.01 | % | 1.26 | % | 0.95 | % | 0.98 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | (1.00 | )% | (0.64 | )% | (1.01 | )% | (0.54 | )% | (0.56 | )% | (0.61 | )% |
* | 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 |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 12.41 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (0.07 | ) | (0.09 | ) | (0.10 | ) | (0.44 | ) | (0.05 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 1.16 | (5.18 | ) | (34.99 | ) | (182.25 | ) | 1.51 | (4.42 | ) | ||||||||||||||
Change in net asset value from operations | 1.09 | (5.27 | ) | (35.09 | ) | (182.69 | ) | 1.46 | (4.48 | ) | ||||||||||||||
Net asset value, at March 31, 2022 | $ | 13.50 | $ | 42.02 | $ | 29.17 | $ | 64.71 | $ | 27.30 | $ | 27.23 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 12.43 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 13.46 | $ | 42.09 | $ | 28.95 | $ | 64.56 | $ | 27.31 | $ | 27.61 | ||||||||||||
Total Return, at net asset value^ | 8.8 | % | (11.1 | )% | (54.6 | )% | (73.9 | )% | 5.6 | % | (14.1 | )% | ||||||||||||
Total Return, at market value^ | 8.3 | % | (11.0 | )% | (54.6 | )% | (73.4 | )% | 5.6 | % | (12.8 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.78 | % | 0.95 | % | 1.24 | % | 1.56 | % | 0.95 | % | 1.02 | % | ||||||||||||
Net investment income gain (loss) | (1.73 | )% | (0.80 | )% | (1.13 | )% | (1.46 | )% | (0.83 | )% | (0.88 | )% |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil* | UltraShort Bloomberg Natural Gas* | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at March 31, 2022 | $ | 135.00 | $ | 42.02 | $ | 29.17 | $ | 64.71 | $ | 27.30 | $ | 27.23 | ||||||||||||
Net investment income (loss) | (0.50 | ) | (0.05 | ) | (0.05 | ) | (0.08 | ) | (0.05 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 10.63 | (8.46 | ) | (6.08 | ) | (21.98 | ) | 3.13 | 4.37 | |||||||||||||||
Change in net asset value from operations | 10.13 | (8.51 | ) | (6.13 | ) | (22.06 | ) | 3.08 | 4.32 | |||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Market value per share, at March 31, 2022 † | $ | 134.60 | $ | 42.09 | $ | 28.95 | $ | 64.56 | $ | 27.31 | $ | 27.61 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Total Return, at net asset value^ | 7.5 | % | (20.3 | )% | (21.0 | )% | (34.1 | )% | 11.3 | % | 15.9 | % | ||||||||||||
Total Return, at market value^ | 8.0 | % | (20.4 | )% | (20.8 | )% | (38.0 | )% | 11.4 | % | 14.4 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.53 | % | 0.95 | % | 1.14 | % | 1.36 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | (1.36 | )% | (0.59 | )% | (0.85 | )% | (1.14 | )% | (0.70 | )% | (0.74 | )% |
* | 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 |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 15.12 | ||||||||
Net investment income (loss) | (0.06 | ) | (0.08 | ) | (0.08 | ) | (0.05 | ) | ||||||||
Net realized and unrealized gain (loss)# | (5.26 | ) | 4.90 | 0.92 | 1.54 | |||||||||||
Change in net asset value from operations | (5.32 | ) | 4.82 | 0.84 | 1.49 | |||||||||||
Net asset value, at March 31, 2022 | $ | 21.45 | $ | 46.32 | $ | 31.45 | $ | 16.61 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 15.17 | ||||||||
Market value per share, at March 31, 2022 † | $ | 21.78 | $ | 46.37 | $ | 31.50 | $ | 16.57 | ||||||||
Total Return, at net asset value^ | (19.9 | )% | 11.6 | % | 2.7 | % | 9.9 | % | ||||||||
Total Return, at market value^ | (18.9 | )% | 11.7 | % | 3.0 | % | 9.2 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.08 | % | 0.95 | % | 1.09 | % | 1.23 | % | ||||||||
Net investment income gain (loss) | (0.94 | )% | (0.80 | )% | (0.99 | )% | (1.15 | )% |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen* | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at March 31, 2022 | $ | 21.45 | $ | 46.32 | $ | 31.45 | $ | 83.04 | ||||||||
Net investment income (loss) | (0.05 | ) | (0.09 | ) | (0.06 | ) | (0.21 | ) | ||||||||
Net realized and unrealized gain (loss)# | 10.34 | 10.83 | 3.90 | 8.26 | ||||||||||||
Change in net asset value from operations | 10.29 | 10.74 | 3.84 | 8.05 | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Market value per share, at March 31, 2022 † | $ | 21.78 | $ | 46.37 | $ | 31.50 | $ | 82.85 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Total Return, at net asset value^ | 48.0 | % | 23.2 | % | 12.2 | % | 9.6 | % | ||||||||
Total Return, at market value^ | 47.8 | % | 23.2 | % | 12.3 | % | 10.1 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.06 | % | 0.95 | % | 0.96 | % | 1.16 | % | ||||||||
Net investment income gain (loss) | (0.78 | )% | (0.68 | )% | (0.74 | )% | (0.94 | )% |
* | 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 |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 58.71 | $ | 30.26 | $ | 363.08 | $ | 11.27 | $ | 55.09 | $ | 31.75 | ||||||||||||
Net investment income (loss) | 0.83 | 0.27 | 0.81 | 0.17 | 0.86 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | 25.14 | (6.79 | ) | (294.41 | ) | 0.15 | 2.41 | (5.10 | ) | |||||||||||||||
Change in net asset value from operations | 25.97 | (6.52 | ) | (293.60 | ) | 0.32 | 3.27 | (4.71 | ) | |||||||||||||||
Net asset value, at June 30, 2023 | $ | 84.68 | $ | 23.74 | $ | 69.48 | $ | 11.59 | $ | 58.36 | $ | 27.04 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 58.68 | $ | 30.31 | $ | 355.60 | $ | 11.26 | $ | 55.27 | $ | 32.00 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 84.68 | $ | 23.65 | $ | 68.99 | $ | 11.61 | $ | 58.24 | $ | 26.95 | ||||||||||||
Total Return, at net asset value^ | 44.2 | % | (21.5 | )% | (80.9 | )% | 2.9 | % | 5.9 | % | (14.8 | )% | ||||||||||||
Total Return, at market value^ | 44.3 | % | (22.0 | )% | (80.6 | )% | 3.1 | % | 5.4 | % | (15.8 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.15 | % | 1.00 | % | 1.43 | % | 0.95 | % | 0.97 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 2.50 | % | 2.12 | % | 2.01 | % | 3.04 | % | 2.86 | % | 2.65 | % |
* | 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 June 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil | UltraShort Bloomberg Natural Gas | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2022 | $ | 68.69 | $ | 34.54 | $ | 23.93 | $ | 27.00 | $ | 29.46 | $ | 31.10 | ||||||||||||
Net investment income (loss) | 0.33 | 0.49 | 0.36 | 0.66 | 0.45 | 0.39 | ||||||||||||||||||
Net realized and unrealized gain (loss)# | (50.54 | ) | (7.63 | ) | 1.33 | 27.40 | (0.81 | ) | (2.59 | ) | ||||||||||||||
Change in net asset value from operations | (50.21 | ) | (7.14 | ) | 1.69 | 28.06 | (0.36 | ) | (2.20 | ) | ||||||||||||||
Net asset value, at June 30, 2023 | $ | 18.48 | $ | 27.40 | $ | 25.62 | $ | 55.06 | $ | 29.10 | $ | 28.90 | ||||||||||||
Market value per share, at December 31, 2022 † | $ | 68.60 | $ | 34.56 | $ | 23.85 | $ | 27.56 | $ | 29.45 | $ | 30.99 | ||||||||||||
Market value per share, at June 30, 2023 † | $ | 18.49 | $ | 27.42 | $ | 25.70 | $ | 55.45 | $ | 29.11 | $ | 28.96 | ||||||||||||
Total Return, at net asset value^ | (73.1 | )% | (20.7 | )% | 7.1 | % | 103.9 | % | (1.2 | )% | (7.1 | )% | ||||||||||||
Total Return, at market value^ | (73.1 | )% | (20.7 | )% | 7.8 | % | 101.2 | % | (1.2 | )% | (6.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.56 | % | 0.95 | % | 1.09 | % | 1.74 | % | 0.95 | % | 0.99 | % | ||||||||||||
Net investment income gain (loss) | 1.66 | % | 3.05 | % | 2.92 | % | 2.27 | % | 3.08 | % | 2.81 | % |
* | 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 June 30, 2023. |
^^ | 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. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2022 | $ | 19.46 | $ | 53.68 | $ | 30.41 | $ | 57.00 | ||||||||
Net investment income (loss) | 0.24 | 0.88 | 0.38 | 0.53 | ||||||||||||
Net realized and unrealized gain (loss)# | 0.79 | 13.38 | (10.30 | ) | (32.58 | ) | ||||||||||
Change in net asset value from operations | 1.03 | 14.26 | (9.92 | ) | (32.05 | ) | ||||||||||
Net asset value, at June 30, 2023 | $ | 20.49 | $ | 67.94 | $ | 20.49 | $ | 24.95 | ||||||||
Market value per share, at December 31, 2022 † | $ | 19.30 | $ | 53.57 | $ | 30.36 | $ | 56.90 | ||||||||
Market value per share, at June 30, 2023 † | $ | 20.58 | $ | 67.95 | $ | 20.48 | $ | 24.96 | ||||||||
Total Return, at net asset value^ | 5.3 | % | 26.6 | % | (32.6 | )% | (56.2 | )% | ||||||||
Total Return, at market value^ | 6.6 | % | 26.8 | % | (32.5 | )% | (56.1 | )% | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.05 | % | 0.95 | % | 0.98 | % | 1.09 | % | ||||||||
Net investment income gain (loss) | 2.44 | % | 3.06 | % | 2.90 | % | 2.61 | % |
* | 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 June 30, 2023. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Short VIX Short-Term Futures ETF | Ultra Bloomberg Crude Oil * | Ultra Bloomberg Natural Gas* | Ultra Euro | Ultra Gold | Ultra Silver | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 61.56 | $ | 21.54 | $ | 511.08 | $ | 13.32 | $ | 59.69 | $ | 34.84 | ||||||||||||
Net investment income (loss) | (0.29 | ) | (0.15 | ) | (5.86 | ) | (0.04 | ) | (0.22 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | (13.13 | ) | 20.22 | 285.48 | (2.20 | ) | (3.01 | ) | (9.93 | ) | ||||||||||||||
Change in net asset value from operations | (13.42 | ) | 20.07 | 279.62 | (2.24 | ) | (3.23 | ) | (10.06 | ) | ||||||||||||||
Net asset value, at June 30, 2022 | $ | 48.14 | $ | 41.61 | $ | 790.70 | $ | 11.08 | $ | 56.46 | $ | 24.78 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 61.55 | $ | 21.70 | $ | 521.80 | $ | 13.33 | $ | 59.81 | $ | 34.74 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 48.21 | $ | 41.86 | $ | 842.00 | $ | 11.11 | $ | 56.50 | $ | 24.47 | ||||||||||||
Total Return, at net asset value^ | (21.8 | )% | 93.2 | % | 54.7 | % | (16.8 | )% | (5.4 | )% | (28.9 | )% | ||||||||||||
Total Return, at market value^ | (21.7 | )% | 92.9 | % | 61.4 | % | (16.7 | )% | (5.5 | )% | (29.6 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.28 | % | 1.05 | % | 1.29 | % | 0.95 | % | 0.99 | % | 0.98 | % | ||||||||||||
Net investment income gain (loss) | (1.12 | )% | (0.82 | )% | (1.10 | )% | (0.65 | )% | (0.71 | )% | (0.75 | )% |
* | 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 June 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra VIX Short-Term Futures ETF* | Ultra Yen | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas * | UltraShort Euro | UltraShort Gold | ||||||||||||||||||
Net asset value, at December 31, 2021 | $ | 124.06 | $ | 47.29 | $ | 64.26 | $ | 247.40 | $ | 25.84 | $ | 31.71 | ||||||||||||
Net investment income (loss) | (1.13 | ) | (0.13 | ) | (0.12 | ) | (0.31 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||
Net realized and unrealized gain (loss)# | 22.20 | (13.65 | ) | (41.10 | ) | (204.44 | ) | 4.65 | (0.04 | ) | ||||||||||||||
Change in net asset value from operations | 21.07 | (13.78 | ) | (41.22 | ) | (204.75 | ) | 4.54 | (0.16 | ) | ||||||||||||||
Net asset value, at June 30, 2022 | $ | 145.13 | $ | 33.51 | $ | 23.04 | $ | 42.65 | $ | 30.38 | $ | 31.55 | ||||||||||||
Market value per share, at December 31, 2021 † | $ | 124.30 | $ | 47.29 | $ | 63.75 | $ | 242.20 | $ | 25.86 | $ | 31.66 | ||||||||||||
Market value per share, at June 30, 2022 † | $ | 145.30 | $ | 33.49 | $ | 22.93 | $ | 40.02 | $ | 30.41 | $ | 31.59 | ||||||||||||
Total Return, at net asset value^ | 17.0 | % | (29.2 | )% | (64.2 | )% | (82.8 | )% | 17.5 | % | (0.5 | )% | ||||||||||||
Total Return, at market value^ | 16.9 | % | (29.2 | )% | (64.0 | )% | (83.5 | )% | 17.6 | % | 0.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
Expense ratio^^ | 1.65 | % | 0.95 | % | 1.18 | % | 1.47 | % | 0.95 | % | 1.00 | % | ||||||||||||
Net investment income gain (loss) | (1.53 | )% | (0.67 | )% | (0.95 | )% | (1.30 | )% | (0.75 | )% | (0.81 | )% |
* | 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 June 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Silver | UltraShort Yen * | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF* | ||||||||||||
Net asset value, at December 31, 2021 | $ | 26.77 | $ | 41.50 | $ | 30.61 | $ | 75.62 | ||||||||
Net investment income (loss) | (0.11 | ) | (0.17 | ) | (0.14 | ) | (0.46 | ) | ||||||||
Net realized and unrealized gain (loss)# | 5.08 | 15.73 | 4.82 | 15.93 | ||||||||||||
Change in net asset value from operations | 4.97 | 15.56 | 4.68 | 15.47 | ||||||||||||
Net asset value, at June 30, 2022 | $ | 31.74 | $ | 57.06 | $ | 35.29 | $ | 91.09 | ||||||||
Market value per share, at December 31, 2021 † | $ | 26.84 | $ | 41.50 | $ | 30.57 | $ | 75.85 | ||||||||
Market value per share, at June 30, 2022 † | $ | 32.19 | $ | 57.13 | $ | 35.38 | $ | 91.25 | ||||||||
Total Return, at net asset value^ | 18.6 | % | 37.5 | % | 15.3 | % | 20.5 | % | ||||||||
Total Return, at market value^ | 19.9 | % | 37.7 | % | 15.7 | % | 20.3 | % | ||||||||
Ratios to Average Net Assets** | ||||||||||||||||
Expense ratio^^ | 1.07 | % | 0.95 | % | 1.02 | % | 1.20 | % | ||||||||
Net investment income gain (loss) | (0.86 | )% | (0.72 | )% | (0.87 | )% | (1.04 | )% |
* | 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 June 30, 2022. |
^^ | The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
1
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.
Fund | Interest Income Three Months Ended March 31, 2023 | Interest Income Three Months Ended March 31, 2022 | ||||||
ProShares Short VIX Short-Term Futures ETF | $ | 2,109,122 | $ | 94,343 | ||||
ProShares Ultra Bloomberg Crude Oil | 6,007,908 | 308,880 | ||||||
ProShares Ultra Bloomberg Natural Gas | 8,958,523 | 39,581 | ||||||
ProShares Ultra Euro | 97,237 | 4,587 | ||||||
ProShares Ultra Gold | 1,649,014 | 95,113 | ||||||
ProShares Ultra Silver | 3,374,396 | 140,449 | ||||||
ProShares Ultra VIX Short-Term Futures ETF | 4,416,655 | 95,261 | ||||||
ProShares Ultra Yen | 120,118 | 873 | ||||||
ProShares UltraShort Bloomberg Crude Oil | 2,003,209 | 53,907 | ||||||
ProShares UltraShort Bloomberg Natural Gas | 1,186,752 | 55,825 | ||||||
ProShares UltraShort Euro | 647,120 | 15,405 | ||||||
ProShares UltraShort Gold | 132,562 | 9,685 | ||||||
ProShares UltraShort Silver | 200,078 | 8,920 | ||||||
ProShares UltraShort Yen | 204,200 | 9,399 | ||||||
ProShares VIX Mid-Term Futures ETF | 647,920 | 23,923 | ||||||
ProShares VIX Short-Term Futures ETF | 2,120,561 | 70,709 |
2
Fund | Interest Income Three Months Ended June 30, 2023 | Interest Income Three Months Ended June 30, 2022 | Interest Income Six Months Ended June 30, 2023 | Interest Income Six Months Ended June 30, 2022 | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | $ | 2,437,210 | $ | 225,134 | $ | 4,546,332 | $ | 319,477 | ||||||||
ProShares Ultra Bloomberg Crude Oil | 5,878,092 | 1,264,011 | 11,886,000 | 1,572,891 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 8,866,705 | 146,470 | 17,825,228 | 186,051 | ||||||||||||
ProShares Ultra Euro | 88,182 | 6,522 | 185,419 | 11,109 | ||||||||||||
ProShares Ultra Gold | 1,983,196 | 319,154 | 3,632,210 | 414,267 | ||||||||||||
ProShares Ultra Silver | 3,701,182 | 421,514 | 7,075,578 | 561,963 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 4,750,595 | 430,670 | 9,167,250 | 525,931 | ||||||||||||
ProShares Ultra Yen | 114,980 | 3,064 | 235,098 | 3,937 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 1,560,028 | 289,299 | 3,563,237 | 343,206 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 1,344,889 | 122,188 | 2,531,641 | 178,013 | ||||||||||||
ProShares UltraShort Euro | 593,746 | 39,011 | 1,240,866 | 54,416 | ||||||||||||
ProShares UltraShort Gold | 184,052 | 19,975 | 316,614 | 29,660 | ||||||||||||
ProShares UltraShort Silver | 323,734 | 18,743 | 523,812 | 27,663 | ||||||||||||
ProShares UltraShort Yen | 255,354 | 26,913 | 459,554 | 36,312 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 650,585 | 52,826 | 1,298,505 | 76,749 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 2,440,291 | 207,903 | 4,560,852 | 278,612 |
3
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.
4
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 and Silver 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 and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
5
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 295,340,393 | $ | 495,588,849 | ||||
Percentage change in NAV | (13.0 | )% | 16.9 | % | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 4,634,307 | 9,084,307 | ||||||
Percentage change in shares outstanding | (19.9 | )% | 32.0 | % | ||||
Shares created | 2,450,000 | 3,000,000 | ||||||
Shares redeemed | 3,600,000 | 800,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 63.73 | $ | 54.55 | ||||
Percentage change in per share NAV | 8.6 | % | (11.4 | )% | ||||
Percentage change in benchmark | (20.3 | )% | 10.2 | % | ||||
Benchmark annualized volatility | 68.1 | % | 86.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 295,340,393 | $ | 495,588,849 | ||||
NAV end of period | $ | 282,353,267 | $ | 403,644,956 | ||||
Percentage change in NAV | (4.4 | )% | (18.6 | )% | ||||
Shares outstanding beginning of period | 4,634,307 | 9,084,307 | ||||||
Shares outstanding end of period | 3,334,307 | 8,384,307 | ||||||
Percentage change in shares outstanding | (28.1 | )% | (7.7 | )% | ||||
Shares created | 550,000 | 1,600,000 | ||||||
Shares redeemed | 1,850,000 | 2,300,000 | ||||||
Per share NAV beginning of period | $ | 63.73 | $ | 54.55 | ||||
Per share NAV end of period | $ | 84.68 | $ | 48.14 | ||||
Percentage change in per share NAV | 32.9 | % | (11.8 | )% | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.
6
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,416,842 | $ | (1,296,922 | ) | |||
Management fee | 565,777 | 986,537 | ||||||
Brokerage commission | 126,503 | 187,698 | ||||||
Futures account fees | — | 217,030 | ||||||
Net realized gain (loss) | 29,604,148 | (41,111,108 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,155,177 | 4,297,907 | ||||||
Net Income (loss) | $ | 34,176,167 | $ | (38,110,123 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,696,752 | $ | (1,094,000 | ) | |||
Management fee | 617,036 | 1,034,361 | ||||||
Brokerage commission | 123,422 | 177,552 | ||||||
Futures account fees | – | 107,221 | ||||||
Net realized gain (loss) | 65,202,331 | (13,105,212 | ) | |||||
Change in net unrealized appreciation (depreciation) | 9,673,101 | (34,507,780 | ) | |||||
Net Income (loss) | $ | 76,572,184 | $ | (48,706,992 | ) |
Oil
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 811,668,456 | $ | 1,336,980,685 | ||||
Percentage change in NAV | (5.5 | )% | 21.2 | % | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 30,593,096 | 35,243,096 | ||||||
Percentage change in shares outstanding | 7.7 | % | (31.2 | )% | ||||
Shares created | 19,100,000 | 8,600,000 | ||||||
Shares redeemed | 16,900,000 | 24,600,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 | ||||
Per share NAV end of period | $ | 26.53 | $ | 37.94 | ||||
Percentage change in per share NAV | (12.3 | )% | 76.1 | % | ||||
Percentage change in benchmark | (5.4 | )% | 36.7 | % | ||||
Benchmark annualized volatility | 30.8 | % | 46.0 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 811,668,456 | $ | 1,336,980,685 | ||||
NAV end of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
Percentage change in NAV | (9.1 | )% | (20.7 | )% | ||||
Shares outstanding beginning of period | 30,593,096 | 35,243,096 | ||||||
Shares outstanding end of period | 31,093,096 | 25,493,096 | ||||||
Percentage change in shares outstanding | 1.6 | % | (27.7 | )% | ||||
Shares created | 15,550,000 | 1,700,000 | ||||||
Shares redeemed | 15,050,000 | 11,450,000 | ||||||
Per share NAV beginning of period | $ | 26.53 | $ | 37.94 | ||||
Per share NAV end of period | $ | 23.74 | $ | 41.61 | ||||
Percentage change in per share NAV | (10.5 | )% | 9.7 | % | ||||
Percentage change in benchmark | (4.4 | )% | 6.8 | % | ||||
Benchmark annualized volatility | 32.8 | % | 37.5 | % |
7
Net Income/Loss
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 4,038,946 | $ | (3,224,160 | ) | |||
Management fee | 1,874,618 | 3,084,812 | ||||||
Brokerage commission | 94,344 | 195,541 | ||||||
Futures account fees | — | 252,687 | ||||||
Net realized gain (loss) | 85,780,427 | 799,419,934 | ||||||
Change in net unrealized appreciation (depreciation) | (138,210,442 | ) | (94,663,987 | ) | ||||
Net Income (loss) | $ | (48,391,069 | ) | $ | 701,531,787 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,038,791 | $ | (2,084,704 | ) | |||
Management fee | 1,744,998 | 3,098,904 | ||||||
Brokerage commission | 94,303 | 140,210 | ||||||
Futures account fees | – | 109,601 | ||||||
Net realized gain (loss) | (76,414,795 | ) | 363,291,439 | |||||
Change in net unrealized appreciation (depreciation) | 45,539,157 | (211,544,109 | ) | |||||
Net Income (loss) | $ | (26,836,847 | ) | $ | 149,662,626 |
* | 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 forward Share split for ProShares Ultra Bloomberg Crude Oil. |
Gas* NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatilityGasMarch 31,June 30, 2023 and 2022: Three Months Ended
March 31, 2023 Three Months Ended
March 31, 2022 $ 586,151,113 $ 193,892,178 $ 1,139,983,773 $ 145,069,486 94.5 % (25.2 )% 32,287,527 7,587,527 309,087,527 2,587,527 857.3 % (65.9 )% 379,450,000 2,600,000 102,650,000 7,600,000 $ 18.15 $ 25.55 $ 3.69 $ 56.06 (79.7 )% 119.4 % (50.4 )% 58.4 % 78.6 % 72.9 %
June 30, 2023
June 30, 2022 $ 1,139,983,773 $ 145,069,486 $ 1,141,021,278 $ 187,297,842 0.1 % 29.1 % 15,454,376 129,376 16,421,876 236,876
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Percentage change in shares outstanding | 6.3 | % | 83.1 | % | ||||
Shares created | 13,792,500 | 325,000 | ||||||
Shares redeemed | 12,825,000 | 217,500 | ||||||
Per share NAV beginning of period | $ | 73.76 | $ | 1121.30 | ||||
Per share NAV end of period | $ | 69.48 | $ | 790.70 | ||||
Percentage change in per share NAV | (5.8 | )% | (29.5 | )% | ||||
Percentage change in benchmark | 2.2 | % | (6.0 | )% | ||||
Benchmark annualized volatility | 57.7 | % | 37.5 | % |
8
For the three months ended March 31,June 30, 2023 and 2022, 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 79.7%5.8% for the three months ended March 31,June 30, 2023, as compared to the Fund’s per Share NAV increasedecrease of 119.4%29.5% for the three months ended March 31,June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31,June 30, 2023.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 5,489,641 | $ | (516,598 | ) | |||
Management fee | 2,328,410 | 396,610 | ||||||
Brokerage commission | 952,779 | 88,452 | ||||||
Futures account fees | 187,693 | 71,117 | ||||||
Net realized gain (loss) | (1,061,634,864 | ) | 76,217,236 | |||||
Change in net unrealized appreciation (depreciation) | (53,009,690 | ) | 84,867,744 | |||||
Net Income (loss) | $ | (1,109,154,913 | ) | $ | 160,568,382 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,920,978 | $ | (566,073 | ) | |||
Management fee | 2,588,571 | 534,624 | ||||||
Brokerage commission | 1,145,371 | 114,706 | ||||||
Futures account fees | 211,785 | 63,213 | ||||||
Net realized gain (loss) | (616,886,915 | ) | 164,990,694 | |||||
Change in net unrealized appreciation (depreciation) | 658,057,024 | (271,288,469 | ) | |||||
Net Income (loss) | $ | 46,091,087 | $ | (106,863,848 | ) |
* | 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 Bloomberg Natural Gas. |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 8,616,433 | $ | 6,236,982 | ||||
Percentage change in NAV | (19.5 | )% | (28.0 | )% | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 750,000 | 500,000 | ||||||
Percentage change in shares outstanding | (21.1 | )% | (23.1 | )% | ||||
Shares created | 200,000 | 100,000 | ||||||
Shares redeemed | 400,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 11.49 | $ | 12.47 | ||||
Percentage change in per share NAV | 2.0 | % | (6.4 | )% | ||||
Percentage change in benchmark | 1.31 | % | (2.8 | )% | ||||
Benchmark annualized volatility | 9.21 | % | 8.6 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 8,616,433 | $ | 6,236,982 | ||||
NAV end of period | $ | 7,535,435 | $ | 9,415,626 | ||||
Percentage change in NAV | (12.5 | )% | 51.0 | % | ||||
Shares outstanding beginning of period | 750,000 | 500,000 | ||||||
Shares outstanding end of period | 650,000 | 850,000 | ||||||
Percentage change in shares outstanding | (13.3 | )% | 70.0 | % | ||||
Shares created | – | 450,000 | ||||||
Shares redeemed | 100,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 11.49 | $ | 12.47 | ||||
Per share NAV end of period | $ | 11.59 | $ | 11.08 | ||||
Percentage change in per share NAV | 0.9 | % | (11.1 | )% | ||||
Percentage change in benchmark | 0.6 | % | (5.3 | )% | ||||
Benchmark annualized volatility | 6.8 | % | 9.1 | % |
9
decrease increase in the Fund’s NAV resulted primarily from a decreasean increase from 650,000 outstanding Shares at December 31, 2021 to 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. The decreaseincrease 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 72,991 | $ | (15,691 | ) | |||
Management fee | 24,246 | 20,278 | ||||||
Net realized gain (loss) | 280,279 | (446,979 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,945 | ) | (138,425 | ) | ||||
Net Income (loss) | $ | 256,325 | $ | (601,095 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 68,331 | $ | (8,515 | ) | |||
Management fee | 19,851 | 15,037 | ||||||
Net realized gain (loss) | 78,291 | (446,365 | ) | |||||
Change in net unrealized appreciation (depreciation) | (79,023 | ) | (281,290 | ) | ||||
Net Income (loss) | $ | 67,599 | $ | (736,170 | ) |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 201,161,529 | $ | 355,029,822 | ||||
Percentage change in NAV | 15.9 | % | 52.5 | % | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 3,200,000 | 5,300,000 | ||||||
Percentage change in shares outstanding | 1.6 | % | 35.9 | % | ||||
Shares created | 400,000 | 1,500,000 | ||||||
Shares redeemed | 350,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 62.86 | $ | 66.99 | ||||
Percentage change in per share NAV | 14.1 | % | 12.2 | % | ||||
Percentage change in benchmark | 8.1 | % | 6.6 | % | ||||
Benchmark annualized volatility | 15.7 | % | 17.3 | % |
10
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 201,161,529 | $ | 355,029,822 | ||||
NAV end of period | $ | 180,916,531 | $ | 239,938,853 | ||||
Percentage change in NAV | (10.1 | )% | (32.4 | )% | ||||
Shares outstanding beginning of period | 3,200,000 | 5,300,000 | ||||||
Shares outstanding end of period | 3,100,000 | 4,250,000 | ||||||
Percentage change in shares outstanding | (3.1 | )% | (19.8 | )% | ||||
Shares created | 50,000 | 100,000 | ||||||
Shares redeemed | 150,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 62.86 | $ | 66.99 | ||||
Per share NAV end of period | $ | 58.36 | $ | 56.46 | ||||
Percentage change in per share NAV | (7.2 | )% | (15.7 | )% | ||||
Percentage change in benchmark | (2.5 | )% | (7.6 | )% | ||||
Benchmark annualized volatility | 12.7 | % | 13.8 | % |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,213,285 | $ | (617,466 | ) | |||
Management fee | 427,114 | 671,415 | ||||||
Brokerage commission | 8,615 | 21,659 | ||||||
Futures account fees | — | 19,505 | ||||||
Net realized gain (loss) | 10,799,896 | 57,818,596 | ||||||
Change in net unrealized appreciation (depreciation) | 10,688,379 | (24,820,511 | ) | |||||
Net Income (loss) | $ | 22,701,560 | $ | 32,380,619 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,502,010 | $ | (419,722 | ) | |||
Management fee | 474,261 | 716,148 | ||||||
Brokerage commission | 6,925 | 14,064 | ||||||
Futures account fees | — | 8,664 | ||||||
Net realized gain (loss) | 17,168,107 | (57,901,083 | ) | |||||
Change in net unrealized appreciation (depreciation) | (32,854,842 | ) | 4,971,043 | |||||
Net Income (loss) | $ | (14,184,725 | ) | $ | (53,349,762 | ) |
11
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 429,115,334 | $ | 558,375,841 | ||||
NAV end of period | $ | 356,791,659 | $ | 355,577,515 | ||||
Percentage change in NAV | (16.9 | )% | (36.3 | )% | ||||
Shares outstanding beginning of period | 13,796,526 | 14,296,526 | ||||||
Shares outstanding end of period | 13,196,526 | 14,346,526 | ||||||
Percentage change in shares outstanding | (4.3 | )% | 0.3 | % | ||||
Shares created | 700,000 | 800,000 | ||||||
Shares redeemed | 1,300,000 | 750,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 39.06 | ||||
Per share NAV end of period | $ | 27.04 | $ | 24.78 | ||||
Percentage change in per share NAV | (13.1 | )% | (36.6 | )% | ||||
Percentage change in benchmark | (5.1 | )% | (19.4 | )% | ||||
Benchmark annualized volatility | 24.1 | % | 23.7 | % |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 429,115,334 | $ | 558,375,842 | ||||
Percentage change in NAV | 3.6 | % | 8.3 | % | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,796,526 | 14,296,526 | ||||||
Percentage change in shares outstanding | 5.7 | % | (3.4 | )% | ||||
Shares created | 1,900,000 | 1,000,000 | ||||||
Shares redeemed | 1,150,000 | 1,500,000 | ||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 31.10 | $ | 39.06 | ||||
Percentage change in per share NAV | (2.0 | )% | 12.1 | % | ||||
Percentage change in benchmark | 0.8 | % | 7.5 | % | ||||
Benchmark annualized volatility | 27.6 | % | 31.9 | % |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 2,476,275 | $ | (1,128,206 | ) | |||
Management fee | 871,559 | 1,217,599 | ||||||
Brokerage commission | 26,562 | 30,551 | ||||||
Futures account fees | — | 20,505 | ||||||
Net realized gain (loss) | (28,743,864 | ) | 116,637,037 | |||||
Change in net unrealized appreciation (depreciation) | 22,352,120 | (58,036,245 | ) | |||||
Net Income (loss) | $ | (3,915,469 | ) | $ | 57,472,586 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,677,602 | $ | (695,746 | ) | |||
Management fee | 976,505 | 1,082,340 | ||||||
Brokerage commission | 47,075 | 28,732 | ||||||
Futures account fees | — | 6,188 | ||||||
Net realized gain (loss) | 64,615,443 | (156,195,349 | ) | |||||
Change in net unrealized appreciation (depreciation) | (119,017,342 | ) | (50,135,799 | ) | ||||
Net Income (loss) | $ | (51,724,297 | ) | $ | (207,026,894 | ) |
12
ETF* NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatilityETFMarch 31,June 30, 2023 and 2022: Three Months Ended
March 31, 2023 Three Months Ended
March 31, 2022 $ 639,318,362 $ 816,679,636 $ 535,980,236 $ 1,127,608,641 (16.2 )% 38.1 % 93,078,420 65,828,420 115,878,420 83,528,420 24.5 % 26.9 % 83,700,000 83,100,000 60,900,000 65,400,000 $ 6.87 $ 12.41 $ 4.63 $ 13.50 (32.7 )% 8.8 % (20.3 )% 10.2 % 68.1 % 86.4 %
June 30, 2023
June 30, 2022 $ 535,980,236 $ 1,127,608,641 $ 387,764,059 $ 975,683,533 (27.7 )% (13.5 )% 11,587,842 8,352,842 20,977,842 6,722,842 81.0 % (19.5 )% 12,940,000 5,840,000 3,550,000 7,470,000 $ 46.25 $ 135.00 $ 18.48 $ 145.13 (60.0 )% 7.5 % (44.4 )% 10.3 % 45.8 % 90.4 % March 31,June 30, 2023, 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 93,078,420 outstanding Shares at December 31, 2022 to 115,878,42011,587,842 outstanding Shares at March 31, 2023 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the three months ended March 31,June 30, 2022, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,4208,352,842 outstanding Shares at March 31, 2022 to 6,722,842 outstanding Shares at June 30, 2022. The increasedecrease 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 one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.March 31,June 30, 2023 and 2022, 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 32.7%60.0% for the three months ended March 31,June 30, 2023, as compared to the Fund’s per Share NAV increase of 8.8%7.5% for the three months ended March 31,June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31,June 30, 2023.20.3%44.4% for the three months ended March 31,June 30, 2023, as compared to the benchmark’s rise of 10.2%10.3% for the three months ended March 31,June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31,June 30, 2023.
13
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 2,141,823 | $ | (3,585,362 | ) | |||
Management fee | 1,373,770 | 1,961,177 | ||||||
Brokerage commission | 777,701 | 936,758 | ||||||
Futures account fees | 123,361 | 782,688 | ||||||
Net realized gain (loss) | (182,241,208 | ) | 280,979,531 | |||||
Change in net unrealized appreciation (depreciation) | 2,037,527 | (35,000,884 | ) | |||||
Net Income (loss) | $ | (178,061,858 | ) | $ | 242,393,285 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,581,004 | $ | (3,277,402 | ) | |||
Management fee | 1,330,081 | 2,293,738 | ||||||
Brokerage commission | 712,511 | 970,211 | ||||||
Futures account fees | 126,999 | 444,123 | ||||||
Net realized gain (loss) | (426,300,356 | ) | 90,701,501 | |||||
Change in net unrealized appreciation (depreciation) | (45,315,177 | ) | 196,735,349 | |||||
Net Income (loss) | $ | (469,034,529 | ) | $ | 284,159,448 |
* | 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. |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 9,915,083 | $ | 2,099,705 | ||||
Percentage change in NAV | (28.2 | )% | (11.1 | )% | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 299,970 | 49,970 | ||||||
Percentage change in shares outstanding | (25.0 | )% | — | % | ||||
Shares created | 50,000 | — | ||||||
Shares redeemed | 150,000 | — | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 33.05 | $ | 42.02 | ||||
Percentage change in per share NAV | (4.3 | )% | (11.1 | )% | ||||
Percentage change in benchmark | (1.16 | )% | (5.5 | )% | ||||
Benchmark annualized volatility | 12.37 | % | 7.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 9,915,083 | $ | 2,099,705 | ||||
NAV end of period | $ | 12,330,974 | $ | 5,024,773 | ||||
Percentage change in NAV | 24.4 | % | 139.3 | % | ||||
Shares outstanding beginning of period | 299,970 | 49,970 | ||||||
Shares outstanding end of period | 449,970 | 149,970 | ||||||
Percentage change in shares outstanding | 50.0 | % | 200.1 | % | ||||
Shares created | 150,000 | 100,000 | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 33.05 | $ | 42.02 | ||||
Per share NAV end of period | $ | 27.40 | $ | 33.51 | ||||
Percentage change in per share NAV | (17.1 | )% | (20.3 | )% | ||||
Percentage change in benchmark | (8.0 | )% | (10.3 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 89,650 | $ | (4,972 | ) | |||
Management fee | 25,330 | 8,036 | ||||||
Net realized gain (loss) | (770,142 | ) | (761,478 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,348,109 | ) | 152,185 | |||||
Net Income (loss) | $ | (2,028,601 | ) | $ | (614,265 | ) |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 144,762,563 | $ | 416,799,231 | ||||
NAV end of period | $ | 112,854,952 | $ | 501,157,304 | ||||
Percentage change in NAV | (22.0 | )% | 20.2 | % | ||||
Shares outstanding beginning of period | 5,755,220 | 14,286,760 | ||||||
Shares outstanding end of period | 4,405,220 | 21,755,220 | ||||||
Percentage change in shares outstanding | (23.5 | )% | 52.3 | % | ||||
Shares created | 6,250,000 | 12,320,000 | ||||||
Shares redeemed | 7,600,000 | 4,851,540 | ||||||
Per share NAV beginning of period | $ | 25.15 | $ | 29.17 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV end of period | $ | 25.62 | $ | 23.04 | ||||
Percentage change in per share NAV | 1.9 | % | (21.0 | )% | ||||
Percentage change in benchmark | (4.4 | )% | 6.8 | % | ||||
Benchmark annualized volatility | 32.8 | % | 37.5 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,140,772 | $ | (849,692 | ) | |||
Management fee | 359,177 | 946,110 | ||||||
Brokerage commission | 60,079 | 107,079 | ||||||
Futures account fees | — | 85,802 | ||||||
Net realized gain (loss) | 28,034,524 | (102,594,000 | ) | |||||
Change in net unrealized appreciation (depreciation) | (8,216,608 | ) | 34,757,114 | |||||
Net Income (loss) | $ | 20,958,688 | $ | (68,686,578 | ) |
* | 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. |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 146,981,760 | $ | 250,340,837 | ||||
NAV end of period | $ | 141,324,963 | $ | 211,823,446 | ||||
Percentage change in NAV | (3.8 | )% | (15.4 | )% | ||||
Shares outstanding beginning of period | 2,066,856 | 3,868,620 | ||||||
Shares outstanding end of period | 2,566,856 | 4,966,856 | ||||||
Percentage change in shares outstanding | 24.2 | % | 28.4 | % | ||||
Shares created | 6,600,000 | 18,700,000 | ||||||
Shares redeemed | 6,100,000 | 17,601,764 | ||||||
Per share NAV beginning of period | $ | 71.11 | $ | 64.71 | ||||
Per share NAV end of period | $ | 55.06 | $ | 42.65 | ||||
Percentage change in per share NAV | (22.6 | )% | (34.1 | )% | ||||
Percentage change in benchmark | 2.2 | % | (6.0 | )% | ||||
Benchmark annualized volatility | 57.7 | % | 87.3 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 782,210 | $ | (610,379 | ) | |||
Management fee | 302,274 | 510,704 | ||||||
Brokerage commission | 233,647 | 144,907 | ||||||
Futures account fees | 26,758 | 76,956 | ||||||
Net realized gain (loss) | 48,737,843 | (282,646,884 | ) | |||||
Change in net unrealized appreciation (depreciation) | (61,250,100 | ) | 228,079,127 | |||||
Net Income (loss) | $ | (11,730,047 | ) | $ | (55,178,136 | ) |
* | 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 Natural Gas. |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 59,537,260 | $ | 50,498,084 | ||||
NAV end of period | $ | 50,931,301 | $ | 62,270,097 | ||||
Percentage change in NAV | (14.5 | )% | 23.3 | % | ||||
Shares outstanding beginning of period | 2,050,000 | 1,850,000 | ||||||
Shares outstanding end of period | 1,750,000 | 2,050,000 | ||||||
Percentage change in shares outstanding | (14.6 | )% | 10.8 | % | ||||
Shares created | – | 500,000 | ||||||
Shares redeemed | 300,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 29.04 | $ | 27.30 | ||||
Per share NAV end of period | $ | 29.10 | $ | 30.38 | ||||
Percentage change in per share NAV | 0.2 | % | 11.3 | % | ||||
Percentage change in benchmark | 0.6 | % | (5.3 | )% | ||||
Benchmark annualized volatility | 6.8 | % | 9.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 462,645 | $ | (107,923 | ) | |||
Management fee | 131,101 | 146,934 | ||||||
Net realized gain (loss) | (1,045,942 | ) | 3,065,129 | |||||
Change in net unrealized appreciation (depreciation) | 556,469 | 3,039,738 | ||||||
Net Income (loss) | $ | (26,828 | ) | $ | 5,996,944 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 16,049,273 | $ | 32,598,451 | ||||
NAV end of period | $ | 15,809,378 | $ | 34,611,284 | ||||
Percentage change in NAV | (1.5 | )% | 6.2 | % | ||||
Shares outstanding beginning of period | 596,977 | 1,196,977 | ||||||
Shares outstanding end of period | 546,977 | 1,096,977 | ||||||
Percentage change in shares outstanding | (8.4 | )% | (8.4 | )% | ||||
Shares created | 300,000 | 700,000 | ||||||
Shares redeemed | 350,000 | 800,000 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 26.88 | $ | 27.23 | ||||
Per share NAV end of period | $ | 28.90 | $ | 31.55 | ||||
Percentage change in per share NAV | 7.5 | % | 15.9 | % | ||||
Percentage change in benchmark | (2.5 | )% | (7.6 | )% | ||||
Benchmark annualized volatility | 12.7 | % | 13.8 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 139,578 | $ | (59,266 | ) | |||
Management fee | 42,869 | 75,676 | ||||||
Brokerage commission | 1,605 | 2,985 | ||||||
Futures account fees | — | 580 | ||||||
Net realized gain (loss) | (1,553,151 | ) | 4,557,870 | |||||
Change in net unrealized appreciation (depreciation) | 2,758,921 | 289,951 | ||||||
Net Income (loss) | $ | 1,345,348 | $ | 4,788,555 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 20,335,691 | $ | 23,406,516 | ||||
NAV end of period | $ | 19,290,473 | $ | 33,052,840 | ||||
Percentage change in NAV | (5.1 | )% | 41.2 | % | ||||
Shares outstanding beginning of period | 1,091,329 | 1,091,329 | ||||||
Shares outstanding end of period | 941,329 | 1,041,329 | ||||||
Percentage change in shares outstanding | (13.7 | )% | (4.6 | )% | ||||
Shares created | 2,450,000 | 700,000 | ||||||
Shares redeemed | 2,600,000 | 750,000 | ||||||
Per share NAV beginning of period | $ | 18.63 | $ | 21.45 | ||||
Per share NAV end of period | $ | 20.49 | $ | 31.74 | ||||
Percentage change in per share NAV | 10.0 | % | 48.0 | % | ||||
Percentage change in benchmark | (5.1 | )% | (19.4 | )% | ||||
Benchmark annualized volatility | 24.1 | % | 23.7 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 232,359 | $ | (51,484 | ) | |||
Management fee | 82,417 | 62,381 | ||||||
Brokerage commission | 8,958 | 6,677 | ||||||
Futures account fees | — | 1,169 | ||||||
Net realized gain (loss) | 1,112,690 | 9,411,232 | ||||||
Change in net unrealized appreciation (depreciation) | 5,650,294 | 3,853,312 | ||||||
Net Income (loss) | $ | 6,995,343 | $ | 13,213,060 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 25,111,818 | $ | 27,726,701 | ||||
NAV end of period | $ | 27,077,656 | $ | 45,568,882 | ||||
Percentage change in NAV | 7.8 | % | 64.4 | % | ||||
Shares outstanding beginning of period | 448,580 | 598,580 | ||||||
Shares outstanding end of period | 398,580 | 798,580 | ||||||
Percentage change in shares outstanding | (11.1 | )% | 33.4 | % | ||||
Shares created | 250,000 | 650,000 | ||||||
Shares redeemed | 300,000 | 450,000 | ||||||
Per share NAV beginning of period | $ | 55.98 | $ | 46.32 | ||||
Per share NAV end of period | $ | 67.94 | $ | 57.06 | ||||
Percentage change in per share NAV | 21.4 | % | 23.2 | % | ||||
Percentage change in benchmark | (8.0 | )% | (10.3 | )% | ||||
Benchmark annualized volatility | 8.9 | % | 11.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 197,175 | $ | (66,268 | ) | |||
Management fee | 58,179 | 93,181 | ||||||
Net realized gain (loss) | 1,370,771 | 7,917,170 | ||||||
Change in net unrealized appreciation (depreciation) | 3,145,023 | (1,367,929 | ) | |||||
Net Income (loss) | $ | 4,712,969 | $ | 6,482,973 |
* | 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 forward Share split for ProShares UltraShort Yen. |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 67,306,087 | $ | 97,869,914 | ||||
NAV end of period | $ | 49,421,413 | $ | 95,721,271 | ||||
Percentage change in NAV | (26.6 | )% | (2.2 | )% | ||||
Shares outstanding beginning of period | 2,512,403 | 3,112,403 | ||||||
Shares outstanding end of period | 2,412,403 | 2,712,403 | ||||||
Percentage change in shares outstanding | (4.0 | )% | (12.9 | )% | ||||
Shares created | 575,000 | 300,000 | ||||||
Shares redeemed | 675,000 | 700,000 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 26.79 | $ | 31.45 | ||||
Per share NAV end of period | $ | 20.49 | $ | 35.29 | ||||
Percentage change in per share NAV | (23.5 | )% | 12.2 | % | ||||
Percentage change in benchmark | (23.1 | )% | 12.9 | % | ||||
Benchmark annualized volatility | 22.6 | % | 37.1 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 492,463 | $ | (184,164 | ) | |||
Management fee | 134,066 | 210,584 | ||||||
Brokerage commission | 12,200 | 15,500 | ||||||
Futures account fees | 11,856 | 10,906 | ||||||
Net realized gain (loss) | (6,943,333 | ) | 7,862,052 | |||||
Change in net unrealized appreciation (depreciation) | (9,675,102 | ) | 3,992,670 | |||||
Net Income (loss) | $ | (16,125,972 | ) | $ | 11,670,558 |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 226,765,204 | $ | 404,950,400 | ||||
NAV end of period | $ | 230,227,830 | $ | 341,714,316 | ||||
Percentage change in NAV | 1.5 | % | (15.6 | )% | ||||
Shares outstanding beginning of period | 5,021,565 | 4,876,565 | ||||||
Shares outstanding end of period | 9,226,565 | 3,751,565 | ||||||
Percentage change in shares outstanding | 83.7 | % | (23.1 | )% | ||||
Shares created | 4,460,000 | 1,635,000 | ||||||
Shares redeemed | 255,000 | 2,760,000 | ||||||
Per share NAV beginning of period | $ | 45.16 | $ | 83.04 | ||||
Per share NAV end of period | $ | 24.95 | $ | 91.09 | ||||
Percentage change in per share NAV | (44.8 | )% | 9.6 | % | ||||
Percentage change in benchmark | (44.4 | )% | 10.3 | % | ||||
Benchmark annualized volatility | 45.8 | % | 90.4 | % |
Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,765,342 | $ | (852,779 | ) | |||
Management fee | 530,826 | 773,717 | ||||||
Brokerage commission | 95,391 | 171,182 | ||||||
Futures account fees | 48,732 | 115,783 | ||||||
Net realized gain (loss) | (127,239,912 | ) | 23,658,785 | |||||
Change in net unrealized appreciation (depreciation) | (21,303,253 | ) | 46,600,777 | |||||
Net Income (loss) | $ | (146,777,823 | ) | $ | 69,406,783 |
* | 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. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 339,591,638 | $ | 423,812,594 | ||||
NAV end of period | $ | 282,353,267 | $ | 403,644,956 | ||||
Percentage change in NAV | (16.9 | )% | (4.8 | )% | ||||
Shares outstanding beginning of period | 5,784,307 | 6,884,307 | ||||||
Shares outstanding end of period | 3,334,307 | 8,384,307 | ||||||
Percentage change in shares outstanding | (42.4 | )% | 21.8 | % | ||||
Shares created | 3,000,000 | 4,600,000 | ||||||
Shares redeemed | 5,450,000 | 3,100,000 | ||||||
Per share NAV beginning of period | $ | 58.71 | $ | 61.56 | ||||
Per share NAV end of period | $ | 84.68 | $ | 48.14 | ||||
Percentage change in per share NAV | 44.2 | % | (21.8 | )% | ||||
Percentage change in benchmark | (55.7 | )% | 21.6 | % | ||||
Benchmark annualized volatility | 58.0 | % | 88.1 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 3,113,594 | $ | (2,390,922 | ) | |||
Management fee | 1,182,813 | 2,020,898 | ||||||
Brokerage commission | 249,925 | 365,250 | ||||||
Futures account fees | — | 324,251 | ||||||
Net realized gain (loss) | 94,806,479 | (54,216,320 | ) | |||||
Change in net unrealized appreciation (depreciation) | 12,828,278 | (30,209,873 | ) | |||||
Net Income (loss) | $ | 110,748,351 | $ | (86,817,115 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 859,094,274 | $ | 1,103,783,570 | ||||
NAV end of period | $ | 738,194,368 | $ | 1,060,867,238 | ||||
Percentage change in NAV | (14.1 | )% | (3.9 | )% | ||||
Shares outstanding beginning of period | 28,393,096 | 51,243,096 | ||||||
Shares outstanding end of period | 31,093,096 | 25,493,096 | ||||||
Percentage change in shares outstanding | 9.5 | % | (50.3 | )% | ||||
Shares created | 34,650,000 | 10,300,000 | ||||||
Shares redeemed | 31,950,000 | 36,050,000 | ||||||
Per share NAV beginning of period | $ | 30.26 | $ | 21.54 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Per share NAV end of period | $ | 23.74 | $ | 41.61 | ||||
Percentage change in per share NAV | (21.5 | )% | 93.2 | % | ||||
Percentage change in benchmark | (9.5 | )% | 45.9 | % | ||||
Benchmark annualized volatility | 31.7 | % | 41.9 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 8,077,737 | $ | (5,308,864 | ) | |||
Management fee | 3,619,616 | 6,183,716 | ||||||
Brokerage commission | 188,647 | 335,751 | ||||||
Futures account fees | — | 362,288 | ||||||
Net realized gain (loss) | 9,365,632 | 1,162,711,373 | ||||||
Change in net unrealized appreciation (depreciation) | (92,671,285 | ) | (306,208,096 | ) | ||||
Net Income (loss) | $ | (75,227,916 | ) | $ | 851,194,413 |
* | 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 forward Share split for ProShares Ultra Bloomberg Crude Oil. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 586,151,113 | $ | 193,892,178 | ||||
NAV end of period | $ | 1,141,021,278 | $ | 187,297,842 | ||||
Percentage change in NAV | 94.7 | % | (3.4 | )% | ||||
Shares outstanding beginning of period | 1,614,376 | 379,376 | ||||||
Shares outstanding end of period | 16,421,876 | 236,876 | ||||||
Percentage change in shares outstanding | 917.2 | % | (37.6 | )% | ||||
Shares created | 32,765,000 | 455,000 | ||||||
Shares redeemed | 17,957,500 | 597,500 | ||||||
Per share NAV beginning of period | $ | 363.08 | $ | 511.08 | ||||
Per share NAV end of period | $ | 69.48 | $ | 790.70 | ||||
Percentage change in per share NAV | (80.9 | )% | 54.7 | % | ||||
Percentage change in benchmark | (49.3 | )% | 48.9 | % | ||||
Benchmark annualized volatility | 69.2 | % | 80.3 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 10,410,619 | $ | (1,082,671 | ) | |||
Management fee | 4,916,981 | 931,234 | ||||||
Brokerage commission | 2,098,150 | 203,158 | ||||||
Futures account fees | 399,478 | 134,330 | ||||||
Net realized gain (loss) | (1,678,521,779 | ) | 241,207,930 | |||||
Change in net unrealized appreciation (depreciation) | 605,047,334 | (186,420,725 | ) | |||||
Net Income (loss) | $ | (1,063,063,826 | ) | $ | 53,704,534 |
* | 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 Bloomberg Natural Gas. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 7,535,435 | $ | 9,415,626 | ||||
Percentage change in NAV | (29.6 | )% | 8.7 | % | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 650,000 | 850,000 | ||||||
Percentage change in shares outstanding | (31.6 | )% | 30.8 | % | ||||
Shares created | 200,000 | 550,000 | ||||||
Shares redeemed | 500,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 11.59 | $ | 11.08 | ||||
Percentage change in per share NAV | 2.9 | % | (16.8 | )% | ||||
Percentage change in benchmark | 1.9 | % | (7.9 | )% | ||||
Benchmark annualized volatility | 8.0 | % | 8.8 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 141,322 | $ | (24,206 | ) | |||
Management fee | 44,097 | 35,315 | ||||||
Net realized gain (loss) | 358,570 | (893,344 | ) | |||||
Change in net unrealized appreciation (depreciation) | (175,968 | ) | (419,715 | ) | ||||
Net Income (loss) | $ | 323,924 | $ | (1,337,265 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 180,916,531 | $ | 239,938,853 | ||||
Percentage change in NAV | 4.3 | % | 3.1 | % | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 3,100,000 | 4,250,000 | ||||||
Percentage change in shares outstanding | (1.6 | )% | 9.0 | % | ||||
Shares created | 450,000 | 1,600,000 | ||||||
Shares redeemed | 500,000 | 1,250,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 58.36 | $ | 56.46 | ||||
Percentage change in per share NAV | 5.9 | % | (5.4 | )% | ||||
Percentage change in benchmark | 5.4 | % | (1.5 | )% | ||||
Benchmark annualized volatility | 14.3 | % | 15.7 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,715,295 | $ | (1,037,188 | ) | |||
Management fee | 901,375 | 1,387,563 | ||||||
Brokerage commission | 15,540 | 35,723 | ||||||
Futures account fees | — | 28,169 | ||||||
Net realized gain (loss) | 27,968,003 | (82,487 | ) | |||||
Change in net unrealized appreciation (depreciation) | (22,166,463 | ) | (19,849,468 | ) | ||||
Net Income (loss) | $ | 8,516,835 | $ | (20,969,143 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 356,791,659 | $ | 355,577,515 | ||||
Percentage change in NAV | (13.9 | )% | (31.0 | )% | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,196,526 | 14,346,526 | ||||||
Percentage change in shares outstanding | 1.1 | % | (3.0 | )% | ||||
Shares created | 2,600,000 | 1,800,000 | ||||||
Shares redeemed | 2,450,000 | 2,250,000 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 27.04 | $ | 24.78 | ||||
Percentage change in per share NAV | (14.8 | )% | (28.9 | )% | ||||
Percentage change in benchmark | (4.4 | )% | (13.4 | )% | ||||
Benchmark annualized volatility | 25.8 | % | 28.2 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 5,153,877 | $ | (1,823,952 | ) | |||
Management fee | 1,848,064 | 2,299,939 | ||||||
Brokerage commission | 73,637 | 59,283 | ||||||
Futures account fees | — | 26,693 | ||||||
Net realized gain (loss) | 35,871,579 | (39,558,312 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,665,222 | ) | (108,172,044 | ) | ||||
Net Income (loss) | $ | (55,639,766 | ) | $ | (149,554,308 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
NAV end of period | $ | 387,764,059 | $ | 975,683,533 | ||||
Percentage change in NAV | (39.3 | )% | 19.5 | % | ||||
Shares outstanding beginning of period | 9,307,842 | 6,582,842 | ||||||
Shares outstanding end of period | 20,977,842 | 6,722,842 | ||||||
Percentage change in shares outstanding | 125.4 | % | 2.1 | % | ||||
Shares created | 21,310,000 | 14,150,000 | ||||||
Shares redeemed | 9,640,000 | 14,010,000 | ||||||
Per share NAV beginning of period | $ | 68.89 | $ | 124.06 | ||||
Per share NAV end of period | $ | 18.48 | $ | 145.13 | ||||
Percentage change in per share NAV | (73.1 | )% | 17.0 | % | ||||
Percentage change in benchmark | (55.7 | )% | 21.6 | % | ||||
Benchmark annualized volatility | 58.0 | % | 88.1 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 4,722,827 | $ | (6,862,764 | ) | |||
Management fee | 2,703,851 | 4,254,915 | ||||||
Brokerage commission | 1,490,212 | 1,906,969 | ||||||
Futures account fees | 250,360 | 1,226,811 | ||||||
Net realized gain (loss) | (608,541,564 | ) | 371,681,032 | |||||
Change in net unrealized appreciation (depreciation) | (43,277,650 | ) | 161,734,465 | |||||
Net Income (loss) | $ | (647,096,387 | ) | $ | 526,552,733 |
* | 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. |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 12,330,974 | $ | 5,024,773 | ||||
Percentage change in NAV | (10.7 | )% | 112.7 | % | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 449,970 | 149,970 | ||||||
Percentage change in shares outstanding | 12.5 | % | 200.1 | % | ||||
Shares created | 200,000 | 100,000 | ||||||
Shares redeemed | 150,000 | — | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 27.40 | $ | 33.51 | ||||
Percentage change in per share NAV | (20.7 | )% | (29.2 | )% | ||||
Percentage change in benchmark | (9.0 | )% | (15.2 | )% | ||||
Benchmark annualized volatility | 10.8 | % | 9.5 | % |
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 (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
14
The benchmark’s decline of 1.16%9.0% for the threesix months ended March 31,June 30, 2023, as compared to the benchmark’s decline of 5.5%15.2% for the threesix months ended March 31,June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31,June 30, 2023.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 89,558 | $ | (4,556 | ) | |||
Management fee | 30,560 | 5,429 | ||||||
Net realized gain (loss) | (298,808 | ) | (117,223 | ) | ||||
Change in net unrealized appreciation (depreciation) | (494,067 | ) | (141,365 | ) | ||||
Net Income (loss) | $ | (703,317 | ) | $ | (263,144 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 179,208 | $ | (9,528 | ) | |||
Management fee | 55,890 | 13,465 | ||||||
Net realized gain (loss) | (1,068,950 | ) | (878,701 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,842,176 | ) | 10,820 | |||||
Net Income (loss) | $ | (2,731,918 | ) | $ | (877,409 | ) |
Oil
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 144,762,563 | $ | 416,799,231 | ||||
Percentage change in NAV | (35.0 | )% | 265.1 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 5,755,220 | 14,286,760 | ||||||
Percentage change in shares outstanding | (38.2 | )% | 704.1 | % | ||||
Shares created | 5,300,000 | 15,570,000 | ||||||
Shares redeemed | 8,850,000 | 3,060,000 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 25.15 | $ | 29.17 | ||||
Percentage change in per share NAV | 5.1 | % | (54.6 | )% | ||||
Percentage change in benchmark | (5.4 | )% | 36.6 | % | ||||
Benchmark annualized volatility | 30.8 | % | 46.0 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 112,854,952 | $ | 501,157,304 | ||||
Percentage change in NAV | (49.3 | )% | 339.0 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 4,405,220 | 21,755,220 | ||||||
Percentage change in shares outstanding | (52.7 | )% | 1,124.4 | % | ||||
Shares created | 11,550,000 | 27,890,000 | ||||||
Shares redeemed | 16,450,000 | 7,911,540 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 25.62 | $ | 23.04 | ||||
Percentage change in per share NAV | 7.1 | % | (64.2 | )% | ||||
Percentage change in benchmark | (9.5 | )% | 45.9 | % | ||||
Benchmark annualized volatility | 31.7 | % | 41.9 | % |
15
For the threesix months ended March 31,June 30, 2023 and 2022, 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 5.1%7.1% for the threesix months ended March 31,June 30, 2023, as compared to the Fund’s per Share NAV decrease of 54.6%64.2% for the threesix months ended March 31,June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the threesix months ended March 31,June 30, 2023.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,452,572 | $ | (585,973 | ) | |||
Management fee | 484,880 | 492,647 | ||||||
Brokerage commission | 65,757 | 77,056 | ||||||
Futures account fees | — | 70,177 | ||||||
Net realized gain (loss) | 27,614,767 | (106,482,101 | ) | |||||
Change in net unrealized appreciation (depreciation) | 10,956,230 | 1,929,042 | ||||||
Net Income (loss) | $ | 40,023,569 | $ | (105,139,032 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 2,593,344 | $ | (1,435,665 | ) | |||
Management fee | 844,057 | 1,438,757 | ||||||
Brokerage commission | 125,836 | 184,135 | ||||||
Futures account fees | — | 155,979 | ||||||
Net realized gain (loss) | 55,649,291 | (209,076,101 | ) | |||||
Change in net unrealized appreciation (depreciation) | 2,739,622 | 36,686,156 | ||||||
Net Income (loss) | $ | 60,982,257 | $ | (173,825,610 | ) |
* | 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. |
Gas
16
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 146,981,760 | $ | 250,340,837 | ||||
Percentage change in NAV | 9.6 | % | 3.4 | % | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 2,066,856 | 3,868,619 | ||||||
Percentage change in shares outstanding | (58.4 | )% | 295.3 | % | ||||
Shares created | 7,250,000 | 4,640,000 | ||||||
Shares redeemed | 10,150,000 | 1,750,123 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 71.11 | $ | 64.71 | ||||
Percentage change in per share NAV | 163.4 | % | (73.9 | )% | ||||
Percentage change in benchmark | (50.4 | )% | 58.4 | % | ||||
Benchmark annualized volatility | 78.6 | % | 72.9 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 141,324,963 | $ | 211,823,446 | ||||
Percentage change in NAV | 5.4 | % | (12.5 | )% | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 2,566,856 | 4,966,856 | ||||||
Percentage change in shares outstanding | (48.3 | )% | 407.5 | % | ||||
Shares created | 13,850,000 | 23,340,000 | ||||||
Shares redeemed | 16,250,000 | 19,351,886 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 55.06 | $ | 42.65 | ||||
Percentage change in per share NAV | 103.9 | % | (82.8 | )% | ||||
Percentage change in benchmark | (49.3 | )% | 48.9 | % | ||||
Benchmark annualized volatility | 69.2 | % | 80.3 | % |
The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 650,640 | $ | (837,419 | ) | |||
Management fee | 296,862 | 542,364 | ||||||
Brokerage commission | 209,641 | 220,951 | ||||||
Futures account fees | 29,609 | 129,929 | ||||||
Net realized gain (loss) | 183,405,966 | (114,724,308 | ) | |||||
Change in net unrealized appreciation (depreciation) | (44,959,798 | ) | (87,787,071 | ) | ||||
Net Income (loss) | $ | 139,096,808 | $ | (203,348,798 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 1,432,850 | $ | (1,447,798 | ) | |||
Management fee | 599,136 | 1,053,068 | ||||||
Brokerage commission | 443,288 | 365,858 | ||||||
Futures account fees | 56,367 | 206,885 | ||||||
Net realized gain (loss) | 232,143,809 | (397,371,192 | ) | |||||
Change in net unrealized appreciation (depreciation) | (106,209,898 | ) | 140,292,056 | |||||
Net Income (loss) | $ | 127,366,761 | $ | (258,526,934 | ) |
* | 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 Natural Gas. |
17
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 59,537,260 | $ | 50,498,084 | ||||
Percentage change in NAV | (20.7 | )% | (6.9 | )% | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 2,050,000 | 1,850,000 | ||||||
Percentage change in shares outstanding | (19.6 | )% | (11.9 | )% | ||||
Shares created | 100,000 | 50,000 | ||||||
Shares redeemed | 600,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 29.04 | $ | 27.30 | ||||
Percentage change in per share NAV | (1.4 | )% | 5.6 | % | ||||
Percentage change in benchmark | 1.31 | % | (2.8 | )% | ||||
Benchmark annualized volatility | 9.21 | % | 8.6 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 50,931,301 | $ | 62,270,097 | ||||
Percentage change in NAV | (32.2 | )% | 14.8 | % | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 1,750,000 | 2,050,000 | ||||||
Percentage change in shares outstanding | (31.4 | )% | (2.4 | )% | ||||
Shares created | 100,000 | 550,000 | ||||||
Shares redeemed | 900,000 | 600,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 29.10 | $ | 30.38 | ||||
Percentage change in per share NAV | (1.2 | )% | 17.5 | % | ||||
Percentage change in benchmark | 1.9 | % | (7.9 | )% | ||||
Benchmark annualized volatility | 8.0 | % | 8.8 | % |
The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.
18
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 485,552 | $ | (102,051 | ) | |||
Management fee | 161,568 | 117,456 | ||||||
Net realized gain (loss) | (1,407,311 | ) | 2,753,108 | |||||
Change in net unrealized appreciation (depreciation) | 141,211 | 268,741 | ||||||
Net Income (loss) | $ | (780,548 | ) | $ | 2,919,798 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 948,197 | $ | (209,974 | ) | |||
Management fee | 292,669 | 264,390 | ||||||
Net realized gain (loss) | (2,453,253 | ) | 5,818,237 | |||||
Change in net unrealized appreciation (depreciation) | 697,680 | 3,308,479 | ||||||
Net Income (loss) | $ | (807,376 | ) | $ | 8,916,742 |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
NAV end of period | $ | 16,049,273 | $ | 32,598,451 | ||||
Percentage change in NAV | 3.8 | % | 21.4 | % | ||||
Shares outstanding beginning of period | 496,977 | 846,977 | ||||||
Shares outstanding end of period | 596,977 | 1,196,977 | ||||||
Percentage change in shares outstanding | 20.1 | % | 41.3 | % | ||||
Shares created | 300,000 | 450,000 | ||||||
Shares redeemed | 200,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 31.71 | ||||
Per share NAV end of period | $ | 26.88 | $ | 27.23 | ||||
Percentage change in per share NAV | (13.6 | )% | (14.1 | )% | ||||
Percentage change in benchmark | 8.1 | % | 6.6 | % | ||||
Benchmark annualized volatility | 15.7 | % | 17.3 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 15,456,037 | $ | 26,859,844 | ||||
NAV end of period | $ | 15,809,378 | $ | 34,611,284 | ||||
Percentage change in NAV | 2.3 | % | 28.9 | % | ||||
Shares outstanding beginning of period | 496,977 | 846,977 | ||||||
Shares outstanding end of period | 546,977 | 1,096,977 | ||||||
Percentage change in shares outstanding | 10.1 | % | 29.5 | % | ||||
Shares created | 600,000 | 1,150,000 | ||||||
Shares redeemed | 550,000 | 900,000 | ||||||
Per share NAV beginning of period | $ | 31.10 | $ | 31.71 | ||||
Per share NAV end of period | $ | 28.90 | $ | 31.55 | ||||
Percentage change in per share NAV | (7.1 | )% | (0.5 | )% | ||||
Percentage change in benchmark | 5.4 | % | (1.5 | )% | ||||
Benchmark annualized volatility | 14.3 | % | 15.7 | % |
19
Net Income/Loss
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 94,828 | $ | (61,130 | ) | |||
Management fee | 36,373 | 66,138 | ||||||
Brokerage commission | 1,361 | 2,811 | ||||||
Futures account fees | — | 1,866 | ||||||
Net realized gain (loss) | (1,030,881 | ) | (6,308,669 | ) | ||||
Change in net unrealized appreciation (depreciation) | (655,702 | ) | 2,028,779 | |||||
Net Income (loss) | $ | (1,591,755 | ) | $ | (4,341,020 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 234,406 | $ | (120,396 | ) | |||
Management fee | 79,242 | 141,814 | ||||||
Brokerage commission | 2,966 | 5,796 | ||||||
Futures account fees | — | 2,446 | ||||||
Net realized gain (loss) | (2,584,032 | ) | (1,750,799 | ) | ||||
Change in net unrealized appreciation (depreciation) | 2,103,219 | 2,318,730 | ||||||
Net Income (loss) | $ | (246,407 | ) | $ | 447,535 |
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 20,335,691 | $ | 23,406,516 | ||||
Percentage change in NAV | (36.3 | )% | (11.8 | )% | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 | ||||||
Shares outstanding end of period | 1,091,329 | 1,091,329 | ||||||
Percentage change in shares outstanding | (33.5 | )% | 10.1 | % | ||||
Shares created | 650,000 | 1,100,000 | ||||||
Shares redeemed | 1,200,000 | 1,000,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 18.63 | $ | 21.45 | ||||
Percentage change in per share NAV | (4.2 | )% | (19.9 | )% | ||||
Percentage change in benchmark | 0.8 | % | 7.5 | % | ||||
Benchmark annualized volatility | 27.6 | % | 31.9 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 19,290,473 | $ | 33,052,840 | ||||
Percentage change in NAV | (39.6 | )% | 24.6 | % | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Shares outstanding end of period | 941,329 | 1,041,329 | ||||||
Percentage change in shares outstanding | (42.6 | )% | 5.0 | % | ||||
Shares created | 3,100,000 | 1,800,000 | ||||||
Shares redeemed | 3,800,000 | 1,750,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 20.49 | $ | 31.74 | ||||
Percentage change in per share NAV | 5.3 | % | 18.6 | % | ||||
Percentage change in benchmark | (4.4 | )% | (13.4 | )% | ||||
Benchmark annualized volatility | 25.8 | % | 28.2 | % |
20
The benchmark’s risedecline of 0.8%4.4% for the threesix months ended March 31,June 30, 2023, as compared to the benchmark’s risedecline of 7.5%13.4% for the threesix months ended March 31,June 30, 2022, can be attributed to a lesser increasedecrease in the value of the silver futures contracts during the period ended March 31,June 30, 2023.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 134,207 | $ | (60,608 | ) | |||
Management fee | 60,168 | 60,953 | ||||||
Brokerage commission | 5,703 | 5,301 | ||||||
Futures account fees | — | 3,274 | ||||||
Net realized gain (loss) | 2,713,623 | (7,373,936 | ) | |||||
Change in net unrealized appreciation (depreciation) | (1,183,236 | ) | 1,789,652 | |||||
Net Income (loss) | $ | 1,664,594 | $ | (5,644,892 | ) |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 366,566 | $ | (112,092 | ) | |||
Management fee | 142,585 | 123,334 | ||||||
Brokerage commission | 14,661 | 11,978 | ||||||
Futures account fees | — | 4,443 | ||||||
Net realized gain (loss) | 3,826,313 | 2,037,296 | ||||||
Change in net unrealized appreciation (depreciation) | 4,467,058 | 5,642,964 | ||||||
Net Income (loss) | $ | 8,659,937 | $ | 7,568,168 |
Yen
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 25,111,818 | $ | 27,726,701 | ||||
Percentage change in NAV | 17.4 | % | 11.6 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 448,580 | 598,580 | ||||||
Percentage change in shares outstanding | 12.5 | % | — | % | ||||
Shares created | 200,000 | 200,000 | ||||||
Shares redeemed | 150,000 | 200,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 55.98 | $ | 46.32 | ||||
Percentage change in per share NAV | 4.3 | % | 11.6 | % | ||||
Percentage change in benchmark | (1.16 | )% | (5.5 | )% | ||||
Benchmark annualized volatility | 12.37 | % | 7.1 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 27,077,656 | $ | 45,568,882 | ||||
Percentage change in NAV | 26.5 | % | 83.4 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 398,580 | 798,580 | ||||||
Percentage change in shares outstanding | — | % | 33.4 | % | ||||
Shares created | 450,000 | 850,000 | ||||||
Shares redeemed | 450,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 67.94 | $ | 57.06 | ||||
Percentage change in per share NAV | 26.6 | % | 37.5 | % | ||||
Percentage change in benchmark | (9.0 | )% | (15.2 | )% | ||||
Benchmark annualized volatility | 10.8 | % | 9.5 | % |
21
For the three months ended March 31,June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.3%26.6% for the threesix months ended March 31,June 30, 2023, as compared to the Fund’s per Share NAV increase of 11.6%37.5% for the threesix months ended March 31,June 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the threesix months ended March 31,June 30, 2023.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 153,388 | $ | (50,421 | ) | |||
Management fee | 50,812 | 59,820 | ||||||
Net realized gain (loss) | (1,027,976 | ) | 1,183,144 | |||||
Change in net unrealized appreciation (depreciation) | 1,859,501 | 1,438,464 | ||||||
Net Income (loss) | $ | 984,913 | $ | 2,571,187 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 350,563 | $ | (116,689 | ) | |||
Management fee | 108,991 | 153,001 | ||||||
Net realized gain (loss) | 342,795 | 9,100,314 | ||||||
Change in net unrealized appreciation (depreciation) | 5,004,524 | 70,535 | ||||||
Net Income (loss) | $ | 5,697,882 | $ | 9,054,160 |
* | 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 forward Share split for ProShares Ultra Short Yen. |
NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatilitythreesix months ended March 31,June 30, 2023 and 2022:22 Three Months Ended
March 31, 2023 Three Months Ended
March 31, 2022 $ 84,014,959 $ 112,875,680 $ 67,306,087 $ 97,869,914 (19.9 )% (13.4 )% 2,762,403 3,687,403 2,512,403 3,112,403 (9.1 )% (15.6 )% 275,000 700,000 525,000 1,275,000 $ 30.41 $ 30.61 $ 26.79 $ 31.45 (11.9 )% 2.7 % (11.4 )% 3.3 % 36.4 % 32.8 %
June 30, 2023
June 30, 2022 $ 84,014,959 $ 112,875,680 $ 49,421,413 $ 95,721,271 (41.2 )% (15.2 )% 2,762,403 3,687,403 2,412,403 2,712,403 (12.7 )% (26.4 )% 850,000 1,000,000 1,200,000 1,975,000 $ 30.41 $ 30.61 $ 20.49 $ 35.29 (32.6 )% 15.3 % (31.9 )% 16.5 % 30.2 % 34.9 % threesix months ended March 31,June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,512,4032,412,403 outstanding Shares at March 31,June 30, 2023. By comparison, during the threesix months ended March 31,June 30, 2022, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,4032,712,403 outstanding Shares at March 31,June 30, 2022. The increasedecrease 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.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 477,188 | $ | (252,097 | ) | |||
Management fee | 150,123 | 215,663 | ||||||
Brokerage commission | 9,169 | 24,869 | ||||||
Futures account fees | 11,440 | 35,488 | ||||||
Net realized gain (loss) | (15,820,720 | ) | 4,791,497 | |||||
Change in net unrealized appreciation (depreciation) | 4,582,460 | (473,835 | ) | |||||
Net Income (loss) | $ | (10,761,072 | ) | $ | 4,065,565 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 969,651 | $ | (436,261 | ) | |||
Management fee | 284,189 | 426,247 | ||||||
Brokerage commission | 21,369 | 40,369 | ||||||
Futures account fees | 23,296 | 46,394 | ||||||
Net realized gain (loss) | (22,764,053 | ) | 12,653,549 | |||||
Change in net unrealized appreciation (depreciation) | (5,092,642 | ) | 3,518,835 | |||||
Net Income (loss) | $ | (26,887,044 | ) | $ | 15,736,123 |
23
ETF*ETF
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 266,580,320 | $ | 269,703,164 | ||||
NAV end of period | $ | 226,765,204 | $ | 404,950,400 | ||||
Percentage change in NAV | (14.9 | )% | 50.1 | % | ||||
Shares outstanding beginning of period | 23,382,826 | 17,832,826 | ||||||
Shares outstanding end of period | 25,107,826 | 24,382,826 | ||||||
Percentage change in shares outstanding | 7.4 | % | 36.7 | % | ||||
Shares created | 11,500,000 | 9,950,000 | ||||||
Shares redeemed | 9,775,000 | 3,400,000 | ||||||
Per share NAV beginning of period | $ | 11.40 | $ | 15.12 | ||||
Per share NAV end of period | $ | 9.03 | $ | 16.61 | ||||
Percentage change in per share NAV | (20.8 | )% | 9.9 | % | ||||
Percentage change in benchmark | (20.3 | )% | 10.2 | % | ||||
Benchmark annualized volatility | 68.1 | % | 86.4 | % |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
NAV beginning of period | $ | 266,580,320 | $ | 269,703,164 | ||||
NAV end of period | $ | 230,227,830 | $ | 341,714,316 | ||||
Percentage change in NAV | (13.6 | )% | 26.7 | % | ||||
Shares outstanding beginning of period | 4,676,565 | 3,566,565 | ||||||
Shares outstanding end of period | 9,226,565 | 3,751,565 | ||||||
Percentage change in shares outstanding | 97.3 | % | 5.2 | % | ||||
Shares created | 6,760,000 | 3,625,000 | ||||||
Shares redeemed | 2,210,000 | 3,440,000 | ||||||
Per share NAV beginning of period | $ | 57.00 | $ | 75.62 | ||||
Per share NAV end of period | $ | 24.95 | $ | 91.09 | ||||
Percentage change in per share NAV | (56.2 | )% | 20.5 | % | ||||
Percentage change in benchmark | (55.7 | )% | 21.6 | % | ||||
Benchmark annualized volatility | 58.0 | % | 88.1 | % |
The increase in the Fund’s NAV also resulted in part from an increase from 3,566,565 outstanding Shares at December 31, 2021 to 3,751,565 outstanding Shares at June 30, 2022.
Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,455,917 | $ | (952,113 | ) | |||
Management fee | 517,488 | 705,691 | ||||||
Brokerage commission | 96,497 | 116,474 | ||||||
Futures account fees | 50,659 | 200,657 | ||||||
Net realized gain (loss) | (46,096,694 | ) | 53,734,224 | |||||
Change in net unrealized appreciation (depreciation) | 1,130,026 | (13,448,381 | ) | |||||
Net Income (loss) | $ | (43,510,751 | ) | $ | 39,333,730 |
Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | |||||||
Net investment income (loss) | $ | 3,221,259 | $ | (1,804,892 | ) | |||
Management fee | 1,048,314 | 1,479,408 | ||||||
Brokerage commission | 191,888 | 287,656 | ||||||
Futures account fees | 99,391 | 316,440 | ||||||
Net realized gain (loss) | (173,336,606 | ) | 77,393,009 | |||||
Change in net unrealized appreciation (depreciation) | (20,173,227 | ) | 33,152,396 | |||||
Net Income (loss) | $ | (190,288,574 | ) | $ | 108,740,513 |
24
* | 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. |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | April 2023 | 4,007 | $ | 20.76 | 1,000 | $ | (83,202,149 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | May 2023 | 2,915 | 22.13 | 1,000 | (64,504,578 | ) |
25
Futures Positions as of March 31, 2022 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | April 2022 | 4,910 | $ | 23.47 | 1,000 | $ | (115,232,790 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | May 2022 | 5,324 | 24.99 | 1,000 | (133,034,515 | ) |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | July 2023 | 5,241 | $ | 15.01 | 1,000 | $ | (78,672,651 | ) | |||||||||||
VIX Futures (Cboe) | Short | August 2023 | 3,810 | 16.40 | 1,000 | (62,485,143 | ) | |||||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | July 2022 | 3,652 | $ | 28.56 | 1,000 | $ | (104,309,520 | ) | |||||||||||
VIX Futures (Cboe) | Short | August 2022 | 3,346 | 29.18 | 1,000 | (97,627,580 | ) |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 2,112 | $ | 75.80 | 1,000 | $ | 160,089,600 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 2,182 | 73.55 | 1,000 | 160,486,100 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2024 | 2,261 | 71.23 | 1,000 | 161,051,030 |
Swap Agreements as of March 31, 2023 | ||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Citibank, N.A. | Long | $ | 80.1009 | $ | 180,552,235 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Goldman Sachs International | Long | 80.1009 | 224,484,374 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | Morgan Stanley & Co. | |||||||||||||||
Index | International PLC | Long | 80.1009 | 312,723,926 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Societe Generale | Long | 80.1009 | 170,398,805 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | UBS AG | Long | 80.1009 | 253,675,785 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2022 | 4,115 | $ | 98.52 | 1,000 | $ | 405,409,800 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 4,724 | 89.60 | 1,000 | 423,270,400 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 5,012 | 84.61 | 1,000 | 424,065,320 |
26
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | September 2023 | 2,315 | $ | 70.78 | 1,000 | $ | 163,855,700 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 2,393 | 70.40 | 1,000 | 168,467,200 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2024 | 2,478 | 69.02 | 1,000 | 171,031,560 |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 76.6109 | $ | 172,685,565 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 76.6109 | 214,703,580 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 76.6109 | 179,707,950 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 76.6109 | 162,974,521 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 76.6109 | 242,623,120 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | September 2022 | 2,204 | $ | 103.10 | 1,000 | $ | 227,232,400 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 2,535 | 95.56 | 1,000 | 242,244,600 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 2,688 | 87.62 | 1,000 | 235,522,560 |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 95.7921 | $ | 215,921,141 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 95.7921 | 321,089,755 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 95.7921 | 373,984,332 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 95.7921 | 203,778,726 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 95.7921 | 303,369,078 |
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 89.7299 | $ | 202,256,578 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 89.7299 | 394,073,711 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 89.7299 | 350,316,746 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 89.7299 | 190,882,596 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 89.7299 | 284,170,376 |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | May 2023 | 95,284 | $ | 2.22 | 10,000 | $ | 2,111,493,440 |
Swap Agreements as of March 31, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Natural Gas Subindex | Citibank, N.A. | Long | $ | 0.0885 | $ | 67,247,193 | ||||||
Bloomberg Natural Gas Subindex | Goldman Sachs International | Long | 0.0885 | 100,389,846 | ||||||||
Bloomberg Natural Gas Subindex | UBS AG | Long | 0.0885 | 803,815 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | May 2022 | 5,149 | $ | 5.64 | 10,000 | $ | 290,506,580 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | September 2023 | 71,349 | $ | 2.77 | 10,000 | $ | 1,979,221,260 |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Natural Gas Subindex | Citibank, N.A. | Long | $ | 0.0892 | $ | 148,091,216 | ||||||
Bloomberg Natural Gas Subindex | Goldman Sachs International | Long | 0.0892 | 101,183,890 | ||||||||
Bloomberg Natural Gas Subindex | Societe General | Long | 0.0892 | 52,717,728 | ||||||||
Bloomberg Natural Gas Subindex | UBS AG | Long | 0.0892 | 810,173 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | September 2022 | 6,954 | $ | 5.39 | 10,000 | $ | 374,959,680 |
27
Reference Euro Euro Euro Euro Reference Euro Euro Euro Contract Gold Futures (COMEX) Reference Index Bloomberg Gold Subindex Bloomberg Gold Subindex Bloomberg Gold SubindexMarch 31,June 30, 2023 and 2022, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31,June 30, 2023 and 2022, which were sensitive to exchange rate price risk.Foreign Currency Forward Contracts as of March 31, 2023
Currency Counterparty Long or
Short Settlement
Date Local Currency Forward Rate Market Value
USD Goldman Sachs International Long 04/14/23 8,826,921 1.0680 $ 9,427,525 UBS AG Long 04/14/23 9,821,502 1.0684 10,492,894 Goldman Sachs International Short 04/14/23 (308,000 ) 1.0633 (327,497 ) UBS AG Short 04/14/23 (2,461,000 ) 1.0877 (2,676,882 ) Foreign Currency Forward Contracts as of March 31, 2022
Currency Counterparty Long or
Short Settlement
Date Local Currency Forward Rate Market Value
USD Goldman Sachs International Long 04/08/22 4,422,921 1.1082 $ 4,901,569 UBS AG Long 04/08/22 11,991,502 1.1091 13,299,566 UBS AG Short 04/08/22 (5,127,000 ) 1.1044 (5,662,185 )
Short
Date
Currency
Rate
USD Goldman Sachs International Long 07/14/23 7,784,921 1.0754 $ 8,372,037 UBS AG Long 07/14/23 7,204,502 1.0765 7,755,419 Goldman Sachs International Short 07/14/23 (93,000 ) 1.0899 (101,361 ) UBS AG Short 07/14/23 (1,152,000 ) 1.0907 (1,256,509 )
Short
Date
Currency
Rate
USD Goldman Sachs International Long 07/08/22 4,532,921 1.0752 $ 4,873,797 UBS AG Long 07/08/22 14,836,502 1.0632 15,774,356 UBS AG Short 07/08/22 (1,446,000 ) 1.0601 (1,532,970 ) March 31,June 30, 2023 and 2022 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 InstrumentsMarch 31,June 30, 2023 and 2022 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 SubindexMarch 31,June 30, 2023 and 2022, which were sensitive to commodity price risk.Futures Positions as of March 31, 2023 Long or
Short Expiration Contracts Valuation
Price Contract
Multiplier Notional Amount
at Value Long June 2023 667 $ 1,986.20 100 $ 132,479,540 Swap Agreements as of March 31, 2023 Counterparty Long or
Short Index Close Notional Amount
at Value Citibank, N.A. Long $ 209.1875 $ 115,835,052 Goldman Sachs International Long 209.1875 55,017,986 UBS AG Long 209.1875 98,916,314 28
Short
Price
Multiplier
at Value Long August 2023 530 $ 1,929.40 100 $ 102,258,200
Short
at Value Citibank, N.A. Long $ 201.2774 $ 111,454,930 Goldman Sachs International Long 201.2774 52,937,566 UBS AG Long 201.2774 95,175,948
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | June 2022 | 1,871 | $ | 1,954.00 | 100 | $ | 365,593,400 |
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 214.4125 | $ | 118,728,333 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 214.4125 | 102,600,526 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 214.4125 | 123,508,801 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | August 2022 | 954 | $ | 1,807.30 | 100 | $ | 172,416,420 |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 197.5387 | $ | 109,384,670 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 197.5387 | 84,543,271 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 197.5387 | 113,788,925 |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | May 2023 | 2,879 | $ | 24.16 | 5,000 | $ | 347,725,620 |
Swap Agreements as of March 31, 2023 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Long | $ | 211.9607 | $ | 159,299,488 | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | 211.9607 | 177,727,745 | ||||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 211.9607 | 23,479,523 | ||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 211.9607 | 149,931,926 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | May 2022 | 1,351 | $ | 25.13 | 5,000 | $ | 169,773,415 |
29
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | September 2023 | 2,047 | $ | 23.02 | 5,000 | $ | 235,609,700 |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 198.4659 | $ | 166,412,438 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 198.4659 | 21,984,663 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 198.4659 | 149,157,444 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 198.4659 | 140,386,283 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | September 2022 | 773 | $ | 20.35 | 5,000 | $ | 78,660,480 |
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 227.4218 | $ | 237,998,246 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 227.4218 | 249,395,557 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 227.4218 | 232,374,365 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 227.4218 | 227,857,585 |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 182.7827 | $ | 153,262,171 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 182.7827 | 177,466,859 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 182.7827 | 168,307,407 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 182.7827 | 134,298,894 |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 21,811 | $ | 20.76 | 1,000 | $ | 452,887,966 | ||||||||||||
VIX Futures (Cboe) | Long | May 2023 | 15,863 | 22.13 | 1,000 | 351,024,396 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 33,482 | $ | 23.47 | 1,000 | $ | 785,789,058 | ||||||||||||
VIX Futures (Cboe) | Long | May 2022 | 36,263 | 24.99 | 1,000 | 906,128,965 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2023 | 21,591 | $ | 15.01 | 1,000 | $ | 324,102,501 | ||||||||||||
VIX Futures (Cboe) | Long | August 2023 | 15,704 | 16.40 | 1,000 | 257,550,311 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 26,481 | $ | 28.56 | 1,000 | $ | 756,358,266 | ||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 24,277 | 29.18 | 1,000 | 708,339,740 |
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.
30
Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 04/14/23 | 1,492,519,517 | 0.007400 | $ | 11,044,802 | |||||||||||
Yen | UBS AG | Long | 04/14/23 | 1,730,435,856 | 0.007387 | 12,782,072 | ||||||||||||
Yen | Goldman Sachs International | Short | 04/14/23 | (16,977,000 | ) | 0.007387 | (125,407 | ) | ||||||||||
Yen | UBS AG | Short | 04/14/23 | (577,337,000 | ) | 0.007533 | (4,348,806 | ) |
Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 04/08/22 | 321,397,517 | 0.008653 | $ | 2,781,048 | |||||||||||
Yen | UBS AG | Long | 04/08/22 | 234,765,856 | 0.008634 | 2,027,006 | ||||||||||||
Yen | Goldman Sachs International | Short | 04/08/22 | (6,529,000 | ) | 0.008177 | (53,386 | ) | ||||||||||
Yen | UBS AG | Short | 04/08/22 | (37,680,000 | ) | 0.008411 | (316,941 | ) |
Foreign Currency Forward Contracts as of June 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 07/14/23 | 1,507,359,517 | 0.007217 | $ | 10,877,886 | |||||||||||||
Yen | UBS AG | Long | 07/14/23 | 2,188,352,856 | 0.007161 | 15,670,467 | ||||||||||||||
Yen | Goldman Sachs International | Short | 07/14/23 | (1,461 | ) | 0.006844 | (10 | ) | ||||||||||||
Yen | UBS AG | Short | 07/14/23 | (158,537,000 | ) | 0.007066 | (1,120,148 | ) |
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 07/08/22 | 333,241,517 | 0.007476 | $ | 2,491,153 | |||||||||||||
Yen | UBS AG | Long | 07/08/22 | 1,080,855,856 | 0.007414 | 8,013,151 | ||||||||||||||
Yen | UBS AG | Short | 07/08/22 | (54,170,000 | ) | 0.007409 | (401,369 | ) |
31
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | September 2023 | 1,038 | $ | 70.78 | 1,000 | $ | (73,469,640 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 1,073 | 70.40 | 1,000 | (75,539,200 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2024 | 1,111 | 69.02 | 1,000 | (76,681,220 | ) |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 1,269 | $ | 75.80 | 1,000 | $ | (96,190,200 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 1,312 | 73.55 | 1,000 | (96,497,600 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2024 | 1,359 | 71.23 | 1,000 | (96,801,570 | ) |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 2,737 | $ | 98.52 | 1,000 | $ | (269,649,240 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,147 | 89.60 | 1,000 | (281,971,200 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,339 | 84.61 | 1,000 | (282,512,790 | ) |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | September 2022 | 3,134 | $ | 103.10 | 1,000 | $ | (323,115,400 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,605 | 95.56 | 1,000 | (344,493,800 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 3,824 | 87.62 | 1,000 | (335,058,880 | ) |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Short | May 2023 | 13,265 | $ | 2.22 | 10,000 | $ | (293,952,400 | ) |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Short | May 2022 | 8,883 | $ | 5.64 | 10,000 | $ | (501,178,860 | ) |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | September 2023 | 10,189 | $ | 2.77 | 10,000 | $ | (282,642,860 | ) | |||||||||||
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | September 2022 | 7,871 | $ | 5.39 | 10,000 | $ | (424,404,320 | ) |
32
Reference Euro Euro Euro Euro Reference Euro Euro Euro Contract Gold Futures (COMEX) Reference Index Bloomberg Gold Subindex Bloomberg Gold Subindex Bloomberg Gold Subindex Contract Gold Futures (COMEX)March 31,June 30, 2023 and 2022, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31,June 30, 2023 and 2022, which were sensitive to exchange rate price risk.Foreign Currency Forward Contracts as of March 31, 2023
Currency Counterparty Long or
Short Settlement
Date Local Currency Forward Rate Market Value
USD Goldman Sachs International Long 04/14/23 13,747,000 1.0724 $ 14,742,763 UBS AG Long 04/14/23 21,381,000 1.0781 23,050,631 Goldman Sachs International Short 04/14/23 (71,345,263 ) 1.0673 (76,146,038 ) UBS AG Short 04/14/23 (73,465,199 ) 1.0668 (78,376,112 ) Foreign Currency Forward Contracts as of March 31, 2022
Currency Counterparty Long or
Short Settlement
Date Local Currency Forward Rate Market Value
USD UBS AG Long 04/08/22 13,916,000 1.1059 $ 15,390,379 Goldman Sachs International Short 04/08/22 (46,280,263 ) 1.1082 (51,288,713 ) UBS AG Short 04/08/22 (58,998,199 ) 1.1072 (65,320,957 )
Short
Date
Currency
Rate
USD Goldman Sachs International Long 07/14/23 4,446,000 1.1002 $ 4,891,387 UBS AG Long 07/14/23 12,460,000 1.0897 13,577,549 Goldman Sachs International Short 07/14/23 (51,941,263 ) 1.0759 (55,884,697 ) UBS AG Short 07/14/23 (58,308,199 ) 1.0763 (62,758,994 )
Short
Date
Currency
Rate
USD Goldman Sachs International Long 07/08/22 12,080,000 1.0563 $ 12,760,213 UBS AG Long 07/08/22 12,060,000 1.0551 12,724,426 Goldman Sachs International Short 07/08/22 (51,635,263 ) 1.0740 (55,457,155 ) UBS AG Short 07/08/22 (91,489,199 ) 1.0702 (97,911,917 ) March 31,June 30, 2023 and 2022 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 InstrumentsMarch 31,June 30, 2023 and 2022 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 SubindexMarch 31,June 30, 2023 and 2022, which were sensitive to commodity price risk.Futures Positions as of March 31, 2023 Long or
Short Expiration Contracts Valuation
Price Contract
Multiplier Notional Amount
at Value Short June 2023 76 $ 1,986.20 100 $ (15,095,120 ) Swap Agreements as of March 31, 2023 Counterparty Long or
Short Index Close Notional Amount
at Value Citibank, N.A. Short $ 209.1875 $ (3,932,159 ) Goldman Sachs International Short 209.1875 (5,153,543 ) UBS AG Short 209.1875 (7,971,123 ) Futures Positions as of March 31, 2022 Long or
Short Expiration Contracts Valuation
Price Contract
Multiplier Notional Amount
at Value Short June 2022 134 $ 1,954.00 100 $ (26,183,600 ) 33
Short
Price
Multiplier
at Value Short August 2023 79 $ 1,929.40 100 $ (15,242,260 )
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 214.4125 | $ | (16,074,140 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 214.4125 | (10,515,819 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 214.4125 | (12,574,684 | ) |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 201.2774 | $ | (3,783,471 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 201.2774 | (4,958,670 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 201.2774 | (7,669,707 | ) |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | August 2022 | 184 | $ | 1,807.30 | 100 | $ | (33,254,320 | ) |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 197.5387 | $ | (14,809,140 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 197.5387 | (9,688,247 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 197.5387 | (11,585,084 | ) |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | May 2023 | 137 | $ | 24.16 | 5,000 | $ | (16,546,860 | ) |
Swap Agreements as of March 31, 2023 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 211.9607 | $ | (2,858,231 | ) | |||||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 211.9607 | (10,412,145 | ) | |||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 211.9607 | (8,232,766 | ) | |||||||||
Bloomberg Silver Subindex | UBS AG | Short | 211.9607 | (2,632,575 | ) |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | May 2022 | 167 | $ | 25.13 | 5,000 | $ | (20,986,055 | ) |
34
Futures Positions as of June 30, 2023 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | September 2023 | 139 | $ | 23.02 | 5,000 | $ | (15,998,900 | ) |
Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 227.4218 | $ | (3,066,720 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 227.4218 | (11,171,645 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 227.4218 | (8,833,290 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 227.4218 | (2,824,603 | ) |
Swap Agreements as of June 30, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 198.4659 | $ | (2,676,258 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 198.4659 | (9,749,240 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 198.4659 | (7,708,614 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 198.4659 | (2,464,968 | ) |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Silver Futures (COMEX) | Short | September 2022 | 445 | $ | 20.35 | 5,000 | $ | (45,283,200 | ) |
Swap Agreements as of June 30, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 182.7827 | $ | (2,464,774 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 182.7827 | (8,978,838 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 182.7827 | (7,099,463 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 182.7827 | (2,270,181 | ) |
Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 04/14/23 | 1,438,381,000 | 0.007577 | $ | 10,898,111 | |||||||||||||
Yen | UBS AG | Long | 04/14/23 | 1,461,674,000 | 0.007452 | 10,891,748 | ||||||||||||||
Yen | Goldman Sachs International | Short | 04/14/23 | (4,075,246,165 | ) | 0.007410 | (30,197,307 | ) | ||||||||||||
Yen | UBS AG | Short | 04/14/23 | (5,475,162,574 | ) | 0.007421 | (40,629,712 | ) |
Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 04/08/22 | 2,874,020,000 | 0.008228 | $ | 23,648,854 | |||||||||||||
Yen | Goldman Sachs International | Short | 04/08/22 | (1,973,114,165 | ) | 0.008595 | (16,958,793 | ) | ||||||||||||
Yen | UBS AG | Short | 04/08/22 | (7,652,928,574 | ) | 0.008428 | (64,498,778 | ) |
Foreign Currency Forward Contracts as of June 30, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 07/14/23 | 1,228,677,000 | 0.007157 | $ | 8,793,482 | |||||||||||||
Yen | Goldman Sachs International | Short | 07/14/23 | (3,428,392,165 | ) | 0.007206 | (24,704,991 | ) | ||||||||||||
Yen | UBS AG | Short | 07/14/23 | (5,596,567,574 | ) | 0.007187 | (40,224,318 | ) |
Foreign Currency Forward Contracts as of June 30, 2022 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | UBS AG | Long | 07/08/22 | 1,505,180,000 | 0.007476 | $ | 11,252,838 | |||||||||||
Yen | Goldman Sachs International | Short | 07/08/22 | (1,658,463,165 | ) | 0.007476 | (12,389,197 | ) | ||||||||||
Yen | UBS AG | Short | 07/08/22 | (12,207,008,574 | ) | 0.007451 | (90,956,530 | ) |
35
ProShares VIX Mid-Term Futures ETF
Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Long | July 2023 | 545 | $ | 23.59 | 1,000 | $ | 12,858,785 | ||||||||||||||
VIX Futures (Cboe) | Long | August 2023 | 942 | 23.70 | 1,000 | 22,324,458 | ||||||||||||||||
VIX Futures (Cboe) | Long | September 2023 | 942 | 23.99 | 1,000 | 22,599,428 | ||||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 396 | 24.05 | 1,000 | 9,523,800 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 593 | $ | 26.11 | 1,000 | $ | 15,480,562 | ||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 1,235 | 26.25 | 1,000 | 32,424,802 | ||||||||||||||
VIX Futures (Cboe) | Long | September 2022 | 1,235 | 26.60 | 1,000 | 32,852,729 | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 642 | 26.86 | 1,000 | 17,245,083 |
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 501 | $ | 18.35 | 1,000 | $ | 9,192,799 | ||||||||||||
VIX Futures (Cboe) | Long | November 2023 | 865 | 18.85 | 1,000 | 16,305,250 | ||||||||||||||
VIX Futures (Cboe) | Long | December 2023 | 865 | 19.15 | 1,000 | 16,564,750 | ||||||||||||||
VIX Futures (Cboe) | Long | January 2024 | 364 | 20.20 | 1,000 | 7,352,800 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 569 | $ | 29.78 | 1,000 | $ | 16,944,251 | ||||||||||||
VIX Futures (Cboe) | Long | November 2022 | 1,089 | 29.52 | 1,000 | 32,144,884 | ||||||||||||||
VIX Futures (Cboe) | Long | December 2022 | 1,090 | 28.81 | 1,000 | 31,400,611 | ||||||||||||||
VIX Futures (Cboe) | Long | January 2023 | 521 | 29.60 | 1,000 | 15,420,610 |
Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 6,151 | $ | 20.76 | 1,000 | $ | 127,720,594 | ||||||||||||||
VIX Futures (Cboe) | Long | May 2023 | 4,474 | 22.13 | 1,000 | 99,002,909 |
Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 8,017 | $ | 23.47 | 1,000 | $ | 188,150,973 | ||||||||||||
VIX Futures (Cboe) | Long | May 2022 | 8,681 | 24.99 | 1,000 | 216,918,224 |
36
Futures Positions as of June 30, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2023 | 8,545 | $ | 15.01 | 1,000 | $ | 128,268,995 | ||||||||||||
VIX Futures (Cboe) | Long | August 2023 | 6,216 | 16.40 | 1,000 | 101,944,265 |
Futures Positions as of June 30, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 6,185 | $ | 28.56 | 1,000 | $ | 176,657,825 | ||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 5,672 | 29.18 | 1,000 | 165,494,213 |
37
38
39
During April 2020,
COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.
40
FundFund.
41
a) | None. |
b) | Not applicable. |
c) | The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended |
Title of Securities Registered* |
| Total Number of Shares Redeemed | Average Price Per Share | |||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
01/01/23 to 01/31/23 | 2,200,000 | $ | 62.86 | |||||||||
02/01/23 to 02/28/23 | 1,050,000 | $ | 64.50 | |||||||||
03/01/23 to 03/31/23 | 350,000 | $ | 63.64 | |||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
01/01/23 to 01/31/23 | 3,100,000 | $ | 29.90 | |||||||||
02/01/23 to 02/28/23 | 3,700,000 | $ | 28.81 | |||||||||
03/01/23 to 03/31/23 | 10,100,000 | $ | 25.61 | |||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
01/01/23 to 01/31/23 | 7,350,000 | $ | 10.61 | |||||||||
02/01/23 to 02/28/23 | 57,800,000 | $ | 6.16 | |||||||||
03/01/23 to 03/31/23 | 37,500,000 | $ | 6.27 | |||||||||
ProShares Ultra Euro | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
01/01/23 to 01/31/23 | — | $ | — | |||||||||
02/01/23 to 02/28/23 | 300,000 | $ | 11.52 | |||||||||
03/01/23 to 03/31/23 | 100,000 | $ | 11.62 | |||||||||
ProShares Ultra Gold | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
01/01/23 to 01/31/23 | 50,000 | $ | 61.88 | |||||||||
02/01/23 to 02/28/23 | 150,000 | $ | 55.99 | |||||||||
03/01/23 to 03/31/23 | 150,000 | $ | 56.97 |
42
Title of Securities Registered * | Total Number of Shares Redeemed | Average Price Per Share | ||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 1,600,000 | $ | 67.92 | |||||||||
05/01/23 to 05/31/23 | — | $ | — | |||||||||
06/01/23 to 06/30/23 | 250,000 | $ | 77.20 | |||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 7,050,000 | $ | 29.30 | |||||||||
05/01/23 to 05/31/23 | 4,000,000 | $ | 24.62 | |||||||||
06/01/23 to 06/30/23 | 4,000,000 | $ | 23.93 | |||||||||
ProShares Ultra Bloomberg Natural Gas (Note 1) | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 4,330,000 | $ | 71.01 | |||||||||
05/01/23 to 05/31/23 | 3,927,500 | $ | 66.99 | |||||||||
06/01/23 to 06/30/23 | 4,567,500 | $ | 62.93 | |||||||||
ProShares Ultra Euro | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 50,000 | $ | 11.39 | |||||||||
06/01/23 to 06/30/23 | 50,000 | $ | 11.58 | |||||||||
ProShares Ultra Gold | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 50,000 | $ | 66.13 | |||||||||
06/01/23 to 06/30/23 | 100,000 | $ | 59.90 | |||||||||
ProShares Ultra Silver | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 900,000 | $ | 32.70 | |||||||||
05/01/23 to 05/31/23 | 50,000 | $ | 34.48 | |||||||||
06/01/23 to 06/30/23 | 350,000 | $ | 29.61 |
Title of Securities Registered* |
| Total Number of Shares Redeemed | Average Price Per Share | |||||||
ProShares Ultra Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 500,000 | $ | 31.11 | |||||||
02/01/23 to 02/28/23 | 100,000 | $ | 26.65 | |||||||
03/01/23 to 03/31/23 | 550,000 | $ | 26.07 | |||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 850,000 | $ | 5.73 | |||||||
02/01/23 to 02/28/23 | 10,600,000 | $ | 5.27 | |||||||
03/01/23 to 03/31/23 | 49,450,000 | $ | 6.07 | |||||||
ProShares Ultra Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 50,000 | $ | 34.84 | |||||||
02/01/23 to 02/28/23 | 50,000 | $ | 32.27 | |||||||
03/01/23 to 03/31/23 | 50,000 | $ | 33.07 | |||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 1,450,000 | $ | 26.37 | |||||||
02/01/23 to 02/28/23 | 2,850,000 | $ | 25.33 | |||||||
03/01/23 to 03/31/23 | 4,550,000 | $ | 28.86 | |||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 5,200,000 | $ | 40.04 | |||||||
02/01/23 to 02/28/23 | 2,050,000 | $ | 63.09 | |||||||
03/01/23 to 03/31/23 | 2,900,000 | $ | 58.90 | |||||||
ProShares UltraShort Euro | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 50,000 | $ | 30.02 | |||||||
02/01/23 to 02/28/23 | 350,000 | $ | 29.68 | |||||||
03/01/23 to 03/31/23 | 200,000 | $ | 29.48 | |||||||
ProShares UltraShort Gold | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | — | $ | — | |||||||
02/01/23 to 02/28/23 | 150,000 | $ | 30.85 | |||||||
03/01/23 to 03/31/23 | 50,000 | $ | 30.89 | |||||||
ProShares UltraShort Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 300,000 | $ | 19.36 | |||||||
02/01/23 to 02/28/23 | 750,000 | $ | 23.64 | |||||||
03/01/23 to 03/31/23 | 150,000 | $ | 24.06 | |||||||
ProShares UltraShort Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 50,000 | $ | 54.92 | |||||||
02/01/23 to 02/28/23 | — | $ | — | |||||||
03/01/23 to 03/31/23 | 100,000 | $ | 56.81 | |||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 175,000 | $ | 27.45 | |||||||
02/01/23 to 02/28/23 | 275,000 | $ | 25.96 | |||||||
03/01/23 to 03/31/23 | 75,000 | $ | 26.18 | |||||||
ProShares VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
01/01/23 to 01/31/23 | 1,650,000 | $ | 10.68 | |||||||
02/01/23 to 02/28/23 | 2,200,000 | $ | 9.71 | |||||||
03/01/23 to 03/31/23 | 5,925,000 | $ | 11.04 |
Title of Securities Registered * | Total Number of Shares Redeemed | Average Price Per Share | ||||||||||
ProShares Ultra VIX Short-Term Futures ETF (Note 1) | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 3,300,000 | $ | 37.71 | |||||||||
06/01/23 to 06/30/23 | 250,000 | $ | 23.78 | |||||||||
ProShares Ultra Yen | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | — | $ | — | |||||||||
06/01/23 to 06/30/23 | — | $ | — | |||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 2,000,000 | $ | 24.48 | |||||||||
05/01/23 to 05/31/23 | 3,400,000 | $ | 27.40 | |||||||||
06/01/23 to 06/30/23 | 2,200,000 | $ | 26.97 | |||||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 1,950,000 | $ | 75.15 | |||||||||
05/01/23 to 05/31/23 | 2,850,000 | $ | 73.12 | |||||||||
06/01/23 to 06/30/23 | 1,300,000 | $ | 71.98 | |||||||||
ProShares UltraShort Euro | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 50,000 | $ | 28.73 | |||||||||
05/01/23 to 05/31/23 | 150,000 | $ | 28.30 | |||||||||
06/01/23 to 06/30/23 | 100,000 | $ | 28.87 | |||||||||
ProShares UltraShort Gold | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 150,000 | $ | 26.27 | |||||||||
06/01/23 to 06/30/23 | 200,000 | $ | 28.48 | |||||||||
ProShares UltraShort Silver | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 250,000 | $ | 17.03 | |||||||||
05/01/23 to 05/31/23 | 1,550,000 | $ | 19.17 | |||||||||
06/01/23 to 06/30/23 | 800,000 | $ | 19.97 | |||||||||
ProShares UltraShort Yen | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 150,000 | $ | 56.19 | |||||||||
05/01/23 to 05/31/23 | 100,000 | $ | 60.30 | |||||||||
06/01/23 to 06/30/23 | 50,000 | $ | 63.75 | |||||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | 125,000 | $ | 27.25 | |||||||||
05/01/23 to 05/31/23 | — | $ | — | |||||||||
06/01/23 to 06/30/23 | 550,000 | $ | 22.52 | |||||||||
ProShares VIX Short-Term Futures ETF (Note 1) | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
04/01/23 to 04/30/23 | — | $ | — | |||||||||
05/01/23 to 05/31/23 | 170,000 | $ | 38.52 | |||||||||
06/01/23 to 06/30/23 | 85,000 | $ | 29.40 |
* | The registration statement covers an indeterminate amount of securities to be offered or sold. |
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None.
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(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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/s/ Todd Johnson |
By: Todd Johnson |
Principal Executive Officer |
Date: |
/s/ Edward Karpowicz |
By: Edward Karpowicz |
Principal Financial and Accounting Officer |
Date: |
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