0001415311 us-gaap:SwapMember ck0001415311:ProsharesUltraBloombergCrudeOilMember ck0001415311:UbsAgMember ck0001415311:WTICrudeOilSubindexMember ck0001415311:BloombergMember 2021-01-01 2021-06-30
Table of Contents
UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM
10-Q

Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended SeptemberJune 30, 2017.2021.

or

Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from
to
.

for the transition period from                      to                     .

Commission file number:
001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware
 
87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)
497-6400

(Registrant’s telephone number, including area code)

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

Common Units of Beneficial InterestNYSE Arca, Inc.
(
Title of each class)class
  (Name of exchange on which registered)
Trading Symbol(s)
  
Name of each exchange
on which registered
(Title of class)
ProShares Short Euro
  (Name of exchange on which registered)
EUFX
NYSE Arca
ProShares Short VIX Short-Term Futures ETF
SVXY
Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil
UCO
NYSE Arca
ProShares Ultra Bloomberg Natural Gas
BOIL
NYSE Arca
ProShares Ultra Euro
ULE
NYSE Arca
ProShares Ultra Gold
UGL
NYSE Arca
ProShares Ultra Silver
AGQ
NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF
UVXY
Cboe BZX Exchange
ProShares Ultra Yen
YCL
NYSE Arca
ProShares UltraShort Australian Dollar
CROC
NYSE Arca
ProShares UltraShort Bloomberg Crude Oil
SCO
NYSE Arca
ProShares UltraShort Bloomberg Natural Gas
KOLD
NYSE Arca
ProShares UltraShort Euro
EUO
NYSE Arca
ProShares UltraShort Gold
GLL
NYSE Arca
ProShares UltraShort Silver
ZSL
NYSE Arca
ProShares UltraShort Yen
YCS
NYSE Arca
ProShares VIX
Mid-Term
Futures ETF
VIXM
Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF
VIXY
Cboe BZX Exchange

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

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

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

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

Large Accelerated Filer  Accelerated Filer 
Non-Accelerated
Filer
   (Do not check if a smaller reporting company)  Smaller Reporting Company 
Emerging Growth Company    

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

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

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court.    ☒  Yes    ☐  No
As of
July 27,
2021, the registrant had 102,673,980 shares of common stock, $0 par value per share, outstanding.

Table of Contents

Part I.    FINANCIAL INFORMATION

Item 1.Condensed Financial Statements.

Item 1.    Financial Statements.
Index

Documents

  
Page
 

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

  

   4 

   9 

   14 

   19 

   24 

   29 

   34 

   39 

   44 

   49 

   54 

   59 

   64 

   69 

   74 

   79 

   84 

   89 

   94 

   99

ProShares Trust II

104

Notes to Financial Statements

10898 

3

PROSHARES VIX SHORT-TERM FUTURES ETF

SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $4,200,621   $4,536,425 

Segregated cash balances with brokers for futures contracts

   4,438,775    17,235,855 

Short-term U.S. government and agency obligations (Note 3)
(cost $186,708,857 and $147,990,045, respectively)

   186,716,429    147,991,233 

Receivable on open futures contracts

   —      4,484,270 
  

 

 

   

 

 

 

Total assets

   195,355,825    174,247,783 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   3,913,679    —   

Payable to Sponsor

   77,327    87,637 
  

 

 

   

 

 

 

Total liabilities

   3,991,006    87,637 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   191,364,819    174,160,146 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $195,355,825   $174,247,783 
  

 

 

   

 

 

 

Shares outstanding (Note 1)

   5,876,317    2,052,363 
  

 

 

   

 

 

 

Net asset value per share (Note 1)

  $32.57   $84.86 
  

 

 

   

 

 

 

Market value per share (Note 1) (Note 2)

  $32.53   $85.04 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Cash
  $2,117,049   $4,105,781 
Segregated cash balances with brokers for futures contracts
   36,300    68,310 
Receivable on open futures contracts
   7,340    21,094 
Interest receivable
   86    175 
   
 
 
   
 
 
 
Total assets
   2,160,775    4,195,360 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   1,659    3,391 
Non-recurring
fees and expenses payable
   14    14 
   
 
 
   
 
 
 
Total liabilities
   1,673    3,405 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   2,159,102    4,191,955 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,160,775   $4,195,360 
   
 
 
   
 
 
 
Shares outstanding
   50,000    100,000 
   
 
 
   
 
 
 
Net asset value per share
  $43.18   $41.92 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $43.14   $41.35 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

4

Table of Contents
PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
Futures Contracts Sold
      
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires September 2021
   15   $2,224,688   $51,551 
See accompanying notes to financial statements.
5

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $310  $54  $906  $7,649 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   5,032   5,516   14,085   11,019 
Brokerage commissions
   79   90   260   190 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   5,111   5,606   14,345   11,209 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (4,801  (5,552  (13,439  (3,560
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (38,172  (20,020  31,221   (38,658
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (38,172  (20,020  31,221   (38,658
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   17,623   (20,804  96,177   46,520 
Short-term U.S. government and agency obligations
   (88  —     —     (30
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   17,535   (20,804  96,177   46,490 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (20,637  (40,824  127,398   7,832 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(25,438 $(46,376 $113,959  $4,272 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,184,540  $2,332,843  $4,191,955  $2,282,195 
   
 
 
  
 
 
  
 
 
  
 
 
 
Redemption of –, –, 50,000 and – shares, respectively
   —     —     (2,146,812  —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, –, (50,000) and – shares, respectively
   —     —     (2,146,812  —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (4,801  (5,552  (13,439  (3,560
Net realized gain (loss)
   (38,172  (20,020  31,221   (38,658
Change in net unrealized appreciation (depreciation)
   17,535   (20,804  96,177   46,490 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (25,438  (46,376  113,959   4,272 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,159,102  $2,286,467  $2,159,102  $2,286,467 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $113,959  $4,272 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (1,999,562  —   
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,000,000   747,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (438  (1,225
Change in unrealized appreciation (depreciation) on investments
   —     30 
Decrease (Increase) in receivable on futures contracts
   13,754   (300
Decrease (Increase) in interest receivable
   89   2,158 
Increase (Decrease) in payable to Sponsor
   (1,732  (82
Increase (Decrease) in payable on futures contracts
   —     (5,100
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   126,070   746,753 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Payment on shares redeemed
   (2,146,812  —   
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (2,146,812  —   
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (2,020,742  746,753 
Cash, beginning of period
   4,174,091   1,540,916 
   
 
 
  
 
 
 
Cash, end of period
  $2,153,349  $2,287,669 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
8

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $204,988,345 and $69,998,727, respectively)
  $204,974,762   $69,999,639 
Cash
   83,694,986    132,392,153 
Segregated cash balances with brokers for futures contracts
   220,872,623    134,187,067 
Receivable on open futures contracts
   85,243,605    74,226,825 
Interest receivable
   3,217    4,384 
   
 
 
   
 
 
 
Total assets
   594,789,193    410,810,068 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
 ��        
Payable on open futures contracts
   5,586,151    996,159 
Brokerage commissions and futures account fees payable
   134,560    114,522 
Payable to Sponsor
   451,183    326,566 
Non-recurring
fees and expenses payable
   1,353    1,353 
   
 
 
   
 
 
 
Total liabilities
   6,173,247    1,438,600 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   588,615,946    409,371,468 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $594,789,193   $410,810,068 
   
 
 
   
 
 
 
Shares outstanding
   10,584,307    9,884,307 
   
 
 
   
 
 
 
Net asset value per share
  $55.61   $41.42 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $55.55   $41.44 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
9

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(98% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

    

0.998% due 10/05/17

  $7,000,000   $6,999,568 

1.043% due 10/12/17

   18,000,000    17,995,300 

0.928% due 10/19/17

   11,000,000    10,995,222 

1.037% due 10/26/17†

   35,000,000    34,978,185 

1.013% due 11/02/17†

   7,000,000    6,994,243 

1.023% due 11/09/17†

   4,000,000    3,995,947 

0.988% due 11/16/17†

   29,000,000    28,965,383 

0.962% due 11/30/17†

   13,000,000    12,979,014 

1.033% due 12/07/17†

   7,000,000    6,987,359 

0.987% due 12/14/17†

   11,000,000    10,978,586 

1.001% due 01/11/18

   12,000,000    11,966,165 

1.040% due 02/01/18

   33,000,000    32,881,457 
    

 

 

 

Total short-term U.S. government and agency obligations (cost $186,708,857)

    $186,716,429 
    

 

 

 

   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(35% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $50,000,000   $49,996,940 
0.013% due 09/16/21
   40,000,000    39,996,152 
0.017% due 10/14/21
   25,000,000    24,996,720 
0.006% due 10/21/21
   20,000,000    19,997,200 
0.029% due 11/18/21
   70,000,000    69,987,750 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $204,988,345)
    $204,974,762 
    
 
 
 
Futures Contracts Purchased

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

VIX Futures—CBOE, expires October 2017

   9,373   $109,429,775   $(16,948,916

VIX Futures—CBOE, expires November 2017

   6,252    81,432,300    (1,380,405
      

 

 

 
      $(18,329,321
      

 

 

 

Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
   8,517   $152,482,406   $32,933,870 
VIX Futures - Cboe, expires August 2021
   7,201    142,210,389    4,246,396 
      
 
 
 
      $37,180,266 
      
 
 
 
^^
Rates shown representsrepresent discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

10

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $379,082  $144,244  $786,305  $324,819 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   381,123   474,982   1,004,091   1,210,844 

Brokerage commissions and fees

   59,243   76,959   138,487   229,993 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   440,366   551,941   1,142,578   1,440,837 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (61,284  (407,697  (356,273  (1,116,018
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (27,447,205  (101,785,229  (126,202,705  (134,345,928

Short-term U.S. government and agency obligations

   419   3,946   (943  6,237 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (27,446,786  (101,781,283  (126,203,648  (134,339,691
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (17,219,461  6,786,934   (17,860,669  (8,475,358

Short-term U.S. government and agency obligations

   3,094   24,829   6,384   35,549 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (17,216,367  6,811,763   (17,854,285  (8,439,809
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (44,663,153  (94,969,520  (144,057,933  (142,779,500
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(44,724,437 $(95,377,217 $(144,414,206 $(143,895,518
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $33,687  $106,023  $67,577  $855,884 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   1,317,153   1,589,036   2,359,722   2,475,233 
Brokerage commissions
   253,949   228,176   429,859   417,708 
Future
s account
fees
   328,342   431,791   586,119   461,519 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,899,444   2,249,003   3,375,700   3,354,460 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,865,757  (2,142,980  (3,308,123  (2,498,576
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   109,337,017   54,615,763   133,546,434   (189,684,841
Short-term U.S. government and agency obligations
   —     (758  —     (758
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   109,337,017   54,615,005   133,546,434   (189,685,599
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (13,290,409  (22,216,796  28,831,483   (1,242,994
Short-term U.S. government and agency obligations
   (17,721  (84,533  (14,495  (2,677
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (13,308,130  (22,301,329  28,816,988   (1,245,671
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   96,028,887   32,313,676   162,363,422   (190,931,270
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $94,163,130  $30,170,696  $159,055,299  $(193,429,846
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

11

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $174,160,146 

Addition of 6,125,000 shares (Note 1)

   274,586,934 

Redemption of 2,301,046 shares (Note 1)

   (112,968,055
  

 

 

 

Net addition (redemption) of 3,823,954 shares (Note 1)

   161,618,879 
  

 

 

 

Net investment income (loss)

   (356,273

Net realized gain (loss)

   (126,203,648

Change in net unrealized appreciation/depreciation

   (17,854,285
  

 

 

 

Net income (loss)

   (144,414,206
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $191,364,819 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $527,130,851  $809,257,658  $409,371,468  $284,437,179 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 450,000, 1,000,000, 2,850,000 and 25,850,000 shares, respectively
   21,503,474   30,843,161   119,612,942   914,411,669 
Redemption of 1,050,000, 10,850,000, 2,150,000 and 13,950,000 shares, respectively
   (54,181,509  (360,459,662  (99,423,763  (495,607,149
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (600,000), (9,850,000), 700,000 and 11,900,000 shares, respectively
   (32,678,035  (329,616,501  20,189,179   418,804,520 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,865,757  (2,142,980  (3,308,123  (2,498,576
Net realized gain (loss)
   109,337,017   54,615,005   133,546,434   (189,685,599
Change in net unrealized appreciation (depreciation)
   (13,308,130  (22,301,329  28,816,988   (1,245,671
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   94,163,130   30,170,696   159,055,299   (193,429,846
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $588,615,946  $509,811,853  $588,615,946  $509,811,853 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

12

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(144,414,206 $(143,895,518

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   12,797,080   (2,370,400

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

   (634,948,674  (742,783,009

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

   597,015,224   622,882,786 

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

   (786,305  (324,819

Net realized gain (loss) on investments

   943   (6,237

Change in unrealized appreciation/depreciation on investments

   (6,384  (35,549

Decrease (Increase) in receivable on futures contracts

   4,484,270   1,105,799 

Increase (Decrease) in payable to Sponsor

   (10,310  85,931 

Increase (Decrease) in payable on futures contracts

   3,913,679   —   
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (161,954,683  (265,341,016
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   274,586,934   461,486,395 

Payment on shares redeemed

   (112,968,055  (195,044,482
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   161,618,879   266,441,913 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (335,804  1,100,897 

Cash, beginning of period

   4,536,425   2,124,103 
  

 

 

  

 

 

 

Cash, end of period

  $4,200,621  $3,225,000 
  

 

 

  

 

 

 

   
Six Months Ended June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $159,055,299  $(193,429,846
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (371,956,927  (339,626,542
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   237,000,000   271,998,224 
Net amortization and accretion on short-term U.S. government and agency obligations
   (32,691  (420,582
Net realized gain (loss) on investments
   —     758 
Change in unrealized appreciation (depreciation) on investments
   14,495   2,677 
Decrease (Increase) in receivable on futures contracts
   (11,016,780  (101,415,612
Decrease (Increase) in interest receivable
   1,167   112,177 
Increase (Decrease) in payable to Sponsor
   124,617   203,612 
Increase (Decrease) in brokerage commissions and
futures account
 
fees payable
   20,038   153,542 
Increase (Decrease) in payable on futures contracts
   4,589,992   17,172,752 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   17,799,210   (345,248,840
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   119,612,942   914,411,669 
Payment on shares redeemed
   (99,423,763  (495,607,149
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   20,189,179   418,804,520 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   37,988,389   73,555,680 
Cash, beginning of period
   266,579,220   167,544,087 
   
 
 
  
 
 
 
Cash, end of period
  $304,567,609  $241,099,767 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

13

Table of Contents
PROSHARES VIXMID-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $314,842   $1,155,115 

Segregated cash balances with brokers for futures contracts

   7,454,800    1,052,615 

Short-term U.S. government and agency obligations (Note 3)
(cost $35,953,365 and $45,486,489, respectively)

   35,955,278    45,486,235 

Receivable from capital shares sold

   1,890,685    —   

Receivable on open futures contracts

   —      242,541 
  

 

 

   

 

 

 

Total assets

   45,615,605    47,936,506 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      2,085,020 

Payable on open futures contracts

   539,598    —   

Payable to Sponsor

   28,584    32,572 
  

 

 

   

 

 

 

Total liabilities

   568,182    2,117,592 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   45,047,423    45,818,914 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $45,615,605   $47,936,506 
  

 

 

   

 

 

 

Shares outstanding

   1,787,403    1,087,403 
  

 

 

   

 

 

 

Net asset value per share

  $25.20   $42.14 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $25.17   $42.34 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $932,921,470 and $219,996,153, respectively)
  $932,884,626   $219,998,394 
Cash
   287,085,393    491,732,847 
Segregated cash balances with brokers for futures contracts
   189,096,050    175,526,749 
Unrealized appreciation on swap agreements
   39,747,504    18,242,195 
Receivable on open futures contracts
   5,661,793    1,611,608 
Interest receivable
   59,956    21,388 
   
 
 
   
 
 
 
Total assets
   1,454,535,322    907,133,181 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      3,627,934 
Brokerage commissions and
futures account
fees payable
   22,929    —   
Payable to Sponsor
   975,949    728,955 
Securities purchased payable
   149,968,500    —   
Non-recurring
fees and expenses payable
   37,042    37,042 
   
 
 
   
 
 
 
Total liabilities
   151,004,420    4,393,931 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   1,303,530,902    902,739,250 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $1,454,535,322   $907,133,181 
   
 
 
   
 
 
 
Shares outstanding
   16,660,774    24,810,774 
   
 
 
   
 
 
 
Net asset value per share
  $78.24   $36.38 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $78.23   $36.27 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

14

Table of Contents
PROSHARES VIXMID-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(80% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

    

0.992% due 10/26/17

  $13,000,000   $12,991,897 

1.013% due 11/02/17

   5,000,000    4,995,888 

1.023% due 11/09/17

   2,000,000    1,997,973 

0.977% due 11/16/17

   9,000,000    8,989,257 

1.001% due 01/11/18

   7,000,000    6,980,263 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $35,953,365)

    $35,955,278 
    

 

 

 

   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(72% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.061% due 07/15/21
  $175,000,000   $174,996,938 
0.017% due 08/19/21
   100,000,000    99,993,880 
0.025% due 09/16/21
   93,000,000    92,991,053 
0.014% due 10/14/21
   125,000,000    124,983,600 
0.027% due 10/21/21
   140,000,000    139,980,400 
0.033% due 11/18/21
   150,000,000    149,973,750 
0.046% due 12/16/21
   150,000,000    149,965,005 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $932,921,470)
    $932,884,626 
    
 
 
 
Futures Contracts Purchased

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

VIX Futures—CBOE, expires January 2018

   582   $8,599,050   $(697,300

VIX Futures—CBOE, expires February 2018

   971    14,783,475    (652,385

VIX Futures—CBOE, expires March 2018

   971    15,341,800    (547,765

VIX Futures—CBOE, expires April 2018

   388    6,314,700    (44,190
      

 

 

 
      $(1,941,640
      

 

 

 

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

See accompanying notes to financial statements.

PROSHARES VIXMID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $71,551  $29,706  $164,138  $63,804 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   80,574   108,438   235,818   251,163 

Brokerage commissions and fees

   6,764   10,935   11,815   23,544 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   87,338   119,373   247,633   274,707 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (15,787  (89,667  (83,495  (210,903
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (3,965,084  (4,899,530  (19,180,135  (5,248,725

Short-term U.S. government and agency obligations

   —     144   (527  132 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (3,965,084  (4,899,386  (19,180,662  (5,248,593
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   364,615   (1,149,750  (653,395  (1,917,790

Short-term U.S. government and agency obligations

   1,342   8,365   2,167   9,742 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   365,957   (1,141,385  (651,228  (1,908,048
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (3,599,127  (6,040,771  (19,831,890  (7,156,641
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(3,614,914 $(6,130,438 $(19,915,385 $(7,367,544
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES VIXMID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $45,818,914 

Addition of 850,000 shares

   23,977,024 

Redemption of 150,000 shares

   (4,833,130
  

 

 

 

Net addition (redemption) of 700,000 shares

   19,143,894 
  

 

 

 

Net investment income (loss)

   (83,495

Net realized gain (loss)

   (19,180,662

Change in net unrealized appreciation/depreciation

   (651,228
  

 

 

 

Net income (loss)

   (19,915,385
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $45,047,423 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES VIXMID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(19,915,385 $(7,367,544

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   (6,402,185  (823,975

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

   (149,796,234  (132,528,541

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

   159,492,969   104,309,090 

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

   (164,138  (63,804

Net realized gain (loss) on investments

   527   (132

Change in unrealized appreciation/depreciation on investments

   (2,167  (9,742

Decrease (Increase) in receivable on futures contracts

   242,541   42,188 

Increase (Decrease) in payable to Sponsor

   (3,988  21,005 

Increase (Decrease) in payable on futures contracts

   539,598   258,839 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (16,008,462  (36,162,616
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   22,086,339   48,406,580 

Payment on shares redeemed

   (6,918,150  (9,794,863
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   15,168,189   38,611,717 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (840,273  2,449,101 

Cash, beginning of period

   1,155,115   671,791 
  

 

 

  

 

 

 

Cash, end of period

  $314,842  $3,120,892 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $4,098,464   $1,850,760 

Segregated cash balances with brokers for futures contracts

   316,834,247    55,323,984 

Short-term U.S. government and agency obligations (Note 3)
(cost $770,073,989 and $170,391,741, respectively)

   770,134,521    170,396,436 

Receivable on open futures contracts

   57,550,026    1,059,418 
  

 

 

   

 

 

 

Total assets

   1,148,617,258    228,630,598 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   107,724,462    —   

Payable on open futures contracts

   —      325,000 

Payable to Sponsor

   1,018,886    230,211 
  

 

 

   

 

 

 

Total liabilities

   108,743,348    555,211 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   1,039,873,910    228,075,387 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $1,148,617,258   $228,630,598 
  

 

 

   

 

 

 

Shares outstanding (Note 1)

   11,100,000    5,000,000 
  

 

 

   

 

 

 

Net asset value per share (Note 1)

  $93.68   $45.62 
  

 

 

   

 

 

 

Market value per share (Note 1) (Note 2)

  $93.75   $45.49 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(74% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

    

1.041% due 10/19/17

  $47,000,000   $46,979,583 

1.048% due 10/26/17

   78,000,000    77,951,383 

1.001% due 11/02/17

   115,000,000    114,905,424 

1.029% due 11/09/17

   199,000,000    198,798,353 

0.986% due 11/16/17†

   160,000,000    159,809,008 

0.999% due 11/24/17

   10,000,000    9,985,499 

1.005% due 11/30/17†

   73,000,000    72,882,156 

1.023% due 12/07/17†

   30,000,000    29,945,826 

0.987% due 12/14/17†

   50,000,000    49,902,665 

1.001% due 01/11/18

   9,000,000    8,974,624 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $770,073,989)

    $770,134,521 
    

 

 

 

Futures Contracts Sold

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

VIX Futures—CBOE, expires October 2017

   51,224   $598,040,200   $86,369,735 

VIX Futures—CBOE, expires November 2017

   34,126    444,491,150    7,874,300 
      

 

 

 
      $94,244,035 
      

 

 

 

^^Rates shown represents discount rate at the time of purchase.
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2021
   8,113   $590,383,010   $35,502,348 
WTI Crude Oil - NYMEX, expires December 2021
   8,603    603,328,390    184,574,670 
WTI Crude Oil - NYMEX, expires June 2022
   8,948    595,399,920    95,975,592 
      
 
 
 
      $316,052,610 
      
 
 
 
Total Return Swap Agreements
^
   
Rate Paid

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

 
  $39,747,504 
       
 
 
 
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $2,102,194  $248,974  $3,484,888  $848,132 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   2,376,444   951,001   4,636,720   3,561,744 

Brokerage commissions and fees

   1,366,561   469,401   2,761,371   1,522,859 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   3,743,005   1,420,402   7,398,091   5,084,603 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (1,640,811  (1,171,428  (3,913,203  (4,236,471
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   188,300,727   277,246,086   471,128,319   263,024,643 

Short-term U.S. government and agency obligations

   6,797   (12,510  (4,461  (34,036
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   188,307,524   277,233,576   471,123,858   262,990,607 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   100,033,466   (51,813,012  104,553,646   16,663,427 

Short-term U.S. government and agency obligations

   56,988   33,663   55,837   62,392 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   100,090,454   (51,779,349  104,609,483   16,725,819 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   288,397,978   225,454,227   575,733,341   279,716,426 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $286,757,167  $224,282,799  $571,820,138  $275,479,955 
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $228,075,387 

Addition of 46,750,000 shares (Note 1)

   3,330,265,694 

Redemption of 40,650,000 shares (Note 1)

   (3,090,287,309
  

 

 

 

Net addition (redemption) of 6,100,000 shares (Note 1)

   239,978,385 
  

 

 

 

Net investment income (loss)

   (3,913,203

Net realized gain (loss)

   471,123,858 

Change in net unrealized appreciation/depreciation

   104,609,483 
  

 

 

 

Net income (loss)

   571,820,138 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $1,039,873,910 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $571,820,138  $275,479,955 

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   (261,510,263  75,585,025 

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

   (3,392,906,218  (2,235,163,421

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

   2,796,704,397   2,324,555,238 

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

   (3,484,888  (848,132

Net realized gain (loss) on investments

   4,461   34,036 

Change in unrealized appreciation/depreciation on investments

   (55,837  (62,392

Decrease (Increase) in receivable on futures contracts

   (56,490,608  (4,571,788

Increase (Decrease) in payable to Sponsor

   788,675   (183,417

Increase (Decrease) in payable on futures contracts

   (325,000  (1,420,271
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (345,455,143  433,404,833 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   3,330,265,694   2,183,650,607 

Payment on shares redeemed

   (2,982,562,847  (2,616,476,208
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   347,702,847   (432,825,601
  

 

 

  

 

 

 

Net increase (decrease) in cash

   2,247,704   579,232 

Cash, beginning of period

   1,850,760   5,150,976 
  

 

 

  

 

 

 

Cash, end of period

  $4,098,464  $5,730,208 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,610,772   $10,969,955 

Segregated cash balances with brokers for futures contracts

   17,599,725    71,363,625 

Short-term U.S. government and agency obligations (Note 3)
(cost $521,285,333 and $434,676,067, respectively)

   521,315,100    434,671,795 

Receivable from capital shares sold

   14,450,792    —   

Receivable on open futures contracts

   —      35,967,191 
  

 

 

   

 

 

 

Total assets

   555,976,389    552,972,566 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      36,789,539 

Payable on open futures contracts

   20,456,567    —   

Payable to Sponsor

   424,090    424,273 
  

 

 

   

 

 

 

Total liabilities

   20,880,657    37,213,812 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   535,095,732    515,758,754 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $555,976,389   $552,972,566 
  

 

 

   

 

 

 

Shares outstanding (Note 1)

   25,927,238    2,965,383 
  

 

 

   

 

 

 

Net asset value per share (Note 1)

  $20.64   $173.93 
  

 

 

   

 

 

 

Market value per share (Note 1) (Note 2)

  $20.60   $175.00 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(97% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

    

1.011% due 10/05/17†

  $15,023,000   $15,022,073 

1.067% due 10/12/17†

   20,000,000    19,994,778 

1.081% due 10/19/17†

   46,000,000    45,980,017 

1.000% due 10/26/17†

   47,000,000    46,970,705 

1.013% due 11/02/17†

   13,000,000    12,989,309 

0.957% due 11/09/17†

   20,000,000    19,979,734 

0.986% due 11/16/17†

   97,000,000    96,884,211 

0.999% due 11/30/17†

   128,000,000    127,793,370 

1.002% due 12/07/17†

   66,000,000    65,880,817 

1.000% due 12/14/17†

   20,000,000    19,961,066 

1.001% due 01/11/18†

   50,000,000    49,859,020 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $521,285,333)

    $521,315,100 
    

 

 

 

Futures Contracts Purchased

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

VIX Futures—CBOE, expires October 2017

   52,495   $612,879,125   $(93,982,537

VIX Futures—CBOE, expires November 2017

   35,008    455,979,200    (7,780,494
      

 

 

 
      $(101,763,031
      

 

 

 

^^Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $866,857  $400,731  $1,833,411  $1,227,394 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   1,040,567   1,625,260   2,880,339   5,006,558 

Brokerage commissions and fees

   1,150,806   1,102,098   2,819,322   3,228,763 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   2,191,373   2,727,358   5,699,661   8,235,321 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (1,324,516  (2,326,627  (3,866,250  (7,007,927
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (126,532,816  (745,101,700  (646,036,987  (1,269,233,467

Short-term U.S. government and agency obligations

   (5,866  16,032   (26,617  24,626 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (126,538,682  (745,085,668  (646,063,604  (1,269,208,841
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (95,515,562  138,973,918   (93,790,794  (51,163,549

Short-term U.S. government and agency obligations

   21,523   27,300   34,039   8,737 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (95,494,039  139,001,218   (93,756,755  (51,154,812
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (222,032,721  (606,084,450  (739,820,359  (1,320,363,653
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(223,357,237 $(608,411,077 $(743,686,609 $(1,327,371,580
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $515,758,754 

Addition of 51,185,000 shares (Note 1)

   2,109,762,890 

Redemption of 28,223,145 shares (Note 1)

   (1,346,739,303
  

 

 

 

Net addition (redemption) of 22,961,855 shares (Note 1)

   763,023,587 
  

 

 

 

Net investment income (loss)

   (3,866,250

Net realized gain (loss)

   (646,063,604

Change in net unrealized appreciation/depreciation

   (93,756,755
  

 

 

 

Net income (loss)

   (743,686,609
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $535,095,732 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(743,686,609 $(1,327,371,580

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   53,763,900   14,767,485 

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

   (2,355,267,451  (3,719,826,671

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

   2,270,464,979   3,505,716,134 

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

   (1,833,411  (1,221,489

Net realized gain (loss) on investments

   26,617   (24,626

Change in unrealized appreciation/depreciation on investments

   (34,039  (8,737

Decrease (Increase) in receivable on futures contracts

   35,967,191   17,995,478 

Increase (Decrease) in payable to Sponsor

   (183  51,617 

Increase (Decrease) in payable on futures contracts

   20,456,567   31,416,387 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (720,142,439  (1,478,506,002
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   2,095,312,098   3,689,719,713 

Payment on shares redeemed

   (1,383,528,842  (2,208,691,466
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   711,783,256   1,481,028,247 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (8,359,183  2,522,245 

Cash, beginning of period

   10,969,955   9,081,964 
  

 

 

  

 

 

 

Cash, end of period

  $2,610,772  $11,604,209 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $3,636,946   $2,715,772 

Segregated cash balances with brokers for futures contracts

   5,000,160    4,931,520 

Short-term U.S. government and agency obligations (Note 3)
(cost $246,653,071 and $205,694,828, respectively)

   246,666,306    205,694,385 

Receivable on open futures contracts

   123,680    —   
  

 

 

   

 

 

 

Total assets

   255,427,092    213,341,677 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   3,359,173    —   

Payable on open futures contracts

   —      13,602 

Payable to Sponsor

   162,517    162,891 

Unrealized depreciation on swap agreements

   13,678,377    12,206,881 
  

 

 

   

 

 

 

Total liabilities

   17,200,067    12,383,374 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   238,227,025    200,958,303 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $255,427,092   $213,341,677 
  

 

 

   

 

 

 

Shares outstanding

   7,089,884    6,339,884 
  

 

 

   

 

 

 

Net asset value per share

  $33.60   $31.70 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $33.73   $31.65 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(104% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

    

1.062% due 10/05/17

  $16,000,000   $15,999,013 

1.065% due 10/12/17

   19,000,000    18,995,039 

1.070% due 10/19/17†

   53,000,000    52,976,977 

1.042% due 10/26/17†

   20,000,000    19,987,534 

1.013% due 11/02/17†

   6,000,000    5,995,066 

1.079% due 11/09/17†

   11,000,000    10,988,854 

0.986% due 11/16/17†

   11,000,000    10,986,869 

0.962% due 11/30/17†

   22,000,000    21,964,485 

0.991% due 12/07/17†

   13,000,000    12,976,525 

0.989% due 12/14/17†

   34,000,000    33,933,812 

1.002% due 01/04/18

   14,000,000    13,962,714 

1.040% due 02/01/18

   28,000,000    27,899,418 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $246,653,071)

    $246,666,306 
    

 

 

 

Futures Contracts Sold

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

WTI Crude Oil—NYMEX, expires November 2017

   1,894   $97,862,980   $(5,367,489

Swap Agreements^

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

Swap agreement with Citibank, N.A. based on Bloomberg Crude OilSub-Index

   (0.18)%   10/05/17   $(149,040,494 $(6,092,070

Swap agreement with Goldman Sachs International based on Bloomberg Crude OilSub-Index

   (0.25  10/05/17    (109,832,549  (3,900,635

Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index

   (0.25)  10/05/17    (12,927,229  (514,835

Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index

   (0.25)  10/05/17    (106,765,884  (3,170,837
      

 

 

 
      $(13,678,377
      

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2021. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown representsrepresent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of SeptemberJune 30, 2017,2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

15

Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $458,896  $112,015  $998,438  $345,514 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   456,582   405,879   1,374,438   1,291,075 

Brokerage commissions and fees

   17,992   27,568   50,772   125,327 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   474,574   433,447   1,425,210   1,416,402 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (15,678  (321,432  (426,772  (1,070,888
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (6,020,543  7,108,871   12,625,049   (1,439,525

Swap agreements

   (3,398,264  43,172,623   37,182,481   (35,456,689

Short-term U.S. government and agency obligations

   (107  3,798   (1,590  (4,796
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (9,418,914  50,285,292   49,805,940   (36,901,010
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (4,525,726  (4,602,457  (3,940,674  (6,846,490

Swap agreements

   (25,931,072  (28,373,775  (1,471,496  (22,977,481

Short-term U.S. government and agency obligations

   10,122   12,429   13,678   26,286 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (30,446,676  (32,963,803  (5,398,492  (29,797,685
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (39,865,590  17,321,489   44,407,448   (66,698,695
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(39,881,268 $17,000,057  $43,980,676  $(67,769,583
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $111,333  $365,747  $279,408  $1,767,207 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   2,794,292   2,806,288   5,329,377   3,676,527 
Brokerage commissions
   210,012   1,017,545   503,212   1,143,882 
Futures account
fees
   317,748   536,749   416,685   536,749 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   3,322,052   4,360,582   6,249,274   5,357,158 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,210,719  (3,994,835  (5,969,866  (3,589,951
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   255,445,062   (31,090,802  447,121,563   (120,038,012
Swap agreements
   65,060,597   (640,451,755  207,735,324   (1,057,095,811
Short-term U.S. government and agency obligations
   —     121,849   —     159,318 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   320,505,659   (671,420,708  654,856,887   (1,176,974,505
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   77,503,699   424,261,108   171,488,571   350,547,390 
Swap agreements
   80,496,098   237,286,565   21,505,309   (11,776,267
Short-term U.S. government and agency obligations
   (80,658  (368,827  (39,085  (13,938
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   157,919,139   661,178,846   192,954,795   338,757,185 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   478,424,798   (10,241,862  847,811,682   (838,217,320
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $475,214,079  $(14,236,697 $841,841,816  $(841,807,271
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

16

Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG CRUDE OIL

STATEMENT

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $200,958,303 

Addition of 10,700,000 shares

   398,064,737 

Redemption of 9,950,000 shares

   (404,776,691
  

 

 

 

Net addition (redemption) of 750,000 shares

   (6,711,954
  

 

 

 

Net investment income (loss)

   (426,772

Net realized gain (loss)

   49,805,940 

Change in net unrealized appreciation/depreciation

   (5,398,492
  

 

 

 

Net income (loss)

   43,980,676 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $238,227,025 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $1,088,579,093  $435,593,381  $902,739,250  $309,844,582 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,050,000, 77,482,000, 3,400,000 and 88,162,000 shares, respectively
   60,208,663   1,895,200,511   177,252,853   2,953,530,675 
Redemption of 5,100,000, 35,569,679, 11,550,000 and 36,009,679 shares, respectively
   (320,470,933  (807,895,736  (618,303,017  (912,906,527
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (4,050,000), 41,912,321, (8,150,000) and 52,152,321 shares, respectively
   (260,262,270  1,087,304,775   (441,050,164  2,040,624,148 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,210,719  (3,994,835  (5,969,866  (3,589,951
Net realized gain (loss)
   320,505,659   (671,420,708  654,856,887   (1,176,974,505
Change in net unrealized appreciation (depreciation)
   157,919,139   661,178,846   192,954,795   338,757,185 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   475,214,079   (14,236,697  841,841,816   (841,807,271
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $1,303,530,902  $1,508,661,459  $1,303,530,902  $1,508,661,459 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

17

Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $43,980,676  $(67,769,583

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   (68,640  3,477,760 

Decrease (Increase) in segregated cash balances with brokers for swap agreements

   —     (1,128,000

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

   (866,640,949  (831,968,058

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

   826,679,554   768,766,626 

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

   (998,438  (345,514

Net realized gain (loss) on investments

   1,590   4,796 

Change in unrealized appreciation/depreciation on investments

   1,457,818   22,951,195 

Decrease (Increase) in receivable on futures contracts

   (123,680  —   

Increase (Decrease) in payable to Sponsor

   (374  34,948 

Increase (Decrease) in brokerage commissions and fees payable

   —     (6,947

Increase (Decrease) in payable for investments purchased

   —     1,736,880 

Increase (Decrease) in payable on futures contracts

   (13,602  (34,842
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   4,273,955   (104,280,739
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   398,064,737   752,995,105 

Payment on shares redeemed

   (401,417,518  (648,311,713
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (3,352,781  104,683,392 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   921,174   402,653 

Cash, beginning of period

   2,715,772   598,645 
  

 

 

  

 

 

 

Cash, end of period

  $3,636,946  $1,001,298 
  

 

 

  

 

 

 

   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $841,841,816  $(841,807,271
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (1,692,766,532  (409,801,073
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   980,000,000   611,325,152 
Net amortization and accretion on short-term U.S. government and agency obligations
   (158,785  (1,263,236
Net realized gain (loss) on investments
   —     (159,318
Change in unrealized appreciation (depreciation) on investments
   (21,466,224  11,790,205 
Decrease (Increase) in securities sold receivable
   —     (3,718,972
Decrease (Increase) in receivable on futures contracts
   (4,050,185  (108,300,298
Decrease (Increase) in interest receivable
   (38,568  45,517 
Increase (Decrease) in payable to Sponsor
   246,994   990,466 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   22,929   —   
Increase (Decrease) in payable on futures contracts
   —     52,061,296 
Increase (Decrease) in securities purchased payable
   149,968,500   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   253,599,945   (688,837,532
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   177,252,853   2,953,530,675 
Payment on shares redeemed
   (621,930,951  (840,445,530
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (444,678,098  2,113,085,145 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (191,078,153  1,424,247,613 
Cash, beginning of period
   667,259,596   88,315,563 
   
 
 
  
 
 
 
Cash, end of period
  $476,181,443  $1,512,563,176 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

18

Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
 

Assets

  

Cash

  $13,475,988 

Segregated cash balances with brokers for futures contracts

   2,418,240 

Offering costs (Note 5)

   71,150 

Limitation by Sponsor

   34,903 
  

 

 

 

Total assets

   16,000,281 
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable on open futures contracts

   83,153 

Payable for offering costs

   148,400 
  

 

 

 

Total liabilities

   231,553 
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

   15,768,728 
  

 

 

 

Total liabilities and shareholders’ equity

  $16,000,281 
  

 

 

 

Shares outstanding

   900,008 
  

 

 

 

Net asset value per share

  $17.52 
  

 

 

 

Market value per share (Note 2)

  $17.63 
  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $29,997,222 and $29,999,585, respectively)
  $29,996,554   $29,999,889 
Cash
   31,362,630    92,972,312 
Segregated cash balances with brokers for futures contracts
   9,111,733    44,320,410 
Receivable on open futures contracts
   —      13,775,851 
Interest receivable
   1,563    4,326 
   
 
 
   
 
 
 
Total assets
   70,472,480    181,072,788 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      11,132,546 
Payable on open futures contracts
   210,440    —   
Brokerage commissions and
futures account
fees payable
   296    —   
Payable to Sponsor
   48,101    139,455 
Non-recurring
fees and expenses payable
   416    416 
   
 
 
   
 
 
 
Total liabilities
   259,253    11,272,417 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   70,213,227    169,800,371 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $70,472,480   $181,072,788 
   
 
 
   
 
 
 
Shares outstanding
   1,987,527    8,087,527 
   
 
 
   
 
 
 
Net asset value per share
  $35.33   $21.00 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $37.17   $21.07 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

19

Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(43% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $2,000,000   $1,999,878 
0.034% due 09/16/21
   20,000,000    19,998,076 
0.043% due 11/18/21
   8,000,000    7,998,600 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $29,997,222)
    $29,996,554 
    
 
 
 
Futures Contracts Sold

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

WTI Crude Oil—NYMEX, expires November 2017

   916   $47,329,720   $(2,423,370

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30, 2017
  January 13, 2017
(Inception) through
September 30, 2017
 

Investment Income

   

Expenses

   

Brokerage commissions and fees

  $9,395  $17,296 

Offering costs

   37,405   77,250 

Limitation by Sponsor

   (12,787  (34,903
  

 

 

  

 

 

 

Total expenses

   34,013   59,643 
  

 

 

  

 

 

 

Net investment income (loss)

   (34,013  (59,643
  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

   

Net realized gain (loss) on

   

Futures contracts

   (1,540,337  232,006 
  

 

 

  

 

 

 

Net realized gain (loss)

   (1,540,337  232,006 
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

   

Futures contracts

   (2,178,096  (2,423,370
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (2,178,096  (2,423,370
  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (3,718,433  (2,191,364
  

 

 

  

 

 

 

Net income (loss)

  $(3,752,446 $(2,251,007
  

 

 

  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at January 13, 2017 (Inception)

  $—   

Addition of 1,050,008 shares

   22,510,278 

Redemption of 150,000 shares

   (4,490,543
  

 

 

 

Net addition (redemption) of 900,008 shares

   18,019,735 
  

 

 

 

Net investment income (loss)

   (59,643

Net realized gain (loss)

   232,006 

Change in net unrealized appreciation/depreciation

   (2,423,370
  

 

 

 

Net income (loss)

   (2,251,007
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $15,768,728 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)

   January 13, 2017
(Inception) through
September 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

  $(2,251,007

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

  

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   (2,418,240

Decrease (Increase) in Limitation by Sponsor

   (34,903

Change in offering cost

   (71,150

Increase (Decrease) in payable on futures contracts

   83,153 

Increase (Decrease) in payable for offering costs

   148,400 
  

 

 

 

Net cash provided by (used in) operating activities

   (4,543,747
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

   22,510,278 

Payment on shares redeemed

   (4,490,543
  

 

 

 

Net cash provided by (used in) financing activities

   18,019,735 
  

 

 

 

Net increase (decrease) in cash

   13,475,988 

Cash, beginning of period

   —   
  

 

 

 

Cash, end of period

  $13,475,988 
  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the nine months ended September 30, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,116,845   $326,631 

Segregated cash balances with brokers for futures contracts

   780,120    710,655 

Short-term U.S. government and agency obligations (Note 3)
(cost $2,998,485 and $2,899,188, respectively)

   2,998,697    2,899,151 

Receivable on open futures contracts

   31,017    105,872 
  

 

 

   

 

 

 

Total assets

   5,926,679    4,042,309 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Brokerage commissions and fees payable

   —      144 

Payable to Sponsor

   5,245    3,371 
  

 

 

   

 

 

 

Total liabilities

   5,245    3,515 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   5,921,434    4,038,794 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $5,926,679   $4,042,309 
  

 

 

   

 

 

 

Shares outstanding

   174,832    174,832 
  

 

 

   

 

 

 

Net asset value per share

  $33.87   $23.10 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $33.64   $23.05 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(51% of shareholders’ equity)

    

U.S. Treasury Bills^^:
1.013% due 10/19/17

  $3,000,000   $2,998,697 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $2,998,485)

    $2,998,697 
    

 

 

 

Futures Contracts Sold

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

Natural Gas—NYMEX, expires November 2017

   394   $11,847,580   $348,521 

Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2021
   3,875   $140,430,000   $17,050,742 
^^
Rates shown representsrepresent discount rate at the time of purchase.

See accompanying notes to financial statements.

20

Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $11,436  $2,395  $25,909  $16,513 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   18,019   13,043   51,110   70,066 

Brokerage commissions and fees

   7,316   8,608   19,673   53,910 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   25,335   21,651   70,783   123,976 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (13,899  (19,256  (44,874  (107,463
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (151,368  (101,997  1,756,252   455,516 

Short-term U.S. government and agency obligations

   (75  434   (334  3,438 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (151,443  (101,563  1,755,918   458,954 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   615,201   712,984   830,552   2,803,566 

Short-term U.S. government and agency obligations

   555   (161  249   (75
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   615,756   712,823   830,801   2,803,491 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   464,313   611,260   2,586,719   3,262,445 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $450,414  $592,004  $2,541,845  $3,154,982 
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $11,544  $36,474  $25,359  $175,813 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   152,958   81,904   407,773   179,012 
Brokerage commissions
   63,062   63,224   155,359   107,806 
Futures account
fees
   12,887   12,642   94,735   12,642 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   228,907   157,770   657,867   299,460 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (217,363  (121,296  (632,508  (123,647
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   4,901,288   (16,111,161  46,483,673   (38,930,766
Short-term U.S. government and agency obligations
   —     (77  551   977 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   4,901,288   (16,111,238  46,484,224   (38,929,789
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   28,350,804   4,884,617   10,550,021   417,794 
Short-term U.S. government and agency obligations
   (2,887  (31,345  (972  (1,559
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   28,347,917   4,853,272   10,549,049   416,235 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   33,249,205   (11,257,966  57,033,273   (38,513,554
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $33,031,842  $(11,379,262 $56,400,765  $(38,637,201
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

21

Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG NATURAL GAS

STATEMENT

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $4,038,794 

Addition of 300,000 shares

   9,317,576 

Redemption of 300,000 shares

   (9,976,781
  

 

 

 

Net addition (redemption) of 0 shares

   (659,205
  

 

 

 

Net investment income (loss)

   (44,874

Net realized gain (loss)

   1,755,918 

Change in net unrealized appreciation/depreciation

   830,801 
  

 

 

 

Net income (loss)

   2,541,845 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $5,921,434 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $74,307,070  $26,671,617  $169,800,371  $45,160,205 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 650,000, 1,260,000, 4,050,000 and 1,485,000 shares, respectively
   13,706,591   38,571,988   90,187,414   54,252,228 
Redemption of 2,150,000, 110,288, 10,150,000 and 235,288 shares, respectively
   (50,832,276  (3,264,560  (246,175,323  (10,175,449
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (1,500,000), 1,149,712, (6,100,000) and 1,249,712 shares, respectively
   (37,125,685  35,307,428   (155,987,909  44,076,779 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (217,363  (121,296  (632,508  (123,647
Net realized gain (loss)
   4,901,288   (16,111,238  46,484,224   (38,929,789
Change in net unrealized appreciation (depreciation)
   28,347,917   4,853,272   10,549,049   416,235 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   33,031,842   (11,379,262  56,400,765   (38,637,201
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $70,213,227  $50,599,783  $70,213,227  $50,599,783 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

22

Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $2,541,845  $3,154,982 

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   (69,465  917,015 

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

   (17,971,116  (42,200,053

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

   17,897,394   45,636,490 

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

   (25,909  (16,513

Net realized gain (loss) on investments

   334   (3,438

Change in unrealized appreciation/depreciation on investments

   (249  75 

Decrease (Increase) in receivable on futures contracts

   74,855   (159,924

Increase (Decrease) in payable to Sponsor

   1,874   (6,510

Increase (Decrease) in brokerage commissions and fees payable

   (144  (1,499

Increase (Decrease) in payable on futures contracts

   —     (785,170
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   2,449,419   6,535,455 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   9,317,576   37,311,510 

Payment on shares redeemed

   (9,976,781  (44,580,216
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (659,205  (7,268,706
  

 

 

  

 

 

 

Net increase (decrease) in cash

   1,790,214   (733,251

Cash, beginning of period

   326,631   1,099,140 
  

 

 

  

 

 

 

Cash, end of period

  $2,116,845  $365,889 
  

 

 

  

 

 

 

   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $56,400,765  $(38,637,201
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (118,983,722  (41,900,001
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   118,999,676   53,563,843 
Net amortization and accretion on short-term U.S. government and agency obligations
   (13,040  (131,818
Net realized gain (loss) on investments
   (551  (977
Change in unrealized appreciation (depreciation) on investments
   972   1,559 
Decrease (Increase) in receivable on futures contracts
   13,775,851   (1,646,280
Decrease (Increase) in interest receivable
   2,763   9,728 
Increase (Decrease) in payable to Sponsor
   (91,354  (8,931
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   296   —   
Increase (Decrease) in payable on futures contracts
   210,440   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   70,302,096   (28,750,078
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   90,187,414   54,252,228 
Payment on shares redeemed
   (257,307,869  (10,175,449
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (167,120,455  44,076,779 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (96,818,359  15,326,701 
Cash, beginning of period
   137,292,722   17,619,062 
   
 
 
  
 
 
 
Cash, end of period
  $40,474,363  $32,945,763 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

23

Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,104,112   $120,840 

Segregated cash balances with brokers for futures contracts

   10,780    13,200 

Short-term U.S. government and agency obligations (Note 3)
(cost $34,939,314 and $60,540,275, respectively)

   34,940,087    60,540,555 

Unrealized appreciation on forward agreements

   2,961,605    3,033,566 

Receivable on open futures contracts

   600    1,280 
  

 

 

   

 

 

 

Total assets

   39,017,184    63,709,441 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   3,563,259    —   

Payable to Sponsor

   27,142    55,794 
  

 

 

   

 

 

 

Total liabilities

   3,590,401    55,794 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   35,426,783    63,653,647 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $39,017,184   $63,709,441 
  

 

 

   

 

 

 

Shares outstanding

   496,978    696,978 
  

 

 

   

 

 

 

Net asset value per share

  $71.28   $91.33 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $71.55   $90.54 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,978 and $—, respectively)
  $999,939   $—   
Cash
   3,641,056    4,045,092 
Segregated cash balances with brokers for foreign currency forward contracts
   —      607,000 
Unrealized appreciation on foreign currency forward contracts
   3,403    89,103 
Interest receivable
   122    162 
   
 
 
   
 
 
 
Total assets
   4,644,520    4,741,357 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   733,826    —   
Payable to Sponsor
   3,039    3,625 
Unrealized depreciation on foreign currency forward contracts
   238,899    367 
Non-recurring
fees and expenses payable
   15    15 
   
 
 
   
 
 
 
Total liabilities
   975,779    4,007 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   3,668,741    4,737,350 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $4,644,520   $4,741,357 
   
 
 
   
 
 
 
Shares outstanding
   250,000    300,000 
   
 
 
   
 
 
 
Net asset value per share
  $14.67   $15.79 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $14.66   $15.81 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

24

Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(99% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.062% due 10/05/17†

  $11,000,000   $10,999,321 

0.991% due 11/30/17†

   2,000,000    1,996,771 

0.972% due 12/07/17†

   3,000,000    2,994,583 

0.987% due 12/14/17†

   5,000,000    4,990,267 

1.002% due 01/04/18

   6,000,000    5,984,020 

1.001% due 01/11/18

   5,000,000    4,985,902 

1.040% due 02/01/18

   3,000,000    2,989,223 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $34,939,314)

    $34,940,087 
    

 

 

 

Futures Contracts Sold

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

Gold Futures—COMEX, expires December 2017

   2   $256,960   $(9,540

   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
(27% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.017% due 08/19/21
  $1,000,000   $999,939 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,978)
       $999,939 
        
 
 
 
Foreign Currency Forward Agreements^

   Rate Paid
(Received)*
  Settlement Date   Commitment to
(Deliver)/Receive
  Notional Amount
at Value**
  Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold

   (1.30)%   10/05/17   $(16,100 $(20,663,223 $1,045,390 

Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold

   (1.06)  10/05/17    (16,898  (21,687,062  835,086 

Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold

   (1.01)  10/05/17    (4,800  (6,160,368  267,146 

Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold

   (1.05)  10/05/17    (17,250  (22,138,823  813,983 
       

 

 

 
       $2,961,605 
       

 

 

 

Contracts
^
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                  
Euro with Goldman Sachs International
   07/09/21    3,450,921  $4,092,706  $(89,287
Euro with UBS AG
   07/09/21    4,235,502   5,023,200   (149,612
                
 
 
 
             
Total Unrealized
Depreciation
 
 
 $(238,899
                
 
 
 
Contracts to Sell
                  
Euro with UBS AG
   07/09/21    (1,496,000 $(1,774,220 $3,403 
                
 
 
 
             
Total Unrealized
Appreciation

 
 $3,403 
                
 
 
 
All or partial amount pledged as collateral for foreign currency forward agreements and/or futures contracts.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2021. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown representsrepresent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2017, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
**For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

25

Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $85,802  $44,515  $202,149  $118,780 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   86,766   163,622   268,125   469,612 

Brokerage commissions and fees

   10   8   39   33 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   86,776   163,630   268,164   469,645 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (974  (119,115  (66,015  (350,865
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (640  (7,340  5,119   (45,820

Forward agreements

   (2,643,515  (10,289,193  (10,944,071  (29,919,349

Short-term U.S. government and agency obligations

   (96  164   (1,168  (779
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (2,644,251  (10,296,369  (10,940,120  (29,965,948
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (6,520  9,400   (28,520  (3,420

Forward agreements

   305,626   9,761,395   (71,961  (228,387

Short-term U.S. government and agency obligations

   1,228   2,460   493   6,758 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   300,334   9,773,255   (99,988  (225,049
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (2,343,917  (523,114  (11,040,108  (30,190,997
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(2,344,891 $(642,229 $(11,106,123 $(30,541,862
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $438  $192  $1,022  $15,993 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   9,416   8,894   19,494   21,448 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   9,416   8,894   19,494   21,448 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (8,978  (8,702  (18,472  (5,455
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   95,412   (18,635  68,070   (71,903
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   95,412   (18,635  68,070   (71,903
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (13,092  97,408   (324,232  (123,926
Short-term U.S. government and agency obligations
   (127  —     (39  (208
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (13,219  97,408   (324,271  (124,134
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   82,193   78,773   (256,201  (196,037
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $73,215  $70,071  $(274,673 $(201,492
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

26

Table of Contents
PROSHARES ULTRASHORT GOLD

STATEMENTULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $63,653,647 

Addition of 300,000 shares

   22,375,636 

Redemption of 500,000 shares

   (39,496,377
  

 

 

 

Net addition (redemption) of (200,000) shares

   (17,120,741
  

 

 

 

Net investment income (loss)

   (66,015

Net realized gain (loss)

   (10,940,120

Change in net unrealized appreciation/depreciation

   (99,988
  

 

 

 

Net income (loss)

   (11,106,123
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $35,426,783 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $3,611,724  $3,949,142  $4,737,350  $6,204,424 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 100,000, 50,000, 100,000 and 100,000 shares, respectively
   1,488,793   698,183   1,488,793   1,368,038 
Redemption of 100,000, 50,000, 150,000 and 250,000 shares, respectively
   (1,504,991  (649,710  (2,282,729  (3,303,284
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of —, —, (50,000) and (150,000) shares, respectively
   (16,198  48,473   (793,936  (1,935,246
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (8,978  (8,702  (18,472  (5,455
Net realized gain (loss)
   95,412   (18,635  68,070   (71,903
Change in net unrealized appreciation (depreciation)
   (13,219  97,408   (324,271  (124,134
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   73,215   70,071   (274,673  (201,492
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $3,668,741  $4,067,686  $3,668,741  $4,067,686 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

27

Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(11,106,123 $(30,541,862

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   2,420   79,370 

Decrease (Increase) in segregated cash balances with brokers for forward agreements

   —     (7,835,000

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

   (136,758,217  (205,754,520

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

   162,560,129   212,008,993 

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

   (202,119  (118,780

Net realized gain (loss) on investments

   1,168   779 

Change in unrealized appreciation/depreciation on investments

   71,468   221,629 

Decrease (Increase) in receivable on futures contracts

   680   (1,320

Increase (Decrease) in payable to Sponsor

   (28,652  (625

Increase (Decrease) in payable on futures contracts

   —     (80
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   14,540,754   (31,941,416
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   22,375,636   79,236,729 

Payment on shares redeemed

   (35,933,118  (47,301,845
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (13,557,482  31,934,884 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   983,272   (6,532

Cash, beginning of period

   120,840   151,638 
  

 

 

  

 

 

 

Cash, end of period

  $1,104,112  $145,106 
  

 

 

  

 

 

 

   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(274,673 $(201,492
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (2,999,505  (1,395,795
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,000,000   5,375,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (473  (9,001
Change in unrealized appreciation (depreciation) on investments
   324,271   124,134 
Decrease (Increase) in interest receivable
   40   1,086 
Increase (Decrease) in payable to Sponsor
   (586  (1,916
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (950,926  3,892,016 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   1,488,793   1,368,038 
Payment on shares redeemed
   (1,548,903  (3,303,284
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (60,110  (1,935,246
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (1,011,036  1,956,770 
Cash, beginning of period
   4,652,092   2,127,437 
   
 
 
  
 
 
 
Cash, end of period
  $3,641,056  $4,084,207 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

28

Table of Contents
PROSHARES ULTRASHORT SILVER

ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,077,196   $86,051 

Segregated cash balances with brokers for futures contracts

   12,980    14,300 

Segregated cash balances with brokers for forward agreements

   738,500    —   

Short-term U.S. government and agency obligations (Note 3)
(cost $17,965,709 and $21,549,766, respectively)

   17,966,229    21,550,319 

Unrealized appreciation on forward agreements

   2,152,433    1,384,246 

Receivable on open futures contracts

   1,510    2,290 
  

 

 

   

 

 

 

Total assets

   22,948,848    23,037,206 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   15,171    19,550 
  

 

 

   

 

 

 

Total liabilities

   15,171    19,550 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   22,933,677    23,017,656 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $22,948,848   $23,037,206 
  

 

 

   

 

 

 

Shares outstanding

   716,976    616,976 
  

 

 

   

 

 

 

Net asset value per share

  $31.99   $37.31 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $32.78   $38.76 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $215,989,861 and $74,998,283, respectively)
  $215,975,683   $74,999,467 
Cash
   19,656,069    164,381,859 
Segregated cash balances with brokers for futures contracts
   10,131,750    11,581,250 
Segregated cash balances with brokers for swap agreements
   —      7,489,000 
Unrealized appreciation on swap agreements
   —      5,140,980 
Receivable from capital shares sold
   19,871,057    —   
Receivable on open futures contracts
   669,766    148,784 
Interest receivable
   2,210    6,531 
   
 
 
   
 
 
 
Total assets
   266,306,535    263,747,871 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Brokerage commissions and
 future
s
account
fees payable
   4,167    —   
Payable to Sponsor
   192,784    206,394 
Unrealized depreciation on swap agreements
   22,651,877    —   
Non-recurring
fees and expenses payable
   1,004    1,004 
   
 
 
   
 
 
 
Total liabilities
   22,849,832    207,398 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   243,456,703    263,540,473 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $266,306,535   $263,747,871 
   
 
 
   
 
 
 
Shares outstanding
   4,250,000    3,900,000 
   
 
 
   
 
 
 
Net asset value per share
  $57.28   $67.57 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $57.22   $68.20 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

29

Table of Contents
PROSHARES ULTRASHORT SILVER

ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(78% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.088% due 10/26/17†

  $4,000,000   $3,997,507 

0.962% due 11/30/17†

   6,000,000    5,990,314 

1.012% due 12/07/17†

   4,000,000    3,992,777 

1.040% due 02/01/18

   4,000,000    3,985,631 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $17,965,709)

    $17,966,229 
    

 

 

 

   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $50,000,000   $49,996,940 
0.027% due 09/16/21
   60,000,000    59,994,228 
0.013% due 10/14/21
   50,000,000    49,993,440 
0.006% due 10/21/21
   25,000,000    24,996,500 
0.028% due 11/18/21
   31,000,000    30,994,575 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $215,989,861)
    $215,975,683 
    
 
 
 
Futures Contracts Sold

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

Silver Futures—COMEX, expires December 2017

   2   $166,760   $4,940 

Forward Agreements^

   Rate Paid
(Received)*
  Settlement Date   Commitment to
(Deliver)/Receive
  Notional Amount
at Value**
  Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver

   (1.40)%   10/05/17   $(953,000 $(16,071,964 $775,445 

Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver

   (1.18)  10/05/17    (786,500  (13,263,851  671,956 

Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver

   (1.14)  10/05/17    (156,000  (2,630,862  143,987 

Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver

   (1.13)  10/05/17    (814,000  (13,727,622  561,045 
       

 

 

 
                $2,152,433 
       

 

 

 

Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2021
   972   $172,199,520   $(4,255,713
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25  07/06/21   $108,368,339   $(7,799,090
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25  07/06/21    93,647,812    (6,739,676
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  07/06/21    112,731,674    (8,113,111
       
 
 
 
      
Total Unrealized
Depreciation

 
  $(22,651,877
       
 
 
 
All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2021. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown representsrepresent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of SeptemberJune 30, 2017, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
**For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $44,411  $22,794  $103,317  $71,536 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   46,737   86,864   143,542   281,605 

Brokerage commissions and fees

   10   8   39   33 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   46,747   86,872   143,581   281,638 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (2,336  (64,078  (40,264  (210,102
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (2,193  (15,410  18,357   (44,810

Forward agreements

   (464,978  (14,850,460  (2,711,677  (26,610,382

Short-term U.S. government and agency obligations

   (46  65   (190  (2,307
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (467,217  (14,865,805  (2,693,510  (26,657,499
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   2,560   10,700   (22,370  (7,450

Forward agreements

   (396,316  9,496,558   768,187   (4,259,746

Short-term U.S. government and agency obligations

   29   2,046   (33  3,511 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (393,727  9,509,304   745,784   (4,263,685
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (860,944  (5,356,501  (1,947,726  (30,921,184
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(863,280 $(5,420,579 $(1,987,990 $(31,131,286
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $23,017,656 

Addition of 700,000 shares

   22,025,198 

Redemption of 600,000 shares

   (20,121,187
  

 

 

 

Net addition (redemption) of 100,000 shares

   1,904,011 
  

 

 

 

Net investment income (loss)

   (40,264

Net realized gain (loss)

   (2,693,510

Change in net unrealized appreciation/depreciation

   745,784 
  

 

 

 

Net income (loss)

   (1,987,990
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $22,933,677 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(1,987,990 $(31,131,286

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   1,320   (110

Decrease (Increase) in segregated cash balances with brokers for forward agreements

   (738,500  (1,544,000

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

   (91,865,007  (126,343,449

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

   95,552,158   138,366,905 

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

   (103,284  (71,536

Net realized gain (loss) on investments

   190   2,307 

Change in unrealized appreciation/depreciation on investments

   (768,154  4,256,235 

Decrease (Increase) in receivable on futures contracts

   780   390 

Increase (Decrease) in payable to Sponsor

   (4,379  (14,530

Increase (Decrease) in payable on futures contracts

   —     930 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   87,134   (16,478,144
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   22,025,198   67,362,064 

Payment on shares redeemed

   (20,121,187  (51,232,577
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   1,904,011   16,129,487 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   1,991,145   (348,657

Cash, beginning of period

   86,051   514,784 
  

 

 

  

 

 

 

Cash, end of period

  $2,077,196  $166,127 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,990,375   $2,292,012 

Segregated cash balances with brokers for futures contracts

   127,050    402,600 

Short-term U.S. government and agency obligations (Note 3)
(cost $5,998,008 and $13,164,807, respectively)

   5,998,433    13,164,828 
  

 

 

   

 

 

 

Total assets

   8,115,858    15,859,440 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   16,156    76,666 

Payable to Sponsor

   6,264    12,686 
  

 

 

   

 

 

 

Total liabilities

   22,420    89,352 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   8,093,438    15,770,088 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $8,115,858   $15,859,440 
  

 

 

   

 

 

 

Shares outstanding

   200,000    350,000 
  

 

 

   

 

 

 

Net asset value per share

  $40.47   $45.06 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $40.56   $45.12 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency  obligations
(74% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.089% due 10/12/17

  $6,000,000   $5,998,433 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $5,998,008)

    $5,998,433 
    

 

 

 

Futures Contracts Sold

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

Euro Fx Currency Futures—CME, expires December 2017

   55   $8,156,844   $106,206 

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

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $18,865  $8,177  $57,345  $22,846 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   21,606   36,752   92,259   116,244 

Brokerage commissions and fees

   330   580   1,433   2,009 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   21,936   37,332   93,692   118,253 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (3,071  (29,155  (36,347  (95,407
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (599,482  327,212   (1,334,988  (199,588

Short-term U.S. government and agency obligations

   (107  (2  (384  31 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (599,589  327,210   (1,335,372  (199,557
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   291,787   (488,475  (26,694  (270,444

Short-term U.S. government and agency obligations

   326   1,265   404   1,652 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   292,113   (487,210  (26,290  (268,792
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (307,476  (160,000  (1,361,662  (468,349
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(310,547 $(189,155 $(1,398,009 $(563,756
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $15,770,088 

Redemption of 150,000 shares

   (6,278,641
  

 

 

 

Net addition (redemption) of (150,000) shares

   (6,278,641
  

 

 

 

Net investment income (loss)

   (36,347

Net realized gain (loss)

   (1,335,372

Change in net unrealized appreciation/depreciation

   (26,290
  

 

 

 

Net income (loss)

   (1,398,009
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $8,093,438 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(1,398,009 $(563,756

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   275,550   116,820 

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

   (45,940,009  (42,155,511

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

   53,163,769   44,640,933 

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

   (57,345  (22,846

Net realized gain (loss) on investments

   384   (31

Change in unrealized appreciation/depreciation on investments

   (404  (1,652

Decrease (Increase) in receivable on futures contracts

   —     84,235 

Increase (Decrease) in payable to Sponsor

   (6,422  (2,556

Increase (Decrease) in payable on futures contracts

   (60,510  32,813 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   5,977,004   2,128,449 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   —     2,109,382 

Payment on shares redeemed

   (6,278,641  (4,280,745
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (6,278,641  (2,171,363
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (301,637  (42,914

Cash, beginning of period

   2,292,012   1,783,802 
  

 

 

  

 

 

 

Cash, end of period

  $1,990,375  $1,740,888 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $729,356   $2,834,389 

Segregated cash balances with brokers for futures contracts

   370,040    914,760 

Short-term U.S. government and agency obligations (Note 3)
(cost $7,997,344 and $12,909,895, respectively)

   7,997,911    12,909,619 

Receivable on open futures contracts

   34,800    —   
  

 

 

   

 

 

 

Total assets

   9,132,107    16,658,768 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   —      32,340 

Payable to Sponsor

   6,902    12,955 
  

 

 

   

 

 

 

Total liabilities

   6,902    45,295 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   9,125,205    16,613,473 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $9,132,107   $16,658,768 
  

 

 

   

 

 

 

Shares outstanding

   200,000    300,000 
  

 

 

   

 

 

 

Net asset value per share

  $45.63   $55.38 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $45.85   $55.24 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency  obligations
(88% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.089% due 10/12/17

  $8,000,000   $7,997,911 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $7,997,344)

    $7,997,911 
    

 

 

 

Futures Contracts Sold

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

Australian Dollar Fx Currency Futures—CME, expires December 2017

   232   $18,179,520   $379,490 

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $23,090  $12,198  $58,614  $32,241 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   24,991   42,820   94,837   136,306 

Brokerage commissions and fees

   1,555   3,267   6,088   11,011 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   26,546   46,087   100,925   147,317 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (3,456  (33,889  (42,311  (115,076
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (1,453,355  (318,842  (1,920,606  (2,462,334

Short-term U.S. government and agency obligations

   (22  1   (177  220 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (1,453,377  (318,841  (1,920,783  (2,462,114
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   837,800   (971,687  (802,850  (495,700

Short-term U.S. government and agency obligations

   (14  561   843   2,074 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   837,786   (971,126  (802,007  (493,626
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (615,591  (1,289,967  (2,722,790  (2,955,740
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(619,047 $(1,323,856 $(2,765,101 $(3,070,816
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $16,613,473 

Redemption of 100,000 shares

   (4,723,167
  

 

 

 

Net addition (redemption) of (100,000) shares

   (4,723,167
  

 

 

 

Net investment income (loss)

   (42,311

Net realized gain (loss)

   (1,920,783

Change in net unrealized appreciation/depreciation

   (802,007
  

 

 

 

Net income (loss)

   (2,765,101
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $9,125,205 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(2,765,101 $(3,070,816

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   544,720   (845,815

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

   (57,937,852  (36,174,367

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

   62,908,840   39,618,751 

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

   (58,614  (32,241

Net realized gain (loss) on investments

   177   (220

Change in unrealized appreciation/depreciation on investments

   (843  (2,074

Decrease (Increase) in receivable on futures contracts

   (34,800  52,491 

Increase (Decrease) in payable to Sponsor

   (6,053  (2,874

Increase (Decrease) in payable on futures contracts

   (32,340  79,209 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   2,618,134   (377,956
  

 

 

  

 

 

 

Cash flow from financing activities

   

Payment on shares redeemed

   (4,723,167  (314
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (4,723,167  (314
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (2,105,033  (378,270

Cash, beginning of period

   2,834,389   1,958,996 
  

 

 

  

 

 

 

Cash, end of period

  $729,356  $1,580,726 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,120,743   $2,916,502 

Short-term U.S. government and agency obligations (Note 3)
(cost $219,674,153 and $337,373,566, respectively)

   219,684,550    337,375,787 

Unrealized appreciation on foreign currency forward contracts

   4,465,552    16,519,070 

Receivable from capital shares sold

   1,091,561    —   
  

 

 

   

 

 

 

Total assets

   227,362,406    356,811,359 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      6,771,472 

Payable to Sponsor

   175,643    291,098 

Unrealized depreciation on foreign currency forward contracts

   565,859    356,139 
  

 

 

   

 

 

 

Total liabilities

   741,502    7,418,709 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   226,620,904    349,392,650 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $227,362,406   $356,811,359 
  

 

 

   

 

 

 

Shares outstanding

   10,450,000    12,900,000 
  

 

 

   

 

 

 

Net asset value per share

  $21.69   $27.08 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $21.68   $27.08 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency  obligations
(97% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

0.998% due 10/05/17

  $9,000,000   $8,999,445 

1.057% due 10/12/17†

   40,000,000    39,989,556 

1.013% due 10/19/17†

   11,000,000    10,995,221 

1.015% due 10/26/17†

   41,000,000    40,974,445 

0.998% due 11/02/17

   10,000,000    9,991,776 

1.079% due 11/09/17†

   20,000,000    19,979,734 

0.982% due 11/16/17†

   2,000,000    1,997,613 

0.962% due 11/30/17†

   7,000,000    6,988,700 

0.987% due 12/14/17†

   18,000,000    17,964,959 

1.002% due 01/04/18

   7,000,000    6,981,357 

1.001% due 01/11/18

   25,000,000    24,929,510 

1.040% due 02/01/18

   30,000,000    29,892,234 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $219,674,153)

    $219,684,550 
    

 

 

 

Foreign Currency Forward Contracts^

   Settlement Date   Local Currency  Notional Amount
at Value (USD)
  Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

      

Euro with Goldman Sachs International

   10/06/17    3,175,800  $3,754,078  $(42,918

Euro with UBS AG

   10/06/17    35,067,900   41,453,378   (522,941
      

 

 

 
             $(565,859) 
      

 

 

 

Contracts to Sell

      

Euro with Goldman Sachs International

   10/06/17    (194,781,925 $(230,249,569 $2,076,933 

Euro with UBS AG

   10/06/17    (226,747,400  (268,035,604  2,388,619 
      

 

 

 
             $4,465,552 
      

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $559,862  $248,831  $1,452,945  $765,698 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   537,193   906,488   1,914,770   2,894,802 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   537,193   906,488   1,914,770   2,894,802 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   22,669   (657,657  (461,825  (2,129,104
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

   (24,505,520  (5,537,097  (45,334,575  (60,591,547

Short-term U.S. government and agency obligations

   (1,394  1,655   (3,856  37 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (24,506,914  (5,535,442  (45,338,431  (60,591,510
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

   10,103,133   (2,518,631  (12,263,238  30,435,313 

Short-term U.S. government and agency obligations

   4,959   2,404   8,176   33,446 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   10,108,092   (2,516,227  (12,255,062  30,468,759 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (14,398,822  (8,051,669  (57,593,493  (30,122,751
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(14,376,153 $(8,709,326 $(58,055,318 $(32,251,855
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $349,392,650 

Addition of 1,800,000 shares

   41,062,646 

Redemption of 4,250,000 shares

   (105,779,074
  

 

 

 

Net addition (redemption) of (2,450,000) shares

   (64,716,428
  

 

 

 

Net investment income (loss)

   (461,825

Net realized gain (loss)

   (45,338,431

Change in net unrealized appreciation/depreciation

   (12,255,062
  

 

 

 

Net income (loss)

   (58,055,318
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $226,620,904 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(58,055,318 $(32,251,855

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

   

Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts

   —     (15,803,000

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

   (1,194,312,964  (1,046,594,054

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

   1,313,461,466   1,240,067,697 

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

   (1,452,945  (765,698

Net realized gain (loss) on investments

   3,856   (37

Change in unrealized appreciation/depreciation on investments

   12,255,062   (30,468,759

Increase (Decrease) in payable to Sponsor

   (115,455  (124,210
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   71,783,702   114,060,084 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   39,971,085   15,418,329 

Payment on shares redeemed

   (112,550,546  (139,665,636
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (72,579,461  (124,247,307
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (795,759  (10,187,223

Cash, beginning of period

   2,916,502   10,372,583 
  

 

 

  

 

 

 

Cash, end of period

  $2,120,743  $185,360 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,506,225   $3,166,988 

Short-term U.S. government and agency obligations (Note 3)
(cost $137,812,663 and $257,103,135, respectively)

   137,818,917    257,102,313 

Unrealized appreciation on foreign currency forward contracts

   9,817,020    16,870,357 
  

 

 

   

 

 

 

Total assets

   149,142,162    277,139,658 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   112,920    232,491 

Unrealized depreciation on foreign currency forward contracts

   570,141    125,420 
  

 

 

   

 

 

 

Total liabilities

   683,061    357,911 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   148,459,101    276,781,747 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $149,142,162   $277,139,658 
  

 

 

   

 

 

 

Shares outstanding

   1,999,290    3,449,290 
  

 

 

   

 

 

 

Net asset value per share

  $74.26   $80.24 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $74.21   $80.25 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency  obligations
(93% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

0.998% due 10/05/17

  $15,000,000   $14,999,075 

1.075% due 10/12/17†

   39,000,000    38,989,817 

0.992% due 10/26/17

   9,000,000    8,994,390 

1.079% due 11/09/17†

   25,000,000    24,974,667 

0.962% due 11/30/17†

   17,000,000    16,972,557 

1.001% due 01/11/18

   9,000,000    8,974,624 

1.040% due 02/01/18

   24,000,000    23,913,787 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $137,812,663)

    $137,818,917 
    

 

 

 

Foreign Currency Forward Contracts^

   Settlement Date   Local Currency  Notional Amount
at Value (USD)
  Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

      

Yen with Goldman Sachs International

   10/06/17    571,833,200  $5,082,606  $(229,963

Yen with UBS AG

   10/06/17    2,539,647,800   22,573,065   (340,178
      

 

 

 
      $(570,141
      

 

 

 

Contracts to Sell

      

Yen with Goldman Sachs International

   10/06/17    (17,548,070,400 $(155,971,917 $4,818,307 

Yen with UBS AG

   10/06/17    (18,981,034,100  (168,708,480  4,998,713 
      

 

 

 
      $9,817,020 
      

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $389,160  $155,603  $1,072,691  $328,442 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   376,339   563,817   1,468,775   1,462,231 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   376,339   563,817   1,468,775   1,462,231 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   12,821   (408,214  (396,084  (1,133,789
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

   (1,067,853  (33,476,385  (17,529,013  (86,173,771

Short-term U.S. government and agency obligations

   (1,081  (44  (3,903  (5,838
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (1,068,934  (33,476,429  (17,532,916  (86,179,609
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

   (83,509  23,071,090   (7,498,058  14,006,768 

Short-term U.S. government and agency obligations

   3,577   14,852   7,076   39,443 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (79,932  23,085,942   (7,490,982  14,046,211 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (1,148,866  (10,390,487  (25,023,898  (72,133,398
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(1,136,045 $(10,798,701 $(25,419,982 $(73,267,187
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $276,781,747 

Addition of 900,000 shares

   69,116,080 

Redemption of 2,350,000 shares

   (172,018,744
  

 

 

 

Net addition (redemption) of (1,450,000) shares

   (102,902,664
  

 

 

 

Net investment income (loss)

   (396,084

Net realized gain (loss)

   (17,532,916

Change in net unrealized appreciation/depreciation

   (7,490,982
  

 

 

 

Net income (loss)

   (25,419,982
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $148,459,101 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(25,419,982 $(73,267,187

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

   

Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts

   —     (1,274,000

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

   (919,771,798  (627,277,970

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

   1,040,131,058   625,696,408 

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

   (1,072,691  (328,442

Net realized gain (loss) on investments

   3,903   5,838 

Change in unrealized appreciation/depreciation on investments

   7,490,982   (14,046,211

Increase (Decrease) in payable to Sponsor

   (119,571  (12,929
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   101,241,901   (90,504,493
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   69,116,080   136,071,321 

Payment on shares redeemed

   (172,018,744  (45,072,219
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (102,902,664  90,999,102 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (1,660,763  494,609 

Cash, beginning of period

   3,166,988   276,968 
  

 

 

  

 

 

 

Cash, end of period

  $1,506,225  $771,577 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $3,555,077   $1,401,555 

Segregated cash balances with brokers for futures contracts

   15,457,200    20,609,600 

Short-term U.S. government and agency obligations (Note 3)
(cost $562,320,399 and $885,046,303, respectively)

   562,359,737    885,050,007 

Unrealized appreciation on swap agreements

   40,796,900    55,358,571 

Receivable on open futures contracts

   503,050    —   
  

 

 

   

 

 

 

Total assets

   622,671,964    962,419,733 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      25,879,004 

Payable on open futures contracts

   —      1,993,438 

Brokerage commissions and fees payable

   —      2,332 

Payable to Sponsor

   529,199    813,099 
  

 

 

   

 

 

 

Total liabilities

   529,199    28,687,873 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   622,142,765    933,731,860 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $622,671,964   $962,419,733 
  

 

 

   

 

 

 

Shares outstanding

   34,761,317    40,013,933 
  

 

 

   

 

 

 

Net asset value per share

  $17.90   $23.34 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $17.82   $23.36 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(90% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.053% due 10/05/17

  $43,000,000   $42,997,347 

1.089% due 10/12/17

   50,000,000    49,986,945 

1.077% due 10/19/17†

   78,000,000    77,966,117 

1.055% due 10/26/17†

   92,000,000    91,942,656 

1.062% due 11/02/17†

   45,000,000    44,962,992 

1.077% due 11/09/17†

   52,000,000    51,947,309 

0.977% due 11/16/17†

   27,000,000    26,967,770 

0.982% due 11/30/17†

   49,000,000    48,920,899 

0.970% due 12/07/17†

   11,000,000    10,980,136 

0.987% due 12/14/17†

   22,000,000    21,957,173 

1.002% due 01/04/18

   40,000,000    39,893,468 

1.001% due 01/11/18

   40,000,000    39,887,216 

1.040% due 02/01/18

   14,000,000    13,949,709 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $562,320,399)

    $562,359,737 
    

 

 

 

Futures Contracts Purchased

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

WTI Crude Oil—NYMEX, expires November 2017

   5,855   $302,527,850   $13,817,653 

Swap Agreements^

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

Swap agreement with Citibank, N.A. based on Bloomberg Crude OilSub-Index

   0.18  10/05/17   $332,458,695   $13,855,515 

Swap agreement with Goldman Sachs International based on Bloomberg Crude OilSub-Index

   0.25  10/05/17    242,703,814    11,965,958 

Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index

   0.25  10/05/17    115,090,880    4,548,744 

Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index

   0.25  10/05/17    251,436,908    10,426,683 
       

 

 

 
       $40,796,900 
       

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represents discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2017,2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

30

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

GOLD

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $1,819,809  $547,630  $4,436,888  $1,497,225 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   1,798,486   2,118,318   5,773,725   6,031,448 

Brokerage commissions and fees

   40,850   112,742   147,117   443,936 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   1,839,336   2,231,060   5,920,842   6,475,384 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (19,527  (1,683,430  (1,483,954  (4,978,159
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   21,413,080   (51,064,247  (13,550,928  (14,115,761

Swap agreements

   24,084,165   (195,154,381  (109,960,912  (118,756,695

Short-term U.S. government and agency obligations

   (8,752  2,107   (15,001  (13,583
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   45,488,493   (246,216,521  (123,526,841  (132,886,039
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   13,270,788   41,481,937   8,280,488   47,317,605 

Swap agreements

   99,552,339   124,100,958   (14,561,671  142,998,777 

Short-term U.S. government and agency obligations

   6,372   8,186   35,634   34,191 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   112,829,499   165,591,081   (6,245,549  190,350,573 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   158,317,992   (80,625,440  (129,772,390  57,464,534 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $158,298,465  $(82,308,870 $(131,256,344 $52,486,375 
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $20,094  $69,857  $55,921  $484,541 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   568,040   333,463   1,136,247   628,874 
Brokerage commissions
   8,665   6,119   23,553   16,484 
Futures account
fees
   13,354   10,196   45,756   10,196 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   590,059   349,778   1,205,556   655,554 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (569,965  (279,921  (1,149,635  (171,013
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   7,294,570   3,122,599   (9,511,327  3,054,438 
Swap agreements
   38,211,797   1,242,729   3,769,562   22,808,946 
Short-term U.S. government and agency obligations
   —     —     245   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   45,506,367   4,365,328   (5,741,520  25,863,384 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (4,648,838  5,677,906   (6,902,587  2,039,670 
Swap agreements
   (28,812,307  20,275,792   (27,792,857  4,760,732 
Short-term U.S. government and agency obligations
   (17,158  (60,686  (15,362  (4,750
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (33,478,303  25,893,012   (34,710,806  6,795,652 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   12,028,064   30,258,340   (40,452,326  32,659,036 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $11,458,099  $29,978,419  $(41,601,961 $32,488,023 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

31

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTGOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $933,731,860 

Addition of 65,600,000 shares

   1,105,174,037 

Redemption of 70,852,616 shares

   (1,285,506,788
  

 

 

 

Net addition (redemption) of (5,252,616) shares

   (180,332,751
  

 

 

 

Net investment income (loss)

   (1,483,954

Net realized gain (loss)

   (123,526,841

Change in net unrealized appreciation/depreciation

   (6,245,549
  

 

 

 

Net income (loss)

   (131,256,344
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $622,142,765 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $214,548,056  $128,481,796  $263,540,473  $110,726,032 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 400,000, 300,000, 1,000,000 and 1,450,000 shares, respectively
   23,214,269   18,995,286   60,276,530   83,989,061 
Redemption of 100,000, 200,000, 650,000 and 1,150,000 shares, respectively
   (5,763,721  (11,766,451  (38,758,339  (61,514,066
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 300,000, 100,000, 350,000 and 300,000 shares, respectively
   17,450,548   7,228,835   21,518,191   22,474,995 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (569,965  (279,921  (1,149,635  (171,013
Net realized gain (loss)
   45,506,367   4,365,328   (5,741,520  25,863,384 
Change in net unrealized appreciation (depreciation)
   (33,478,303  25,893,012   (34,710,806  6,795,652 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   11,458,099   29,978,419   (41,601,961  32,488,023 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $243,456,703  $165,689,050  $243,456,703  $165,689,050 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

32

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(131,256,344 $52,486,375 

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   5,152,400   20,951,260 

Decrease (Increase) in segregated cash balances with brokers for swap agreements

   —     (26,365,000

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

   (3,682,731,284  (2,817,353,950

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

   4,009,879,074   2,735,827,019 

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

   (4,436,887  (1,497,225

Net realized gain (loss) on investments

   15,001   13,583 

Change in unrealized appreciation/depreciation on investments

   14,526,037   (143,032,968

Decrease (Increase) in receivable on futures contracts

   (503,050  1,997,369 

Decrease (Increase) in receivable for investments sold

   —     (17,625,333

Increase (Decrease) in payable to Sponsor

   (283,900  59,439 

Increase (Decrease) in brokerage commissions and fees payable

   (2,332  (14,848

Increase (Decrease) in payable on futures contracts

   (1,993,438  —   
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   208,365,277   (194,554,279
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   1,105,174,037   879,143,549 

Payment on shares redeemed

   (1,311,385,792  (683,302,233
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (206,211,755  195,841,316 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   2,153,522   1,287,037 

Cash, beginning of period

   1,401,555   4,008,379 
  

 

 

  

 

 

 

Cash, end of period

  $3,555,077  $5,295,416 
  

 

 

  

 

 

 

   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(41,601,961 $32,488,023 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (422,955,514  (171,756,777
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   281,999,771   137,257,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (35,590  (310,838
Net realized gain (loss) on investments
   (245  —   
Change in unrealized appreciation (depreciation) on investments
   27,808,219   (4,755,982
Decrease (Increase) in receivable on futures contracts
   (520,982  (957,235
Decrease (Increase) in interest receivable
   4,321   43,172 
Increase (Decrease) in payable to Sponsor
   (13,610  25,225 
Increase (Decrease) in brokerage commissions and
futures account
fees payable
   4,167   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (155,311,424  (7,967,412
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   40,405,473   83,989,061 
Payment on shares redeemed
   (38,758,339  (61,514,066
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,647,134   22,474,995 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (153,664,290  14,507,583 
Cash, beginning of period
   183,452,109   38,526,723 
   
 
 
  
 
 
 
Cash, end of period
  $29,787,819  $53,034,306 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

33

Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
 

Assets

  

Cash

  $6,451,760 

Segregated cash balances with brokers for futures contracts

   1,161,600 

Receivable on open futures contracts

   42,870 

Offering costs (Note 5)

   71,150 

Limitation by Sponsor

   2,484 
  

 

 

 

Total assets

   7,729,864 
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable for offering costs

   148,400 
  

 

 

 

Total liabilities

   148,400 
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

   7,581,464 
  

 

 

 

Total liabilities and shareholders’ equity

  $7,729,864 
  

 

 

 

Shares outstanding

   300,008 
  

 

 

 

Net asset value per share

  $25.27 
  

 

 

 

Market value per share (Note 2)

  $25.09 
  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $589,967,360 and $244,987,251, respectively)
  $589,938,544   $244,993,989 
Cash
   110,040,840    301,951,458 
Segregated cash balances with brokers for futures contracts
   38,036,250    66,062,502 
Segregated cash balances with brokers for swap agreements
   —      78,388,000 
Unrealized appreciation on swap agreements
   —      56,752,666 
Receivable on open futures contracts
   1,452,315    —   
Interest receivable
   5,762    10,698 
   
 
 
   
 
 
 
Total assets
   739,473,711    748,159,313 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   —      2,312,939 
Brokerage commissions and
 futures account
fees payable
   17,899    —   
Payable to Sponsor
   544,830    539,986 
Unrealized depreciation on swap agreements
   77,129,895    —   
Non-recurring
fees and expenses payable
   2,360    2,360 
   
 
 
   
 
 
 
Total liabilities
   77,694,984    2,855,285 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   661,778,727    745,304,028 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $739,473,711   $748,159,313 
   
 
 
   
 
 
 
Shares outstanding
   14,396,526    14,696,526 
   
 
 
   
 
 
 
Net asset value per share
  $45.97   $50.71 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $46.12   $51.28 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

34

Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF

ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.056% due 07/15/21
  $125,000,000   $124,997,812 
0.017% due 08/19/21
   50,000,000    49,996,940 
0.025% due 09/16/21
   90,000,000    89,991,342 
0.014% due 10/14/21
   125,000,000    124,983,600 
0.024% due 10/21/21
   110,000,000    109,984,600 
0.032% due 11/18/21
   90,000,000    89,984,250 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $589,967,360)
    $589,938,544 
    
 
 
 
Futures Contracts Purchased

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

WTI Crude Oil—NYMEX, expires November 2017

   440   $22,734,800   $1,272,779 

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30, 2017
  January 13, 2017
(Inception) through
September 30, 2017
 

Investment Income

   

Expenses

   

Brokerage commissions and fees

  $13,100  $24,374 

Offering costs

   37,405   77,250 

Limitation by Sponsor

   —     (2,484

Reduction in Limitation by Sponsor

   5,818   —   
  

 

 

  

 

 

 

Total expenses

   56,323   99,140 
  

 

 

  

 

 

 

Net investment income (loss)

   (56,323  (99,140
  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

   

Net realized gain (loss) on

   

Futures contracts

   4,971,742   3,137,907 
  

 

 

  

 

 

 

Net realized gain (loss)

   4,971,742   3,137,907 
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

   

Futures contracts

   694,326   1,272,779 
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   694,326   1,272,779 
  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   5,666,068   4,410,686 
  

 

 

  

 

 

 

Net income (loss)

  $5,609,745  $4,311,546 
  

 

 

  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at January 13, 2017 (Inception)

  $—   

Addition of 1,400,008 shares

   29,606,619 

Redemption of 1,100,000 shares

   (26,336,701
  

 

 

 

Net addition (redemption) of 300,008 shares

   3,269,918 
  

 

 

 

Net investment income (loss)

   (99,140

Net realized gain (loss)

   3,137,907 

Change in net unrealized appreciation/depreciation

   1,272,779 
  

 

 

 

Net income (loss)

   4,311,546 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $7,581,464 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)

   January 13, 2017
(Inception) through
September 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

  $4,311,546 

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

  

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   (1,161,600

Decrease (Increase) in receivable on futures contracts

   (42,870

Decrease (Increase) in Limitation by Sponsor

   (2,484

Change in offering cost

   (71,150

Increase (Decrease) in payable for offering costs

   148,400 
  

 

 

 

Net cash provided by (used in) operating activities

   3,181,842 
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

   29,606,619 

Payment on shares redeemed

   (26,336,701
  

 

 

 

Net cash provided by (used in) financing activities

   3,269,918 
  

 

 

 

Net increase (decrease) in cash

   6,451,760 

Cash, beginning of period

   —   
  

 

 

 

Cash, end of period

  $6,451,760 
  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the nine months ended September 30, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,771,889   $971,442 

Segregated cash balances with brokers for futures contracts

   6,724,079    7,612,770 

Short-term U.S. government and agency obligations (Note 3)
(cost $42,918,384 and $36,183,384, respectively)

   42,919,932    36,183,648 
  

 

 

   

 

 

 

Total assets

   51,415,900    44,767,860 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   319,094    1,528,005 

Brokerage commissions and fees payable

   —      433 

Payable to Sponsor

   37,189    36,036 
  

 

 

   

 

 

 

Total liabilities

   356,283    1,564,474 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   51,059,617    43,203,386 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $51,415,900   $44,767,860 
  

 

 

   

 

 

 

Shares outstanding

   5,842,169    2,292,169 
  

 

 

   

 

 

 

Net asset value per share

  $8.74   $18.85 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $8.80   $18.96 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(84% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.108% due 10/12/17

  $2,000,000   $1,999,478 

1.013% due 10/19/17

   3,000,000    2,998,697 

0.992% due 10/26/17

   7,000,000    6,995,637 

1.013% due 11/02/17

   5,000,000    4,995,888 

1.023% due 11/09/17

   2,000,000    1,997,973 

0.987% due 12/14/17

   7,000,000    6,986,373 

1.001% due 01/11/18

   9,000,000    8,974,624 

1.040% due 02/01/18

   8,000,000    7,971,262 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $42,918,384)

    $42,919,932 
    

 

 

 

Futures Contracts Purchased

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

Natural Gas—NYMEX, expires November 2017

   3,396   $102,117,720   $(971,690

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $93,039  $18,114  $199,874  $45,257 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   110,894   85,894   318,839   229,760 

Brokerage commissions and fees

   24,919   25,652   71,984   98,016 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   135,813   111,546   390,823   327,776 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (42,774  (93,432  (190,949  (282,519
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (2,014,548  1,964,411   (21,040,313  6,591,697 

Short-term U.S. government and agency obligations

   (454  264   (1,126  (405
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (2,015,002  1,964,675   (21,041,439  6,591,292 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (1,078,511  (8,409,834  (3,508,410  (7,752,693

Short-term U.S. government and agency obligations

   1,692   2,064   1,284   1,913 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (1,076,819  (8,407,770  (3,507,126  (7,750,780
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (3,091,821  (6,443,095  (24,548,565  (1,159,488
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(3,134,595 $(6,536,527 $(24,739,514 $(1,442,007
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $43,203,386 

Addition of 6,600,000 shares

   66,608,730 

Redemption of 3,050,000 shares

   (34,012,985
  

 

 

 

Net addition (redemption) of 3,550,000 shares

   32,595,745 
  

 

 

 

Net investment income (loss)

   (190,949

Net realized gain (loss)

   (21,041,439

Change in net unrealized appreciation/depreciation

   (3,507,126
  

 

 

 

Net income (loss)

   (24,739,514
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $51,059,617 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(24,739,514 $(1,442,007

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   888,691   1,947,056 

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

   (172,712,634  (89,354,690

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

   166,176,382   90,362,175 

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

   (199,874  (45,257

Net realized gain (loss) on investments

   1,126   405 

Change in unrealized appreciation/depreciation on investments

   (1,284  (1,913

Decrease (Increase) in receivable on futures contracts

   —     3,065,769 

Increase (Decrease) in payable to Sponsor

   1,153   3,356 

Increase (Decrease) in brokerage commissions and fees payable

   (433  (1,236

Increase (Decrease) in payable on futures contracts

   (1,208,911  1,073,868 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (31,795,298  5,607,526 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   66,608,730   24,550,026 

Payment on shares redeemed

   (34,012,985  (30,208,996
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   32,595,745   (5,658,970
  

 

 

  

 

 

 

Net increase (decrease) in cash

   800,447   (51,444

Cash, beginning of period

   971,442   1,411,137 
  

 

 

  

 

 

 

Cash, end of period

  $1,771,889  $1,359,693 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $188,166   $1,262,351 

Segregated cash balances with brokers for futures contracts

   10,780    13,200 

Short-term U.S. government and agency obligations (Note 3)
(cost $101,893,747 and $95,356,703, respectively)

   101,900,580    95,356,621 
  

 

 

   

 

 

 

Total assets

   102,099,526    96,632,172 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   3,980,452    —   

Payable on open futures contracts

   780    1,280 

Payable to Sponsor

   76,924    72,585 

Unrealized depreciation on forward agreements

   8,453,427    4,431,107 
  

 

 

   

 

 

 

Total liabilities

   12,511,583    4,504,972 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   89,587,943    92,127,200 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $102,099,526   $96,632,172 
  

 

 

   

 

 

 

Shares outstanding

   2,250,000    2,800,000 
  

 

 

   

 

 

 

Net asset value per share

  $39.82   $32.90 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $39.60   $33.20 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(114% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.018% due 10/05/17

  $16,000,000   $15,999,013 

1.046% due 10/12/17†

   30,000,000    29,992,167 

1.013% due 10/19/17†

   12,000,000    11,994,787 

1.079% due 11/09/17†

   10,000,000    9,989,867 

1.023% due 12/07/17†

   10,000,000    9,981,942 

0.987% due 12/14/17†

   12,000,000    11,976,639 

1.001% due 01/11/18

   12,000,000    11,966,165 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $101,893,747)

    $101,900,580 
    

 

 

 

Futures Contracts Purchased

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

Gold Futures—COMEX, expires December 2017

   2   $256,960   $9,520 

Forward Agreements^

   Rate Paid
(Received)*
  Settlement
Date
   Commitment to
(Deliver)/Receive
   Notional Amount
at Value**
   Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold

   1.80  10/05/17   $44,400   $56,984,292   $(2,994,458

Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold

   1.91  10/05/17    38,120    48,923,589    (2,118,074

Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold

   1.91  10/05/17    18,000    23,101,380    (1,015,643

Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold

   1.85  10/05/17    38,900    49,924,649    (2,325,252
         

 

 

 
         $(8,453,427
         

 

 

 

   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2021
   2,217   $290,360,490   $(15,029,699
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25  07/06/21   $310,326,474   $(22,036,546
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.30   07/06/21    261,540,197    (18,581,016
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   07/06/21    243,690,136    (17,312,866
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   07/06/21    217,640,652    (19,199,467
       
 
 
 
      
Total Unrealized
Depreciation

 
  $(77,129,895
       
 
 
 
All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2021. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown representsrepresent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of SeptemberJune 30, 20172021, on the notional amount of the forwardswap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For forwardswap agreements, a positive amount represents “long” exposure to the underlying commodity.benchmark index. A negative amount represents “short” exposure to the underlying commodity.benchmark index.

See accompanying notes to financial statements.

35

Table of Contents
PROSHARES ULTRA GOLD

SILVER

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $231,647  $72,710  $531,782  $178,730 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   224,583   245,192   692,340   665,265 

Brokerage commissions and fees

   10   8   39   33 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   224,593   245,200   692,379   665,298 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   7,054   (172,490  (160,597  (486,568
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   600   7,280   (5,221  45,880 

Forward agreements

   5,462,318   12,622,611   23,367,970   33,658,090 

Short-term U.S. government and agency obligations

   (61  193   487   296 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   5,462,857   12,630,084   23,363,236   33,704,266 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   6,520   (9,380  28,480   3,400 

Forward agreements

   (555,941  (13,407,534  (4,022,320  (207,534

Short-term U.S. government and agency obligations

   3,100   (6,051  6,915   (4,093
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (546,321  (13,422,965  (3,986,925  (208,227
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   4,916,536   (792,881  19,376,311   33,496,039 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $4,923,590  $(965,371 $19,215,714  $33,009,471 
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $65,529  $138,315  $163,658  $914,602 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   1,615,157   425,646   3,246,292   906,893 
Brokerage commissions
   40,715   26,966   87,297   45,174 
Futures account
fees
   48,893   20,946   211,080   20,946 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,704,765   473,558   3,544,669   973,013 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,639,236  (335,243  (3,381,011  (58,411
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   10,593,269   19,483,543   17,489,539   9,841,567 
Swap agreements
   105,777,210   (8,097,230  103,791,491   (2,152,908
Short-term U.S. government and agency obligations
   —     —     191   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   116,370,479   11,386,313   121,281,221   7,688,659 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   372,122   4,631,606   (52,219,911  382,020 
Swap agreements
   (48,708,892  64,789,761   (133,882,561  (16,133,265
Short-term U.S. government and agency obligations
   (57,475  (119,307  (35,554  (8,526
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (48,394,245  69,302,060   (186,138,026  (15,759,771
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   67,976,234   80,688,373   (64,856,805  (8,071,112
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $66,336,998  $80,353,130  $(68,237,816 $(8,129,523
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

36

Table of Contents
PROSHARES ULTRA GOLD

STATEMENTSILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $92,127,200 

Addition of 400,000 shares

   14,435,007 

Redemption of 950,000 shares

   (36,189,978
  

 

 

 

Net addition (redemption) of (550,000) shares

   (21,754,971
  

 

 

 

Net investment income (loss)

   (160,597

Net realized gain (loss)

   23,363,236 

Change in net unrealized appreciation/depreciation

   (3,986,925
  

 

 

 

Net income (loss)

   19,215,714 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $89,587,943 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $572,501,249  $129,785,536  $745,304,028  $239,254,842 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,000,000, 1,500,000, 3,400,000 and 2,250,000 shares, respectively
   46,374,159   42,297,617   166,773,794   56,459,730 
Redemption of 450,000, 100,000, 3,700,000 and 1,350,000 shares, respectively
   (23,433,679  (2,764,315  (182,061,279  (37,913,081
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 550,000, 1,400,000, (300,000) and 900,000 shares, respectively
   22,940,480   39,533,302   (15,287,485  18,546,649 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,639,236  (335,243  (3,381,011  (58,411
Net realized gain (loss)
   116,370,479   11,386,313   121,281,221   7,688,659 
Change in net unrealized appreciation (depreciation)
   (48,394,245  69,302,060   (186,138,026  (15,759,771
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   66,336,998   80,353,130   (68,237,816  (8,129,523
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $661,778,727  $249,671,968  $661,778,727  $249,671,968 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

37

Table of Contents
PROSHARES ULTRA GOLD

SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $19,215,714  $33,009,471 

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   2,420   (3,630

Decrease (Increase) in segregated cash balances with brokers for forward agreements

   —     (394,000

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

   (364,397,565  (268,415,817

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

   358,392,755   238,529,754 

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

   (531,747  (178,730

Net realized gain (loss) on investments

   (487  (296

Change in unrealized appreciation/depreciation on investments

   4,015,405   211,627 

Decrease (Increase) in receivable on futures contracts

   —     80 

Increase (Decrease) in payable to Sponsor

   4,339   21,293 

Increase (Decrease) in payable on futures contracts

   (500  1,780 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   16,700,334   2,781,532 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   14,435,007   6,445,287 

Payment on shares redeemed

   (32,209,526  (9,370,304
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (17,774,519  (2,925,017
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (1,074,185  (143,485

Cash, beginning of period

   1,262,351   251,524 
  

 

 

  

 

 

 

Cash, end of period

  $188,166  $108,039 
  

 

 

  

 

 

 

   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(68,237,816 $(8,129,523
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (1,149,854,685  (234,541,441
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   804,999,794   259,705,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (125,027  (610,089
Net realized gain (loss) on investments
   (191  —   
Change in unrealized appreciation (depreciation) on investments
   133,918,115   16,141,791 
Decrease (Increase) in receivable on futures contracts
   (1,452,315  (4,663,920
Decrease (Increase) in interest receivable
   4,936   84,509 
Increase (Decrease) in payable to Sponsor
   4,844   (9,140
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   17,899   —   
Increase (Decrease) in payable on futures contracts
   (2,312,939  (398,936
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (283,037,385  27,578,251 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   166,773,794   49,334,251 
Payment on shares redeemed
   (182,061,279  (37,913,081
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (15,287,485  11,421,170 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (298,324,870  38,999,421 
Cash, beginning of period
   446,401,960   79,058,662 
   
 
 
  
 
 
 
Cash, end of period
  $148,077,090  $118,058,083 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

38

Table of Contents
PROSHARES ULTRA SILVER

VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,616,377   $1,664,601 

Segregated cash balances with brokers for futures contracts

   12,980    14,300 

Short-term U.S. government and agency obligations (Note 3)
(cost $270,613,725 and $295,296,440, respectively)

   270,629,525    295,300,799 
  

 

 

   

 

 

 

Total assets

   273,258,882    296,979,700 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   2,070    2,290 

Payable to Sponsor

   207,828    221,281 

Unrealized depreciation on forward agreements

   28,243,802    20,976,189 
  

 

 

   

 

 

 

Total liabilities

   28,453,700    21,199,760 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   244,805,182    275,779,940 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $273,258,882   $296,979,700 
  

 

 

   

 

 

 

Shares outstanding

   7,196,526    8,246,526 
  

 

 

   

 

 

 

Net asset value per share

  $34.02   $33.44 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $33.15   $32.09 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $209,992,849 and $244,990,791, respectively)
  $209,989,065   $244,995,969 
Cash
   72,997,291    181,991,996 
Segregated cash balances with brokers for futures contracts
   564,808,361    879,704,000 
Segregated cash balances with brokers for swap agreements
   —      7,976,000 
Receivable from capital shares sold
   5,586,276    49,086,388 
Receivable on open futures contracts
   12,723,019    16,422,512 
Interest receivable
   3,188    7,054 
   
 
 
   
 
 
 
Total assets
   866,107,200    1,380,183,919 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   7,249,251    22,424,475 
Brokerage commissions and
 futures account
fees payable
   254,987    485,039 
Payable to Sponsor
   655,125    1,040,582 
Unrealized depreciation on swap agreements
   —      24,807 
Securities purchased payable
   17,072,317    —   
Non-recurring
fees and expenses payable
   4,817    4,817 
   
 
 
   
 
 
 
Total liabilities
   25,236,497    23,979,720 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   840,870,703    1,356,204,199 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $866,107,200   $1,380,183,919 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   30,128,420    12,713,091 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $27.91   $106.68 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $27.98   $106.50 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

39

Table of Contents
PROSHARES ULTRA SILVER

VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(111% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.015% due 10/05/17

  $23,000,000   $22,998,581 

1.056% due 10/12/17†

   31,000,000    30,991,906 

1.013% due 10/19/17†

   20,000,000    19,991,312 

1.036% due 10/26/17†

   26,000,000    25,983,794 

1.076% due 11/02/17†

   11,000,000    10,990,954 

1.079% due 11/09/17†

   13,000,000    12,986,827 

0.977% due 11/16/17†

   7,000,000    6,991,644 

0.962% due 11/30/17†

   12,000,000    11,980,629 

1.004% due 12/07/17†

   40,000,000    39,927,768 

0.987% due 12/14/17†

   50,000,000    49,902,665 

1.002% due 01/04/18

   9,000,000    8,976,030 

1.001% due 01/11/18

   15,000,000    14,957,706 

1.040% due 02/01/18

   14,000,000    13,949,709 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $270,613,725)

    $270,629,525 
    

 

 

 

   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations

(25% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.053% due 07/15/21
  $150,000,000   $149,997,375 
0.017% due 10/14/21
   50,000,000    49,993,440 
0.042% due 11/18/21
   10,000,000    9,998,250 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $209,992,849)
       $209,989,065 
        
 
 
 
Futures Contracts Purchased

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

Silver Futures—COMEX, expires December 2017

   2   $166,760   $(4,940

Forward Agreements^

   Rate Paid
(Received)*
  Settlement Date   Commitment to
(Deliver)/Receive
   Notional Amount
at Value**
   Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver

   1.90  10/05/17   $9,604,000   $161,967,618   $(9,405,158

Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver

   2.03  10/05/17    7,795,800    131,471,490    (7,478,422

Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver

   2.04  10/05/17    3,784,000    63,815,268    (3,531,263

Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver

   2.03  10/05/17    7,836,000    132,149,438    (7,828,959
         

 

 

 
                  $(28,243,802) 
         

 

 

 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
   34,175   $611,845,278   $(70,286,758
VIX Futures - Cboe, expires August 2021
   28,926    571,250,896    (18,497,836
             
 
 
 
             $(88,784,594
             
 
 
 
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
   0.94  07/28/21   $77,700,750   $0— 
                 
 
 
 
             Total Unrealized
Depreciation

 
  $0— 
                 
 
 
 
All or partial
amount 
pledged
 as collateralcoll
a
teral
 for forward agreements and/or futures contracts.swap
agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2021. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown representsrepresent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of SeptemberJune 30, 2017,2021, on the notional amount of the forwardswap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For forwardswap agreements, a positive amount represents “long” exposure to the underlying commodity.benchmark index. A negative amount represents “short” exposure to the underlying commodity.benchmark index.

See accompanying notes to financial statements.

40

Table of Contents
PROSHARES ULTRA SILVER

VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $612,838  $277,478  $1,497,007  $587,744 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   612,285   978,671   1,971,071   2,300,935 

Brokerage commissions and fees

   10   9   49   36 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   612,295   978,680   1,971,120   2,300,971 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   543   (701,202  (474,113  (1,713,227
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   2,157   15,260   (18,669  50,360 

Forward agreements

   1,062,113   119,357,106   20,345,685   174,820,159 

Short-term U.S. government and agency obligations

   (722  336   (524  2,562 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   1,063,548   119,372,702   20,326,492   174,873,081 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (2,560  (10,650  22,420   10,510 

Forward agreements

   7,162,153   (88,229,820  (7,267,613  9,815,906 

Short-term U.S. government and agency obligations

   4,781   4,068   11,441   17,811 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   7,164,374   (88,236,402  (7,233,752  9,844,227 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   8,227,922   31,136,300   13,092,740   184,717,308 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $8,228,465  $30,435,098  $12,618,627  $183,004,081 
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $202,556  $101,523  $316,525  $1,513,263 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   2,293,121   1,293,878   6,676,198   2,677,153 
Brokerage commissions
   1,173,276   438,851   3,129,904   1,179,860 
Futures account
fees
   711,443   454,550   2,555,256   471,271 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   4,177,840   2,187,279   12,361,358   4,328,284 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,975,284  (2,085,756  (12,044,833  (2,815,021
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (811,706,279  (70,710,151  (1,464,769,961  585,435,077 
Swap agreements
   (42,822,782  (37,170,640  (94,277,124  32,769,363 
Short-term U.S. government and agency obligations
   2,137   —     20,657   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (854,526,924  (107,880,791  (1,559,026,428  618,204,440 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   244,143,655   (143,576,454  (40,259,928  54,779,500 
Swap agreements
   —     18,224,215   24,807   (3,749,878
Short-term U.S. government and agency obligations
   (28,407  (148,640  (8,962  (13,586
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   244,115,248   (125,500,879  (40,244,083  51,016,036 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (610,411,676  (233,381,670  (1,599,270,511  669,220,476 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(614,386,960 $(235,467,426 $(1,611,315,344 $666,405,455 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

41

Table of Contents
PROSHARES ULTRA SILVER

STATEMENTVIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $275,779,940 

Addition of 950,000 shares

   31,641,699 

Redemption of 2,000,000 shares

   (75,235,084
  

 

 

 

Net addition (redemption) of (1,050,000) shares

   (43,593,385
  

 

 

 

Net investment income (loss)

   (474,113

Net realized gain (loss)

   20,326,492 

Change in net unrealized appreciation/depreciation

   (7,233,752
  

 

 

 

Net income (loss)

   12,618,627 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $244,805,182 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $1,284,373,170  $592,820,492  $1,356,204,199  $527,636,003 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 12,955,000, 2,485,000, 32,585,000 and 3,475,000 shares, respectively (Note 1)
   434,635,046   850,559,658   2,373,778,077   1,209,649,869 
Redemption of 5,629,671, 485,000, 15,169,671 and 4,625,000 shares, respectively (Note 1)
   (263,750,553  (215,756,117  (1,277,796,229  (1,411,534,720
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 7,325,329, 2,000,000, 17,415,329 and (1,150,000) shares, respectively (Note 1)
   170,884,493   634,803,541   1,095,981,848   (201,884,851
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (3,975,284  (2,085,756  (12,044,833  (2,815,021
Net realized gain (loss)
   (854,526,924  (107,880,791  (1,559,026,428  618,204,440 
Change in net unrealized appreciation (depreciation)
   244,115,248   (125,500,879  (40,244,083  51,016,036 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (614,386,960  (235,467,426  (1,611,315,344  666,405,455 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $840,870,703  $992,156,607  $840,870,703  $992,156,607 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

42

Table of Contents
PROSHARES ULTRA SILVER

VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $12,618,627  $183,004,081 

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   1,320   5,610 

Decrease (Increase) in segregated cash balances with brokers for forward agreements

   —     (2,561,000

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

   (1,281,165,030  (980,153,795

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

   1,307,344,193   837,326,976 

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

   (1,496,972  (587,744

Net realized gain (loss) on investments

   524   (2,562

Change in unrealized appreciation/depreciation on investments

   7,256,172   (9,833,717

Decrease (Increase) in receivable on futures contracts

   —     (260

Increase (Decrease) in payable to Sponsor

   (13,453  112,343 

Increase (Decrease) in payable on futures contracts

   (220  (1,875
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   44,545,161   27,308,057 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   31,641,699   55,483,218 

Payment on shares redeemed

   (75,235,084  (82,652,813
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (43,593,385  (27,169,595
  

 

 

  

 

 

 

Net increase (decrease) in cash

   951,776   138,462 

Cash, beginning of period

   1,664,601   243,900 
  

 

 

  

 

 

 

Cash, end of period

  $2,616,377  $382,362 
  

 

 

  

 

 

 

   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(1,611,315,344 $666,405,455 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (921,859,566  (295,430,934
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   956,989,987   379,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (111,822  (818,563
Net realized gain (loss) on investments
   (20,657  —   
Change in unrealized appreciation (depreciation) on investments
   (15,845  3,763,464 
Decrease (Increase) in receivable on futures contracts
   3,699,493   (18,827,433
Decrease (Increase) in interest receivable
   3,866   183,042 
Increase (Decrease) in payable to Sponsor
   (385,457  189,418 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   (230,052  248,909 
Increase (Decrease) in payable on futures contracts
   (15,175,224  27,599,533 
Increase (Decrease) in securities purchased payable
   17,072,317   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,571,348,304  762,312,891 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   2,417,278,189   1,147,154,570 
Payment on shares redeemed
   (1,277,796,229  (1,411,534,720
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,139,481,960   (264,380,150
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (431,866,344  497,932,741 
Cash, beginning of period
   1,069,671,996   361,561,329 
   
 
 
  
 
 
 
Cash, end of period
  $637,805,652  $859,494,070 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

43

PROSHARES ULTRA EURO

YEN

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,929,230   $606,393 

Short-term U.S. government and agency obligations (Note 3)
(cost $10,995,458 and $11,891,729, respectively)

   10,995,765    11,891,831 

Unrealized appreciation on foreign currency forward contracts

   82,079    2,548 
  

 

 

   

 

 

 

Total assets

   14,007,074    12,500,772 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   10,027    9,629 

Unrealized depreciation on foreign currency forward contracts

   291,439    576,558 
  

 

 

   

 

 

 

Total liabilities

   301,466    586,187 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   13,705,608    11,914,585 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $14,007,074   $12,500,772 
  

 

 

   

 

 

 

Shares outstanding

   800,000    850,000 
  

 

 

   

 

 

 

Net asset value per share

  $17.13   $14.02 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $17.10   $14.09 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,913 and $–, respectively)
  $999,825   $—   
Cash
   1,632,759    2,618,696 
Segregated cash balances with brokers for foreign currency forward contracts
   —      306,000 
Unrealized appreciation on foreign currency forward contracts
   592    67,235 
Interest receivable
   67    111 
   
 
 
   
 
 
 
Total assets
   2,633,243    2,992,042 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   2,038    2,384 
Unrealized depreciation on foreign currency forward contracts
   70,846    148 
Non-recurring
fees and expenses payable
   11    11 
   
 
 
   
 
 
 
Total liabilities
   72,895    2,543 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   2,560,348    2,989,499 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,633,243   $2,992,042 
   
 
 
   
 
 
 
Shares outstanding
   49,970    49,970 
   
 
 
   
 
 
 
Net asset value per share
  $51.24   $59.83 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $51.26   $59.82 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

44

Table of Contents
PROSHARES ULTRA EURO

YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations
(80% of shareholders’ equity)

    

U.S. Treasury Bills^^:

    

1.025% due 10/12/17†

  $6,000,000   $5,998,434 

1.070% due 10/19/17†

   5,000,000    4,997,331 
    

 

 

 

Total short-term U.S. government and agency obligations
(cost $10,995,458)

    $10,995,765 
    

 

 

 

   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(39% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.023% due 11/18/21
  $1,000,000   $999,825 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,913)
    $999,825 
    
 
 
 
Foreign Currency Forward Contracts^

   Settlement Date   Local Currency  Notional Amount
at Value (USD)
  Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

      

Euro with Goldman Sachs International

   10/06/17    11,961,025  $14,138,996  $(136,124

Euro with UBS AG

   10/06/17    17,574,000   20,774,032   (155,315
      

 

 

 
      $(291,439
      

 

 

 

Contracts to Sell

      

Euro with Goldman Sachs International

   10/06/17    (1,663,500 $(1,966,405 $33,031 

Euro with UBS AG

   10/06/17    (4,680,700  (5,533,004  49,048 
      

 

 

 
      $82,079 
      

 

 

 

Contracts
^
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
      
Yen with Goldman Sachs International
   07/09/21    336,192,517  $3,026,597  $(41,036
Yen with UBS AG
   07/09/21    246,112,756   2,215,648   (29,810
      
 
 
 
      
Total Unrealized
Depreciation
 
 
 $(70,846
      
 
 
 
Contracts to Sell
      
Yen with UBS AG
   07/09/21    (13,400,000 $(120,635 $592 
      
 
 
 
      
Total Unrealized
Appreciation

 
 $592 
      
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2021. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates
shown representsrepresent discount rate at the time of purchase.

See accompanying notes to financial statements.

45

Table of Contents
PROSHARES ULTRA EURO

YEN

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $30,171  $6,257  $69,923  $18,054 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   31,427   22,916   95,974   71,859 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   31,427   22,916   95,974   71,859 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (1,256  (16,659  (26,051  (53,805
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

   1,259,663   46,252   2,666,172   1,155,961 

Short-term U.S. government and agency obligations

   (13  6   134   153 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   1,259,650   46,258   2,666,306   1,156,114 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

   (519,273  118,030   364,650   (654,504

Short-term U.S. government and agency obligations

   (331  (1,819  205   (452
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (519,604  116,211   364,855   (654,956
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   740,046   162,469   3,031,161   501,158 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $738,790  $145,810  $3,005,110  $447,353 
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $307  $62  $663  $8,929 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   6,262   6,601   12,911   13,842 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   6,262   6,601   12,911   13,842 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,955  (6,539  (12,248  (4,913
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   (140,007  (106,753  (279,474  (115,236
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (140,007  (106,753  (279,474  (115,236
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   118,748   68,867   (137,341  49,628 
Short-term U.S. government and agency obligations
   (132  —     (88  (74
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   118,616   68,867   (137,429  49,554 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (21,391  (37,886  (416,903  (65,682
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(27,346 $(44,425 $(429,151 $(70,595
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

46

Table of Contents
PROSHARES ULTRA EURO

STATEMENTYEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $11,914,585 

Addition of 1,200,000 shares

   18,469,355 

Redemption of 1,250,000 shares

   (19,683,442
  

 

 

 

Net addition (redemption) of (50,000) shares

   (1,214,087
  

 

 

 

Net investment income (loss)

   (26,051

Net realized gain (loss)

   2,666,306 

Change in net unrealized appreciation/depreciation

   364,855 
  

 

 

 

Net income (loss)

   3,005,110 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $13,705,608 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,587,694  $2,808,780  $2,989,499  $5,580,964 
   
 
 
  
 
 
  
 
 
  
 
 
 
Redemption of –, –, – and 50,000 shares, respectively
   —     —     —     (2,746,014
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, –, – and (50,000) shares, respectively
   —     —     —     (2,746,014
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,955  (6,539  (12,248  (4,913
Net realized gain (loss)
   (140,007  (106,753  (279,474  (115,236
Change in net unrealized appreciation (depreciation)
   118,616   68,867   (137,429  49,554 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (27,346  (44,425  (429,151  (70,595
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,560,348  $2,764,355  $2,560,348  $2,764,355 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

47

Table of Contents
PROSHARES ULTRA EURO

YEN

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $3,005,110  $447,353 

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

   

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

   (40,818,978  (36,177,928

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

   41,785,306   38,263,779 

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

   (69,923  (18,054

Net realized gain (loss) on investments

   (134  (153

Change in unrealized appreciation/depreciation on investments

   (364,855  654,956 

Increase (Decrease) in payable to Sponsor

   398   (2,532
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   3,536,924   3,167,421 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   18,469,355   831,691 

Payment on shares redeemed

   (19,683,442  (4,027,778
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (1,214,087  (3,196,087
  

 

 

  

 

 

 

Net increase (decrease) in cash

   2,322,837   (28,666

Cash, beginning of period

   606,393   227,310 
  

 

 

  

 

 

 

Cash, end of period

  $2,929,230  $198,644 
  

 

 

  

 

 

 

   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(429,151 $(70,595
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (1,499,740  (99,700
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   500,000   1,911,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (173  (3,270
Change in unrealized appreciation (depreciation) on investments
   137,429   (49,554
Decrease (Increase) in interest receivable
   44   4,445 
Increase (Decrease) in payable to Sponsor
   (346  (2,307
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,291,937  1,690,019 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Payment on shares redeemed
   —     (2,746,014
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   —     (2,746,014
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (1,291,937  (1,055,995
Cash, beginning of period
   2,924,696   3,783,138 
   
 
 
  
 
 
 
Cash, end of period
  $1,632,759  $2,727,143 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

48

Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,542,516   $604,691 

Short-term U.S. government and agency obligations (Note 3)
(cost $4,662,497 and $5,283,104, respectively)

   4,662,411    5,282,879 

Unrealized appreciation on foreign currency forward contracts

   12,351    379 
  

 

 

   

 

 

 

Total assets

   6,217,278    5,887,949 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   4,698    4,537 

Unrealized depreciation on foreign currency forward contracts

   407,660    342,455 
  

 

 

   

 

 

 

Total liabilities

   412,358    346,992 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   5,804,920    5,540,957 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $6,217,278   $5,887,949 
  

 

 

   

 

 

 

Shares outstanding

   99,970    99,970 
  

 

 

   

 

 

 

Net asset value per share

  $58.07   $55.43 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $58.17   $55.52 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Cash
  $2,174,027   $2,133,707 
Segregated cash balances with brokers for futures contracts
   120,780    100,320 
Receivable on open futures contracts
   11,590    —   
Interest receivable
   87    119 
   
 
 
   
 
 
 
Total assets
   2,306,484    2,234,146 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   —      9,118 
Payable to Sponsor
   1,733    2,370 
Non-recurring
fees and expenses payable
   19    19 
   
 
 
   
 
 
 
Total liabilities
   1,752    11,507 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   2,304,732    2,222,639 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,306,484   $2,234,146 
   
 
 
   
 
 
 
Shares outstanding
   50,000    50,000 
   
 
 
   
 
 
 
Net asset value per share
  $46.09   $44.45 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $45.96   $43.89 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

49

Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2021

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations

 

  

(80% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

    

1.089% due 10/12/17†

  $673,000   $672,824 

0.962% due 11/30/17

   2,000,000    1,996,771 

1.040% due 02/01/18

   2,000,000    1,992,816 
    

 

 

 

Total short-term U.S. government and agency obligations (cost $4,662,497)

    $4,662,411 
    

 

 

 

Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires September 2021
   61   $4,573,780   $125,393 
See accompanying notes to financial statements.
50

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $260  $42  $518  $20,096 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   5,192   14,888   10,331   30,018 
Brokerage commissions
   374   1,339   760   2,838 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   5,566   16,227   11,091   32,856 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,306  (16,185  (10,573  (12,760
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (7,133  (1,037,904  (171,677  (366,954
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (7,133  (1,037,904  (171,677  (366,954
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   58,291   (562,236  264,343   385,350 
Short-term U.S. government and agency obligations
   —     —     —     (206
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   58,291   (562,236  264,343   385,144 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   51,158   (1,600,140  92,666   18,190 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $45,852  $(1,616,325 $82,093  $5,430 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
51

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,258,880  $7,230,367  $2,222,639  $5,608,612 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,306  (16,185  (10,573  (12,760
Net realized gain (loss)
   (7,133  (1,037,904  (171,677  (366,954
Change in net unrealized appreciation (depreciation)
   58,291   (562,236  264,343   385,144 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   45,852   (1,616,325  82,093   5,430 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,304,732  $5,614,042  $2,304,732  $5,614,042 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
52

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $82,093  $5,430 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   —     (498,498
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     4,436,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   —     (6,234
Change in unrealized appreciation (depreciation) on investments
   —     206 
Decrease (Increase) in receivable on futures contracts
   (11,590  —   
Decrease (Increase) in interest receivable
   32   1,051 
Increase (Decrease) in payable to Sponsor
   (637  (313
Increase (Decrease) in payable on futures contracts
   (9,118  27,662 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   60,780   3,965,304 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   60,780   3,965,304 
Cash, beginning of period
   2,234,027   1,717,873 
   
 
 
  
 
 
 
Cash, end of period
  $2,294,807  $5,683,177 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
53

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,154 and $–, respectively)
  $32,996,370   $—   
Cash
   30,202,202    74,317,150 
Segregated cash balances with brokers for futures contracts
   16,742,716    22,608,223 
Segregated cash balances with brokers for swap agreements
   —      188,000 
Receivable on open futures contracts
   28,329    60,902 
Interest receivable
   1,479    3,299 
   
 
 
   
 
 
 
Total assets
   79,971,096    97,177,574 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   499,834    257,410 
Brokerage commissions and
 f
utures account
fees payable
   12,516    —   
Payable to Sponsor
   58,336    80,580 
Non-recurring fees and expenses payable
   351    351 
   
 
 
   
 
 
 
Total liabilities
   571,037    338,341 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   79,400,059    96,839,233 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $79,971,096   $97,177,574 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   4,383,799    2,084,971 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $18.11   $46.45 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $18.11   $46.56 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
54

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(42% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $5,000,000   $4,999,694 
0.034% due 09/16/21
   20,000,000    19,998,076 
0.043% due 11/18/21
   8,000,000    7,998,600 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $32,997,154)
    $32,996,370 
    
 
 
 
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2021
   720   $52,394,400   $(2,870,473
WTI Crude Oil - NYMEX, expires December 2021
   764    53,579,320    (9,868,519
WTI Crude Oil - NYMEX, expires June 2022
   794    52,832,760    (6,205,625
      
 
 
 
      $(18,944,617
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
55

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $18,343  $6,209  $29,178  $254,918 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   181,035   348,900   402,298   551,269 
Brokerage commissions
   28,581   346,732   71,625   423,785 
F
utures account
fees
   17,468   93,303   65,180   93,303 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   227,084   788,935   539,103   1,068,357 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (208,741  (782,726  (509,925  (813,439
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (26,010,421  (6,718,825  (75,188,186  (214,136
Swap agreements
   —     (228,522  —     44,940,811 
Short-term U.S. government and agency obligations
   —     —     —     (20
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (26,010,421  (6,947,347  (75,188,186  44,726,655 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (9,944,438  (55,392,539  (4,307,804  (555,459
Swap agreements
   —     (19,802,897  —     1,938,253 
Short-term U.S. government and agency obligations
   (2,994  (6,289  (784  (3,162
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (9,947,432  (75,201,725  (4,308,588  1,379,632 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (35,957,853  (82,149,072  (79,496,774  46,106,287 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(36,166,594 $(82,931,798 $(80,006,699 $45,292,848 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
56

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $91,718,390  $100,094,023  $96,839,233  $125,451,681 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,937,500, 4,750,000, 3,887,500 and 5,587,500 shares, respectively (Note 1)
   43,181,460   597,199,474   107,484,439   668,428,949 
Redemption of 738,672, 3,650,000, 1,588,672 and 6,550,000 shares, respectively (Note 1)
   (19,333,197  (496,539,801  (44,916,914  (721,351,580
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,198,828, 1,100,000, 2,298,828 and (962,500) shares, respectively (Note 1)
   23,848,263   100,659,673   62,567,525   (52,922,631
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (208,741  (782,726  (509,925  (813,439
Net realized gain (loss)
   (26,010,421  (6,947,347  (75,188,186  44,726,655 
Change in net unrealized appreciation (depreciation)
   (9,947,432  (75,201,725  (4,308,588  1,379,632 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (36,166,594  (82,931,798  (80,006,699  45,292,848 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $79,400,059  $117,821,898  $79,400,059  $117,821,898 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
57

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(80,006,699 $45,292,848 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (92,987,219  (32,897,274
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   60,000,000   95,246,647 
Net amortization and accretion on short-term U.S. government and agency obligations
   (9,935  (153,272
Net realized gain (loss) on investments
   —     20 
Change in unrealized appreciation (depreciation) on investments
   784   (1,935,091
Decrease (Increase) in receivable on futures contracts
   32,573   (7,541,741
Decrease (Increase) in interest receivable
   1,820   49,379 
Increase (Decrease) in payable to Sponsor
   (22,244  (6,937
Increase (Decrease) in brokerage commissions and
f
utures account
 
fees payable
   12,516   —   
Increase (Decrease) in payable on futures contracts
   242,424   7,318,957 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (112,735,980  105,373,536 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   107,484,439   664,462,079 
Payment on shares redeemed
   (44,916,914  (721,351,580
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   62,567,525   (56,889,501
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (50,168,455  48,484,035 
Cash, beginning of period
   97,113,373   61,909,177 
   
 
 
  
 
 
 
Cash, end of period
  $46,944,918  $110,393,212 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
58

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
  
 
   
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $40,996,636 and $9,999,612, respectively)
  $40,995,644   $9,999,861 
Cash
   46,191,540    12,600,775 
Segregated cash balances with brokers for futures contracts
   12,424,774    6,546,607 
Interest receivable
   1,845    548 
Total assets
   99,613,803    29,147,791 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
       2,604,177 
Payable on open futures contracts
   2,013,196    1,543,700 
Brokerage commissions and
 f
utures account
fees payable
   9,927     
Payable to Sponsor
   65,240    22,029 
Non-recurring fees and expenses payable
   140    140 
Total liabilities
   2,088,503    4,170,046 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   97,525,300    24,977,745 
Total liabilities and shareholders’ equity
  $99,613,803   $29,147,791 
Shares outstanding
   4,524,832    524,832 
Net asset value per share
  $21.55   $47.59 
Market value per share (Note 2)
  $20.44   $47.38 
See accompanying notes to financial statements.
59

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
        
(42% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.017% due 08/19/21
  $4,000,000   $3,999,755 
0.034% due 09/16/21
   30,000,000    29,997,114 
0.043% due 11/18/21
   7,000,000    6,998,775 
Total short-term U.S. government and agency obligations
          
(cost $40,996,636)
       $40,995,644 
Futures Contracts Sold
            
   
Number
of
Contracts
   
Notional
Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires September 2021
   5,382   $195,043,680   $(17,418,146
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
60

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $7,750  $1,371  $15,633  $43,803 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   191,311   36,607   350,648   69,037 
Brokerage commissions
   96,343   46,462   182,023   78,743 
Futures account fees
   33,853   5,349   57,126   5,349 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   321,507   88,418   589,797   153,129 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (313,757  (87,047  (574,164  (109,326
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (10,305,304  5,236,641   (16,664,698  10,862,818 
Short-term U.S. government and agency obligations
   —     (550  —     (550
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (10,305,304  5,236,091   (16,664,698  10,862,268 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (33,691,003  (2,773,687  (17,797,456  561,299 
Short-term U.S. government and agency obligations
   (2,758  (952  (1,241  (327
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (33,693,761  (2,774,639  (17,798,697  560,972 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (43,999,065  2,461,452   (34,463,395  11,423,240 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(44,312,822 $2,374,405  $(35,037,559 $11,313,914 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
61

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $69,459,275  $17,419,933  $24,977,745  $12,515,603 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 3,450,000, 650,000, 7,550,000 and 1,200,000 shares, respectively
   93,913,245   39,170,642   235,963,431   68,275,223 
Redemption of 700,000, 500,000, 3,550,000 and 1,100,000 shares, respectively
   (21,534,398  (30,412,770  (128,378,317  (63,552,530
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 2,750,000, 150,000, 4,000,000 and 100,000 shares, respectively
   72,378,847   8,757,872   107,585,114   4,722,693 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (313,757  (87,047  (574,164  (109,326
Net realized gain (loss)
   (10,305,304  5,236,091   (16,664,698  10,862,268 
Change in net unrealized appreciation (depreciation)
   (33,693,761  (2,774,639  (17,798,697  560,972 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (44,312,822  2,374,405   (35,037,559  11,313,914 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $97,525,300  $28,552,210  $97,525,300  $28,552,210 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
62

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(35,037,559 $11,313,914 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (94,989,543  (12,989,707
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   64,000,000   16,159,778 
Net amortization and accretion on short-term U.S. government and agency obligations
   (7,481  (15,964
Net realized gain (loss) on investments
   —     550 
Change in unrealized appreciation (depreciation) on investments
   1,241   327 
Decrease (Increase) in interest receivable
   (1,297  5,305 
Increase (Decrease) in payable to Sponsor
   43,211   3,188 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   9,927   —   
Increase (Decrease) in payable on futures contracts
   469,496   1,508,752 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (65,512,005  15,986,143 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   235,963,431   64,914,691 
Payment on shares redeemed
   (130,982,494  (63,552,530
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   104,980,937   1,362,161 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   39,468,932   17,348,304 
Cash, beginning of period
   19,147,382   7,370,891 
   
 
 
  
 
 
 
Cash, end of period
  $58,616,314  $24,719,195 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
63

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $27,997,218 and $9,999,612, respectively)
  $27,996,580   $9,999,861 
Cash
   18,114,608    42,133,228 
Segregated cash balances with brokers for foreign currency forward contracts
   —      1,999,000 
Unrealized appreciation on foreign currency forward contracts
   2,806,798    5,705 
Interest receivable
   1,178    2,148 
   
 
 
   
 
 
 
Total assets
   48,919,164    54,139,942 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   36,956    43,974 
Unrealized depreciation on foreign currency forward contracts
   61,548    1,142,409 
Non-recurring fees and expenses payable
   220    220 
   
 
 
   
 
 
 
Total liabilities
   98,724    1,186,603 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   48,820,440    52,953,339 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $48,919,164   $54,139,942 
   
 
 
   
 
 
 
Shares outstanding
   2,050,000    2,350,000 
   
 
 
   
 
 
 
Net asset value per share
  $23.81   $22.53 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $23.82   $22.52 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
64

Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(57% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $3,000,000   $2,999,816 
0.340% due 09/16/21
   10,000,000    9,999,039 
0.039% due 10/21/21
   10,000,000    9,998,600 
0.043% due 11/18/21
   5,000,000    4,999,125 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $27,997,218)
    $27,996,580 
    
 
 
 
Foreign Currency Forward Contracts^

   Settlement Date   Local Currency  Notional Amount
at Value (USD)
  Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

      

Yen with Goldman Sachs International

   10/06/17    735,730,100  $6,539,365  $(218,377

Yen with UBS AG

   10/06/17    652,357,100   5,798,323   (189,283
      

 

 

 
      $(407,660
      

 

 

 

Contracts to Sell

      

Yen with Goldman Sachs International

   10/06/17    (23,286,700 $(206,978 $1,919 

Yen with UBS AG

   10/06/17    (57,172,300  (508,163  10,432 
      

 

 

 
      $12,351 
      

 

 

 

Contracts
^
   
Settlement
Date
   
Contract
Amount
in Local
Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
      
Euro with Goldman Sachs International
   07/09/21    950,000  $1,126,676  $(22,907
Euro with UBS AG
   07/09/21    2,380,000   2,822,621   (38,641
      
 
 
 
      
Total Unrealized
Depreciation
 
 
 $(61,548
      
 
 
 
Contracts to Sell
      
Euro with Goldman Sachs International
   07/09/21    (37,911,263 $(44,961,810 $1,331,194 
Euro with UBS AG
   07/09/21    (47,835,199  (56,731,351  1,475,604 
      
 
 
 
      
Total Unrealized
Appreciation
 
 
 $2,806,798 
      
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2021. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown representsrepresent discount rate at the time of purchase.

See accompanying notes to financial statements.

65

Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016  2017  2016 

Investment Income

     

Interest

  $10,221  $4,659  $21,407  $11,808 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   14,387   17,545   42,356   47,356 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   14,387   17,545   42,356   47,356 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (4,166  (12,886  (20,949  (35,548
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

   (4,492  955,047   338,091   2,273,130 

Short-term U.S. government and agency obligations

   (53  72   (85  72 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   (4,545  955,119   338,006   2,273,202 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

   (52,440  (764,447  (53,233  (268,290

Short-term U.S. government and agency obligations

   (332  679   139   716 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (52,772  (763,768  (53,094  (267,574
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (57,317  191,351   284,912   2,005,628 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $(61,483 $178,465  $263,963  $1,970,080 
  

 

 

  

 

 

  

 

 

  

 

 

 

                 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $5,640  $68,027  $12,806  $467,684 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   114,680   213,631   238,718   477,073 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   114,680   213,631   238,718   477,073 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (109,040  (145,604  (225,912  (9,389
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   (795,757  (2,285,868  (725,230  (1,238,585
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (795,757  (2,285,868  (725,230  (1,238,585
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (509,443  (1,212,465  3,881,954   1,925,466 
Short-term U.S. government and agency obligations
   (1,727  (57,218  (887  (4,898
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (511,170  (1,269,683  3,881,067   1,920,568 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (1,306,927  (3,555,551  3,155,837   681,983 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(1,415,967 $(3,701,155 $2,929,925  $672,594 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

66

Table of Contents
PROSHARES ULTRA YEN

STATEMENTULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $5,540,957 

Net investment income (loss)

   (20,949

Net realized gain (loss)

   338,006 

Change in net unrealized appreciation/depreciation

   (53,094
  

 

 

 

Net income (loss)

   263,963 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $5,804,920 
  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $54,932,137  $93,194,599  $52,953,339  $120,581,173 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 150,000, 200,000 and 350,000 shares, respectively
   —     4,304,184   4,613,244   10,058,250 
Redemption of 200,000, 550,000, 500,000 and 1,900,000 shares, respectively
   (4,695,730  (14,948,663  (11,676,068  (52,463,052
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (200,000), (400,000), (300,000) and (1,550,000) shares, respectively
   (4,695,730  (10,644,479  (7,062,824  (42,404,802
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (109,040  (145,604  (225,912  (9,389
Net realized gain (loss)
   (795,757  (2,285,868  (725,230  (1,238,585
Change in net unrealized appreciation (depreciation)
   (511,170  (1,269,683  3,881,067   1,920,568 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (1,415,967  (3,701,155  2,929,925   672,594 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $48,820,440  $78,848,965  $48,820,440  $78,848,965 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

67

Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $263,963  $1,970,080 

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

   (16,968,160  (19,949,134

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

   17,610,089   17,932,716 

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

   (21,407  (11,808

Net realized gain (loss) on investments

   85   (72

Change in unrealized appreciation/depreciation on investments

   53,094   267,574 

Increase (Decrease) in payable to Sponsor

   161   1,405 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   937,825   210,761 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Payment on shares redeemed

   —     (199
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   —     (199
  

 

 

  

 

 

 

Net increase (decrease) in cash

   937,825   210,562 

Cash, beginning of period

   604,691   147,371 
  

 

 

  

 

 

 

Cash, end of period

  $1,542,516  $357,933 
  

 

 

  

 

 

 

         
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $2,929,925  $672,594 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (69,991,234  (141,766,749
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   52,000,000   145,685,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (6,372  (320,957
Change in unrealized appreciation (depreciation) on investments
   (3,881,067  (1,920,568
Decrease (Increase) in interest receivable
   970   59,730 
Increase (Decrease) in payable to Sponsor
   (7,018  (35,967
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (18,954,796  2,373,083 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   4,613,244   10,058,250 
Payment on shares redeemed
   (11,676,068  (52,463,052
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (7,062,824  (42,404,802
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (26,017,620  (40,031,719
Cash, beginning of period
   44,132,228   44,280,278 
   
 
 
  
 
 
 
Cash, end of period
  $18,114,608  $4,248,559 
   
 
 
  
 
 
 
See accompanying notes to financial statements.

68

Table of Contents
PROSHARES TRUST II

COMBINED ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $59,037,500   $39,482,473 

Segregated cash balances with brokers for futures contracts

   378,413,556    180,212,984 

Segregated cash balances with brokers for forward agreements

   738,500    —   

Short-term U.S. government and agency obligations (Note 3)
(cost $3,181,464,501 and $3,038,837,465, respectively)

   3,181,660,408    3,038,848,441 

Unrealized appreciation on swap agreements

   40,796,900    55,358,571 

Unrealized appreciation on forward agreements

   5,114,038    4,417,812 

Unrealized appreciation on foreign currency forward contracts

   14,377,002    33,392,354 

Receivable from capital shares sold

   17,433,038    
—  
 

Receivable on open futures contracts

   58,287,553    41,862,862 

Offering costs (Note 5)

   142,300    
—  
 

Limitation by Sponsor

   37,387    
—  
 
  

 

 

   

 

 

 

Total assets

   3,756,038,182    3,393,575,497 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   118,627,346    71,525,035 

Payable on open futures contracts

   25,331,097    3,972,621 

Brokerage commissions and fees payable

   
—  
 
   2,909 

Payable to Sponsor

   2,926,556    2,722,696 

Payable for offering costs

   296,800    
—  
 

Unrealized depreciation on swap agreements

   13,678,377    12,206,881 

Unrealized depreciation on forward agreements

   36,697,229    25,407,296 

Unrealized depreciation on foreign currency forward contracts

   1,835,099    1,400,572 
  

 

 

   

 

 

 

Total liabilities

   199,392,504    117,238,010 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   3,556,645,678    3,276,337,487 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $3,756,038,182   $3,393,575,497 
  

 

 

   

 

 

 

Shares outstanding

   118,168,916    90,235,707 
  

 

 

   

 

 

 

   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $11,998,536 and $–, respectively)
  $11,998,320   $—   
Cash
   16,816,057    16,935,121 
Segregated cash balances with brokers for futures contracts
   1,561,500    1,503,750 
Segregated cash balances with brokers for swap agreements
   —      2,194,500 
Unrealized appreciation on swap agreements
   2,574,819    —   
Receivable on open futures contracts
   —      1,317 
Interest receivable
   653    742 
   
 
 
   
 
 
 
Total assets
   32,951,349    20,635,430 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   94,215    12,410 
Brokerage commissions and
 
f
utures account
fees payable
   406    —   
Payable to Sponsor
   21,633    16,835 
Unrealized depreciation on swap agreements
   —      268,728 
Non-recurring fees and expenses payable
   81    81 
   
 
 
   
 
 
 
Total liabilities
   116,335    298,054 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   32,835,014    20,337,376 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $32,951,349   $20,635,430 
   
 
 
   
 
 
 
Shares outstanding
   946,977    646,977 
   
 
 
   
 
 
 
Net asset value per share
  $34.67   $31.43 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $34.69   $31.14 
   
 
 
   
 
 
 
See accompanying notes to financial statements.

69

Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(37% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.034% due 09/16/21
  $4,000,000   $3,999,615 
0.039% due 10/21/21
   3,000,000    2,999,580 
0.043% due 11/18/21
   5,000,000    4,999,125 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $11,998,536)
    $11,998,320 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2021
   169   $29,940,040   $585,939 
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
  
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25  07/06/21   $(14,671,543 $1,050,931 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20  07/06/21    (9,598,230  687,817 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  07/06/21    (11,477,443  836,071 
      
 
 
 
      
Total Unrealized
Appreciation
 
 
 $2,574,819 
      
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of June 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
70

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $3,176  $2,259  $6,138  $63,280 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   69,968   40,621   133,695   83,860 
Brokerage commissions
   2,283   1,659   5,873   3,763 
F
utures account
fees
   1,802   1,365   6,488   1,365 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   74,053   43,645   146,056   88,988 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (70,877  (41,386  (139,918  (25,708
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (2,050,237  (1,667,192  (715,255  (3,695,858
Swap agreements
   (4,934,310  (422,079  (2,266,102  (4,324,295
Short-term U.S. government and agency obligations
   —     —     169   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (6,984,547  (2,089,271  (2,981,188  (8,020,153
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   546,794   (530,083  782,869   111,030 
Swap agreements
   3,260,286   (2,106,843  2,843,547   (72,160
Short-term U.S. government and agency obligations
   (1,027  (2,005  (216  (827
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   3,806,053   (2,638,931  3,626,200   38,043 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (3,178,494  (4,728,202  645,012   (7,982,110
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(3,249,371 $(4,769,588 $505,094  $(8,007,818
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
71

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $41,243,515  $20,569,044  $20,337,376  $21,047,560 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 300,000, 150,000, 1,050,000 and 350,000 shares, respectively
   10,071,690   5,742,206   37,362,906   15,431,847 
Redemption of 450,000, 150,000, 750,000 and 300,000 shares, respectively
   (15,230,820  (5,690,619  (25,370,362  (12,620,546
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (150,000), –, 300,000 and 50,000 shares, respectively
   (5,159,130  51,587   11,992,544   2,811,301 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (70,877  (41,386  (139,918  (25,708
Net realized gain (loss)
   (6,984,547  (2,089,271  (2,981,188  (8,020,153
Change in net unrealized appreciation (depreciation)
   3,806,053   (2,638,931  3,626,200   38,043 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (3,249,371  (4,769,588  505,094   (8,007,818
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $32,835,014  $15,851,043  $32,835,014  $15,851,043 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
72

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
   
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $505,094  $(8,007,818
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (30,995,460  (14,982,323
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   18,999,936   19,371,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,843  (33,878
Net realized gain (loss) on investments
   (169  —   
Change in unrealized appreciation (depreciation) on investments
   (2,843,331  72,987 
Decrease (Increase) in receivable on futures contracts
   1,317   (13,574
Decrease (Increase) in interest receivable
   89   11,031 
Increase (Decrease) in payable to Sponsor
   4,798   (4,065
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   406   —   
Increase (Decrease) in payable on futures contracts
   81,805   21,109 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (14,248,358  (3,565,531
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   37,362,906   15,431,847 
Payment on shares redeemed
   (25,370,362  (12,620,546
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   11,992,544   2,811,301 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (2,255,814  (754,230
Cash, beginning of period
   20,633,371   9,895,915 
   
 
 
  
 
 
 
Cash, end of period
  $18,377,557  $9,141,685 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
73

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,891 and $–, respectively)
  $16,997,804   $—   
Cash
   12,329,310    18,919,314 
Segregated cash balances with brokers for futures contracts
   2,707,500    1,503,250 
Segregated cash balances with brokers for swap agreements
   —      11,732,485 
Unrealized appreciation on swap agreements
   2,852,750    —   
Receivable on open futures contracts
   632    39,445 
Interest receivable
   510    814 
   
 
 
   
 
 
 
Total assets
   34,888,506    32,195,308 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   5,860    86,282 
Brokerage commissions and
 
f
utures account
fees payable
   620    —   
Payable to Sponsor
   22,130    25,557 
Unrealized depreciation on swap agreements
   —      3,197,561 
Non-recurring fees and expenses payable
   133    133 
   
 
 
   
 
 
 
Total liabilities
   28,743    3,309,533 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   34,859,763    28,885,775 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $34,888,506   $32,195,308 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   1,491,329    1,041,744 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $23.37   $27.73 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $23.28   $27.40 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
74

Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(49% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $2,000,000   $1,999,878 
0.034% due 09/16/21
   3,000,000    2,999,711 
0.013% due 10/21/21
   9,000,000    8,998,740 
0.043% due 11/18/21   3,000,000    2,999,475 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $16,998,891)
    $16,997,804 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2021
   179   $23,443,630   $271,891 
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
  
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25  07/06/21   $(8,849,343 $625,413 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25  07/06/21    (11,715,662  827,985 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30  07/06/21    (9,263,439  654,366 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25  07/06/21    (16,415,733  744,986 
      
 
 
 
      
Total Unrealized
Appreciation
 
 
 $2,852,750 
      
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of June 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
75

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $2,678  $651  $5,795  $45,187 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   72,831   25,749   157,576   62,885 
Brokerage commissions
   3,824   3,940   11,268   7,921 
F
utures account
fees
   4,207   1,675   14,198   1,675 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   80,862   31,364   183,042   72,481 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (78,184  (30,713  (177,247  (27,294
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (216,957  (912,847  (1,453,150  1,007,162 
Swap agreements
   (5,659,499  (2,964,892  (7,355,657  (4,042,661
Short-term U.S. government and agency obligations
   —     —     85   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (5,876,456  (3,877,739  (8,808,722  (3,035,499
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (3,005,003  (1,735,991  491,967   (132,984
Swap agreements
   2,081,517   (1,017,191  6,050,311   1,570,073 
Short-term U.S. government and agency obligations
   (1,834  (889  (1,087  (704
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (925,320  (2,754,071  6,541,191   1,436,385 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (6,801,776  (6,631,810  (2,267,531  (1,599,114
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(6,879,960 $(6,662,523 $(2,444,778 $(1,626,408
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
76

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $45,144,664  $18,887,831  $28,885,775  $13,834,163 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 300,000, 150,000, 2,750,000 and 200,000 shares, respectively (Note 1)
   7,086,666   14,344,359   65,182,313   20,307,202 
Redemption of 425,415, 150,000, 2,300,415 and 200,000 shares, respectively (Note 1)
   (10,491,607  (16,424,042  (56,763,547  (22,369,332
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (125,415), –, 449,585 and – shares, respectively (Note 1)
   (3,404,941  (2,079,683  8,418,766   (2,062,130
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (78,184  (30,713  (177,247  (27,294
Net realized gain (loss)
   (5,876,456  (3,877,739  (8,808,722  (3,035,499
Change in net unrealized appreciation (depreciation)
   (925,320  (2,754,071  6,541,191   1,436,385 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (6,879,960  (6,662,523  (2,444,778  (1,626,408
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $34,859,763  $10,145,625  $34,859,763  $10,145,625 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
77

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(2,444,778 $(1,626,408
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (39,995,436  (4,386,261
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   22,999,988   13,574,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,358  (25,576
Net realized gain (loss) on investments
   (85  —   
Change in unrealized appreciation (depreciation) on investments
   (6,049,224  (1,569,369
Decrease (Increase) in receivable on futures contracts
   38,813   (99,620
Decrease (Increase) in interest receivable
   304   3,305 
Increase (Decrease) in payable to Sponsor
   (3,427  (1,854
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   620   —   
Increase (Decrease) in payable on futures contracts
   (80,422  119,004 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (25,537,005  5,987,221 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   65,182,313   20,307,202 
Payment on shares redeemed
   (56,763,547  (22,369,332
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   8,418,766   (2,062,130
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (17,118,239  3,925,091 
Cash, beginning of period
   32,155,049   6,646,212 
   
 
 
  
 
 
 
Cash, end of period
  $15,036,810  $10,571,303 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
78

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $11,998,935 and $–, respectively)
  $11,998,399   $—   
Cash
   14,562,158    21,470,564 
Segregated cash balances with brokers for foreign currency forward contracts
   —      2,804,000 
Unrealized appreciation on foreign currency forward contracts
   835,758    7,008 
Interest receivable
   730    914 
   
 
 
   
 
 
 
Total assets
   27,397,045    24,282,486 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   21,280    19,348 
Unrealized depreciation on foreign currency forward contracts
   143,923    571,974 
Non-recurring fees and expenses payable
   94    94 
   
 
 
   
 
 
 
Total liabilities
   165,297    591,416 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   27,231,748    23,691,070 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $27,397,045   $24,282,486 
   
 
 
   
 
 
 
Shares outstanding
   349,290    349,290 
   
 
 
   
 
 
 
Net asset value per share
  $77.96   $67.83 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $77.98   $67.81 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
79

Table of Contents
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(44% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.034% due 09/16/21
  $5,000,000   $4,999,519 
0.006% due 10/21/21
   3,000,000    2,999,580 
0.043% due 11/18/21
   4,000,000    3,999,300 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $11,998,935)
    $11,998,399 
    
 
 
 
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/Value
 
Contracts to Purchase
      
Yen with Goldman Sachs International
   07/09/21    995,120,000  $8,958,639  $(129,620
Yen with UBS AG
   07/09/21    152,800,000   1,375,593   (14,303
      
 
 
 
      
Total Unrealized
Depreciation
 
 
 $(143,923
      
 
 
 
Contracts to Sell
      
Yen with Goldman Sachs International
   07/09/21    (2,069,325,165 $(18,629,249 $245,525 
Yen with UBS AG
   07/09/21    (5,125,948,875  (46,146,723  590,233 
      
 
 
 
      
Total Unrealized
Appreciation
 
 
 $835,758 
      
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
80

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
                 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $3,570  $5,143  $7,166  $131,326 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   72,446   64,430   138,999   148,867 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   72,446   64,430   138,999   148,867 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (68,876  (59,287  (131,833  (17,541
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   1,598,086   110,748   2,857,659   (395,772
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   1,598,086   110,748   2,857,659   (395,772
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (1,644,087  70,456   1,256,801   (628,889
Short-term U.S. government and agency obligations
   (1,390  (3,995  (536  (1,719
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (1,645,477  66,461   1,256,265   (630,608
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (47,391  177,209   4,113,924   (1,026,380
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(116,267 $117,922  $3,982,091  $(1,043,921
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
81

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $34,921,840  $29,586,170  $23,691,070  $38,132,320 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 50,000, 100,000 and 100,000 shares, respectively
   —     3,849,992   7,132,412   7,806,745 
Redemption of 100,000, 50,000, 100,000 and 200,000 shares, respectively
   (7,573,825  (3,767,050  (7,573,825  (15,108,110
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (100,000), –, – and (100,000) shares, respectively
   (7,573,825  82,942   (441,413  (7,301,365
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (68,876  (59,287  (131,833  (17,541
Net realized gain (loss)
   1,598,086   110,748   2,857,659   (395,772
Change in net unrealized appreciation (depreciation)
   (1,645,477  66,461   1,256,265   (630,608
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (116,267  117,922   3,982,091   (1,043,921
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $27,231,748  $29,787,034  $27,231,748  $29,787,034 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
82

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $3,982,091  $(1,043,921
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (33,495,479  (33,756,620
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   21,500,000   38,374,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,456  (74,323
Change in unrealized appreciation (depreciation) on investments
   (1,256,265  630,608 
Decrease (Increase) in interest receivable
   184   18,673 
Increase (Decrease) in payable to Sponsor
   1,932   (10,267
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (9,270,993  4,138,150 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   7,132,412   7,806,745 
Payment on shares redeemed
   (7,573,825  (15,108,110
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (441,413  (7,301,365
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (9,712,406  (3,163,215
Cash, beginning of period
   24,274,564   12,507,112 
   
 
 
  
 
 
 
Cash, end of period
  $14,562,158  $9,343,897 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
83

Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $24,997,778 and $44,999,073, respectively)
  $24,996,316   $44,999,732 
Cash
   47,778,503    14,723,084 
Segregated cash balances with brokers for futures contracts
   18,421,200    13,079,750 
Receivable from capital shares sold
   1,525,868    —   
Receivable on open futures contracts
   110,590    247,077 
Interest receivable
   2,007    643 
   
 
 
   
 
 
 
Total assets
   92,834,484    73,050,286 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      915,787 
Payable on open futures contracts
   102,601    —   
Brokerage commissions and
 
f
utures account
fees payable
   12,495    10,395 
Payable to Sponsor
   56,654    49,009 
   
 
 
   
 
 
 
Total liabilities
   171,750    975,191 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   92,662,734    72,075,095 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $92,834,484   $73,050,286 
   
 
 
   
 
 
 
Shares outstanding
   3,037,403    1,962,403 
   
 
 
   
 
 
 
Net asset value per share
  $30.51   $36.73 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $30.54   $36.70 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
84

Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(27% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.017% due 08/19/21
  $3,000,000   $2,999,816 
0.006% due 10/21/21
   10,000,000    9,998,600 
0.042% due 11/18/21
   12,000,000    11,997,900 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $24,997,778)
    $24,996,316 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021
   747   $16,325,237   $(1,672,567
VIX Futures - Cboe, expires November 2021
   1,379    30,695,161    (2,786,476
VIX Futures - Cboe, expires December 2021
   1,379    30,859,951    (1,301,729
VIX Futures - Cboe, expires January 2022
   632    14,775,781    (74,215
      
 
 
 
      $(5,834,987
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
85

Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $8,349  $27,603  $18,573  $185,901 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   187,266   124,276   365,346   218,560 
Brokerage commissions
   16,096   16,684   27,408   32,623 
F
utures account
fees
   32,131   20,356   57,763   20,511 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   235,493   161,316   450,517   271,694 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (227,144  (133,713  (431,944  (85,793
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (14,405,542  13,196,415   (10,866,226  20,952,940 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (14,405,542  13,196,415   (10,866,226  20,952,940 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   3,575,301   (12,292,490  (4,701,371  3,670,640 
Short-term U.S. government and agency obligations
   (3,271  (21,043  (2,121  (1,303
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   3,572,030   (12,313,533  (4,703,492  3,669,337 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (10,833,512  882,882   (15,569,718  24,622,277 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(11,060,656 $749,169  $(16,001,662 $24,536,484 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
86

Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $75,122,747  $45,034,386  $72,075,095  $45,986,584 
  
 
 
  
 
 
  
 
  
 
 
 
Addition of 1,025,000, 725,000, 1,425,000 and 1,100,000 shares, respectively
 
 
 
 
 
33,730,245  29,558,030  49,610,239  40,266,091 
Redemption of 150,000, 425,000, 350,000 and 1,800,000 shares, respectively
  (5,129,602 (16,256,115 (13,020,938 (51,703,689
  
 
  
 
  
 
  
 
 
Net addition (redemption) of 875,000, 300,000, 1,075,000 and
(700,000) shares, respectively
  28,600,643  13,301,915  36,589,301  (11,437,598
  
 
  
 
  
 
  
 
 
Net investment income (loss)
  (227,144 (133,713 (431,944 (85,793
Net realized gain (loss)
  (14,405,542 13,196,415  (10,866,226 20,952,940 
Change in net unrealized appreciation (depreciation)
  3,572,030  (12,313,533 (4,703,492 3,669,337 
  
 
  
 
  
 
  
 
 
Net income (loss)
  (11,060,656 749,169  (16,001,662 24,536,484 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $92,662,734  $59,085,470  $92,662,734  $59,085,470 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
87

Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(16,001,662 $24,536,484 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (72,990,517  (56,521,597
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   93,000,000   37,600,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (8,188  (93,897
Change in unrealized appreciation (depreciation) on investments
   2,121   1,303 
Decrease (Increase) in receivable on futures contracts
   136,487   —   
Decrease (Increase) in interest receivable
   (1,364  32,263 
Increase (Decrease) in payable to Sponsor
   7,645   16,037 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   2,100   7,125 
Increase (Decrease) in payable on futures contracts
   102,601   666,116 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   4,249,223   6,243,834 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   48,084,371   40,266,091 
Payment on shares redeemed
   (13,936,725  (51,703,689
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   34,147,646   (11,437,598
   
 
 
  
 
 
 
Net increase (decrease) in cash
   38,396,869   (5,193,764
Cash, beginning of period
   27,802,834   33,130,653 
   
 
 
  
 
 
 
Cash, end of period
  $66,199,703  $27,936,889 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
88

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $107,996,106 and $84,998,436, respectively)
  $107,991,823   $84,999,583 
Cash
   36,614,451    71,736,247 
Segregated cash balances with brokers for futures contracts
   128,565,000    134,825,900 
Receivable on open futures contracts
   1,977,818    2,295,585 
Interest receivable
   1,693    2,815 
   
 
 
   
 
 
 
Total assets
   275,150,785    293,860,130 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   2,587,734    231,900 
Brokerage commissions and
 
f
utures account
fees payable
   65,892    81,049 
Payable to Sponsor
   144,484    156,632 
   
 
 
   
 
 
 
Total liabilities
   2,798,110    469,581 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   272,352,675    293,390,549 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $275,150,785   $293,860,130 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   11,307,826    5,331,579 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $24.09   $55.03 
   
 
 
   
 
 
 
Market value per share (Note 1)(Note 2)
  $24.08   $54.96 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
89

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(40% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.075% due 07/15/21
  $25,000,000   $24,999,563 
0.017% due 08/19/21
   50,000,000    49,996,940 
0.010% due 10/14/21
   25,000,000    24,996,720 
0.043% due 11/18/21
   8,000,000    7,998,600 
    
 
 
 
Total short-term U.S. government and agency obligations
(cost $107,996,106)
    $107,991,823 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
   7,861   $140,737,841   $(16,150,492
VIX Futures - Cboe, expires August 2021
   6,655    131,427,599    (4,646,675
      
 
 
 
      $(20,797,167
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
90

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest
  $40,988  $122,772  $79,448  $1,082,847 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   669,363   398,044   1,494,823   1,024,560 
Brokerage commissions
   94,839   60,097   267,497   244,857 
F
utures account
fees
   174,368   108,253   439,514   113,027 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   938,570   566,394   2,201,834   1,382,444 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (897,582  (443,622  (2,122,386  (299,597
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (175,846,641  (845,717  (252,481,234  324,892,071 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (175,846,641  (845,717  (252,481,234  324,892,071 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   39,005,837   (51,742,832  (14,433,077  16,040,198 
Short-term U.S. government and agency obligations
   (13,490  (126,138  (5,430  (6,924
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   38,992,347   (51,868,970  (14,438,507  16,033,274 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (136,854,294  (52,714,687  (266,919,741  340,925,345 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(137,751,876 $(53,158,309 $(269,042,127 $340,625,748 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
91

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $349,578,758  $223,055,354  $293,390,549  $279,792,503 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 3,925,000, 968,750, 10,256,250 and 2,668,750 shares, respectively (Note 1)
   124,484,014   108,202,585   451,376,724   186,459,674 
Redemption of 1,992,503, 456,250, 4,280,003 and 6,375,000 shares, respectively (Note 1)
   (63,958,221  (56,756,455  (203,372,471  (585,534,750
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,932,497, 512,500, 5,976,247 and (3,706,250) shares, respectively (Note 1)
   60,525,793   51,446,130   248,004,253   (399,075,076
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (897,582  (443,622  (2,122,386  (299,597
Net realized gain (loss)
   (175,846,641  (845,717  (252,481,234  324,892,071 
Change in net unrealized appreciation (depreciation)
   38,992,347   (51,868,970  (14,438,507  16,033,274 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (137,751,876  (53,158,309  (269,042,127  340,625,748 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $272,352,675  $221,343,175  $272,352,675  $221,343,175 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
92

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(269,042,127 $340,625,748 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (330,954,205  (200,571,287
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   308,000,000   235,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (43,465  (556,687
Change in unrealized appreciation (depreciation) on investments
   5,430   6,924 
Decrease (Increase) in receivable on futures contracts
   317,767   909,042 
Decrease (Increase) in interest receivable
   1,122   115,060 
Increase (Decrease) in payable to Sponsor
   (12,148  32,318 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
   (15,157  38,382 
Increase (Decrease) in payable on futures contracts
   2,355,834   (4,946,520
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (289,386,949  370,652,980 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   451,376,724   186,459,674 
Payment on shares redeemed
   (203,372,471  (585,534,750
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   248,004,253   (399,075,076
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (41,382,696  (28,422,096
Cash, beginning of period
   206,562,147   194,935,341 
   
 
 
  
 
 
 
Cash, end of period
  $165,179,451  $166,513,245 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
93

Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,461,838,252 and $1,034,967,523, respectively)
  $2,461,730,254   $1,034,986,384 
Cash
   837,010,929    1,651,161,384 
Segregated cash balances with brokers for futures contracts
   1,212,636,537    1,491,618,088 
Segregated cash balances with brokers for foreign currency forward contracts
   —      5,716,000 
Segregated cash balances with brokers for swap agreements
   —      107,967,985 
Unrealized appreciation on swap agreements
   45,175,073    80,135,841 
Unrealized appreciation on foreign currency forward contracts
   3,646,551    169,051 
Receivable from capital shares sold
   26,983,201    49,086,388 
Receivable on open futures contracts
   107,886,797    108,851,000 
Interest receivable
   86,353    66,871 
   
 
 
   
 
 
 
Total assets
   4,695,155,695    4,529,758,992 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   733,826    18,280,444 
Payable on open futures contracts
   18,349,282    27,874,393 
Brokerage commissions and
 
f
utures account
fees payable
   536,694    691,005 
Payable to Sponsor
   3,303,154    3,407,672 
Unrealized depreciation on swap agreements
   99,781,772    3,491,096 
Unrealized depreciation on foreign currency forward contracts
   515,216    1,714,898 
Securities purchased payable
   167,040,817    —   
Non-recurring fees and expenses payable
   48,070    48,070 
   
 
 
   
 
 
 
Total liabilities
   290,308,831    55,507,578 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   4,404,846,864    4,474,251,414 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $4,695,155,695   $4,529,758,992 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   106,498,980    228,676,695 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
94

Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS

(unaudited)

   Three Months Ended
September 30,
  Nine Months Ended
September 30,
 
  2017  2016*  2017  2016* 

Investment Income

     

Interest

  $7,808,931  $2,361,927  $16,997,031  $6,523,319 
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   8,239,003   8,874,154   23,059,129   26,210,756 

Brokerage commissions and fees

   2,698,871   1,837,843   6,069,898   5,741,230 

Offering costs

   74,810   —     154,500   —   

Limitation by Sponsor

   (12,787  —     (37,387  —   

Reduction in Limitation by Sponsor

   5,818   —     —     —   
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

   11,005,715   10,711,997   29,246,140   31,951,986 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

   (3,196,784  (8,350,070  (12,249,109  (25,428,667
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   44,960,735   (616,625,175  (340,387,543  (1,157,016,680

Swap agreements

   20,685,901   (152,532,535  (72,778,431  (154,872,473

Forward agreements

   3,415,938   106,840,064   30,057,907   151,948,518 

Foreign currency forward contracts

   (24,318,202  (38,012,183  (59,859,325  (143,336,227

Short-term U.S. government and agency obligations

   (11,633  16,487   (60,265  (24,164
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

   44,732,739   (700,313,342  (443,027,657  (1,303,301,026
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (4,409,373  120,520,628   (8,069,381  (10,191,565

Swap agreements

   73,621,267   95,697,940   (16,033,167  120,033,888 

Forward agreements

   6,515,522   (82,379,401  (10,593,707  5,120,239 

Foreign currency forward contracts

   9,447,911   19,906,042   (19,449,879  43,519,287 

Short-term U.S. government and agency obligations

   119,011   136,969   184,931   279,499 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   85,294,338   153,882,178   (53,961,203  158,761,348 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   130,027,077   (546,431,164  (496,988,860  (1,144,539,678
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

  $126,830,293  $(554,781,234 $(509,237,969 $(1,169,968,345
  

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Investment Income
                 
Interest
  $536,552  $1,023,264  $1,086,294  $8,522,978 
Expenses
                 
Management fee
   10,325,523   7,818,372   22,494,533   13,657,176 
Brokerage commissions
   1,992,098   2,257,884   4,895,898   4,004,340 
F
utures account
fees
   1,696,496   1,697,175   4,549,900   1,748,553 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   14,014,117   11,773,431   31,940,331   19,410,069 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,477,565  (10,750,167  (30,854,037  (10,887,091
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (653,015,480  (33,459,658  (1,187,149,284  281,718,169 
Swap agreements
   155,633,013   (688,092,389  211,397,494   (967,431,474
Options
   —     —     —     (9,707,000
Foreign currency forward contracts
   757,734   (2,300,508  1,921,025   (1,821,496
Short-term U.S. government and agency obligations
   2,137   120,464   21,898   296,898 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (496,622,596  (723,732,091  (973,808,867  (696,944,903
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   328,994,435   148,611,325   71,883,297   428,141,480 
Swap agreements
   8,316,702   317,649,402   (131,251,444  (23,462,512
Foreign currency forward contracts
   (2,047,874  (975,734  4,677,182   1,222,279 
Short-term U.S. government and agency obligations
   (233,144  (1,031,867  (126,859  (70,750
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   335,030,119   464,253,126   (54,817,824  405,830,497 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (161,592,477  (259,478,965  (1,028,626,691  (291,114,406
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(175,070,042 $(270,229,132 $(1,059,480,728 $(302,001,497
   
 
 
  
 
 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares Managed Futures Strategy UltraPro 3x Crude Oil ETF
through March 30, 2016, April 3, 2020,
and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity FundUltraPro 3x Short Crude Oil ETF through September 1, 2016 (dates
April 13
, 2020, the date of liquidation)liquidation
, respectively
. See Note 1.

See accompanying notes to financial statements.

95

Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTSTATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $3,276,337,487 

Addition of 196,810,016 shares

   7,589,000,140 

Redemption of 168,876,807 shares

   (6,799,453,980
  

 

 

 

Net addition (redemption) of 27,933,209 shares

   789,546,160 
  

 

 

 

Net investment income (loss)

   (12,249,109

Net realized gain (loss)

   (443,027,657

Change in net unrealized appreciation/depreciation

   (53,961,203
  

 

 

 

Net income (loss)

   (509,237,969
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $3,556,645,678 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016* 

Cash flow from operating activities

   

Net income (loss)

  $(509,237,969 $(1,169,968,345

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

   

Decrease (Increase) in segregated cash balances with brokers for futures contracts

   (198,200,572  114,083,793 

Decrease (Increase) in segregated cash balances with brokers for swap agreements

   —     (27,493,000

Decrease (Increase) in segregated cash balances with brokers for forward agreements

   (738,500  (12,334,000

Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts

   —     (17,077,000

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

   (15,422,910,140  (14,039,604,848

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

   15,297,219,736   13,684,559,003 

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

   (16,996,897  (6,517,397

Net realized gain (loss) on investments

   60,265   24,164 

Change in unrealized appreciation/depreciation on investments

   45,891,822   (168,952,913

Decrease (Increase) in receivable from counterparty

   —     (17,625,333

Decrease (Increase) in receivable on futures contracts

   (16,424,691  19,610,507 

Decrease (Increase) in Limitation by Sponsor

   (37,387  —   

Change in offering cost

   (142,300  —   

Increase (Decrease) in payable to Sponsor

   203,860   24,225 

Increase (Decrease) in brokerage commissions and fees payable

   (2,909  (24,694

Increase (Decrease) in payable for counterparty

   —     1,736,880 

Increase (Decrease) in payable on futures contracts

   21,358,476   30,601,598 

Increase (Decrease) in payable for offering costs

   296,800   —   
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (799,660,406  (1,608,957,360
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   7,571,567,102   8,446,268,126 

Payment on shares redeemed

   (6,752,351,669  (6,848,020,624
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   819,215,433   1,598,247,502 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   19,555,027   (10,709,858

Cash, beginning of period

   39,482,599   48,049,225 
  

 

 

  

 

 

 

Cash, end of period

  $59,037,626  $37,339,367 
  

 

 

  

 

 

 

   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Shareholders’ equity, beginning of period
  $4,534,203,653  $2,746,301,966  $4,474,251,414  $2,356,325,101 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 27,542,500, 91,670,750, 74,603,750 and 321,778,250 shares, respectively (Note 1)
   913,598,315   3,679,537,876   3,948,096,111   6,764,199,037 
Redemption of 19,336,261, 231,421,123, 56,988,761 and 275,369,873 shares, respectively (Note 1)
   (867,885,062  (2,102,852,020  (2,958,019,933  (4,765,763,951
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 8,206,239, (139,750,373), 17,614,989 and 46,408,377 shares, respectively (Note 1)
   45,713,253   1,576,685,856   990,076,178   1,998,435,086 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,477,565  (10,750,167  (30,854,037  (10,887,091
Net realized gain (loss)
   (496,622,596  (723,732,091  (973,808,867  (696,944,903
Change in net unrealized appreciation (depreciation)
   335,030,119   464,253,126   (54,817,824  405,830,497 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (175,070,042  (270,229,132  (1,059,480,728  (302,001,497
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $4,404,846,864  $4,052,758,690  $4,404,846,864  $4,052,758,690 
   
 
 
  
 
 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares Managed Futures Strategy UltraPro 3x Crude Oil ETF
through March 30, 2016, April 3, 2020,
and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity FundUltraPro 3x Short Crude Oil ETF through September 1, 2016 (dates
April 13
, 2020, the date of liquidation)liquidation
, respectively
. See Note 1.

See accompanying notes to financial statements.

96

Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2021
  
2020*
 
Cash flow from operating activities
         
Net income (loss)
  $(1,059,480,728 $(302,001,497
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (5,451,274,846  (2,127,562,658
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   4,024,989,152   2,565,919,168 
Net amortization and accretion on short-term U.S. government and agency obligations
   (563,137  (5,099,914
Net realized gain (loss) on investments
   (21,898  (296,898
Change in unrealized appreciation (depreciation) on investments
   126,701,121   22,310,983 
Decrease (Increase) in securities sold receivable
   —     (3,715,089
Decrease (Increase) in receivable on futures contracts
   964,203   (240,436,893
Decrease (Increase) in interest receivable
   (19,482  827,864 
Increase (Decrease) in payable to Sponsor
   (104,518  1,240,353 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
   (154,311  447,958 
Increase (Decrease) in payable on futures contracts
   (9,525,111  99,068,861 
Increase (Decrease) in securities purchased payable
   167,040,817   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (2,201,448,738  10,702,238 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   3,970,199,298   6,687,250,857 
Payment on shares redeemed
   (2,975,566,551  (4,693,302,954
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   994,632,747   1,993,947,903 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (1,206,815,991  2,004,650,141 
Cash, beginning of period
   3,256,463,457   1,190,195,205 
   
 
 
  
 
 
 
Cash, end of period
  $2,049,647,466  $3,194,845,346 
   
 
 
  
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020,
and ProShares UltraPro 3x Short Crude Oil ETF through
April 13
, 2020, the date of liquidation
, respectively
.
See accompanying notes to financial statements.
97

Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS

September

June 30, 2017

2021

(unaudited)

NOTE 1 – 1—ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of SeptemberJune 30, 2017,2021, the following twenty18 series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIXMid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF , ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the New York Stock Exchange ArchipelagoNYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On March 15, 2020, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen14 Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks.

References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

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

Fund’s next NAV calculation.

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

Each

98

Table of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Contents

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the six months ended June 30, 2021, and during the year ended December 31, 2016 and during

nine months ended September 30, 2017.2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.

its primary listing exchange, as applicable.
Fund
  

Execution Date


(Prior to Opening


of Trading)

  
Type of Split
  

Date Trading


Resumed at Post-


Split Price

ProShares UltraShortUltra Bloomberg Crude Oil
April 20, 20201-for-25 reverse Share splitApril 21, 2020
ProShares Ultra Bloomberg Natural Gas

  

JulyApril 20, 2016

2020
  

3-for-11-for-10 reverse Share split

  

July 25, 2016

April 21, 2020

ProShares VIX Short-Term Futures ETF

 

July 25, 2016

 

1-for-5 reverse Share split

July 25, 2016

ProShares Ultra VIX Short-Term Futures ETF

  

JulyMay 25, 2016

2021
  

1-for-51-for-10 reverse Share split

  

July 25, 2016

May 26, 2021

ProShares UltraShort Bloomberg Crude Oil

  

January 11, 2017

May 25, 2021
  

2-for-11-for-4 reverse Share split

  

January 12, 2017

May 26, 2021

ProShares Ultra Bloomberg Crude Oil

 

January 11, 2017

ProShares UltraShort Silver
  

1-for-2May 25, 2021

1-for-4 reverse Share split

  

January 12, 2017

May 26, 2021

ProShares Ultra VIX Short-Term Futures ETF

 

January 11, 2017

 

1-for-5 reverse Share split

January 12, 2017

ProShares Short VIX Short-Term Futures ETF

July 12, 2017

2-for-1 Share split

July 17, 2017

ProShares VIX Short-Term Futures ETF

  

July 14, 2017

May 25, 2021
  

1-for-4 reverse Share split

  

July 17, 2017

ProShares Ultra VIX Short-Term Futures ETF

July 14, 2017

1-for-4 reverse Share split

July 17, 2017

May 26, 2021

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

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

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and

with the instructions for Form10-Q and the rules and regulations of the SEC.U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments,

consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements

have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and

the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form10-K for the year ended December 31, 2016,2020, as filed with the SEC on March 1, 2017.

February 19, 2021.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

Statement

99

Statements of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the StatementStatements of Financial Condition dated SeptemberJune 30, 2017,2021 and 2020, and representsnon-segregated cash, segregated cash balances with brokers for futures contracts, segregated cash with the custodianbrokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

Thecut-off times and the times of
o
f the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the ninesix months ended SeptemberJune 30, 20172021 were typically as follows. All times are Eastern Standard Time:

Fund
  
Create/Redeem

Cut-off*
   
NAV Calculation

Time
   
NAV

Calculation Date
 

UltraShort Silver, Ultra Silver

  6:30 a.m.
Ultra Silver and UltraShort Silver
1:00 p.m.    7:00 a.m.1:25 p.m.    SeptemberJune 30, 20172021 

UltraShort Gold, Ultra Gold

   9:30 a.m.
Ultra Gold and UltraShort Gold
1:00 p.m.    10:00 a.m.1:30 p.m.    SeptemberJune 30, 20172021 

Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil

Ultra and

UltraShort Bloomberg Crude Oil

Natural Gas
   2:00 p.m.    2:30 p.m.    SeptemberJune 30, 20172021 

UltraPro 3x Short Crude Oil ETF

  

UltraPro 3x Crude Oil ETF

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

   2:00 p.m.
   2:30 p.m.September 30, 2017

Short Euro,
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,

UltraShort Euro and
UltraShort Yen
   3:00 p.m.    4:00 p.m.    SeptemberJune 30, 20172021 

Short Euro

   3:
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.    SeptemberJune 30, 20172021 

UltraShort Euro,

Ultra Euro

  

UltraShort Yen,

Ultra Yen

   3:00 p.m.
   
4:00 p.m.September 30, 2017

VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

Short VIX Short-Term Futures ETF

2:00 p.m.4:15 p.m.September 30, 2017

VIXMid-Term Futures ETF

2:00 p.m.4:15 p.m.September 30, 2017
 

*
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 ninesix months ended SeptemberJune 30, 2017.2021.

**
On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
Please see Note 8 in these Notes to Financial Statements for more information.
Market value per Share is determined at the close of the NYSE Arcaapplicable primary listing exchange and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the ninesix months ended SeptemberJune 30, 2017.

2021.

100

Table of Contents
Investment Valuation

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

Derivatives (e.g.(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. If there was no sale on that day, and fornon-exchange-traded derivatives, theThe Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day.position. Such fair value prices would generally be determined based on available inputs about the current

value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. When market closing prices are not available, theThe Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

Fair Value of Financial Instruments

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

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

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

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

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

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

101

The following table summarizes the valuation of investments at SeptemberJune 30, 20172021 using the fair value hierarchy:

   Level I - Quoted Prices  Level II - Other Significant Observable Inputs    
   Short-Term U.S.
Government

and Agencies
   Futures
Contracts*
  Forward
Agreements
  Foreign Currency
Forward
Contracts
  Swap
Agreements
  Total 

VIX Short-Term Futures ETF

  $186,716,429   $(18,329,321 $—    $—    $—    $168,387,108 

VIXMid-Term Futures ETF

   35,955,278    (1,941,640  —     —     —     34,013,638 

Short VIX Short-Term Futures ETF

   770,134,521    94,244,035   —     —     —     864,378,556 

Ultra VIX Short-Term Futures ETF

   521,315,100    (101,763,031  —     —     —     419,552,069 

UltraShort Bloomberg Crude Oil

   246,666,306    (5,367,489  —     —     (13,678,377  227,620,440 

UltraPro 3X Short Crude Oil ETF

   —      (2,423,370  —     —     —     (2,423,370

UltraShort Bloomberg Natural Gas

   2,998,697    348,521   —     —     —     3,347,218 

UltraShort Gold

   34,940,087    (9,540  2,961,605   —     —     37,892,152 

UltraShort Silver

   17,966,229    4,940   2,152,433   —     —     20,123,602 

Short Euro

   5,998,433    106,206   —     —     —     6,104,639 

UltraShort Australian Dollar

   7,997,911    379,490   —     —     —     8,377,401 

UltraShort Euro

   219,684,550    —     —     3,899,693   —     223,584,243 

UltraShort Yen

   137,818,917    —     —     9,246,879   —     147,065,796 

Ultra Bloomberg Crude Oil

   562,359,737    13,817,653   —     —     40,796,900   616,974,290 

UltraPro 3X Crude Oil ETF

   —      1,272,779   —     —     —     1,272,779 

Ultra Bloomberg Natural Gas

   42,919,932    (971,690  —     —     —     41,948,242 

Ultra Gold

   101,900,580    9,520   (8,453,427  —     —     93,456,673 

Ultra Silver

   270,629,525    (4,940  (28,243,802  —     —     242,380,783 

Ultra Euro

   10,995,765    —     —     (209,360  —     10,786,405 

Ultra Yen

   4,662,411    —     —     (395,309  —     4,267,102 
  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Trust

  $3,181,660,408   $(20,627,877 $(31,583,191 $12,541,903  $27,118,523  $3,169,109,766 

   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.
Government and
Agencies
   
Futures
Contracts
*
  
Foreign
Currency
Forward
Contracts
  
Swap
Agreements
  
Total
 
ProShares Short Euro
  $—     $51,551  $—    $—    $51,551 
ProShares Short VIX Short-Term Futures ETF
   204,974,762    37,180,266   —     —     242,155,028 
ProShares Ultra Bloomberg Crude Oil
   932,884,626    316,052,610   —     39,747,504   1,288,684,740 
ProShares Ultra Bloomberg Natural Gas
   29,996,554    17,050,742   —     —     47,047,296 
ProShares Ultra Euro
   999,939    —     (235,496  —     764,443 
ProShares Ultra Gold
   215,975,683    (4,255,713  —     (22,651,877  189,068,093 
ProShares Ultra Silver
   589,938,544    (15,029,699  —     (77,129,895  497,778,950 
ProShares Ultra VIX Short-Term Futures ETF
   209,989,065    (88,784,594  —     —     121,204,471 
ProShares Ultra Yen
   999,825    —     (70,254  —     929,571 
ProShares UltraShort Australian Dollar
   —      125,393   —     —     125,393 
ProShares UltraShort Bloomberg Crude Oil
   32,996,370    (18,944,617  —     —     14,051,753 
ProShares UltraShort Bloomberg Natural Gas
   40,995,644    (17,418,146  —     —     23,577,498 
ProShares UltraShort Euro
   27,996,580    —     2,745,250   —     30,741,830 
ProShares UltraShort Gold
   11,998,320    585,939   —     2,574,819   15,159,078 
ProShares UltraShort Silver
   16,997,804    271,891   —     2,852,750   20,122,445 
ProShares UltraShort Yen
   11,998,399    —     691,835   —     12,690,234 
ProShares VIX Mid-Term Futures ETF
   24,996,316    (5,834,987  —     —     19,161,329 
ProShares VIX Short-Term Futures ETF
   107,991,823    (20,797,167  —     —     87,194,656 
   
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total Trust
  
$
2,461,730,254
 
  
$
200,253,469
 
 
$
3,131,335
 
 
$
(54,606,699
 
$
2,610,508,359
 
*
Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

At September 30, 2017, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.

At September 30, 2017, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

The following table summarizes the valuation of investments at December 31, 20162020 using the fair value hierarchy:

   Level I - Quoted Prices  Level II - Other Significant Observable Inputs    
   Short-Term U.S.
Government and
Agencies
   Futures
Contracts*
  Forward
Agreements
  Foreign Currency
Forward
Contracts
  Swap
Agreements
  Total 

VIX Short-Term Futures ETF

  $147,991,233   $(468,652 $—    $—    $—    $147,522,581 

VIXMid-Term Futures ETF

   45,486,235    (1,288,245  —     —     —     44,197,990 

Short VIX Short-Term Futures ETF

   170,396,436    (10,309,611  —     —     —     160,086,825 

Ultra VIX Short-Term Futures ETF

   434,671,795    (7,972,237  —     —     —     426,699,558 

UltraShort Bloomberg Crude Oil

   205,694,385    (1,426,815  —     —     (12,206,881  192,060,689 

UltraShort Bloomberg Natural Gas

   2,899,151    (482,031  —     —     —     2,417,120 

UltraShort Gold

   60,540,555    18,980   3,033,566   —     —     63,593,101 

UltraShort Silver

   21,550,319    27,310   1,384,246   —     —     22,961,875 

Short Euro

   13,164,828    132,900   —     —     —     13,297,728 

UltraShort Australian Dollar

   12,909,619    1,182,340   —     —     —     14,091,959 

UltraShort Euro

   337,375,787    —     —     16,162,931   —     353,538,718 

UltraShort Yen

   257,102,313    —     —     16,744,937   —     273,847,250 

Ultra Bloomberg Crude Oil

   885,050,007    5,537,165   —     —     55,358,571   945,945,743 

Ultra Bloomberg Natural Gas

   36,183,648    2,536,720   —     —     —     38,720,368 

Ultra Gold

   95,356,621    (18,960  (4,431,107  —     —     90,906,554 

Ultra Silver

   295,300,799    (27,360  (20,976,189  —     —     274,297,250 

Ultra Euro

   11,891,831    —     —     (574,010  —     11,317,821 

Ultra Yen

   5,282,879    —     —     (342,076  —     4,940,803 
  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Trust

  $3,038,848,441   $(12,558,496 $(20,989,484 $31,991,782  $43,151,690  $3,080,443,933 

   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and
Agencies
   
Futures
Contracts
*
  
Foreign
Currency
Forward
Contracts
   
Swap
Agreements
  
Total
 
ProShares Short Euro
  $—     $(44,626 $—     $—    $(44,626
ProShares Short VIX Short-Term Futures ETF
   69,999,639    8,348,783   —      —     78,348,422 
ProShares Ultra Bloomberg Crude Oil
   219,998,394    144,564,039   —      18,242,195   382,804,628 
ProShares Ultra Bloomberg Natural Gas
   29,999,889    6,500,721   —      —     36,500,610 
ProShares Ultra Euro
   —      —     88,736    —     88,736 
ProShares Ultra Gold
   74,999,467    2,646,874   —      5,140,980   82,787,321 
ProShares Ultra Silver
   244,993,989    37,190,212   —      56,752,666   338,936,867 
ProShares Ultra VIX Short-Term Futures ETF
   244,995,969    (48,524,666  —      (24,807  196,446,496 
ProShares Ultra Yen
   —      —     67,087    —     67,087 
ProShares UltraShort Australian Dollar
   —      (138,950  —      —     (138,950
ProShares UltraShort Bloomberg Crude Oil
   —      (14,636,813  —      —     (14,636,813
102

Table of Contents
ProShares UltraShort Bloomberg Natural Gas
  
$
9,999,861   
$
379,310  
$
  
$
  
$
10,379,171 
ProShares UltraShort Euro
   9,999,861       (1,136,704     8,863,157 
ProShares UltraShort Gold
       (196,930     (268,728  (465,658
ProShares UltraShort Silver
       (220,076     (3,197,561  (3,417,637
ProShares UltraShort Yen
          (564,966     (564,966
ProShares VIX Mid-Term Futures ETF
   44,999,732    (1,133,616        43,866,116 
ProShares VIX Short-Term Futures ETF
   84,999,583    (6,364,090        78,635,493 
   
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
 
$
76,644,745
 
 
$
1,238,455,454
 
*
Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

At December 31, 2016, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.

At December 31, 2016, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation/depreciationappreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciationappreciation (depreciation) between periods are reflected in the Statements of Operations. Discounts
Interest income is recognized on short-term securities purchased are amortizedan accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the StatementsStatement of Operations.

Brokerage Commissions and
Futures Account
Fees

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

Federal Income Tax

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

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

New Accounting Pronouncements

Pronouncement

In November 2016,March 2020, the FASB issued Accounting Standards UpdateNo. 2016-18, “Statement2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 840): Facilitation of Cash Flows (Topic 230): Restricted

Cash” (“the Effects of Reference Rate Reform on Financial Reporting.” ASU2016-18”), which amends ASC 230 2020-04 provides entities with optional guidance

103

to provideease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance on the classification and presentation of changes in restricted

cash and restricted cash equivalents on the statement of cash flows. The ASU is effective for annual periods beginning after

December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these

changes on the financial statements.

prospectively, if applicable.

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

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

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

104

Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
105

Swap Agreements

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

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

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

The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference indexIndex and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at SeptemberJune 30, 20172021 contractually terminate within one month but may be terminated without penalty by either party daily.at any time. Upon termination, the Fund is entitledobligated to pay or receive the “unrealized appreciation or depreciation” amount.

106

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with unclearedOTC derivative transactions is held for the benefit of the counterparty in a segregatedtri-party account at the Custodian to protect the counterparty againstnon-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with unclearedOTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty

owes the Fund, subject to certain minimum thresholds. In the event of thea bankruptcy of a counterparty, thesuch Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of SeptemberJune 30, 2017,2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

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

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the
107

counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of SeptemberJune 30, 2017,2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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

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

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

Fair Value

Fair Value of Derivative Instruments as of June 30, 2021
 
    
      
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted
for as Hedging Instruments
  
                 Fund                 
  
Statements of
        Financial Condition        
Location
  
Unrealized

    Appreciation    
  
Statements of
      Financial Condition      
Location
  
Unrealized

    Depreciation    
 
VIX Futures Contracts             Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements     
   ProShares Short VIX Short-Term Futures ETF     $37,180,266    $—   
   ProShares Ultra VIX Short-Term Futures ETF      —        88,784,594
   ProShares VIX Mid-Term Futures ETF      —        5,834,987
   ProShares VIX Short-Term Futures ETF      —        20,797,167
Commodities Contracts     Receivables on open futures contracts and/or unrealized appreciation on swap agreements      Payable on open futures contracts and/or unrealized depreciation on swap agreements     
   ProShares Ultra Bloomberg Crude Oil      355,800,114     —   
   ProShares Ultra Bloomberg Natural Gas      17,050,742     —   
   ProShares Ultra Gold      —        26,907,590
   ProShares Ultra Silver      —        92,159,594
   ProShares UltraShort Bloomberg Crude Oil      —        18,944,617
   ProShares UltraShort Bloomberg Natural Gas      —        17,418,146
   ProShares UltraShort Gold      3,160,758     —   
   ProShares UltraShort Silver      3,124,641     —   
108

Table of Derivative Instruments

as of September 30, 2017

   

Assets Derivatives

   

Liability Derivatives

 
Derivatives not  Statements of         Statements of       
accounted for  Financial         Financial       
as hedging  Condition     Unrealized   Condition     Unrealized 

instruments

  

Location

  

Fund

  Appreciation   

Location

  

Fund

  Depreciation 

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares Short VIX Short-Term Futures ETF

  $94,244,035*   

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

  $18,329,321* 
          

ProShares VIXMid-Term Futures ETF

   1,941,640* 
          

ProShares Ultra VIX Short-Term Futures ETF

   101,763,031* 

Commodities Contracts

  

Receivables on open futures contracts, unrealized appreciation on swaps and/or forward agreements

  

ProShares UltraShort Bloomberg Natural Gas

   348,521*   

Payable on open futures contracts, unrealized depreciation on swaps and/or forward agreements

  

ProShares UltraShort Bloomberg Crude Oil

   19,045,866* 
    

ProShares UltraShort Gold

   2,961,605     

ProShares UltraPro 3X Short Crude Oil ETF

   2,423,370* 
    

ProShares UltraShort Silver

   2,157,373*     

ProShares UltraShort Gold

   9,540* 
    

ProShares Ultra Bloomberg Crude Oil

   54,614,553*     

ProShares Ultra Bloomberg Natural Gas

   971,690* 
    

ProShares UltraPro 3X Crude Oil ETF

   1,272,779*     

ProShares Ultra Gold

   8,453,427 
    

ProShares Ultra Gold

   9,520*     

ProShares Ultra Silver

   28,248,742* 

Foreign Exchange Contracts

  

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

  

ProShares Short Euro

   106,206*   

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

  

ProShares UltraShort Euro

   565,859 
    

ProShares UltraShort Australian Dollar

   379,490*     

ProShares UltraShort Yen

   570,141 
    

ProShares UltraShort Euro

   4,465,552     

ProShares Ultra Euro

   291,439 
    

ProShares UltraShort Yen

   9,817,020     

ProShares Ultra Yen

   407,660 
    

ProShares Ultra Euro

   82,079       
    

ProShares Ultra Yen

   12,351       
      

 

 

       

 

 

 
    Total Trust  $170,471,084*     Total Trust  $183,021,726* 

Contents
Foreign Exchange Contracts           Unrealized appreciation on foreign currency forward contracts, and/or
 
receivables on open futures contracts
      Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts     
   ProShares Short Euro     $51,551    $—   
   ProShares Ultra Euro      3,403      238,899 
   ProShares Ultra Yen      592      70,846 
   ProShares UltraShort Australian Dollar      125,393     —   
   ProShares UltraShort Euro      2,806,798      61,548 
   ProShares UltraShort Yen      835,758      143,923 
         
 
 
     
 
 
 
      
Total Trust
  
$
420,140,016
*
 
    
$
271,361,911
*
 
*
Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.futures.

Fair Value

Fair Value of Derivative Instruments as of December 31, 2020
 
    
     
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted
for as Hedging Instruments
 
                 Fund                 
  
Statements of
        Financial Condition        
Location
  
Unrealized

    Appreciation    
  
Statements of
      Financial Condition      
Location
  
Unrealized

    Depreciation    
 
VIX Futures Contracts    Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements     
  ProShares Short VIX Short-Term Futures ETF     $8,348,783    $—   
  ProShares Ultra VIX Short-Term Futures ETF      —        48,549,473
  ProShares VIX Mid-Term Futures ETF      147,915     1,281,531
  ProShares VIX Short-Term Futures ETF      —        6,364,090
Commodities Contracts    Receivables on open futures contracts and/or unrealized appreciation on swap agreements      Payable on open futures contracts and/or unrealized depreciation on swap agreements     
  ProShares Ultra Bloomberg Crude Oil      162,806,234     —   
  ProShares Ultra Bloomberg Natural Gas      6,500,721     —   
  ProShares Ultra Gold      7,787,854     —   
  ProShares Ultra Silver      93,942,878     —   
  ProShares UltraShort Bloomberg Crude Oil      —        14,636,813
  ProShares UltraShort Bloomberg Natural Gas      379,310     —   
  ProShares UltraShort Gold      —        465,658
  ProShares UltraShort Silver      —        3,417,637
109

Foreign Exchange Contracts     
Unrealized appreciation on
foreign currency forward
contracts, and/or
receivables on open futures
contracts
      Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts     
   ProShares Short Euro    $—       $44,626
   ProShares Ultra Euro      89,103      367 
   ProShares Ultra Yen      67,235      148 
   ProShares UltraShort Australian Dollar      —        138,950
   ProShares UltraShort Euro      5,705      1,142,409 
   ProShares UltraShort Yen      7,008      571,974 
      
Total Trust
  
$
280,082,746
*
 
    
$
76,613,676
*
 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2021
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
            
      
ProShares Short VIX Short-Term Futures ETF
  $109,337,017  $(13,290,409
      
ProShares Ultra VIX Short-Term Futures ETF
   (854,529,061  244,143,655 
      
ProShares VIX Mid-Term Futures ETF
   (14,405,542  3,575,301 
      
ProShares VIX Short-Term Futures ETF
   (175,846,641  39,005,837 
Commodities Contracts  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
            
      
ProShares Ultra Bloomberg Crude Oil
   320,505,659   157,999,797 
      
ProShares Ultra Bloomberg Natural Gas
   4,901,288   28,350,804 
      
ProShares Ultra Gold
   45,506,367   (33,461,145
      
ProShares Ultra Silver
   116,370,479   (48,336,770
      
ProShares UltraShort Bloomberg Crude Oil
   (26,010,421  (9,944,438
110

Table of December 31, 2016

   

Assets Derivatives

  

Liability Derivatives

 

Derivatives not
accounted for as

hedging instruments

  

Statements of

Financial

Condition

Location

  

Fund

  Unrealized
Appreciation
  

Statements of

Financial

Condition

Location

  

Fund

  Unrealized
Depreciation
 

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares VIX Short-Term Futures ETF

  $2,273,874 

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

  $2,742,526
    

ProShares VIXMid-Term Futures ETF

   68,375   

ProShares VIXMid-Term Futures ETF

   1,356,620
    

ProShares Ultra VIX Short-Term Futures ETF

   13,594,875   

ProShares Short VIX Short-Term Futures ETF

   10,309,611
         

ProShares Ultra VIX Short-Term Futures ETF

   21,567,112

Commodities Contracts

  

Receivables on open futures contracts, unrealized appreciation on swaps and/or forward agreements

  

ProShares UltraShort Gold

   3,052,546 

Payable on open futures contracts, unrealized depreciation on swaps and/or forward agreements

  

ProShares UltraShort Bloomberg Crude Oil

   13,633,696
    

ProShares UltraShort Silver

   1,411,556   

ProShares UltraShort Bloomberg Natural Gas

   482,031
    

ProShares Ultra Bloomberg Crude Oil

   60,895,736   

ProShares Ultra Gold

   4,450,067
    

ProShares Ultra Bloomberg Natural Gas

   2,536,720   

ProShares Ultra Silver

   21,003,549

Foreign Exchange Contracts

  

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

  

ProShares Short Euro

   132,900 

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

  

ProShares UltraShort Euro

   356,139 
    

ProShares UltraShort Australian Dollar

   1,182,340   

ProShares UltraShort Yen

   125,420 
    

ProShares UltraShort Euro

   16,519,070    

ProShares Ultra Euro

   576,558 
    

ProShares UltraShort Yen

   16,870,357    

ProShares Ultra Yen

   342,455 
    

ProShares Ultra Euro

   2,548      
    

ProShares Ultra Yen

   379      
      

 

 

      

 

 

 
    Total Trust  $118,541,276   Total Trust  $76,945,784

Contents
      
ProShares UltraShort Bloomberg Natural Gas
  $(10,305,304$(33,691,003
      
ProShares UltraShort Gold
   (6,984,5473,807,080 
      
ProShares UltraShort Silver
   (5,876,456(923,486
Foreign Exchange Contracts  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward
c
ontracts
          
      
ProShares Short Euro
   (38,17217,623 
      
ProShares Ultra Euro
   95,412 (13,092
      
ProShares Ultra Yen
   (140,007118,748 
      
ProShares UltraShort Australian Dollar
   (7,13358,291 
      
ProShares UltraShort Euro
   (795,757(509,443
      
ProShares UltraShort Yen
   1,598,086 (1,644,087
         
 
 
 
 
 
      
Total Trust
  
$
(496,624,733
)
$
335,263,263
 
*
Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.futures.

The Effect

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2021
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreement
s
            
      
ProShares Short VIX Short-Term Futures ETF
  $133,546,434  $28,831,483 
      
ProShares Ultra VIX Short-Term Futures ETF
   (1,559,047,085  (40,235,121
      
ProShares VIX Mid-Term Futures ETF
   (10,866,226  (4,701,371
      
ProShares VIX Short-Term Futures ETF
   (252,481,234  (14,433,077
Commodities Contracts  
Net r
e
alized gain (loss) on futures contracts, options and swap agreements/ changes in unrealized appreciation (depreciation)
o
n futures contracts and swap agreements
            
      
ProShares Ultra Bloomberg Crude Oil
   654,856,887   192,993,880 
111

Table of Derivative Instruments on the StatementsContents
     
ProShares Ultra Bloomberg Natural Gas
  $46,483,673  $10,550,021 
      
ProShares Ultra Gold
   (5,741,765  (34,695,444
      
ProShares Ultra Silver
   121,281,030   (186,102,472
      
ProShares UltraShort Bloomberg Crude Oil
   (75,188,186  (4,307,804
      
ProShares UltraShort Bloomberg Natural Gas
   (16,664,698  (17,797,456
      
ProShares UltraShort Gold
   (2,981,357  3,626,416 
      
ProShares UltraShort Silver
   (8,808,807  6,542,278 
Foreign Exchange Contracts  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
            
      
ProShares Short Euro
   31,221   96,177 
      
ProShares Ultra Euro
   68,070   (324,232
      
ProShares Ultra Yen
   (279,474  (137,341
      
ProShares UltraShort Australian Dollar
   (171,677  264,343 
      
ProShares UltraShort Euro
   (725,230  3,881,954 
      
ProShares UltraShort Yen
   2,857,659   1,256,801 
         
 
 
  
 
 
 
      
Total Trust
  
$
(973,830,765
) 
$
(54,690,965
)
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2020
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
            
      
ProShares Short VIX Short-Term Futures ETF
  $54,615,763  $(22,216,796
      
ProShares Ultra VIX Short-Term Futures ETF
   (107,880,791  (125,352,239
      
ProShares VIX Mid-Term Futures ETF
   13,196,415   (12,292,490
      
ProShares VIX Short-Term Futures ETF
   (845,717  (51,742,832
Commodities Contracts  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
            
112

Table of Operations

For the three months ended September 30, 2017

Derivatives not accounted for as
hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

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

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

  $(27,447,205 $(17,219,461
    

ProShares VIXMid-Term Futures ETF

   (3,965,084  364,615 
    

ProShares Short VIX Short-Term Futures ETF

   188,300,727   100,033,466 
    

ProShares Ultra VIX Short-Term Futures ETF

   (126,532,816  (95,515,562

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   (9,418,807  (30,456,798
    

ProShares UltraPro 3X Short Crude Oil ETF

   (1,540,337  (2,178,096
    

ProShares UltraShort Bloomberg Natural Gas

   (151,368  615,201 
    

ProShares UltraShort Gold

   (2,644,155  299,106 
    

ProShares UltraShort Silver

   (467,171  (393,756
    

ProShares Ultra Bloomberg Crude Oil

   45,497,245   112,823,127 
    

ProShares UltraPro 3X Crude Oil ETF

   4,971,742   694,326 
    

ProShares Ultra Bloomberg Natural Gas

   (2,014,548  (1,078,511
    

ProShares Ultra Gold

   5,462,918   (549,421
    

ProShares Ultra Silver

   1,064,270   7,159,593 

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

   (599,482  291,787 
    

ProShares UltraShort Australian Dollar

   (1,453,355  837,800 
    

ProShares UltraShort Euro

   (24,505,520  10,103,133 
    

ProShares UltraShort Yen

   (1,067,853  (83,509
    

ProShares Ultra Euro

   1,259,663   (519,273
    

ProShares Ultra Yen

   (4,492  (52,440
      

 

 

  

 

 

 
    Total Trust  $44,744,372  $85,175,327 

The EffectContents

      
ProShares Ultra Bloomberg Crude Oil
  $(671,542,557 $661,547,673 
      
ProShares Ultra Bloomberg Natural Gas
   (16,111,161  4,884,617 
      
ProShares Ultra Gold
   4,365,328   25,953,698 
      
ProShares Ultra Silver
   11,386,313   69,421,367 
      
ProShares UltraShort Bloomberg Crude Oil
   (6,947,347  (75,195,436
      
ProShares UltraShort Bloomberg Natural Gas
   5,236,641   (2,773,687
      
ProShares UltraShort Gold
   (2,089,271  (2,636,926
      
ProShares UltraShort Silver
   (3,877,739  (2,753,182
Foreign Exchange Contracts  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
            
      
ProShares Short Euro
   (20,020  (20,804
      
ProShares Ultra Euro
   (18,635  97,408 
      
ProShares Ultra Yen
   (106,753  68,867 
      
ProShares UltraShort Australian Dollar
   (1,037,904  (562,236
      
ProShares UltraShort Euro
   (2,285,868  (1,212,465
      
ProShares UltraShort Yen
   110,748   70,456 
         
 
 
  
 
 
 
      
Total Trust
  
$
(723,852,555
) 
$
465,284,993
 
The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2020
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreement
s
            
      
ProShares Short VIX Short-Term Futures ETF
  $(189,684,841 $(1,242,994
      
ProShares Ultra VIX Short-Term Futures ETF
   618,204,440   51,029,622 
      
ProShares VIX Mid-Term Futures ETF
   20,952,940   3,670,640 
      
ProShares VIX Short-Term Futures ETF
   324,892,071   16,040,198 
113

Table of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2016

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

  $(101,785,229 $6,786,934 
    

ProShares VIXMid-Term Futures ETF

   (4,899,530  (1,149,750
    

ProShares Short VIX Short-Term Futures ETF

   277,246,086   (51,813,012
    

ProShares Ultra VIX Short-Term Futures ETF

   (745,101,700  138,973,918 

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   50,281,494   (32,976,232
    

ProShares UltraShort Bloomberg Natural Gas

   (101,997  712,984 
    

ProShares UltraShort Gold

   (10,296,533  9,770,795 
    

ProShares UltraShort Silver

   (14,865,870  9,507,258 
    

ProShares Ultra Bloomberg Crude Oil

   (246,218,628  165,582,895 
    

ProShares Ultra Bloomberg Natural Gas

   1,964,411   (8,409,834
    

ProShares Ultra Gold

   12,629,891   (13,416,914
    

ProShares Ultra Silver

   119,372,366   (88,240,470

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

   327,212   (488,475
    

ProShares UltraShort Australian Dollar

   (318,842  (971,687
    

ProShares UltraShort Euro

   (5,537,097  (2,518,631
    

ProShares UltraShort Yen

   (33,476,385  23,071,090 
    

ProShares Ultra Euro

   46,252   118,030 
    

ProShares Ultra Yen

   955,047   (764,447
      

 

 

  

 

 

 
    Total Trust  $(699,779,052 $153,774,452 

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2017

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

  $(126,202,705 $(17,860,669
    

ProShares VIXMid-Term Futures ETF

   (19,180,135  (653,395
    

ProShares Short VIX Short-Term Futures ETF

   471,128,319   104,553,646 
    

ProShares Ultra VIX Short-Term Futures ETF

   (646,036,987  (93,790,794

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   49,807,530   (5,412,170
    

ProShares UltraPro 3X Short Crude Oil ETF

   232,006   (2,423,370
    

ProShares UltraShort Bloomberg Natural Gas

   1,756,252   830,552 
    

ProShares UltraShort Gold

   (10,938,952  (100,481
    

ProShares UltraShort Silver

   (2,693,320  745,817 
    

ProShares Ultra Bloomberg Crude Oil

   (123,511,840  (6,281,183
    

ProShares UltraPro 3X Crude Oil ETF

   3,137,907   1,272,779 
    

ProShares Ultra Bloomberg Natural Gas

   (21,040,313  (3,508,410
    

ProShares Ultra Gold

   23,362,749   (3,993,840
    

ProShares Ultra Silver

   20,327,016   (7,245,193

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

   (1,334,988  (26,694
    

ProShares UltraShort Australian Dollar

   (1,920,606  (802,850
    

ProShares UltraShort Euro

   (45,334,575  (12,263,238
    

ProShares UltraShort Yen

   (17,529,013  (7,498,058
    

ProShares Ultra Euro

   2,666,172   364,650 
    

ProShares Ultra Yen

   338,091   (53,233
      

 

 

  

 

 

 
    Total Trust  $(442,967,392 $(54,146,134

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2016

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

  $(134,345,928 $(8,475,358
    

ProShares VIXMid-Term Futures ETF

   (5,248,725  (1,917,790
    

ProShares Short VIX Short-Term Futures ETF

   263,024,643   16,663,427 
    

ProShares Ultra VIX Short-Term Futures ETF

   (1,269,233,467  (51,163,549

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   (36,896,214  (29,823,971
    

ProShares UltraShort Bloomberg Natural Gas

   455,516   2,803,566 
    

ProShares UltraShort Gold

   (29,965,169  (231,807
    

ProShares UltraShort Silver

   (26,655,192  (4,267,196
    

ProShares Ultra Bloomberg Crude Oil

   (132,872,456  190,316,382 
    

ProShares Ultra Bloomberg Natural Gas

   6,591,697   (7,752,693
    

ProShares Ultra Gold

   33,703,970   (204,134
    

ProShares Ultra Silver

   174,870,519   9,826,416 

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

   (199,588  (270,444
    

ProShares UltraShort Australian Dollar

   (2,462,334  (495,700
    

ProShares UltraShort Euro

   (60,591,547  30,435,313 
    

ProShares UltraShort Yen

   (86,173,771  14,006,768 
    

ProShares Ultra Euro

   1,155,961   (654,504
    

ProShares Ultra Yen

   2,273,130   (268,290
      

 

 

  

 

 

 
    Total Trust  $(1,302,568,955 $158,526,436 

Contents

Commodities Contracts  
Net realized gain (loss) on futures
contracts, options and swap
agreements/ changes in
unrealized appreciation
(depreciation) on futures
contracts and swap agreements
            
      
ProShares Ultra Bloomberg Crude Oil
  $(1,177,133,823)�� $338,771,123 
      
ProShares Ultra Bloomberg Natural Gas
   (38,930,766  417,794 
      
ProShares Ultra Gold
   25,863,384   6,800,402 
      
ProShares Ultra Silver
   7,688,659   (15,751,245
      
ProShares UltraPro 3x Crude Oil ETF*
   (414,693,599  (7,266,550
      
ProShares Ultra Pro 3x Short Crude Oil ETF*
   83,293,001   8,358,056 
      
ProShares UltraShort Bloomberg Crude Oil
   44,726,675   1,382,794 
      
ProShares UltraShort Bloomberg Natural Gas
   10,862,818   561,299 
      
ProShares UltraShort Gold
   (8,020,153  38,870 
      
ProShares UltraShort Silver
   (3,035,499  1,437,089 
Foreign Exchange Contracts  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contract
s
            
      
ProShares Short Euro
   (38,658  46,520 
      
ProShares Ultra Euro
   (71,903  (123,926
      
ProShares Ultra Yen
   (115,236  49,628 
      
ProShares UltraShort Australian Dollar
   (366,954  385,350 
      
ProShares UltraShort Euro
   (1,238,585  1,925,466 
      
ProShares UltraShort Yen
   (395,772  (628,889
         
 
 
  
 
 
 
      
Total Trust
  
$
(697,241,801
 
$
405,901,247
 
*
The operations
include the activity of ProShares UltraPro 3x Crude Oil ETF
through
April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13
, 2020, the date of liquidation
, respectively
.
Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similars
i
milar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of SeptemberJune 30, 2017.

Fair Values of Derivative Instruments as of September 30, 2017

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

ProShares UltraShort Bloomberg Crude Oil

            

Swap agreements

  $—     $—     $—     $13,678,377   $—     $13,678,377 

ProShares UltraShort Gold

            

Forward agreements

   2,961,605    —      2,961,605    —      —      —   

ProShares UltraShort Silver

            

Forward agreements

   2,152,433    —      2,152,433    —      —      —   

ProShares UltraShort Euro

            

Foreign currency forward contracts

   4,465,552    —      4,465,552    565,859    —      565,859 

ProShares UltraShort Yen

            

Foreign currency forward contracts

   9,817,020    —      9,817,020    570,141    —      570,141 

ProShares Ultra Bloomberg Crude Oil

            

Swap agreements

   40,796,900    —      40,796,900    —      —      —   

ProShares Ultra Gold

            

Forward agreements

   —      —      —      8,453,427    —      8,453,427 

ProShares Ultra Silver

            

Forward agreements

   —      —      —      28,243,802    —      28,243,802 

ProShares Ultra Euro

            

Foreign currency forward contracts

   82,079    —      82,079    291,439    —      291,439 

ProShares Ultra Yen

            

Foreign currency forward contracts

   12,351    —      12,351    407,660    —      407,660 

2021.

114

Table of Contents
Fair Values of Derivative Instruments as of June 30, 2021
 
   
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
  $39,747,504   $0     $39,747,504   $0     $0     $0   
ProShares Ultra Euro
                              
Foreign currency forward contracts
   3,403    0      3,403    238,899    0      238,899 
ProShares Ultra Gold
                              
Swap agreements
   0      0      0      22,651,877    0      22,651,877 
ProShares Ultra Silver
                              
Swap agreements
   0      0      0      77,129,895    0      77,129,895 
ProShares Ultra Yen
                              
Foreign currency forward contracts
   592    0      592    70,846    0      70,846 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   2,806,798    0      2,806,798    61,548    0      61,548 
ProShares UltraShort Gold
                              
Swap agreements
   2,574,819    0      2,574,819    0      0      0   
ProShares UltraShort Silver
                              
Swap agreements
   2,852,750    0      2,852,750    0      0      0   
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   835,758    0      835,758    143,923    0      143,923 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at SeptemberJune 30, 2017.2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may beun-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2017

 
   Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition
  Financial
Instruments for
the Benefit of
(the Funds) /
the
Counterparties
  Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties
  Net Amount 

ProShares UltraShort Bloomberg Crude Oil

     

Citibank, N.A.

  $(6,092,070 $6,092,070  $—    $—   

Goldman Sachs International

   (3,900,635  3,900,635   —     —   

Societe Generale

   (514,835  514,835   —     —   

UBS AG

   (3,170,837  3,170,837   —     —   

ProShares UltraShort Gold

     

Citibank, N.A.

   1,045,390   —     —     1,045,390 

Goldman Sachs International

   835,086   (692,611  —     142,475 

Societe Generale

   267,146   (267,146  —     —   

UBS AG

   813,983   —     (660,000  153,983 

ProShares UltraShort Silver

     

Citibank, N.A.

   775,445   —     —     775,445 

Goldman Sachs International

   671,956   —     —     671,956 

Societe Generale

   143,987   —     —     143,987 

UBS AG

   561,045   —     (350,000  211,045 

ProShares UltraShort Euro

     

Goldman Sachs International

   2,034,015   (2,034,015  —     —   

UBS AG

   1,865,678   —     (1,865,678  —   

ProShares UltraShort Yen

     

Goldman Sachs International

   4,588,344   (4,588,344  —     —   

UBS AG

   4,658,535   —     (4,550,000  108,535 

ProShares Ultra Bloomberg Crude Oil

     

Citibank, N.A.

   13,855,515   —     —     13,855,515 

Goldman Sachs International

   11,965,958   (11,930,988  —     34,970 

Societe Generale

   4,548,744   (4,548,744  —     —   

UBS AG

   10,426,683   —     (9,900,000  526,683 

ProShares Ultra Gold

     

Citibank, N.A.

   (2,994,458  2,994,458   —     —   

Goldman Sachs International

   (2,118,074  2,118,074   —     —   

Societe Generale

   (1,015,643  1,015,643   —     —   

UBS AG

   (2,325,252  2,325,252   —     —   

ProShares Ultra Silver

     

Citibank, N.A.

   (9,405,158  9,405,158   —     —   

Goldman Sachs International

   (7,478,422  7,478,422   —     —   

Societe Generale

   (3,531,263  3,531,263   —     —   

UBS AG

   (7,828,959  7,828,959   —     —   

ProShares Ultra Euro

     

Goldman Sachs International

   (103,093  103,093   —     —   

UBS AG

   (106,267  106,267   —     —   

ProShares Ultra Yen

     

Goldman Sachs International

   (216,458  216,458   —     —   

UBS AG

   (178,851  27,993   —     (150,858

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2021
 
Fund
  
Amounts of Recognized Assets /
(Liabilities) presented in the
Statements of Financial Condition
  
Financial Instruments for
the Benefit of (the Funds) /
the Counterparties
  
Cash Collateral for the
Benefit of (the Funds) / the
Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
                 
Citibank, N.A.
  $2,643,421  $0    $(2,370,000 $273,421 
Goldman Sachs International
   9,378,129   (8,951,007  0     427,122 
Morgan Stanley & Co.
International PLC
   12,143,057   0     (11,162,000  981,057 
Societe Generale
   6,263,720   (5,747,447  0     516,273 
UBS AG
   9,319,177   0     (8,600,000  719,177 
ProShares Ultra Euro
                 
Goldman Sachs International
   (89,287  89,287   0     0   
UBS AG
   (146,209  146,209   0     0   
ProShares Ultra Gold
                 
Citibank, N.A.
   (7,799,090  7,799,090   0     0   
Goldman Sachs International
   (6,739,676  6,739,676   0     0   
UBS AG
   (8,113,111  8,113,111   0     0   
115

ProShares Ultra Silver
                     
Citibank, N.A.
 $ (22,036,546 $22,036,546  $0    $ 0   
Goldman Sachs International
   (18,581,016   18,581,016    0      0   
Morgan Stanley &
Co.
International PLC
   (17,312,866   17,312,866    0      0   
UBS AG
   (19,199,468   19,199,468    0      0   
ProShares Ultra
 
Yen
                    
Goldman Sachs International
   (41,036   41,036    0      0   
UBS AG
   (29,219   29,219    0      0   
ProShares UltraShort
Euro
                    
Goldman Sachs International
   1,308,287    (1,154,800)     0              153,487 
UBS AG
   1,436,963    0    (1,230,000)   206,963 
ProShares UltraShort
Gold
                    
Citibank, N.A.
   1,050,931    0      (1,030,000   20,931 
Goldman Sachs International
   687,817    (687,817   0      0   
UBS AG
   836,071    0      (810,000   26,071 
ProShares UltraShort
Silver
                    
Citibank, N.A.
   625,413    0      (625,413   0   
Goldman Sachs International
   827,985    (827,985   0      0   
Morgan Stanley &
Co.
International PLC
   654,367    0      (654,367   0   
UBS AG
   744,985    0      (744,985   0   
ProShares UltraShort
Yen
                    
Goldman Sachs International
   115,905    0      0      115,905 
UBS AG
   575,930    0      (380,000   195,930 
116

Table of Contents
The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2016:

Fair Values of Derivative Instruments as of December 31, 2016

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

ProShares UltraShort Bloomberg Crude Oil

            

Swap agreements

  $—     $—     $—     $12,206,881   $—     $12,206,881 

ProShares UltraShort Gold

            

Forward agreements

   3,033,566    —      3,033,566    —      —      —   

ProShares UltraShort Silver

            

Forward agreements

   1,384,246    —      1,384,246    —      —      —   

ProShares UltraShort Euro

            

Foreign currency forward contracts

   16,519,070    —      16,519,070    356,139    —      356,139 

ProShares UltraShort Yen

            

Foreign currency forward contracts

   16,870,357    —      16,870,357    125,420    —      125,420 

ProShares Ultra Bloomberg Crude Oil

            

Swap agreements

   55,358,571    —      55,358,571    —      —      —   

ProShares Ultra Gold

            

Forward agreements

   —      —      —      4,431,107    —      4,431,107 

ProShares Ultra Silver

            

Forward agreements

   —      —      —      20,976,189    —      20,976,189 

ProShares Ultra Euro

            

Foreign currency forward contracts

   2,548    —      2,548    576,558    —      576,558 

ProShares Ultra Yen

            

Foreign currency forward contracts

   379    —      379    342,455    —      342,455 

2020:

Fair Values of Derivative Instruments as of December 31, 2020
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                              
Swap agreements
  $18,242,195   $0     $18,242,195   $0     $0     $0   
ProShares Ultra Euro
                              
Foreign currency forward contracts
   89,103    0      89,103    367    0      367 
ProShares Ultra Gold
                              
Swap agreements
   5,140,980    0      5,140,980    0      0      0   
ProShares Ultra Silver
                              
Swap agreements
   56,752,666    0      56,752,666    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF
                              
Swap agreements
   0      0      0      24,807    0      24,807 
ProShares Ultra Yen
                              
Foreign currency forward contracts
   67,235    0      67,235    148    0      148 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   5,705    0      5,705    1,142,409    0      1,142,409 
ProShares UltraShort Gold
                              
Swap agreements
   0      0      0      268,728    0      268,728 
ProShares UltraShort Silver
                              
Swap agreements
   0      0      0      3,197,561    0      3,197,561 
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   7,008    0      7,008    571,974    0      571,974 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2016.2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of
o
f these amounts at period end. These amounts may beun-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2016

 
   Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition
  Financial
Instruments for
the Benefit of
(the Funds) /
the
Counterparties
  Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties
  Net Amount 

ProShares UltraShort Bloomberg Crude Oil

     

Citibank, N.A.

  $(4,742,191 $4,742,191  $—    $—   

Goldman Sachs International

   (3,061,395  3,061,395   —     —   

Societe Generale

   (1,050,699  1,050,699   —     —   

UBS AG

   (3,352,596  3,352,596   —     —   

ProShares UltraShort Gold

     

Citibank, N.A.

   1,147,811   —     —     1,147,811 

Goldman Sachs International

   881,454   (874,948  —     6,506 

Societe Generale

   393,006   (393,006  —     —   

UBS AG

   611,295   —     (611,295  —   

ProShares UltraShort Silver

     

Citibank, N.A.

   610,478   —     —     610,478 

Goldman Sachs International

   323,829   (323,829  —     —   

Societe Generale

   86,543   (86,543  —     —   

UBS AG

   363,396   —     (363,396  —   

ProShares UltraShort Euro

     

Goldman Sachs International

   8,109,067   (8,109,067  —     —   

UBS AG

   8,053,864   —     (8,053,864  —   

ProShares UltraShort Yen

     

Goldman Sachs International

   8,256,779   (7,771,819  —     484,960 

UBS AG

   8,488,158   —     (7,980,000  508,158 

ProShares Ultra Bloomberg Crude Oil

     

Citibank, N.A.

   18,427,009   —     —     18,427,009 

Goldman Sachs International

   14,016,906   (14,016,906  —     —   

Societe Generale

   8,661,821   (8,661,821  —     —   

UBS AG

   14,252,835   —     (14,252,835  —   

ProShares Ultra Gold

     

Citibank, N.A.

   (1,464,982  1,464,982   —     —   

Goldman Sachs International

   (1,112,916  1,112,916   —     —   

Societe Generale

   (643,587  643,587   —     —   

UBS AG

   (1,209,622  1,209,622   —     —   

ProShares Ultra Silver

     

Citibank, N.A.

   (6,946,009  6,946,009   —     —   

Goldman Sachs International

   (5,869,092  5,869,092   —     —   

Societe Generale

   (2,532,729  2,532,729   —     —   

UBS AG

   (5,628,359  5,628,359   —     —   

ProShares Ultra Euro

     

Goldman Sachs International

   (239,256  239,256   —     —   

UBS AG

   (334,754  334,754   —     —   

ProShares Ultra Yen

     

Goldman Sachs International

   (219,736  219,736   —     —   

UBS AG

   (122,340  122,340   —     —   

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
 
   
Amounts of Recognized

Assets / (Liabilities)

presented in the
Statements of Financial
Condition
   
Financial Instruments
for the Benefit of (the

Funds) / the
Counterparties
  
Cash Collateral for the

Benefit of (the Funds) /

the Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
                  
Goldman Sachs International
  $1,377,243   $(1,281,309 $0    $95,934 
Morgan Stanley & Co. International PLC
   10,959,227    0     (10,629,000  330,227 
Societe Generale
   1,679,334    (1,679,334  0     0   
UBS AG
   4,226,391    (4,151,442  (6,270  68,679 
ProShares Ultra Euro
                  
Goldman Sachs International
   22,950    0     0     22,950 
UBS AG
   65,786    0     0     65,786 
ProShares Ultra Gold
                  
Citibank, N.A.
   1,770,050    0     (1,670,000  100,050 
Goldman Sachs International
   1,529,612    (1,497,203  0     32,409 
UBS AG
   1,841,318    0     0     1,841,318 
ProShares Ultra Silver
                  
Citibank, N.A.
   18,010,776    0     (18,010,776  0   
117

Goldman Sachs International
  12,930,574  (12,930,574 0    0   
Morgan Stanley & Co. International PLC
   12,353,706   0     (12,353,706  0   
UBS AG
   13,457,610   (4,126,610  (9,331,000  0   
ProShares Ultra VIX Short-Term Futures ETF
                 
Goldman Sachs & Co.
   (24,807  0     24,807   0   
ProShares Ultra Yen
                 
Goldman Sachs International
   34,265   0     0     34,265 
UBS AG
   32,822   0     0     32,822 
ProShares UltraShort Euro
                 
Goldman Sachs International
   (388,233  0     388,233   0   
UBS AG
   (748,471  748,471   0     0   
ProShares UltraShort Gold
                 
Citibank, N.A.
   (80,068  0     80,068   0   
Goldman Sachs International
   (82,645  0     82,645   0   
UBS AG
   (106,015  0     106,015   0   
ProShares UltraShort Silver
                 
Citibank, N.A.
   (1,208,988  0     1,208,988   0   
Goldman Sachs International
   (927,829  0     927,829   0   
Morgan Stanley & Co. International PLC
   (579,421  0     579,421   0   
UBS AG
   (481,323  0     481,323   0   
ProShares UltraShort Yen
                 
Goldman Sachs International
   (207,021  0     207,021   0   
UBS AG
   (357,945  0     357,945   0   
NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Sponsor did not and will not charge the Management Fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed and will reimburse each Fund, to the extent that its offering costs exceed the Management Fee, for the first year of operations.

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

Non-Recurring Fees and Expenses

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

The Administrator

BNY Mellon Asset Servicing, a division of The Sponsor and the Trust, for itself and on behalfBank of each Fund, has appointed Brown Brothers Harriman & Co.New York Mellon (“BBH&Co.”BNY Mellon”), serves as the Administrator of the Funds, and the Sponsor, and theFunds. The Trust, on its own behalf and on behalf of each Fund, and BBH&Co.BNY Mellon have entered into an Administrative Agency Agreementadministration and accounting
118

Table of Contents
agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co.BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BBH&Co.BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co.BNY Mellon from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BBH&Co.

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

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

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

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

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

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

Transaction Fees on Creation and Redemption Transactions

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

119

Authorized Participants may pay a fixed transaction fee of up to $500(typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co.,BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three and ninesix months ended SeptemberJune 30, 20172021 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Fund  Three Months Ended
September 30, 2017
   Nine Months Ended 
September 30, 2017
 

VIX Short-Term Futures ETF

  $49,381   $115,876 

VIXMid-Term Futures ETF

   5,298    8,510 

Short VIX Short-Term Futures ETF

   337,623    763,477 

Ultra VIX Short-Term Futures ETF

   385,071    837,558 

UltraShort Bloomberg Crude Oil

   54,276    172,684 

UltraPro 3X Short Crude Oil ETF

   4,627    7,826 

UltraShort Bloomberg Natural Gas

   1,138    1,903 

UltraShort Gold

   1,537    13,526 

UltraShort Silver

   —      —   

Short Euro

   —      —   

UltraShort Australian Dollar

   —      —   

UltraShort Euro

   —      —   

UltraShort Yen

   —      —   

Ultra Bloomberg Crude Oil

   135,612    531,483 

UltraPro 3X Crude Oil ETF

   9,352    18,464 

Ultra Bloomberg Natural Gas

   3,499    10,369 

Ultra Gold

   1,755    11,130 

Ultra Silver

   6,058    23,746 

Ultra Euro

   —      —   

Ultra Yen

   —      —   
  

 

 

   

 

 

 

Total Trust

  $995,227   $2,516,552 

Fund
  
Three Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2021
 
ProShares Short Euro
  $0     $0   
ProShares Short VIX Short-Term Futures ETF
   22,282    64,349 
ProShares Ultra Bloomberg Crude Oil
   0      0   
ProShares Ultra Bloomberg Natural Gas
   0      0   
ProShares Ultra Euro
   0      0   
ProShares Ultra Gold
   0      0   
ProShares Ultra Silver
   0      0   
ProShares Ultra VIX Short-Term Futures ETF
   391,330    1,368,650 
ProShares Ultra Yen
   0      0   
ProShares UltraShort Australian Dollar
   0      0   
ProShares UltraShort Bloomberg Crude Oil
   0      0   
ProShares UltraShort Bloomberg Natural Gas
   0      0   
ProShares UltraShort Euro
   0      0   
ProShares UltraShort Gold
   0      0   
ProShares UltraShort Silver
   0      0   
ProShares UltraShort Yen
   0      0   
ProShares VIX Mid-Term Futures ETF
   11,690    18,812 
ProShares VIX Short-Term Futures ETF
   79,089    232,325 
   
 
 
   
 
 
 
Total Trust
  $504,391   $1,684,136 
120

Table of Contents
NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data is for a Share outstandingo
u
tstanding throughout the three months ended SeptemberJune 30, 2017:

2021

For the Three Months Ended SeptemberJune 30, 20172021 (unaudited)

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil
  UltraPro 3X
Short Crude
Oil ETF
 

Net asset value, at June 30, 2017

  $42.69  $27.46  $80.11  $39.32  $43.43  $26.46 

Net investment income (loss)

   (0.01  (0.01  (0.13  (0.09  0.00(1)   (0.07

Net realized and unrealized gain (loss)#

   (10.11  (2.25  13.70   (18.59  (9.83  (8.87

Change in net asset value from operations

   (10.12  (2.26  13.57   (18.68  (9.83  (8.94

Net asset value, at September 30, 2017

  $32.57  $25.20  $93.68  $20.64  $33.60  $17.52 

Market value per share, at June 30, 2017†

  $42.52  $27.43  $80.64  $38.96  $43.21  $26.24 

Market value per share, at September 30, 2017†

  $32.53  $25.17  $93.75  $20.60  $33.73  $17.63 

Total Return, at net asset value^

   (23.7)%   (8.2)%   16.9  (47.5)%   (22.6)%   (33.8)% 

Total Return, at market value^

   (23.5)%   (8.2)%   16.3  (47.1)%   (21.9)%   (32.8)% 

Ratios to Average Net Assets**

       

Expense ratio

   0.98  0.92  1.50  2.00  0.99  1.31

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.14)%   (0.17)%   (0.66)%   (1.21)%   (0.03)%   (1.31)% 

Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at March 31, 2021
  $43.69  $47.13  $52.56  $21.31  $14.45  $54.32 
Net investment income (loss)
   (0.10  (0.17  (0.17  (0.08  (0.03  (0.14
Net realized and unrealized gain (loss)#
   (0.41  8.65   25.85   14.10   0.25   3.10 
Change in net asset value from operations
   (0.51  8.48   25.68   14.02   0.22   2.96 
Net asset value, at June 30, 2021
  $43.18  $55.61  $78.24  $35.33  $14.67  $57.28 
Market value per share, at March 31, 2021
  $43.52  $47.10  $52.85  $21.20  $14.47  $53.91 
Market value per share, at June 30, 2021
  $43.14  $55.55  $78.23  $37.17  $14.66  $57.22 
Total Return, at net asset value^
   (1.2)%   18.0  48.9  65.8  1.6  5.5
Total Return, at market value^
   (0.9)%   17.9  48.0  75.3  1.3  6.1
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.96  1.37  1.13  1.42  0.95  0.99
Net investment income gain (loss)
   (0.91)%   (1.35)%   (1.09)%   (1.35)%   (0.91)%   (0.95)% 
**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 New York Stock Exchange,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 SeptemberJune 30, 2017.2021.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
(1)Amount represents less than $0.005.

121

For the Three Months Ended SeptemberJune 30, 20172021 (unaudited)

Per Share Operating Performance

  UltraShort
Bloomberg
Natural Gas
  UltraShort Gold  UltraShort
Silver
  Short
Euro
  UltraShort
Australian
Dollar
  UltraShort
Euro
 

Net asset value, at June 30, 2017

  $33.16  $76.30  $34.75  $41.74  $47.90  $23.12 

Net investment income (loss)

   (0.06  (0.00)(2)   (0.00)(2)   (0.01  (0.01  0.00(1) 

Net realized and unrealized gain (loss)#

   0.77   (5.02  (2.76  (1.26  (2.26  (1.43

Change in net asset value from operations

   0.71   (5.02  (2.76  (1.27  (2.27  (1.43

Net asset value, at September 30, 2017

  $33.87  $71.28  $31.99  $40.47  $45.63  $21.69 

Market value per share, at June 30, 2017†

  $33.33  $76.37  $34.09  $41.71  $47.80  $23.12 

Market value per share, at September 30, 2017†

  $33.64  $71.55  $32.78  $40.56  $45.85  $21.68 

Total Return, at net asset value^

   2.1  (6.6)%   (7.9)%   (3.0)%   (4.7)%   (6.2)% 

Total Return, at market value^

   0.9  (6.3)%   (3.8)%   (2.8)%   (4.1)%   (6.2)% 

Ratios to Average Net Assets**

       

Expense ratio

   1.34  0.95  0.95  0.96  1.01  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.73)%   (0.01)%   (0.05)%   (0.14)%   (0.13)%   0.04

Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at March 31, 2021
  $41.35  $56.32  $51.78  $45.18  $28.80  $39.14 
Net investment income (loss)
   (0.12  (0.17  (0.12  (0.11  (0.06  (0.12
Net realized and unrealized gain (loss)#
   4.74   (28.24  (0.42  1.02   (10.63  (17.47
Change in net asset value from operations
   4.62   (28.41  (0.54  0.91   (10.69  (17.59
Net asset value, at June 30, 2021
  $45.97  $27.91  $51.24  $46.09  $18.11  $21.55 
Market value per share, at March 31, 2021
  $41.10  $56.50  $51.78  $45.19  $28.60  $39.32 
Market value per share, at June 30, 2021
  $46.12  $27.98  $51.26  $45.96  $18.11  $20.44 
Total Return, at net asset value^
   11.2  (50.5)%   (1.1)%   2.0  (37.1)%   (44.9)% 
Total Return, at market value^
   12.2  (50.5)%   (1.0)%   1.7  (36.7)%   (48.0)%
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.00  1.73  0.95  1.02  1.19  1.60
Net investment income gain (loss)
   (0.96)%   (1.65)%   (0.90)%   (0.97)%   (1.10)%   (1.56)% 
*
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 New York Stock Exchange,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 SeptemberJune 30, 2017.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
**Percentages are annualized.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).

122

For the Three Months Ended SeptemberJune 30, 20172021 (unaudited)

Per Share Operating Performance

  UltraShort Yen  Ultra
Bloomberg
Crude Oil
  UltraPro 3X
Crude Oil ETF
  Ultra
Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver 

Net asset value, at June 30, 2017

  $74.07  $14.80  $19.52  $9.77  $37.75  $33.23 

Net investment income (loss)

   0.01   (0.00)(2)   (0.07  (0.01  0.00(1)   0.00(1) 

Net realized and unrealized gain (loss)#

   0.18   3.10   5.82   (1.02  2.07   0.79 

Change in net asset value from operations

   0.19   3.10   5.75   (1.03  2.07   0.79 

Net asset value, at September 30, 2017

  $74.26  $17.90  $25.27  $8.74  $39.82  $34.02 

Market value per share, at June 30, 2017†

  $74.05  $14.86  $19.68  $9.74  $37.68  $33.82 

Market value per share, at September 30, 2017†

  $74.21  $17.82  $25.09  $8.80  $39.60  $33.15 

Total Return, at net asset value^

   0.3  20.9  29.5  (10.5)%   5.5  2.4

Total Return, at market value^

   0.2  19.9  27.5  (9.7)%   5.1  (2.0)% 

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.97  1.24  1.16  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   0.03  (0.01)%   (1.24)%   (0.37)%   0.03  0.00%(3) 

Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2021
  $24.41  $37.60  $27.92  $77.73  $34.74  $37.29 
Net investment income (loss)
   (0.05  (0.08  (0.06  (0.17  (0.08  (0.09
Net realized and unrealized gain (loss)#
   (0.55  (2.85  (4.49  0.40   (4.15  (13.11
Change in net asset value from operations
   (0.60  (2.93  (4.55  0.23   (4.23  (13.20
Net asset value, at June 30, 2021
  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Market value per share, at March 31, 2021
  $24.42  $37.89  $28.04  $77.75  $35.06  $37.40 
Market value per share, at June 30, 2021
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Total Return, at net asset value^
   (2.5)%   (7.8)%   (16.3)%   0.3  (12.2)%   (35.6)% 
Total Return, at market value^
   (2.5)%   (8.4)%   (17.0)%   0.3  (12.9)%   (35.4)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95  1.01  1.05  0.95  1.07  1.19
Net investment income gain (loss)
   (0.90)%   (0.96)%   (1.02)%   (0.90)%   (1.03)%   (1.14)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange,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 SeptemberJune 30, 2017.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded.
**Percentages are annualized.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).
(3)Amount represents less than 0.005%.

123

Selected data for a Share o
u
tstanding throughout the three months ended June 30, 2020
For the Three Months Ended SeptemberJune 30, 20172020 (unaudited)

Per Share Operating Performance

  Ultra Euro  Ultra Yen 

Net asset value, at June 30, 2017

  $16.16  $58.68 

Net investment income (loss)

   (0.00)(2)   (0.04

Net realized and unrealized gain (loss)#

   0.97   (0.57

Change in net asset value from operations

   0.97   (0.61

Net asset value, at September 30, 2017

  $17.13  $58.07 

Market value per share, at June 30, 2017†

  $16.17  $58.68 

Market value per share, at September 30, 2017†

  $17.10  $58.17 

Total Return, at net asset value^

   6.0  (1.0)% 

Total Return, at market value^

   5.8  (0.9)% 

Ratios to Average Net Assets**

   

Expense ratio

   0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95

Net investment income (loss)

   (0.04)%   (0.28)% 

Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at March 31, 2020
  $46.66  $31.02  $40.15  $41.82  $13.16  $52.44 
Net investment income (loss)
   (0.11  (0.10  (0.08  (0.13  (0.03  (0.12
Net realized and unrealized gain (loss)#
   (0.82  0.48   (11.48  (13.38  0.43   12.66 
Change in net asset value from operations
   (0.93  0.38   (11.56  (13.51  0.40   12.54 
Net asset value, at June 30, 2020
  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Market value per share, at March 31, 2020
  $45.09  $31.01  $39.75  $42.60  $13.15  $52.00 
Market value per share, at June 30, 2020
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Total Return, at net asset value^
   (2.0)%   1.2  (29.0)%   (32.2)%   3.0  23.9
Total Return, at market value^
   (0.6)%   1.6  (27.9)%   (33.4)%   3.2  24.7
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.97  1.34  1.47  1.82  0.95  1.00
Net investment income gain (loss)
   (0.96)%   (1.28)%   (1.35)%   (1.40)%   (0.93)%   (0.80)% 
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange,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 SeptemberJune 30, 2017.2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
**Percentages are annualized.
(2)Amount represents less than $(0.005).

Selected data for a Share outstanding throughout the three months ended September 30, 2016:

124

For the Three Months Ended SeptemberJune 30, 20162020 (unaudited)

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil*
  UltraShort
Bloomberg
Natural Gas
 

Net asset value, at June 30, 2016

  $180.57  $51.98  $24.92  $912.60  $40.97  $34.09 

Net investment income (loss)

   (0.24  (0.09  (0.09  (1.64  (0.09  (0.13

Net realized and unrealized gain
(loss)#

   (66.20  (6.14  11.49   (572.92  (0.88  2.36 

Change in net asset value from operations

   (66.44  (6.23  11.40   (574.56  (0.97  2.23 

Net asset value, at September 30, 2016

  $114.13  $45.75  $36.32  $338.04  $40.00  $36.32 

Market value per share, at June 30, 2016†

  $183.20  $52.53  $24.53  $943.00  $40.81  $34.06 

Market value per share, at September 30, 2016†

  $113.32  $45.69  $36.61  $333.00  $40.45  $36.14 

Total Return, at net asset value^

   (36.8)%   (12.0)%   45.7  (63.0)%   (2.4)%   6.5

Total Return, at market value^

   (38.1)%   (13.0)%   49.2  (64.7)%   (0.9)%   6.1

Ratios to Average Net Assets**

       

Expense ratio

   0.99  0.94  1.42  1.59  1.01  1.58

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.73)%   (0.70)%   (1.17)%   (1.36)%   (0.75)%   (1.40)% 

Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at March 31, 2020
  $18.42  $585.16  $56.21  $72.30  $196.27  $63.38 
Net investment income (loss)
   (0.05  (1.50  (0.13  (0.16  (0.61  (0.32
Net realized and unrealized gain (loss)#
   11.19   (254.38  (0.76  (16.00  (122.48  4.15 
Change in net asset value from operations
   11.14   (255.88  (0.89  (16.16  (123.09  3.83 
Net asset value, at June 30, 2020
  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Market value per share, at March 31, 2020
  $18.44  $585.60  $56.19  $72.06  $199.96  $62.02 
Market value per share, at June 30, 2020
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Total Return, at net asset value^
   60.5  (43.7)%   (1.6)%   (22.4)%   (62.7)%   6.1
Total Return, at market value^
   59.1  (44.0)%   (1.6)%   (22.2)%   (63.5)%   8.4
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.06  1.61  0.95  1.04  2.14  2.30
Net investment income gain (loss)
   (0.75)%   (1.54)%   (0.94)%   (1.03)%   (2.12)%   (2.27)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange,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 SeptemberJune 30, 2016.2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
**Percentages are annualized.

125

For the Three Months Ended SeptemberJune 30, 20162020 (unaudited)

Per Share Operating Performance

  UltraShort Gold  UltraShort
Silver
  Short Euro  UltraShort
Australian
Dollar
  UltraShort Euro  UltraShort Yen 

Net asset value, at June 30, 2016

  $70.31  $33.16  $42.81  $53.47  $24.32  $63.53 

Net investment income (loss)

   (0.12  (0.05  (0.08  (0.10  (0.04  (0.11

Net realized and unrealized gain (loss)#

   (0.58  (5.17  (0.51  (3.69  (0.50  (2.74

Change in net asset value from operations

   (0.70  (5.22  (0.59  (3.79  (0.54  (2.85

Net asset value, at September 30, 2016

  $69.61  $27.94  $42.22  $49.68  $23.78  $60.68 

Market value per share, at June 30, 2016†

  $70.00  $31.65  $42.81  $53.47  $24.32  $63.53 

Market value per share, at September 30, 2016†

  $70.19  $28.41  $42.22  $49.67  $23.76  $60.64 

Total Return, at net asset value^

   (1.0)%   (15.8)%   (1.4)%   (7.1)%   (2.2)%   (4.5)% 

Total Return, at market value^

   0.3  (10.2)%   (1.4)%   (7.1)%   (2.3)%   (4.5)% 

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.95  0.96  1.02  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.69)%   (0.70)%   (0.75)%   (0.75)%   (0.69)%   (0.69)% 

Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2020
  $27.82  $46.02  $146.14  $74.10  $38.74  $151.83 
Net investment income (loss)
   (0.04  (0.09  (0.28  (0.16  (0.09  (0.29
Net realized and unrealized gain (loss)#
   (1.05  (10.47  (67.36  0.66   1.75   (39.84
Change in net asset value from operations
   (1.09  (10.56  (67.64  0.50   1.66   (40.13
Net asset value, at June 30, 2020
  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Market value per share, at March 31, 2020
  $27.76  $46.28  $146.64  $74.11  $38.44  $151.72 
Market value per share, at June 30, 2020
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Total Return, at net asset value^
   (3.9)%   (22.9)%   (46.3)%   0.7  4.3  (26.4)% 
Total Return, at market value^
   (3.7)%   (23.1)%   (46.1)%   0.6  4.7  (26.8)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95  1.02  1.17  0.95  1.10  1.21
Net investment income gain (loss)
   (0.65)%   (0.97)%   (1.14)%   (0.88)%   (0.91)%   (0.95)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange,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 SeptemberJune 30, 2016.2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.96%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded.
126

Table of Contents
Selected data for a Share o
u
tstanding throughout the six months ended June 30, 2021
For the Six Months Ended June 30, 2021 (unaudited) 
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at December 31, 2020
  $41.92  $41.42  $36.38  $21.00  $15.79  $67.57 
Net investment income (loss)
   (0.19  (0.31  (0.30  (0.17  (0.07  (0.29
Net realized and unrealized gain (loss)#
   1.45   14.50   42.16   14.50   (1.05  (10.00
Change in net asset value from operations
   1.26   14.19   41.86   14.33   (1.12  (10.29
Net asset value, at June 30, 2021
  $43.18  $55.61  $78.24  $35.33  $14.67  $57.28 
Market value per share, at December 31, 2020
  $41.35  $41.44  $36.27  $21.07  $15.81  $68.20 
Market value per share, at June 30, 2021
  $43.14  $55.55  $78.23  $37.17  $14.66  $57.22 
Total Return, at net asset value^
   3.0  34.3  115.0  68.3  (7.1)%   (15.2)% 
Total Return, at market value^
   4.3  34.1  115.7  76.4  (7.3)%   (16.1)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.97  1.36  1.11  1.53  0.95  1.01
Net investment income gain (loss)
   (0.91)%   (1.33)%   (1.06)%   (1.47)%   (0.90)%   (0.96)% 
**
Percentages are annualized.

For the Three Months Ended September 30, 2016 (unaudited)

Per Share Operating Performance

  Ultra
Bloomberg
Crude Oil*
  Ultra
Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver  Ultra Euro  Ultra Yen 

Net asset value, at June 30, 2016

  $24.33  $17.75  $44.80  $45.53  $15.89  $72.67 

Net investment income (loss)

   (0.04  (0.04  (0.08  (0.09  (0.03  (0.13

Net realized and unrealized gain (loss)#

   (3.27  (3.23  (0.30  3.56   0.27   1.92 

Change in net asset value from operations

   (3.31  (3.27  (0.38  3.47   0.24   1.79 

Net asset value, at September 30, 2016

  $21.02  $14.48  $44.42  $49.00  $16.13  $74.46 

Market value per share, at June 30, 2016†

  $24.44  $17.65  $45.03  $47.67  $15.86  $72.71 

Market value per share, at September 30, 2016†

  $20.76  $14.58  $44.01  $48.11  $16.12  $74.48 

Total Return, at net asset value^

   (13.6)%   (18.4)%   (0.8)%   7.6  1.5  2.5

Total Return, at market value^

   (15.1)%   (17.4)%   (2.3)%   0.9  1.6  2.4

Ratios to Average Net Assets**

       

Expense ratio

   1.00  1.23  0.95  0.95  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.75)%   (1.03)%   (0.67)%   (0.68)%   (0.69)%   (0.70)% 

*See Note 1 of these Notes to Financial Statements.
#
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 New York Stock Exchange,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 SeptemberJune 30, 2016.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
**Percentages are annualized.

Selected data for a Share outstanding throughout the nine months ended September 30, 2017:

127

For the NineSix Months Ended SeptemberJune 30, 20172021 (unaudited)

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil
  UltraPro 3X
Short Crude Oil

ETF+
 

Net asset value, at December 31, 2016

  $84.86  $42.14  $45.62  $173.93  $31.70  $25.00 

Net investment income (loss)

   (0.11  (0.07  (0.45  (0.43  (0.08  (0.16

Net realized and unrealized gain (loss)#

   (52.18  (16.87  48.51   (152.86  1.98   (7.32

Change in net asset value from operations

   (52.29  (16.94  48.06   (153.29  1.90   (7.48

Net asset value, at September 30, 2017

  $32.57  $25.20  $93.68  $20.64  $33.60  $17.52 

Market value per share, at December 31, 2016†

  $85.04  $42.34  $45.49  $175.00  $31.65  $25.00 

Market value per share, at September 30, 2017†

  $32.53  $25.17  $93.75  $20.60  $33.73  $17.63 

Total Return, at net asset value^

   (61.6)%   (40.2)%   105.3  (88.1)%   6.0  (29.9)% 

Total Return, at market value^

   (61.7)%   (40.6)%   106.1  (88.2)%   6.6  (29.5)% 

Ratios to Average Net Assets**

       

Expense ratio

   0.97  0.89  1.52  1.88  0.99  1.34

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.30)%   (0.30)%   (0.80)%   (1.28)%   (0.29)%   (1.34)% 

Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at December 31, 2020
  $50.71  $106.68  $59.83  $44.45  $46.45  $47.59 
Net investment income (loss)
   (0.24  (0.55  (0.25  (0.21  (0.16  (0.26
Net realized and unrealized gain (loss)#
   (4.50  (78.22  (8.34  1.85   (28.18  (25.78
Change in net asset value from operations
   (4.74  (78.77  (8.59  1.64   (28.34  (26.04
Net asset value, at June 30, 2021
  $45.97  $27.91  $51.24  $46.09  $18.11  $21.55 
Market value per share, at December 31, 2020
  $51.28  $106.50  $59.82  $43.89  $46.56  $47.38 
Market value per share, at June 30, 2021
  $46.12  $27.98  $51.26  $45.96  $18.11  $20.44 
Total Return, at net asset value^
   (9.4)%   (73.8)%   (14.4)%   3.7  (61.0)%   (54.7)% 
Total Return, at market value^
   (10.1)%   (73.7)%   (14.3)%   4.7  (61.1)%   (56.9)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.04  1.76  0.95  1.02  1.27  1.60
Net investment income gain (loss)
   (0.99)%   (1.71)%   (0.90)%   (0.97)%   (1.20)%   (1.56)% 
*
See Note 1 of these Notes to Financial Statements.
+**From commencement of operations, March 24, 2017 through September 30, 2017.
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 New York Stock Exchange,applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Short Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2017.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
128

Table of Contents
For the Six Months Ended Ju
n
e 30, 2021 (unaudited) 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2020
  $22.53  $31.43  $27.73  $67.83  $36.73  $55.03 
Net investment income (loss)
   (0.10  (0.17  (0.13  (0.33  (0.18  (0.23
Net realized and unrealized gain (loss)#
   1.38   3.41   (4.23  10.46   (6.04  (30.71
Change in net asset value from operations
   1.28   3.24   (4.36  10.13   (6.22  (30.94
Net asset value, at June 30, 2021
  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Market value per share, at December 31, 2020
  $22.52  $31.14  $27.40  $67.81  $36.70  $54.96 
Market value per share, at June 30, 2021
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Total Return, at net asset value^
   5.7  10.3  (15.7)%   15.0  (16.9)%   (56.2)% 
Total Return, at market value^
   5.8  11.4  (15.0)%   14.9  (16.8)%   (56.2)% 
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95  1.04  1.10  0.95  1.05  1.25
Net investment income gain (loss)
   (0.90)%   (0.99)%   (1.07)%   (0.90)%   (1.00)%   (1.21)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.

For the Nine Months Ended September 30, 2017 (unaudited)

Per Share Operating Performance

  UltraShort
Bloomberg
Natural Gas
  UltraShort Gold  UltraShort
Silver
  Short Euro  UltraShort
Australian
Dollar
  UltraShort Euro 

Net asset value, at December 31, 2016

  $23.10  $91.33  $37.31  $45.06  $55.38  $27.08 

Net investment income (loss)

   (0.20  (0.13  (0.06  (0.12  (0.15  (0.04

Net realized and unrealized gain (loss)#

   10.97   (19.92  (5.26  (4.47  (9.60  (5.35

Change in net asset value from operations

   10.77   (20.05  (5.32  (4.59  (9.75  (5.39

Net asset value, at September 30, 2017

  $33.87  $71.28  $31.99  $40.47  $45.63  $21.69 

Market value per share, at December 31, 2016†

  $23.05  $90.54  $38.76  $45.12  $55.24  $27.08 

Market value per share, at September 30, 2017†

  $33.64  $71.55  $32.78  $40.56  $45.85  $21.68 

Total Return, at net asset value^

   46.6  (22.0)%   (14.3)%   (10.2)%   (17.6)%   (19.9)% 

Total Return, at market value^

   45.9  (21.0)%   (15.4)%   (10.1)%   (17.0)%   (19.9)% 

Ratios to Average Net Assets**

       

Expense ratio

   1.32  0.95  0.95  0.96  1.01  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.83)%   (0.23)%   (0.27)%   (0.37)%   (0.42)%   (0.23)% 

#
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 New York Stock Exchange,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 SeptemberJune 30, 2017.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded. 
129

Selected data for a Share outstanding throughout the six months ended June 30, 2020
For the Six Months Ended June 30, 2020 (unaudited)
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at December 31, 2019
  $45.64  $65.62  $509.23  $83.97  $13.79  $49.21 
Net investment income (loss)
   (0.07  (0.17  (0.14  (0.16  (0.02  (0.07
Net realized and unrealized gain (loss)#
   0.16   (34.05  (480.50  (55.50  (0.21  15.84 
Change in net asset value from operations
   0.09   (34.22  (480.64  (55.66  (0.23  15.77 
Net asset value, at June 30, 2020
  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Market value per share, at December 31, 2019
  $45.69  $65.23  $511.50  $83.40  $13.77  $49.05 
Market value per share, at June 30, 2020
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Total Return, at net asset value^
   0.2  (52.1)%   (94.4)%   (66.3)%   (1.7)%   32.0
Total Return, at market value^
   (1.9)%   (51.7)%   (94.4)%   (66.0)%   (1.5)%   32.2
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.97  1.29  1.38  1.59  0.95  0.99
Net investment income gain (loss)
   (0.31)%   (0.96)%   (0.92)%   (0.66)%   (0.24)%   (0.26)% 
**
Percentages are annualized.

For the Nine Months Ended September 30, 2017 (unaudited)

Per Share Operating Performance

  UltraShort Yen  Ultra Bloomberg
Crude Oil
  UltraPro 3X
Crude Oil ETF+
  Ultra Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver 

Net asset value, at December 31, 2016

  $80.24  $23.34  $25.00  $18.85  $32.90  $33.44 

Net investment income (loss)

   (0.14  (0.03  (0.14  (0.05  (0.06  (0.06

Net realized and unrealized gain (loss)#

   (5.84  (5.41  0.41   (10.06  6.98   0.64 

Change in net asset value from operations

   (5.98  (5.44  0.27   (10.11  6.92   0.58 

Net asset value, at September 30, 2017

  $74.26  $17.90  $25.27  $8.74  $39.82  $34.02 

Market value per share, at December 31, 2016†

  $80.25  $23.36  $25.00  $18.96  $33.20  $32.09 

Market value per share, at September 30, 2017†

  $74.21  $17.82  $25.09  $8.80  $39.60  $33.15 

Total Return, at net asset value^

   (7.5)%   (23.3)%   1.1  (53.6)%   21.0  1.7

Total Return, at market value^

   (7.5)%   (23.7)%   0.4  (53.6)%   19.3  3.3

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.97  1.26  1.16  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.26)%   (0.24)%   (1.26)%   (0.57)%   (0.22)%   (0.23)% 

+From commencement of operations, March 24, 2017 through September 30, 2017.
#
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 New York Stock Exchange,applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2017.2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.

The returns

130

Table of shares outstanding forContents
For the period from commencement of operations through SeptemberSix Months Ended June 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.0000 for ProShares UltraPro 3X Crude Oil ETF.

2020 (unaudited)
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at December 31, 2019
  $31.70  $126.74  $55.83  $56.09  $48.77  $38.53 
Net investment income (loss)
   (0.01  (1.24  (0.09  (0.13  (0.65  (0.40
Net realized and unrealized gain (loss)#
   (2.13  203.78   (0.42  0.18   25.06   29.08 
Change in net asset value from operations
   (2.14  202.54   (0.51  0.05   24.41   28.68 
Net asset value, at June 30, 2020
  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Market value per share, at December 31, 2019
  $31.65  $128.90  $55.83  $55.88  $48.60  $38.82 
Market value per share, at June 30, 2020
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Total Return, at net asset value^
   (6.8)%   159.8  (0.9)%   0.1  50.1  74.5
Total Return, at market value^
   (7.3)%   154.2  (0.9)%   0.3  50.2  73.1
Ratios to Average Net Assets**
                         
Expense ratio
^^
   1.02  1.54  0.95  1.04  1.83  2.11
Net investment income gain (loss)
   (0.06)%   (1.00)%   (0.34)%   (0.40)%   (1.40)%   (1.51)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.

For the Nine Months Ended September 30, 2017 (unaudited)

Per Share Operating Performance

  Ultra Euro  Ultra Yen 

Net asset value, at December 31, 2016

  $14.02  $55.43 

Net investment income (loss)

   (0.03  (0.21

Net realized and unrealized gain (loss)#

   3.14   2.85 

Change in net asset value from operations

   3.11   2.64 

Net asset value, at September 30, 2017

  $17.13  $58.07 

Market value per share, at December 31, 2016†

  $14.09  $55.52 

Market value per share, at September 30, 2017†

  $17.10  $58.17 

Total Return, at net asset value^

   22.2  4.8

Total Return, at market value^

   21.4  4.8

Ratios to Average Net Assets**

   

Expense ratio

   0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95

Net investment income (loss)

   (0.26)%   (0.47)% 

#
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 New York Stock Exchange,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 SeptemberJune 30, 2017.2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
**Percentages are annualized.

Selected data for a Share outstanding throughout the nine months ended September 30, 2016:

131

For the NineSix Months Ended SeptemberJune 30, 20162020 (unaudited)

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil*
  UltraShort
Bloomberg
Natural Gas
 

Net asset value, at December 31, 2015

  $264.84  $53.96  $25.41  $2,808.40  $66.60  $46.53 

Net investment income (loss)

   (1.03  (0.28  (0.21  (9.40  (0.31  (0.57

Net realized and unrealized gain (loss)#

   (149.68  (7.93  11.12   (2,460.96  (26.29  (9.64

Change in net asset value from operations

   (150.71  (8.21  10.91   (2,470.36  (26.60  (10.21

Net asset value, at September 30, 2016

  $114.13  $45.75  $36.32  $338.04  $40.00  $36.32 

Market value per share, at December 31, 2015†

  $266.60  $53.99  $25.23  $2,835.00  $66.82  $46.55 

Market value per share, at September 30, 2016†

  $113.32  $45.69  $36.61  $333.00  $40.45  $36.14 

Total Return, at net asset value^

   (56.9)%   (15.2)%   42.9  (88.0)%   (39.9)%   (22.0)% 

Total Return, at market value^

   (57.5)%   (15.4)%   45.1  (88.3)%   (39.5)%   (22.4)% 

Ratios to Average Net Assets**

       

Expense ratio

   1.01  0.93  1.36  1.56  1.04  1.68

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.78)%   (0.71)%   (1.13)%   (1.33)%   (0.79)%   (1.46)% 

Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2019
  $26.80  $53.02  $107.04  $76.37  $21.27  $49.19 
Net investment income (loss)
   0.00(1)   (0.06  (0.23  (0.04  (0.05  (0.10
Net realized and unrealized gain (loss)#
   (0.07  (17.50  (28.31  (1.73  19.18   62.61 
Change in net asset value from operations
   (0.07  (17.56  (28.54  (1.77  19.13   62.51 
Net asset value, at June 30, 2020
  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Market value per share, at December 31, 2019
  $26.80  $53.21  $107.20  $76.35  $21.29  $49.72 
Market value per share, at June 30, 2020
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Total Return, at net asset value^
   (0.3)%   (33.1)%   (26.7)%   (2.3)%   90.0  127.1
Total Return, at market value^
   (0.3)%   (33.2)%   (26.2)%   (2.3)%   89.0  123.3
Ratios to Average Net Assets**
                         
Expense ratio
^^
   0.95  1.01  1.10  0.95  1.06  1.15
Net investment income gain (loss)
   (0.02)%   (0.29)%   (0.41)%   (0.11)%   (0.33)%   (0.25)% 
*
See Note 1 of these Notes to Financial StatementsStatements.
**
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 New York Stock Exchange,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 SeptemberJune 30, 2016.2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded.
**(1)Percentages are annualized.
Amount represents greater than $(0.005).

For the Nine Months Ended September 30, 2016 (unaudited)

Per Share Operating Performance

  UltraShort Gold  UltraShort
Silver
  Short Euro  UltraShort
Australian
Dollar
  UltraShort Euro  UltraShort Yen 

Net asset value, at December 31, 2015

  $115.88  $64.58  $43.78  $58.46  $25.54  $87.94 

Net investment income (loss)

   (0.42  (0.21  (0.25  (0.33  (0.13  (0.38

Net realized and unrealized gain (loss)#

   (45.85  (36.43  (1.31  (8.45  (1.63  (26.88

Change in net asset value from operations

   (46.27  (36.64  (1.56  (8.78  (1.76  (27.26

Net asset value, at September 30, 2016

  $69.61  $27.94  $42.22  $49.68  $23.78  $60.68 

Market value per share, at December 31, 2015†

  $115.83  $64.55  $43.74  $58.15  $25.53  $87.89 

Market value per share, at September 30, 2016†

  $70.19  $28.41  $42.22  $49.67  $23.76  $60.64 

Total Return, at net asset value^

   (39.9)%   (56.7)%   (3.6)%   (15.0)%   (6.9)%   (31.0)% 

Total Return, at market value^

   (39.4)%   (56.0)%   (3.5)%   (14.6)%   (6.9)%   (31.0)% 

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.95  0.97  1.03  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.71)%   (0.71)%   (0.78)%   (0.80)%   (0.70)%   (0.74)% 

#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 New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

For the Nine Months Ended September 30, 2016 (unaudited)

Per Share Operating Performance

  Ultra Bloomberg
Crude Oil*
  Ultra Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver  Ultra Euro  Ultra Yen 

Net asset value, at December 31, 2015

  $25.15  $18.57  $29.73  $27.06  $15.51  $54.75 

Net investment income (loss)

   (0.12  (0.12  (0.21  (0.21  (0.08  (0.36

Net realized and unrealized gain (loss)#

   (4.01  (3.97  14.90   22.15   0.70   20.07 

Change in net asset value from operations

   (4.13  (4.09  14.69   21.94   0.62   19.71 

Net asset value, at September 30, 2016

  $21.02  $14.48  $44.42  $49.00  $16.13  $74.46 

Market value per share, at December 31, 2015†

  $25.08  $18.48  $29.73  $27.08  $15.51  $54.70 

Market value per share, at September 30, 2016†

  $20.76  $14.58  $44.01  $48.11  $16.12  $74.48 

Total Return, at net asset value^

   (16.4)%   (22.0)%   49.4  81.1  4.0  36.0

Total Return, at market value^

   (17.2)%   (21.1)%   48.0  77.7  3.9  36.2

Ratios to Average Net Assets**

       

Expense ratio

   1.02  1.36  0.95  0.95  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.78)%   (1.17)%   (0.69)%   (0.71)%   (0.71)%   (0.71)% 

*See Note 1 of these Notes to Financial Statements
#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 New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

132

Table of Contents
NOTE 8 – RISK

Correlation and Compounding Risk

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

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of a Short oran UltraShort Fund is designed to return the inverse(-1x) or two times the inverse(-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present differentsignificant risks thannot applicable to other types of funds. The LeveragedLever
a
ged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective geared funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

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

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

In addition, unlike

133

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

Counterparty Risk

Certain of the Funds will

Each Fund may use derivatives such as swap agreements and/orand forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. Such Funds willThe use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tendof derivatives by a Fund exposes the Fund to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.

Swap agreements and forward contractscounterparty risks.

Regulatory Treatment
Derivatives are generally traded in OTC markets and have only recently become subject to comprehensive regulation byin the CFTC.United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, the CFTC rules however, domay not coverapply to all types of the swap agreements and forward contracts.contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk
The Funds will be subject to the credit risk with respect toof the counterparties to the derivatives contracts (whether a clearing corporation inderivatives. In the case of cleared instruments or another third partyderivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC uncleared instruments). Unlike in futures contracts,derivatives, the Funds will be subject to the credit risk of the counterparty to uncleared swap agreements or forward contracts is generallythe transaction – typically a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions.institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contractsOTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

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

OTC swaps or forward contractsderivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. IfThese agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the
134

Table of Contents
agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap agreement or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivative transactionsderivatives benefit from dailymarking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. TransactionsTo the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties generally do not necessarily benefit from such protections.protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

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

Fund, subject to applicable law.

The counterparty risk for cleared derivativederivatives transactions is generally lower than for uncleared OTC derivatives since generallyderivatives. Once a transaction is cleared, the clearing organization becomesis substituted for eachand is a Fund’s counterparty to a cleared derivative contract and, in effect,on the derivative. The clearing organization guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However,the other side of the derivative. Nevertheless, some risk remains, as there can beis no assurance that the clearing house,organization, or its members, will satisfy its obligations to thea Fund.

Leverage Risk

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

investment, even over periods as short as a single day.

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

Liquidity Risk

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

135

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 20162019 may specify a January 20172020 expiration. As that contract nears expiration, it may be replaced by selling the January 20172020 contract and purchasing the contract expiring in March 2017.2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example,
e
xample, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 20172020 contract would take place at a price that is higher than the price at which the March 20172020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

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

Gold and silver have historically exhibitexhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is because
In April 2020, the market needs to build inventories for mostcrude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. If all or a significant portion of the yearfutures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause significant losses.
Change to Investment Strategies
In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
136
Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse (-2x), as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil.
Change to the Oil Funds Benchmark Index
Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex
SM
to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse (-2x), as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.
In order to have enough storageexposure to make it throughthe WTI crude oil futures contracts included in the New Benchmark in a normal winter. Periodsmanner designed to achieve its respective investment objective by the beginning of backwardationbusiness on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020.
Description of the New Benchmark
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are typically thoughtequally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be causedin a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by demand shocksBloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.
Natural Disaster/Epidemic Risk
Natural or supply shortagesenvironmental disasters, such as an unusually cold winterearthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these
137

circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a hurricane.

Fund’s performance, resulting in losses to your investment.

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.
Change to the VIX Funds Benchmark Indices
Change to VIX Futures Contracts Settlement Time \ Index Methodology.
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Mid-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, and the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in each Fund’s Prospectus.
Change to the VIX Funds Exchange Listing.
On December 16, 2020, each of the Matching VIX Funds and Geared VIX Funds transferred its listing from the NYSE Arca to the Cboe BZX Exchange.
NOTE 9 – SUBSEQUENT EVENTS

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

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

138

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential”“potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Trustee (as each term is defined below)Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the TrusteeAdministrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

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

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of SeptemberJune 30, 2017,2021, the following twentyeighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIXMid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the New York Stock Exchange ArchipelagoNYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form10-Q.. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.
On March 15, 2020 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in this Quarterly Reporteach liquidated fund was suspended prior to market open on Form10-Q.

March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.

On April 3, 2020, the Trust announced a 1-for-25 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulting in a proportionate increase in the price per share and per share information of these funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
139

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

ProShare Capital Management LLC

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

Groups of Funds are collectively referred to in this Quarterly Report on Form10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”,Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each

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

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

Fund’s next NAV calculation.

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation.any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x,-2x, 1.5x, or 2x, of the return of the indexbenchmark to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatilityVolatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that aredo not geared.use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day.
Each Matching VIX Fund seeks investment results, (beforebefore fees and expenses), both over a single day and over time,expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIXMid-Term Futures Index (the“Mid-Term “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarilytaking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”Cboe”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF,Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF and ProShares Ultra Bloomberg Natural Gas each have a benchmark that is an indexare benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexesIndexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

140

Table of Contents
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at aper-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca,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.

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

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, and each Fund’s trading in futures, andand/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, each of the Funds earned interest income as follows:

Interest Income

Fund

  Interest Income
Three Months
Ended
September 30,
2017
   Interest Income
Three Months
Ended
September 30,
2016
   Interest Income
Nine Months
Ended
September 30,
2017
   Interest Income
Nine Months
Ended
September 30,
2016
 

ProShares VIX Short-Term Futures ETF

  $379,082   $144,244   $786,305   $324,819 

ProShares VIXMid-Term Futures ETF

   71,551    29,706    164,138    63,804 

ProShares Short VIX Short-Term Futures ETF

   2,102,194    248,974    3,484,888    848,132 

ProShares Ultra VIX Short-Term Futures ETF

   866,857    400,731    1,833,411    1,227,394 

ProShares UltraShort Bloomberg Crude Oil

   458,896    112,015    998,438    345,514 

ProShares UltraPro 3X Short Crude Oil ETF

   —      —      —      —   

ProShares UltraShort Bloomberg Natural Gas

   11,436    2,395    25,909    16,513 

ProShares UltraShort Gold

   85,802    44,515    202,149    118,780 

ProShares UltraShort Silver

   44,411    22,794    103,317    71,536 

ProShares Short Euro

   18,865    8,177    57,345    22,846 

ProShares UltraShort Australian Dollar

   23,090    12,198    58,614    32,241 

ProShares UltraShort Euro

   559,862    248,831    1,452,945    765,698 

ProShares UltraShort Yen

   389,160    155,603    1,072,691    328,442 

ProShares Ultra Bloomberg Crude Oil

   1,819,809    547,630    4,436,888    1,497,225 

ProShares UltraPro 3X Crude Oil ETF

   —      —      —      —   

ProShares Ultra Bloomberg Natural Gas

   93,039    18,114    199,874    45,257 

ProShares Ultra Gold

   231,647    72,710    531,782    178,730 

ProShares Ultra Silver

   612,838    277,478    1,497,007    587,744 

ProShares Ultra Euro

   30,171    6,257    69,923    18,054 

ProShares Ultra Yen

   10,221    4,659    21,407    11,808 

Fund
  
Interest Income
Three Months
Ended
June 30, 2021
   
Interest Income
Three Months
Ended
June 30, 2020
   
Interest Income
Six Months
Ended
June 30, 2021
   
Interest Income
Six Months
Ended
June 30, 2020
 
ProShares Short Euro
  $310   $54   $906   $7,649 
ProShares Short VIX Short-Term Futures ETF
   33,687    106,023    67,577    855,884 
ProShares Ultra Bloomberg Crude Oil
   111,333    365,747    279,408    1,767,207 
ProShares Ultra Bloomberg Natural Gas
   11,544    36,474    25,359    175,813 
ProShares Ultra Euro
   438    192    1,022    15,993 
ProShares Ultra Gold
   20,094    69,857    55,921    484,541 
ProShares Ultra Silver
   65,529    138,315    163,658    914,602 
ProShares Ultra VIX Short-Term Futures ETF
   202,556    101,523    316,525    1,513,263 
ProShares Ultra Yen
   307    62    663    8,929 
ProShares UltraPro 3x Crude Oil ETF*
   —      —      —      346,326 
ProShares UltraPro 3x Short Crude Oil ETF*
   —      —      —      166,789 
ProShares UltraShort Australian Dollar
   260    42    518    20,096 
ProShares UltraShort Bloomberg Crude Oil
   18,343    6,209    29,178    254,918 
ProShares UltraShort Bloomberg Natural Gas
   7,750    1,371    15,633    43,803 
ProShares UltraShort Euro
   5,640    68,027    12,806    467,684 
ProShares UltraShort Gold
   3,176    2,259    6,138    63,280 
ProShares UltraShort Silver
   2,678    651    5,795    45,187 
ProShares UltraShort Yen
   3,570    5,143    7,166    131,326 
ProShares VIX Mid-Term Futures ETF
   8,349    27,603    18,573    185,901 
ProShares VIX Short-Term Futures ETF
   40,988    122,772    79,448    1,082,847 
*
The operations presented here are through March 27, 2020, the date of their liquidation. See Note 1 of the Notes to Financial Statements.
141

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

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

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

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

Market Risk

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

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form10-Q.

Credit Risk

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

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

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

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an unclearedOTC 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 segregatedtri-party accounts at the Fund’s custodian bank.

142

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

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

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

limiting the outstanding amounts due from counterparties to the Funds;

not posting margin directly with a counterparty;

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

limiting the amount of margin or premium posted at a futures commission merchant (“FCM”);FCM; and

ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 2, 2017,August 6, 2021, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitateoff-balance sheet financing arrangements and have no loan guarantee arrangements oroff-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

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

Critical Accounting Policies

The Trust’s and the Funds’ critical accounting policies are as follows:

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

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

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

For financial reporting purposes, the Funds value transactionsinvestments based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the three and nine monthsperiod ended SeptemberJune 30, 2017.

2021.

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

Derivatives (e.g.(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day,Futures contracts valuations are
143

Table of Contents
typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and fornon-exchange-traded derivatives,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 for such day.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. When market closing prices are not available, theThe Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While each Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or the VIX Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by the Leveraged or the VIXa Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

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

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

144

Table of Contents
Results of Operations for the Three Months Ended SeptemberJune 30, 20172021 Compared to the Three Months Ended SeptemberJune 30, 2016

2020

ProShares VIX Short-Term Futures ETF*

Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $162,053,094  $190,955,944 

NAV end of period

  $191,364,819  $227,819,218 

Percentage change in NAV

   18.1  19.3

Shares outstanding beginning of period

   3,796,113   1,057,491 

Shares outstanding end of period

   5,876,317   1,996,113 

Percentage change in shares outstanding

   54.8  88.8

Shares created

   3,106,250   1,151,250 

Shares redeemed

   1,026,046   212,628 

Per share NAV beginning of period

  $42.69  $180.57 

Per share NAV end of period

  $32.57  $114.13 

Percentage change in per share NAV

   (23.7)%   (36.8)% 

Percentage change in benchmark

   (23.4)%   (36.8)% 

Benchmark annualized volatility

   65.8  55.1

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $2,184,540  $2,332,843 
NAV end of period
  $2,159,102  $2,286,467 
Percentage change in NAV
   (1.2)%   (2.0)% 
Shares outstanding beginning of period
   50,000   50,000 
Shares outstanding end of period
   50,000   50,000 
Percentage change in shares outstanding
   —    —  
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $43.69  $46.66 
Per share NAV end of period
  $43.18  $45.73 
Percentage change in per share NAV
   (1.2)%   (2.0)% 
Percentage change in benchmark
   1.1  1.9
Benchmark annualized volatility
   5.9  7.4
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 3,796,113 outstanding Shares at June 30, 2017 to 5,876,317 outstanding Shares at September 30, 2017. The increase in2021, the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,057,491 outstanding Shares at June 30, 2016 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.8% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $45.92 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $179.80 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(61,284  $(407,697

Management fee

   381,123    474,982 

Brokerage commissions

   59,243    76,959 

Net realized gain (loss)

   (27,446,786   (101,781,283

Change in net unrealized appreciation/depreciation

   (17,216,367   6,811,763 

Net income (loss)

  $(44,724,437  $(95,377,217

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share splits for the ProShares VIX Short-Term Futures ETF.

ProShares VIXMid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $30,550,943  $42,224,892 

NAV end of period

  $45,047,423  $58,894,811 

Percentage change in NAV

   47.5  39.5

Shares outstanding beginning of period

   1,112,403   812,403 

Shares outstanding end of period

   1,787,403   1,287,403 

Percentage change in shares outstanding

   60.7  58.5

Shares created

   675,000   525,000 

Shares redeemed

   —     50,000 

Per share NAV beginning of period

  $27.46  $51.98 

Per share NAV end of period

  $25.20  $45.75 

Percentage change in per share NAV

   (8.2)%   (12.0)% 

Percentage change in benchmark

   (8.0)%   (11.7)% 

Benchmark annualized volatility

   27.0  20.2

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,112,403 outstanding Shares at June 30, 2017 to 1,787,403 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 12.0% for the three months ended September 30, 2016 was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $28.23 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 8.0% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 11.7% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(15,787  $(89,667

Management fee

   80,574    108,438 

Brokerage commissions

   6,764    10,935 

Net realized gain (loss)

   (3,965,084   (4,899,386

Change in net unrealized appreciation/depreciation

   365,957    (1,141,385

Net income (loss)

  $(3,614,914  $(6,130,438

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $793,060,423  $687,712,265 

NAV end of period

  $1,039,873,910  $504,798,665 

Percentage change in NAV

   31.1  (26.6)% 

Shares outstanding beginning of period

   9,900,000   27,600,000 

Shares outstanding end of period

   11,100,000   13,900,000 

Percentage change in shares outstanding

   12.1  (49.6)% 

Shares created

   17,750,000   18,500,000 

Shares redeemed

   16,550,000   32,200,000 

Per share NAV beginning of period

  $80.11  $24.92 

Per share NAV end of period

  $93.68  $36.32 

Percentage change in per share NAV

   16.9  45.7

Percentage change in benchmark

   (23.4)%   (36.8)% 

Benchmark annualized volatility

   65.8  55.1

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 9,900,000 outstanding Shares at June 30, 2017 to 11,100,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to the inverse (-1x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. By comparison, during the three months ended SeptemberJune 30, 2016,2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 27,600,000 outstanding Shares at June 30, 2016 to 13,900,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to the inverse (-1x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.

For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increasedecrease of 16.9%1.2% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV increasedecrease of 45.7%2.0% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a lesser appreciationdepreciation in the value of the assets ofheld by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on August 18, 2017 at $70.05 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on July 5, 2016 at $25.02 per Share.

2021.

The benchmark’s declinerise of 23.4%1.1% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s declinerise of 36.8%1.9% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to aan lesser declineincrease in the value of the prices ofeuro versus the near-term futures contracts on the VIX futures curveU.S. dollar during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

145

Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,640,811  $(1,171,428

Management fee

   2,376,444    951,001 

Brokerage commissions

   1,366,561    469,401 

Net realized gain (loss)

   188,307,524    277,233,576 

Change in net unrealized appreciation/depreciation

   100,090,454    (51,779,349

Net income (loss)

  $286,757,167   $224,282,799 

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(4,801  $(5,552
Management fee
   5,032    5,516 
Brokerage commission
   79    90 
Net realized gain (loss)
   (38,172   (20,020
Change in net unrealized appreciation (depreciation)
   17,535    (20,804
Net Income (loss)
  $(25,438  $(46,376
The Fund’s net income increased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to a decreasean lesser increase in the pricesvalue of near-term futures contracts on the VIX futures curve, in conjunction with an increase in shares outstanding,euro versus the U.S. dollar during the three months ended SeptemberJune 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the Share split for the 2021.
ProShares Short VIX Short-Term Futures ETF.

ProShares Ultra VIX Short-Term Futures ETF*

ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $378,714,636  $839,613,853 

NAV end of period

  $535,095,732  $738,749,800 

Percentage change in NAV

   41.3  (12.0)% 

Shares outstanding beginning of period

   9,631,952   920,025 

Shares outstanding end of period

   25,927,238   2,185,383 

Percentage change in shares outstanding

   169.2  137.5

Shares created

   33,400,000   2,356,500 

Shares redeemed

   17,104,14   1,091,142 

Per share NAV beginning of period

  $39.32  $912.60 

Per share NAV end of period

  $20.64  $338.04 

Percentage change in per share NAV

   (47.5)%   (63.0)% 

Percentage change in benchmark

   (23.4)%   (36.8)% 

Benchmark annualized volatility

   65.8  55.1

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $527,130,851  $809,257,658 
NAV end of period
  $588,615,946  $509,811,853 
Percentage change in NAV
   11.7  (37.0)% 
Shares outstanding beginning of period
   11,184,307   26,084,307 
Shares outstanding end of period
   10,584,307   16,234,307 
Percentage change in shares outstanding
   (5.4)%   (37.8)% 
Shares created
   450,000   1,000,000 
Shares redeemed
   1,050,000   10,850,000 
Per share NAV beginning of period
  $47.13  $31.02 
Per share NAV end of period
  $55.61  $31.40 
Percentage change in per share NAV
   18.0  1.2
Percentage change in benchmark
   (35.2)%   (26.1)% 
Benchmark annualized volatility
   70.4  122.3
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended SeptemberJune 30, 2017,2021, the increase in the Fund’s NAV resulted primarily from anthe cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 9,631,95211,184,307 outstanding Shares at March 31, 2021 to 10,584,307 outstanding Shares at June 30, 20172021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 26,084,307 outstanding Shares
146

Table of Contents
at March 31, 2020 to 25,927,23816,234,307 outstanding Shares at SeptemberJune 30, 2017.2020. The increasedecrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2xone-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison,
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.0% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 1.2% for the three months ended June 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 35.2% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 26.1% for the three months ended June 30, 2020, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(1,865,757  $(2,142,980
Management fee
   1,317,153    1,589,036 
Brokerage commission
   253,949    228,176 
Net realized gain (loss)
   109,337,017    54,615,005 
Change in net unrealized appreciation (depreciation)
   (13,308,130   (22,301,329
Net Income (loss)
  $94,163,130   $30,170,696 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a greater decrease in the value of futures prices during the three months ended June 30, 2021.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $1,088,579,093  $435,593,381 
NAV end of period
  $1,303,530,902  $1,508,661,459 
Percentage change in NAV
   19.7  246.3
Shares outstanding beginning of period
   20,710,774   10,848,453 
Shares outstanding end of period
   16,660,774   52,760,774 
Percentage change in shares outstanding
   (19.6)%   386.3
Shares created
   1,050,000   77,482,000 
Shares redeemed
   5,100,000   35,569,679 
Per share NAV beginning of period
  $52.56  $40.15 
Per share NAV end of period
  $78.24  $28.59 
Percentage change in per share NAV
   48.9  (29.0)% 
Percentage change in benchmark
   23.1  23.6
Benchmark annualized volatility
   23.9  116.3
147

Table of Contents
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the three months ended June 30, 2016,2021, the decreaseincrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 20,710,774 outstanding Shares at March 31, 2021 to 16,660,774 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 10,848,453 outstanding Shares at March 31, 2020 to 52,760,774 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 48.9% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 29.0% for the three months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The new benchmark’s rise of 23.1% for the three months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s rise of 23.6% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2021.
148

Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(3,210,719  $(3,994,835
Management fee
   2,794,292    2,806,288 
Brokerage commission
   210,012    1,017,545 
Net realized gain (loss)
   320,505,659    (671,420,708
Change in net unrealized appreciation (depreciation)
   157,919,139    661,178,846 
Net Income (loss)
  $475,214,079   $(14,236,697
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 30, 2021.
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $74,307,070  $26,671,617 
NAV end of period
  $70,213,227  $50,599,783 
Percentage change in NAV
   (5.5)%   89.7
Shares outstanding beginning of period
   3,487,527   637,815 
Shares outstanding end of period
   1,987,527   1,787,527 
Percentage change in shares outstanding
   (43.0)%   180.3
Shares created
   650,000   1,260,000 
Shares redeemed
   2,150,000   110,288 
Per share NAV beginning of period
  $21.31  $41.82 
Per share NAV end of period
  $35.33  $28.31 
Percentage change in per share NAV
   65.8  (32.2)% 
Percentage change in benchmark
   30.3  (14.2)% 
Benchmark annualized volatility
   27.8  56.4
During the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,487,527 outstanding Shares at March 31, 2021 to 1,987,527 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by a decrease from 637,815 outstanding Shares at March 31, 2020 to 1,787,527 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 65.8% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 32.2% for the three months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
149

Table of Contents
The benchmark’s rise of 30.3% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 14.2% for the three months ended June 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(217,363  $(121,296
Management fee
   152,958    81,904 
Brokerage commission
   63,062    63,224 
Net realized gain (loss)
   4,901,288    (16,111,238
Change in net unrealized appreciation (depreciation)
   28,347,917    4,853,272 
Net Income (loss)
  $33,031,842   $(11,379,262
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended June 30, 2021.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $3,611,724  $3,949,142 
NAV end of period
  $3,668,741  $4,067,686 
Percentage change in NAV
   1.6  3.0
Shares outstanding beginning of period
   250,000   300,000 
Shares outstanding end of period
   250,000   300,000 
Percentage change in shares outstanding
   —    —  
Shares created
   100,000   50,000 
Shares redeemed
   100,000   50,000 
Per share NAV beginning of period
  $14.45  $13.16 
Per share NAV end of period
  $14.67  $13.56 
Percentage change in per share NAV
   1.5  3.0
Percentage change in benchmark
   1.1  1.9
Benchmark annualized volatility
   5.9  7.4
During the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30,
150

Table of Contents
2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.5% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 3.0% for the three months ended June 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 1.1% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 1.9% for the three months ended June 30, 2020, can be attributed to an lesser increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(8,978  $(8,702
Management fee
   9,416    8,894 
Net realized gain (loss)
   95,412    (18,635
Change in net unrealized appreciation (depreciation)
   (13,219   97,408 
Net Income (loss)
  $73,215   $70,071 
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an lesser increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2021.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $214,548,056  $128,481,796 
NAV end of period
  $243,456,703  $165,689,050 
Percentage change in NAV
   13.5  29.0
Shares outstanding beginning of period
   3,950,000   2,450,000 
Shares outstanding end of period
   4,250,000   2,550,000 
Percentage change in shares outstanding
   7.6  4.1
Shares created
   400,000   300,000 
Shares redeemed
   100,000   200,000 
Per share NAV beginning of period
  $54.32  $52.44 
Per share NAV end of period
  $57.28  $64.98 
Percentage change in per share NAV
   5.4  23.9
Percentage change in benchmark
   3.2  12.1
Benchmark annualized volatility
   14.6  19.7
151

Table of Contents
During the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,950,000 outstanding Shares at March 31, 2021 to 4,250,000 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,450,000 outstanding Shares at March 31, 2020 to 2,550,000 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.4% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 23.9% for the three months ended June 30, 2020, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 3.2% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 12.1% for the three months ended June 30, 2020, can be attributed to an lesser increase in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(569,965  $(279,921
Management fee
   568,040    333,463 
Brokerage commission
   8,665    6,119 
Net realized gain (loss)
   45,506,367    4,365,328 
Change in net unrealized appreciation (depreciation)
   (33,478,303   25,893,012 
Net Income (loss)
  $11,458,099   $29,978,419 
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an lesser increase in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2021.
152

Table of Contents
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $572,501,249  $129,785,536 
NAV end of period
  $661,778,727  $249,671,968 
Percentage change in NAV
   15.6  92.4
Shares outstanding beginning of period
   13,846,526   7,046,526 
Shares outstanding end of period
   14,396,526   8,446,526 
Percentage change in shares outstanding
   4.0  19.9
Shares created
   1,000,000   1,500,000 
Shares redeemed
   450,000   100,000 
Per share NAV beginning of period
  $41.35  $18.42 
Per share NAV end of period
  $45.97  $29.56 
Percentage change in per share NAV
   11.2  60.5
Percentage change in benchmark
   6.5  29.2
Benchmark annualized volatility
   25.5  37.1
During the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 13,846,526 outstanding Shares at March 31, 2021 to 14,396,526 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV also resulted in part from an increase from 7,046,526 outstanding Shares at March 31, 2020 to 8,446,526 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 11.2% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 60.5% for the three months ended June 30, 2020, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 6.5% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 29.2% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of silver futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(1,639,236  $(335,243
Management fee
   1,615,157    425,646 
Brokerage commission
   40,715    26,966 
Net realized gain (loss)
   116,370,479    11,386,313 
Change in net unrealized appreciation (depreciation)
   (48,394,245   69,302,060 
Net Income (loss)
  $66,336,998   $80,353,130 
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of futures prices during the three months ended June 30, 2021.
153

Table of Contents
ProShares Ultra VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $1,284,373,170  $592,820,492 
NAV end of period
  $840,870,703  $992,156,607 
Percentage change in NAV
   (34.5)%   67.4
Shares outstanding beginning of period
   22,803,091   1,013,091 
Shares outstanding end of period
   30,128,420   3,013,091 
Percentage change in shares outstanding
   32.1  197.4
Shares created
   12,955,000   2,485,000 
Shares redeemed
   5,629,671   485,000 
Per share NAV beginning of period
  $56.32  $585.16 
Per share NAV end of period
  $27.91  $329.28 
Percentage change in per share NAV
   (50.4)%   (43.7)% 
Percentage change in benchmark
   (35.2)%   (26.1)% 
Benchmark annualized volatility
   70.4  122.3
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 920,02522,803,091 outstanding Shares at March 31, 2021 to 30,128,420 outstanding Shares at June 30, 2016 to 2,185,3832021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,013,091 outstanding Shares at SeptemberMarch 31, 2020 to 3,013,091 outstanding Shares at June 30, 2016.

2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and

one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 50.4% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 43.7% for the three months ended June 30, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
154

Table of Contents
The benchmark’s decline of 35.2% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 26.1% for the three months ended June 30, 2020, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(3,975,284  $(2,085,756
Management fee
   2,293,121    1,293,878 
Brokerage commission
   1,173,276    438,851 
Net realized gain (loss)
   (854,526,924   (107,880,791
Change in net unrealized appreciation (depreciation)
   244,115,248    (125,500,879
Net Income (loss)
  $(614,386,960  $(235,467,426
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a greater decrease in the value of futures prices during the three months ended June 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $2,587,694  $2,808,780 
NAV end of period
  $2,560,348  $2,764,355 
Percentage change in NAV
   (1.1)%   (1.6)% 
Shares outstanding beginning of period
   49,970   49,970 
Shares outstanding end of period
   49,970   49,970 
Percentage change in shares outstanding
   —    —  
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $51.78  $56.21 
Per share NAV end of period
  $51.24  $55.32 
Percentage change in per share NAV
   (1.0)%   (1.6)% 
Percentage change in benchmark
   (0.3)%   (0.4)% 
Benchmark annualized volatility
   4.9  6.2
During the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot
155

Table of Contents
price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 47.5%1.0% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 63.0%1.6% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a lesser depreciation in the value of the assets ofheld by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $43.94 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $904.80 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.

2021.

The benchmark’s decline of 23.4%0.3% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s decline of 36.8%0.4% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to aan lesser declinedecrease in pricesthe value of the near-term futures contracts onJapanese yen versus the VIX futures curveU.S. dollar during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,324,516  $(2,326,627

Management fee

   1,040,567    1,625,260 

Brokerage commissions

   1,150,806    1,102,098 

Net realized gain (loss)

   (126,538,682   (745,085,668

Change in net unrealized appreciation/depreciation

   (95,494,039   139,001,218 

Net income (loss)

  $(223,357,237  $(608,411,077

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(5,955  $(6,539
Management fee
   6,262    6,601 
Net realized gain (loss)
   (140,007   (106,753
Change in net unrealized appreciation (depreciation)
   118,616    68,867 
Net Income (loss)
  $(27,346  $(44,425
The Fund’s net income increaseddecreased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to aan lesser declinedecrease in the pricesvalue of the near-term futures contracts onJapanese yen versus the VIX futures curveU.S. dollar during the three months ended SeptemberJune 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

2021.

156

Table of Contents
ProShares UltraShort Bloomberg Crude Oil*

Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $121,175,298  $165,504,746 

NAV end of period

  $238,227,025  $189,577,580 

Percentage change in NAV

   96.6  14.5

Shares outstanding beginning of period

   2,789,884   4,039,884 

Shares outstanding end of period

   7,089,884   4,739,884 

Percentage change in shares outstanding

   154.1  17.3

Shares created

   5,400,000   3,100,000 

Shares redeemed

   1,100,000   2,400,000 

Per share NAV beginning of period

  $43.43  $40.97 

Per share NAV end of period

  $33.60  $40.00 

Percentage change in per share NAV

   (22.6)%   (2.4)% 

Percentage change in benchmark

   11.2  (5.0)% 

Benchmark annualized volatility

   25.6  40.5

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $2,258,880  $7,230,367 
NAV end of period
  $2,304,732  $5,614,042 
Percentage change in NAV
   2.0  (22.4)% 
Shares outstanding beginning of period
   50,000   100,000 
Shares outstanding end of period
   50,000   100,000 
Percentage change in shares outstanding
   —    —  
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $45.18  $72.30 
Per share NAV end of period
  $46.09  $56.14 
Percentage change in per share NAV
   2.0  (22.4)% 
Percentage change in benchmark
   (1.3)%   12.3
Benchmark annualized volatility
   8.8  14.2
During the three months ended SeptemberJune 30, 2017,2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.0% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 22.4% for the three months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 1.3% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 12.3% for the three months ended June 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(5,306  $(16,185
Management fee
   5,192    14,888 
Brokerage commission
   374    1,339 
Net realized gain (loss)
   (7,133   (1,037,904
Change in net unrealized appreciation (depreciation)
   58,291    (562,236
Net Income (loss)
  $45,852   $(1,616,325
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2021.
157

Table of Contents
ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $91,718,390  $100,094,023 
NAV end of period
  $79,400,059  $117,821,898 
Percentage change in NAV
   (13.4)%   17.7
Shares outstanding beginning of period
   3,184,971   509,971 
Shares outstanding end of period
   4,383,799   1,609,971 
Percentage change in shares outstanding
   37.6  215.7
Shares created
   1,937,500   4,750,000 
Shares redeemed
   738,672   3,650,000 
Per share NAV beginning of period
  $28.80  $196.27 
Per share NAV end of period
  $18.11  $73.18 
Percentage change in per share NAV
   (37.1)%   (62.7)% 
Percentage change in benchmark
   23.1  23.6
Benchmark annualized volatility
   23.9  116.3
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 2,789,8843,184,971 outstanding Shares at March 31, 2021 to 4,383,799 outstanding Shares at June 30, 2017 to 7,089,884 2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 509,971
158

Table of Contents
outstanding Shares at SeptemberMarch 31, 2020 to 1,609,971 outstanding Shares at June 30, 2017.2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 4,039,884 outstanding Shares at June 30, 2016 to 4,739,884 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.6%37.1% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 2.4%62.7% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a greaterlesser depreciation in the value of the assets ofheld by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $46.80 per Share and reached its low for the period on September 25, 2017 at $32.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $60.42 per Share and reached its low for the period on July 1, 2016 at $39.90 per Share.

2021.

The new benchmark’s rise of 11.2%23.1% for the three months ended SeptemberJune 30, 2017,2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s declinerise of 5.0%23.6% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to ana lesser increase in the pricevalue of WTI Crude Oil during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(15,678  $(321,432

Management fee

   456,582    405,879 

Brokerage commissions

   17,992    27,568 

Net realized gain (loss)

   (9,418,914   50,285,292 

Change in net unrealized appreciation/depreciation

   (30,446,676   (32,963,803

Net income (loss)

  $(39,881,268  $17,000,057 

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(208,741  $(782,726
Management fee
   181,035    348,900 
Brokerage commission
   28,581    346,732 
Net realized gain (loss)
   (26,010,421   (6,947,347
Change in net unrealized appreciation (depreciation)
   (9,947,432   (75,201,725
Net Income (loss)
  $(36,166,594  $(82,931,798
The Fund’s net income decreasedincreased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to ana lesser increase in the pricevalue of WTI Crude Oil during the three months ended SeptemberJune 30, 2017.

2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on
Form10-Q
regarding the reverse Share split for the ProShares UltraShort Bloomberg Crude Oil.

159

Table of Contents
ProShares UltraPro 3x Short Crude Oil ETF

UltraShort Bloomberg Natural Gas

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 2017:

   Three Months Ended
September 30, 2017
 

NAV beginning of period

  $5,292,315 

NAV end of period

  $15,768,728 

Percentage change in NAV

   198.0

Shares outstanding beginning of period

   200,008 

Shares outstanding end of period

   900,008 

Percentage change in shares outstanding

   350.0

Shares created

   700,000 

Shares redeemed

   —   

Per share NAV beginning of period

  $26.46 

Per share NAV end of period

  $17.52 

Percentage change in per share NAV

   (33.8)% 

Percentage change in benchmark

   11.2

Benchmark annualized volatility

   25.6

2021 and 2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $69,459,275  $17,419,933 
NAV end of period
  $97,525,300  $28,552,210 
Percentage change in NAV
   40.4  63.9
Shares outstanding beginning of period
   1,774,832   274,832 
Shares outstanding end of period
   4,524,832   424,832 
Percentage change in shares outstanding
   154.9  54.6
Shares created
   3,450,000   650,000 
Shares redeemed
   700,000   500,000 
Per share NAV beginning of period
  $39.14  $63.38 
Per share NAV end of period
  $21.55  $67.21 
Percentage change in per share NAV
   (44.9)%   6.0
Percentage change in benchmark
   30.3  (14.2)% 
Benchmark annualized volatility
   27.8  56.4
During the three months ended SeptemberJune 30, 2017,2021, the increase in the Fund’s NAV resulted primarily from an increase from 200,0081,774,832 outstanding Shares at March 31, 2021 to 4,524,832 outstanding Shares at June 30, 2017 to 900,008 outstanding Shares at September 30, 2017.2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 3x oftwo times the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $29.47 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:

   Three Months Ended
September 30, 2017
 

Net investment income (loss)

  $(34,013

Brokerage commissions

   9,395 

Offering costs

   37,405 

Limitation by Sponsor

   (12,787

Net realized gain (loss)

   (1,540,337

Change in net unrealized appreciation/depreciation

   (2,178,096

Net income (loss)

  $(3,752,446

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $7,455,967  $2,550,965 

NAV end of period

  $5,921,434  $6,349,132 

Percentage change in NAV

   (20.6)%   148.9

Shares outstanding beginning of period

   224,832   74,832 

Shares outstanding end of period

   174,832   174,832 

Percentage change in shares outstanding

   (22.2)%   133.6

Shares created

   150,000   400,000 

Shares redeemed

   200,000   300,000 

Per share NAV beginning of period

  $33.16  $34.09 

Per share NAV end of period

  $33.87  $36.32 

Percentage change in per share NAV

   2.1  6.5

Percentage change in benchmark

   (4.1)%   (8.0)% 

Benchmark annualized volatility

   29.6  36.5

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 224,832 outstanding Shares at June 30, 2017 to 174,832 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse

(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended SeptemberJune 30, 2016,2020, the increase in the Fund’s NAV resulted primarily from an increase from 74,832274,832 outstanding Shares at March 31, 2020 to 424,832 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 30, 2016.2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.

For the three months ended September 30, 2017 and 2016, 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 2.1% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 6.5% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 4, 2017 at $38.35 per Share and reached its low for the period on September 18, 2017 at $30.27 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $41.18 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.

The benchmark’s decline of 4.1%for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(13,899  $(19,256

Management fee

   18,019    13,043 

Brokerage commissions

   7,316    8,608 

Net realized gain (loss)

   (151,443   (101,563

Change in net unrealized appreciation/depreciation

   615,756    712,823 

Net income (loss)

  $450,414   $592,004 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas, during the three months ended September 30, 2017.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $37,919,363  $56,037,110 

NAV end of period

  $35,426,783  $76,364,786 

Percentage change in NAV

   (6.6)%   36.3

Shares outstanding beginning of period

   496,978   796,978 

Shares outstanding end of period

   496,978   1,096,978 

Percentage change in shares outstanding

   0.0  37.6

Shares created

   50,000   300,000 

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $76.30  $70.31 

Per share NAV end of period

  $71.28  $69.61 

Percentage change in per share NAV

   (6.6)%   (1.0)% 

Percentage change in benchmark

   3.3  0.1

Benchmark annualized volatility

   10.6  10.8

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 796,978 outstanding Shares at June 30, 2016 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees2021 and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the three months ended September 30, 2017 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.6%44.9% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decreaseincrease of 1.0%6.0% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a greater depreciation in the value of the assets ofheld by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.

2021.

The benchmark’s rise of 3.3%30.3% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s risedecline of 0.1%14.2% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to a greateran increase in the pricevalue of spot gold in U.S. dollar termsHenry Hub Natural Gas during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(974  $(119,115

Management fee

   86,766    163,622 

Brokerage commissions

   10    8 

Net realized gain (loss)

   (2,644,251   (10,296,369

Change in net unrealized appreciation/depreciation

   300,334    9,773,255 

Net income (loss)

  $(2,344,891  $(642,229

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(313,757  $(87,047
Management fee
   191,311    36,607 
Brokerage commission
   96,343    46,462 
Net realized gain (loss)
   (10,305,304   5,236,091 
Change in net unrealized appreciation (depreciation)
   (33,693,761   (2,774,639
Net Income (loss)
  $(44,312,822  $2,374,405 
160

Table of Contents
The Fund’s net income decreased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to a greateran increase in the pricevalue of spot gold in U.S. dollar termsHenry Hub Natural Gas during the three months ended SeptemberJune 30, 2017.

2021.

ProShares UltraShort Silver

Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $23,175,549  $32,067,220 

NAV end of period

  $22,933,677  $39,589,348 

Percentage change in NAV

   (1.0)%   23.5

Shares outstanding beginning of period

   666,976   966,976 

Shares outstanding end of period

   716,976   1,416,976 

Percentage change in shares outstanding

   7.5  46.5

Shares created

   200,000   600,000 

Shares redeemed

   150,000   150,000 

Per share NAV beginning of period

  $34.75  $33.16 

Per share NAV end of period

  $31.99  $27.94 

Percentage change in per share NAV

   (7.9)%   (15.7)% 

Percentage change in benchmark

   2.4  5.4

Benchmark annualized volatility

   23.7  30.1

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $54,932,137  $93,194,599 
NAV end of period
  $48,820,440  $78,848,965 
Percentage change in NAV
   (11.1)%   (15.4)% 
Shares outstanding beginning of period
   2,250,000   3,350,000 
Shares outstanding end of period
   2,050,000   2,950,000 
Percentage change in shares outstanding
   (8.9)%   (11.9)% 
Shares created
   —     150,000 
Shares redeemed
   200,000   550,000 
Per share NAV beginning of period
  $24.41  $27.82 
Per share NAV end of period
  $23.81  $26.73 
Percentage change in per share NAV
   (2.5)%   (3.9)% 
Percentage change in benchmark
   1.1  1.9
Benchmark annualized volatility
   5.9  7.4
During the three months ended SeptemberJune 30, 2017,2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that corresponda decrease from 2,250,000 outstanding Shares at March 31, 2021 to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.2,050,000 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by an increasealso resulted in part from 666,976 outstanding Shares at June 30, 2017 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 966,976 outstanding Shares at June 30, 2016 to 1,416,976 outstanding Shares at September 30, 2016. The increase in the Fund’s NAVtiming of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of silver bullion as measured by the London Silver Price.

spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,350,000 outstanding Shares at March 31, 2020 to 2,950,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.9%2.5% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 15.7%3.9% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a lesser depreciation in the value of the assets ofheld by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.

2021.

The benchmark’s rise of 2.4%1.1% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s rise of 5.4%1.9% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to a lesser riseincrease in the pricevalue of spot silver inthe euro versus the U.S. dollar terms during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

161

Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(2,336  $(64,078

Management fee

   46,737    86,864 

Brokerage commissions

   10    8 

Net realized gain (loss)

   (467,217   (14,865,805

Change in net unrealized appreciation/depreciation

   (393,727   9,509,304 

Net income (loss)

  $(863,280  $(5,420,579

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(109,040  $(145,604
Management fee
   114,680    213,631 
Net realized gain (loss)
   (795,757   (2,285,868
Change in net unrealized appreciation (depreciation)
   (511,170   (1,269,683
Net Income (loss)
  $(1,415,967  $(3,701,155
The Fund’s net income increased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to a lesser riseincrease in the pricevalue of spot silver inthe euro versus the U.S. dollar terms during the three months ended SeptemberJune 30, 2017.

2021.

ProShares Short Euro

UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $10,433,992  $17,125,648 

NAV end of period

  $8,093,438  $14,775,779 

Percentage change in NAV

   (22.4)%   (13.7)% 

Shares outstanding beginning of period

   250,000   400,000 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (20.0)%   (12.5)% 

Shares created

   —     —   

Shares redeemed

   50,000   50,000 

Per share NAV beginning of period

  $41.74  $42.81 

Per share NAV end of period

  $40.47  $42.22 

Percentage change in per share NAV

   (3.0)%   (1.4)% 

Percentage change in benchmark

   3.5  1.2

Benchmark annualized volatility

   7.3  5.9

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $41,243,515  $20,569,044 
NAV end of period
  $32,835,014  $15,851,043 
Percentage change in NAV
   (20.4)%   (22.9)% 
Shares outstanding beginning of period
   1,096,977   446,977 
Shares outstanding end of period
   946,977   446,977 
Percentage change in shares outstanding
   (13.7)%   —  
Shares created
   300,000   150,000 
Shares redeemed
   450,000   150,000 
Per share NAV beginning of period
  $37.60  $46.02 
Per share NAV end of period
  $34.67  $35.46 
Percentage change in per share NAV
   (7.8)%   (22.9)% 
Percentage change in benchmark
   3.2  12.1
Benchmark annualized volatility
   14.6  19.7
During the three months ended SeptemberJune 30, 2017,2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,0001,096,977 outstanding Shares at March 31, 2021 to 946,977 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017.2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.Bloomberg Gold Subindex
SM
. By comparison, during the three months ended SeptemberJune 30, 2016,2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,071  $(29,155

Management fee

   21,606    36,752 

Brokerage commissions

   330    580 

Net realized gain (loss)

   (599,589   327,210 

Change in net unrealized appreciation/depreciation

   292,113    (487,210

Net income (loss)

  $(310,547  $(189,155

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $11,974,974  $18,713,405 

NAV end of period

  $9,125,205  $17,389,549 

Percentage change in NAV

   (23.8)%   (7.1)% 

Shares outstanding beginning of period

   250,000   350,000 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (20.0)%   0.0

Shares created

   —     —   

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $47.90  $53.47 

Per share NAV end of period

  $45.63  $49.68 

Percentage change in per share NAV

   (4.7)%   (7.1)% 

Percentage change in benchmark

   2.1  2.7

Benchmark annualized volatility

   7.3  9.7

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.Bloomberg Gold Subindex

SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2016 to September 30, 2016.

2020.

For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.7%7.8% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 7.1%22.9% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 6, 2017 at $49.09 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share.

2021.

162

Table of Contents
The benchmark’s rise of 2.1%3.2% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s rise of 2.7%12.1% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to a lesser riseincrease in the value of the Australian dollar versus the U.S. dollargold futures contracts during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,456  $(33,889

Management fee

   24,991    42,820 

Brokerage commissions

   1,555    3,267 

Net realized gain (loss)

   (1,453,377   (318,841

Change in net unrealized appreciation/depreciation

   837,786    (971,126

Net income (loss)

  $(619,047  $(1,323,856

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(70,877  $(41,386
Management fee
   69,968    40,621 
Brokerage commission
   2,283    1,659 
Net realized gain (loss)
   (6,984,547   (2,089,271
Change in net unrealized appreciation (depreciation)
   3,806,053    (2,638,931
Net Income (loss)
  $(3,249,371  $(4,769,588
The Fund’s net income increased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to a lesser riseincrease in the value of the Australian dollar versusfutures prices, in conjunction with the U.S. dollartiming of shareholder activity, during the three months ended SeptemberJune 30, 2017.

2021.

ProShares UltraShort Euro

Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $237,012,906  $386,660,905 

NAV end of period

  $226,620,904  $370,915,586 

Percentage change in NAV

   (4.4)%   (4.1)% 

Shares outstanding beginning of period

   10,250,000   15,900,000 

Shares outstanding end of period

   10,450,000   15,600,000 

Percentage change in shares outstanding

   2.0  (1.9)% 

Shares created

   1,350,000   200,000 

Shares redeemed

   1,150,000   500,000 

Per share NAV beginning of period

  $23.12  $24.32 

Per share NAV end of period

  $21.69  $23.78 

Percentage change in per share NAV

   (6.2)%   (2.2)% 

Percentage change in benchmark

   3.5  1.2

Benchmark annualized volatility

   7.3  5.9

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $45,144,664  $18,887,831 
NAV end of period
  $34,859,763  $10,145,625 
Percentage change in NAV
   (22.8)%   (46.3)% 
Shares outstanding beginning of period
   1,616,744   129,244 
Shares outstanding end of period
   1,491,329   129,244 
Percentage change in shares outstanding
   (7.8)%   —  
Shares created
   300,000   150,000 
Shares redeemed
   425,415   150,000 
Per share NAV beginning of period
  $27.92  $146.14 
Per share NAV end of period
  $23.37  $78.50 
Percentage change in per share NAV
   (16.3)%   (46.3)% 
Percentage change in benchmark
   6.5  29.2
Benchmark annualized volatility
   25.5  37.1
During the three months ended SeptemberJune 30, 2017,2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 10,250,000 outstanding Shares at June 30, 2017 to 10,450,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 30, 2016.Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from
163

Table of Contents
1,616,744 outstanding Shares at March 31, 2021 to 1,491,329 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the spot price ofBloomberg Silver Subindex
SM
. There was no net change in the euro versus the U.S. dollar.

Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.

For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2%16.3% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 2.2%46.3% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a greaterlesser depreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $23.45 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share.

2021.

The benchmark’s rise of 3.5%6.5% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s rise of 1.2%29.2% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to a greater riselesser increase in the value of the euro versus the U.S. dollarsilver futures contracts during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $22,669   $(657,657

Management fee

   537,193    906,488 

Net realized gain (loss)

   (24,506,914   (5,535,442

Change in net unrealized appreciation/depreciation

   10,108,092    (2,516,227

Net income (loss)

  $(14,376,153  $(8,709,326

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(78,184  $(30,713
Management fee
   72,831    25,749 
Brokerage commission
   3,824    3,940 
Net realized gain (loss)
   (5,876,456   (3,877,739
Change in net unrealized appreciation (depreciation)
   (925,320   (2,754,071
Net Income (loss)
  $(6,879,960  $(6,662,523
The Fund’s net income decreased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to a greater riselesser increase in the value of futures prices, in conjunction with the euro versus the U.S. dollartiming of shareholder activity, during the three months ended SeptemberJune 30, 2017.

2021.

*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Silver.
164

Table of Contents
ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $170,316,152  $193,732,080 

NAV end of period

  $148,459,101  $263,899,544 

Percentage change in NAV

   (12.8)%   36.2

Shares outstanding beginning of period

   2,299,290   3,049,290 

Shares outstanding end of period

   1,999,290   4,349,290 

Percentage change in shares outstanding

   (13.0)%   42.6

Shares created

   150,000   1,300,000 

Shares redeemed

   450,000   —   

Per share NAV beginning of period

  $74.07  $63.53 

Per share NAV end of period

  $74.26  $60.68 

Percentage change in per share NAV

   0.3  (4.5)% 

Percentage change in benchmark

   —^   1.8

Benchmark annualized volatility

   8.3  13.4

^Amount represents less than (0.05%)

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $34,921,840  $29,586,170 
NAV end of period
  $27,231,748  $29,787,034 
Percentage change in NAV
   (22.0)%   0.7
Shares outstanding beginning of period
   449,290   399,290 
Shares outstanding end of period
   349,290   399,290 
Percentage change in shares outstanding
   (22.3)%   —  
Shares created
   —     50,000 
Shares redeemed
   100,000   50,000 
Per share NAV beginning of period
  $77.73  $74.10 
Per share NAV end of period
  $77.96  $74.60 
Percentage change in per share NAV
   0.3  0.7
Percentage change in benchmark
   (0.3)%   (0.4)% 
Benchmark annualized volatility
   4.9  6.2
During the three months ended SeptemberJune 30, 2017,2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,299,290449,290 outstanding Shares at March 31, 2021 to 349,290 outstanding Shares at June 30, 2017 to 1,999,290 outstanding Shares at September 30, 2017.2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended SeptemberJune 30, 2016,2020, the increase in the Fund’s NAV resulted primarily from an increase from 3,049,290 outstanding Shares at June 30, 2016 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.

For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.3% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decreaseincrease of 4.5%0.7% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to anlesser appreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $76.16 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.

2021.

The benchmark’s decline of 0.03%0.3% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s risedecline of 1.8%0.4% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to a declinelesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(68,876  $(59,287
Management fee
   72,446    64,430 
Net realized gain (loss)
   1,598,086    110,748 
Change in net unrealized appreciation (depreciation)
   (1,645,477   66,461 
Net Income (loss)
  $(116,267  $117,922 
165

Table of Contents
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended SeptemberJune 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $12,821   $(408,214

Management fee

   376,339    563,817 

Net realized gain (loss)

   (1,068,934   (33,476,429

Change in net unrealized appreciation/depreciation

   (79,932   23,085,942 

Net income (loss)

  $(1,136,045  $(10,798,701

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

2021.

ProShares Ultra Bloomberg Crude Oil*

VIX

Mid-Term
Futures ETF
Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $958,703,511  $898,563,742 

NAV end of period

  $622,142,765  $979,757,506 

Percentage change in NAV

   (35.1)%   9.0

Shares outstanding beginning of period

   64,761,317   36,938,933 

Shares outstanding end of period

   34,761,317   46,613,933 

Percentage change in shares outstanding

   (46.3)%   26.2

Shares created

   4,400,000   17,800,000 

Shares redeemed

   34,400,000   8,125,000 

Per share NAV beginning of period

  $14.80  $24.33 

Per share NAV end of period

  $17.90  $21.02 

Percentage change in per share NAV

   20.9  13.6

Percentage change in benchmark

   11.2  (5.0)% 

Benchmark annualized volatility

   25.6  40.5

2020:

   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $75,122,747  $45,034,386 
NAV end of period
  $92,662,734  $59,085,470 
Percentage change in NAV
   23.3  31.2
Shares outstanding beginning of period
   2,162,403   1,162,403 
Shares outstanding end of period
   3,037,403   1,462,403 
Percentage change in shares outstanding
   40.5  25.8
Shares created
   1,025,000   725,000 
Shares redeemed
   150,000   425,000 
Per share NAV beginning of period
  $34.74  $38.74 
Per share NAV end of period
  $30.51  $40.40 
Percentage change in per share NAV
   (12.2)%   4.3
Percentage change in benchmark
   (11.9)%   4.6
Benchmark annualized volatility
   31.1  61.3
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 64,761,317 outstanding Shares at June 30, 2017 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2016,2021, the increase in the Fund’s NAV resulted primarily from an increase from 36,938,9332,162,403 outstanding Shares at March 31, 2021 to 3,037,403 outstanding Shares at June 30, 2016 to 46,613,933 outstanding Shares at September 30, 2016.2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

S&P 500 VIX

Mid-Term
Futures Index. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,162,403 outstanding Shares at March 31, 2020 to 1,462,403 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index.
For the three months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increasedecrease of 20.9%12.2% for the three months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV increase of 13.6%4.3% for the three months ended SeptemberJune 30, 2016,2020, was primarily due to a greater appreciationdepreciation in the value of the assets ofheld by the Fund during the three months ended SeptemberJune 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $18.28 per Share and reached its low for the period on July 7, 2017 at $13.57 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $24.96 per Share and reached its low for the period on August 2, 2016 at $15.56 per Share.

2021.

166

Table of Contents
The benchmark’s risedecline of 11.2%11.9% for the three months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s declinerise of 5.0%4.6% for the three months ended SeptemberJune 30, 2016,2020, can be attributed to an increasea decrease in the pricevalue of WTI Crude Oilthe futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the three monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172021 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(19,527  $(1,683,430

Management fee

   1,798,486    2,118,318 

Brokerage commissions

   40,850    112,742 

Net realized gain (loss)

   45,488,493    (246,216,521

Change in net unrealized appreciation/depreciation

   112,829,499    165,591,081 

Net income (loss)

  $158,298,465   $(82,308,870

2020:

   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(227,144  $(133,713
Management fee
   187,266    124,276 
Brokerage commission
   16,096    16,684 
Net realized gain (loss)
   (14,405,542   13,196,415 
Change in net unrealized appreciation (depreciation)
   3,572,030    (12,313,533
Net Income (loss)
  $(11,060,656  $749,169 
The Fund’s net income increaseddecreased for the three months ended SeptemberJune 30, 2017,2021 as compared to the three months ended SeptemberJune 30, 2016,2020, primarily due to an increasea decrease in the pricevalue of WTI Crude Oilthe futures prices during the three months ended SeptemberJune 30, 2016.

2021.
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
  
Three Months Ended
June 30, 2020
 
NAV beginning of period
  $349,578,758  $223,055,354 
NAV end of period
  $272,352,675  $221,343,175 
Percentage change in NAV
   (22.1)%   (0.8)% 
Shares outstanding beginning of period
   9,375,329   1,469,079 
Shares outstanding end of period
   11,307,826   1,981,579 
Percentage change in shares outstanding
   20.6  34.9
Shares created
   3,925,000   968,750 
Shares redeemed
   1,992,503   456,250 
Per share NAV beginning of period
  $37.29  $151.83 
Per share NAV end of period
  $24.09  $111.70 
Percentage change in per share NAV
   (35.4)%   (26.4)% 
Percentage change in benchmark
   (35.2)%   (26.1)% 
Benchmark annualized volatility
   70.5  122.3
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
167

Table of Contents
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 9,375,329 outstanding Shares at March 31, 2021 to 11,307,826 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,469,079 outstanding Shares at March 31, 2020 to 1,981,579 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 35.4% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.4% for the three months ended June 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 35.2% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 26.1% for the three months ended June 30, 2020, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
   
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
Net investment income (loss)
  $(897,582  $(443,622
Management fee
   669,363    398,044 
Brokerage commission
   94,839    60,097 
Net realized gain (loss)
   (175,846,641   (845,717
Change in net unrealized appreciation (depreciation)
   38,992,347    (51,868,970
Net Income (loss)
  $(137,751,876  $(53,158,309
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a greater decrease in the value of the futures prices during the three months ended June 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.VIX Short-Term Futures ETF.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons

168

Table of the Fund’s resultsContents
Results of operationsOperations for the three months ended SeptemberSix Months Ended June 30, 2016 have not been provided.

2021 Compared to the Six Months Ended June 30, 2020

ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the threesix months ended SeptemberJune 30, 2017:

   Three Months Ended
September 30, 2017
 

NAV beginning of period

  $20,499,886 

NAV end of period

  $7,581,464 

Percentage change in NAV

   (63.0)% 

Shares outstanding beginning of period

   1,050,008 

Shares outstanding end of period

   300,008 

Percentage change in shares outstanding

   (71.4)% 

Shares created

   250,000 

Shares redeemed

   1,000,000 

Per share NAV beginning of period

  $19.52 

Per share NAV end of period

  $25.27 

Percentage change in per share NAV

   29.5

Percentage change in benchmark

   11.2

Benchmark annualized volatility

   25.6

2021 and 2020:

   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $4,191,955  $2,282,195 
NAV end of period
  $2,159,102  $2,286,467 
Percentage change in NAV
   (48.5)%   0.2
Shares outstanding beginning of period
   100,000   50,000 
Shares outstanding end of period
   50,000   50,000 
Percentage change in shares outstanding
   (50.0)%   —  
Shares created
   —     —   
Shares redeemed
   50,000   —   
Per share NAV beginning of period
  $41.92  $45.64 
Per share NAV end of period
  $43.18  $45.73 
Percentage change in per share NAV
   3.0  0.2
Percentage change in benchmark
   (2.9)%   0.2
Benchmark annualized volatility
   5.9  8.7
During the threesix months ended SeptemberJune 30, 2017,2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,050,008100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at June 30, 2017 to 300,008 outstanding Shares at September 30, 2017.2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 3x the inverse
(-1x)
of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

Forspot price of the threeeuro versus the U.S. dollar. By comparison, during the six months ended SeptemberJune 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $26.10 per Share and reached its low for the period on July 7, 2017 at $17.04 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:

   Three Months Ended
September 30, 2017
 

Net investment income (loss)

  $(56,323

Brokerage commissions

   13,100 

Offering costs

   37,405 

Reduction to Limitation by Sponsor

   5,818 

Net realized gain (loss)

   4,971,742 

Change in net unrealized appreciation/depreciation

   694,326 

Net income (loss)

  $5,609,745 

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $43,886,614  $43,355,961 

NAV end of period

  $51,059,617  $31,750,207 

Percentage change in NAV

   16.3  (26.8)% 

Shares outstanding beginning of period

   4,492,169   2,442,169 

Shares outstanding end of period

   5,842,169   2,192,169 

Percentage change in shares outstanding

   30.1  (10.2)% 

Shares created

   2,600,000   700,000 

Shares redeemed

   1,250,000   950,000 

Per share NAV beginning of period

  $9.77  $17.75 

Per share NAV end of period

  $8.74  $14.48 

Percentage change in per share NAV

   (10.5)%   (18.4)% 

Percentage change in benchmark

   (4.1)%   (8.0)% 

Benchmark annualized volatility

   29.6  36.5

During the three months ended September 30, 2017,2020, the increase in the Fund’s NAV resulted from an increase from 4,492,169 outstanding Shares at June 30, 2017 to 5,842,169 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,442,169 outstanding Shares at June 30, 2016 to 2,192,169 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2017 and 2016, 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 10.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 18, 2017 at $9.98 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share.

The benchmark’s decline of 4.1% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(42,774  $(93,432

Management fee

   110,894    85,894 

Brokerage commissions

   24,919    25,652 

Net realized gain (loss)

   (2,015,002   1,964,675 

Change in net unrealized appreciation/depreciation

   (1,076,819   (8,407,770

Net income (loss)

  $(3,134,595  $(6,536,527

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $88,717,834  $100,789,893 

NAV end of period

  $89,587,943  $99,949,269 

Percentage change in NAV

   1.0  (0.8)% 

Shares outstanding beginning of period

   2,350,000   2,250,000 

Shares outstanding end of period

   2,250,000   2,250,000 

Percentage change in shares outstanding

   (4.3)%   0.0

Shares created

   50,000   50,000 

Shares redeemed

   150,000   50,000 

Per share NAV beginning of period

  $37.75  $44.80 

Per share NAV end of period

  $39.82  $44.42 

Percentage change in per share NAV

   5.5  (0.8)% 

Percentage change in benchmark

   3.3  0.1

Benchmark annualized volatility

   10.6  10.8

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at June 30, 2017 to 2,250,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2016 was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on July 11, 2017 at $35.83 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, can be attributed to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $7,054   $(172,490

Management fee

   224,583    245,192 

Brokerage commissions

   10    8 

Net realized gain (loss)

   5,462,857    12,630,084 

Change in net unrealized appreciation/depreciation

   (546,321   (13,422,965

Net income (loss)

  $4,923,590   $(965,371

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $245,798,564  $386,838,399 

NAV end of period

  $244,805,182  $372,251,128 

Percentage change in NAV

   (0.4)%   (3.8)% 

Shares outstanding beginning of period

   7,396,526   8,496,526 

Shares outstanding end of period

   7,196,526   7,596,526 

Percentage change in shares outstanding

   (2.7)%   (10.6)% 

Shares created

   300,000   150,000 

Shares redeemed

   500,000   1,050,000 

Per share NAV beginning of period

  $33.23  $45.53 

Per share NAV end of period

  $34.02  $49.00 

Percentage change in per share NAV

   2.4  7.6

Percentage change in benchmark

   2.4  5.4

Benchmark annualized volatility

   23.7  30.1

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 7,396,526 outstanding Shares at June 30, 2017 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.4% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $39.85 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share.

The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $543   $(701,202

Management fee

  ��612,285    978,671 

Brokerage commissions

   10    9 

Net realized gain (loss)

   1,063,548    119,372,702 

Change in net unrealized appreciation/depreciation

   7,164,374    (88,236,402

Net income (loss)

  $8,228,465   $30,435,098 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $12,928,079  $9,532,904 

NAV end of period

  $13,705,608  $9,678,714 

Percentage change in NAV

   6.0  1.5

Shares outstanding beginning of period

   800,000   600,000 

Shares outstanding end of period

   800,000   600,000 

Percentage change in shares outstanding

   0.0  0.0

Shares created

   450,000   —   

Shares redeemed

   450,000   —   

Per share NAV beginning of period

  $16.16  $15.89 

Per share NAV end of period

  $17.13  $16.13 

Percentage change in per share NAV

   6.0  1.5

Percentage change in benchmark

   3.5  1.2

Benchmark annualized volatility

   7.3  5.9

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x inverse

(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2017 to September 30, 2017. By comparison, during2020.
For the threesix months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 20172021 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on July 5, 2017 at $15.93 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $16.58 per Share and reached its low for the period on July 22, 2016 at $15.50 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,256  $(16,659

Management fee

   31,427    22,916 

Net realized gain (loss)

   1,259,650    46,258 

Change in net unrealized appreciation/depreciation

   (519,604   116,211 

Net income (loss)

  $738,790   $145,810 

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $5,866,403  $7,265,264 

NAV end of period

  $5,804,920  $7,443,729 

Percentage change in NAV

   (1.0)%   2.5

Shares outstanding beginning of period

   99,970   99,970 

Shares outstanding end of period

   99,970   99,970 

Percentage change in shares outstanding

   0.0  0.0

Shares created

   —     —   

Shares redeemed

   —     —   

Per share NAV beginning of period

  $58.68  $72.67 

Per share NAV end of period

  $58.07  $74.46 

Percentage change in per share NAV

   (1.0)%   2.5

Percentage change in benchmark

   —^   1.8

Benchmark annualized volatility

   8.3  13.4

^Amount represents less than (0.05%)

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share.

The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(4,166  $(12,886

Management fee

   14,387    17,545 

Net realized gain (loss)

   (4,545   955,119 

Change in net unrealized appreciation/depreciation

   (52,772   (763,768

Net income (loss)

  $(61,483  $178,465 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

Results of Operations for the Nine Months Ended September 30, 2017 Compared to the Nine Months Ended September 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $174,160,146  $105,272,823 

NAV end of period

  $191,364,819  $227,819,218 

Percentage change in NAV

   9.9  116.4

Shares outstanding beginning of period

   2,052,363   397,491 

Shares outstanding end of period

   5,876,317   1,996,113 

Percentage change in shares outstanding

   186.3  402.2

Shares created

   6,125,000   2,497,500 

Shares redeemed

   2,301,046   898,878 

Per share NAV beginning of period

  $84.86  $264.84 

Per share NAV end of period

  $32.57  $114.13 

Percentage change in per share NAV

   (61.6)%   (56.9)% 

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 61.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $391.88 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 61.5% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(356,273  $(1,116,018

Management fee

   1,004,091    1,210,844 

Brokerage commission

   138,487    229,993 

Net realized gain (loss)

   (126,203,648   (134,339,691

Change in net unrealized appreciation/depreciation

   (17,854,285   (8,439,809

Net income (loss)

  $(144,414,206  $(143,895,518

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIXMid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $45,818,914  $27,650,638 

NAV end of period

  $45,047,423  $58,894,811 

Percentage change in NAV

   (1.7)%   113.0

Shares outstanding beginning of period

   1,087,403   512,404 

Shares outstanding end of period

   1,787,403   1,287,403 

Percentage change in shares outstanding

   64.4  151.2

Shares created

   850,000   950,000 

Shares redeemed

   150,000   175,001 

Per share NAV beginning of period

  $42.14  $53.96 

Per share NAV end of period

  $25.20  $45.75 

Percentage change in per share NAV

   (40.2)%   (15.2)% 

Percentage change in benchmark

   (39.7)%   (14.5)% 

Benchmark annualized volatility

   21.3  36.6

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,087,403 outstanding Shares at December 31, 2016 to 1,787,403 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.2% for the nine months ended September 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $40.96 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 39.7% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 14.5% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(83,495  $(210,903

Management fee

   235,818    251,163 

Brokerage commission

   11,815    23,544 

Net realized gain (loss)

   (19,180,662   (5,248,593

Change in net unrealized appreciation/depreciation

   (651,228   (1,908,048

Net income (loss)

  $(19,915,385  $(7,367,544

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $228,075,387  $642,811,361 

NAV end of period

  $1,039,873,910  $504,798,665 

Percentage change in NAV

   355.9  (21.5)% 

Shares outstanding beginning of period

   5,000,000   25,300,080 

Shares outstanding end of period

   11,100,000   13,900,000 

Percentage change in shares outstanding

   122.0  (45.1)% 

Shares created

   46,750,000   88,100,000 

Shares redeemed

   40,650,000   99,500,080 

Per share NAV beginning of period

  $45.62  $25.41 

Per share NAV end of period

  $93.68  $36.32 

Percentage change in per share NAV

   105.3  42.9

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000 outstanding Shares at December 31, 2016 to 11,100,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 25,300,080 outstanding Shares at December 31, 2015 to 13,900,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 105.3%3.0% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV increase of 42.9%0.2% for the ninesix months ended SeptemberJune 30, 2016,2020, was primarily due to a[greater/lesser] greater declineappreciation in pricesthe value of the first and second month VIX futuresassets held by the Fund during the ninesix months ended SeptemberJune 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on January 3, 2017 at $49.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on February 11, 2016 at $15.75 per Share.

2021.

The benchmark’s decline of 61.5%2.9% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s declinerise of 56.7%0.2% for the ninesix months ended SeptemberJune 30, 2016,2020, can be attributed to a greater declinedecrease in the value of the prices ofeuro versus the near-term futures contracts on the VIX futures curveU.S. dollar during the nine monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,913,203  $(4,236,471

Management fee

   4,636,720    3,561,744 

Brokerage commission

   2,761,371    1,522,859 

Net realized gain (loss)

   471,123,858    262,990,607 

Change in net unrealized appreciation/depreciation

   104,609,483    16,725,819 

Net income (loss)

  $571,820,138   $275,479,955 

2020:

   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(13,439  $(3,560
Management fee
   14,085    11,019 
Brokerage commission
   260    190 
Net realized gain (loss)
   31,221    (38,658
Change in net unrealized appreciation (depreciation)
   96,177    46,490 
Net Income (loss)
  $113,959   $4,272 
The Fund’s net income increased for the ninesix months ended SeptemberJune 30, 2017,2021 as compared to the ninesix months ended SeptemberJune 30, 2016,2020, primarily due to a greater declinedecrease in futures pricesthe value of the euro versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the Share split for the 2021.
169

ProShares Short VIX Short-Term Futures ETF.

ProShares Ultra VIX Short-Term Futures ETF*

ETF

Fund Performance

The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $515,758,754  $547,708,740 

NAV end of period

  $535,095,732  $738,749,800 

Percentage change in NAV

   3.7  34.9

Shares outstanding beginning of period

   2,965,383   195,025 

Shares outstanding end of period

   25,927,238   2,185,383 

Percentage change in shares outstanding

   774.3  1,020.6

Shares created

   51,185,000   3,857,000 

Shares redeemed

   28,223,145   1,866,642 

Per share NAV beginning of period

  $173.93  $2,808.40 

Per share NAV end of period

  $20.64  $338.04 

Percentage change in per share NAV

   (88.1)%   (88.0)% 

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

2020:

   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $409,371,468  $284,437,179 
NAV end of period
  $588,615,946  $509,811,853 
Percentage change in NAV
   43.8  79.2
Shares outstanding beginning of period
   9,884,307   4,334,307 
Shares outstanding end of period
   10,584,307   16,234,307 
Percentage change in shares outstanding
   7.1  274.6
Shares created
   2,850,000   25,850,000 
Shares redeemed
   2,150,000   13,950,000 
Per share NAV beginning of period
  $41.42  $65.62 
Per share NAV end of period
  $55.61  $31.40 
Percentage change in per share NAV
   34.3  (52.1)% 
Percentage change in benchmark
   (56.0)%   128.5
Benchmark annualized volatility
   76.0  132.5
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the ninesix months ended SeptemberJune 30, 2017,2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 2,965,3839,884,307 outstanding Shares at December 31, 20162020 to 25,927,23810,584,307 outstanding Shares at SeptemberJune 30, 2017.2021. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 16,234,307 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison,
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.3% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 52.1% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the ninesix months ended June 30, 2021.
The benchmark’s decline of 56.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 128.5% for the six months ended June 30, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
170

Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(3,308,123  $(2,498,576
Management fee
   2,359,722    2,475,233 
Brokerage commission
   429,859    417,708 
Net realized gain (loss)
   133,546,434    (189,685,599
Change in net unrealized appreciation (depreciation)
   28,816,988    (1,245,671
Net Income (loss)
  $159,055,299   $(193,429,846
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $902,739,250  $309,844,582 
NAV end of period
  $1,303,530,902  $1,508,661,459 
Percentage change in NAV
   44.4  386.9
Shares outstanding beginning of period
   24,810,774   608,453 
Shares outstanding end of period
   16,660,774   52,760,774 
Percentage change in shares outstanding
   (32.8)%   8,571.3
Shares created
   3,400,000   88,162,000 
Shares redeemed
   11,550,000   36,009,679 
Per share NAV beginning of period
  $36.38  $509.23 
Per share NAV end of period
  $78.24  $28.59 
Percentage change in per share NAV
   115.0  (94.4)% 
Percentage change in benchmark
   50.1  (58.6)% 
Benchmark annualized volatility
   28.2  109.8
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always
171

Table of Contents
designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the six months ended June 30, 2016,2021, the increase in the Fund’s NAV resulted primarily from anthe cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 195,02524,810,774 outstanding Shares at December 31, 20152020 to 2,185,38316,660,774 outstanding Shares at SeptemberJune 30, 2016.2021. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 52,760,774 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 115.0% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 94.4% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The new benchmark’s rise of 50.1% for the six months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
 benchmark’s decline of 58.6% for the six months ended June 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(5,969,866  $(3,589,951
Management fee
   5,329,377    3,676,527 
Brokerage commission
   503,212    1,143,882 
Net realized gain (loss)
   654,856,887    (1,176,974,505
Change in net unrealized appreciation (depreciation)
   192,954,795    338,757,185 
Net Income (loss)
  $841,841,816   $(841,807,271
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the six months ended June 30, 2021.
172

Table of Contents
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $169,800,371  $45,160,205 
NAV end of period
  $70,213,227  $50,599,783 
Percentage change in NAV
   (58.6)%   12.0
Shares outstanding beginning of period
   8,087,527   537,815 
Shares outstanding end of period
   1,987,527   1,787,527 
Percentage change in shares outstanding
   (75.4)%   232.4
Shares created
   4,050,000   1,485,000 
Shares redeemed
   10,150,000   235,288 
Per share NAV beginning of period
  $21.00  $83.97 
Per share NAV end of period
  $35.33  $28.31 
Percentage change in per share NAV
   68.3  (66.3)% 
Percentage change in benchmark
   34.2  (37.8)% 
Benchmark annualized volatility
   35.5  50.5
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,987,527 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 537,815 outstanding Shares at December 31, 2019 to 1,787,527 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 68.3% for the S&P 500 VIX Short-Term Futures Index.

six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 66.3% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.

The benchmark’s rise of 34.2% for the six months ended June 30, 2021, as compared to the benchmark’s decline of 37.8% for the six months ended June 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(632,508  $(123,647
Management fee
   407,773    179,012 
Brokerage commission
   155,359    107,806 
Net realized gain (loss)
   46,484,224    (38,929,789
Change in net unrealized appreciation (depreciation)
   10,549,049    416,235 
Net Income (loss)
  $56,400,765   $(38,637,201
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the six months ended June 30, 2021.
173

Table of Contents
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $4,737,350  $6,204,424 
NAV end of period
  $3,668,741  $4,067,686 
Percentage change in NAV
   (22.6)%   (34.4)% 
Shares outstanding beginning of period
   300,000   450,000 
Shares outstanding end of period
   250,000   300,000 
Percentage change in shares outstanding
   (16.7)%   (33.3)% 
Shares created
   100,000   100,000 
Shares redeemed
   150,000   250,000 
Per share NAV beginning of period
  $15.79  $13.79 
Per share NAV end of period
  $14.67  $13.56 
Percentage change in per share NAV
   (7.1)%   (1.7)% 
Percentage change in benchmark
   (2.9)%   0.2
Benchmark annualized volatility
   6.1  8.7
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 88.1%7.1% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 88.0%1.7% for the ninesix months ended SeptemberJune 30, 2016,2020, was primarily due to a greater declinedepreciation in pricesthe value of the first and second month VIX futuresassets held by the Fund during the ninesix months ended SeptemberJune 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $147.20 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $5,715.40 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.

2021.

The benchmark’s decline of 61.5%2.9% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s declinerise of 56.7%0.2% for the ninesix months ended SeptemberJune 30, 2016,2020, can be attributed to a greater declinedecrease in pricesthe value of the near-term futures contracts oneuro versus the VIX futures curveU.S. dollar during the nine monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,866,250  $(7,007,927

Management fee

   2,880,339    5,006,558 

Brokerage commission

   2,819,322    3,228,763 

Net realized gain (loss)

   (646,063,604   (1,269,208,841

Change in net unrealized appreciation/depreciation

   (93,756,755   (51,154,812

Net income (loss)

  $(743,686,609  $(1,327,371,580

2020:

   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(18,472  $(5,455
Management fee
   19,494    21,448 
Net realized gain (loss)
   68,070    (71,903
Change in net unrealized appreciation (depreciation)
   (324,271   (124,134
Net Income (loss)
  $(274,673  $(201,492
The Fund’s net income increaseddecreased for the ninesix months ended SeptemberJune 30, 2017,2021 as compared to the ninesix months ended SeptemberJune 30, 2016,2020, primarily due to a greater declinedecrease in futures pricesthe value of the euro versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

2021.

174

Table of Contents
ProShares UltraShort Bloomberg Crude Oil*

Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $200,958,303  $95,897,894 

NAV end of period

  $238,227,025  $189,577,580 

Percentage change in NAV

   18.5  97.7

Shares outstanding beginning of period

   6,339,884   1,439,888 

Shares outstanding end of period

   7,089,884   4,739,884 

Percentage change in shares outstanding

   11.8  229.2

Shares created

   10,700,000   13,100,000 

Shares redeemed

   9,950,000   9,800,004 

Per share NAV beginning of period

  $31.70  $66.60 

Per share NAV end of period

  $33.60  $40.00 

Percentage change in per share NAV

   6.0  (39.9)% 

Percentage change in benchmark

   (9.4)%   (0.3)% 

Benchmark annualized volatility

   25.4  47.3

2020:

   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $263,540,473  $110,726,032 
NAV end of period
  $243,456,703  $165,689,050 
Percentage change in NAV
   (7.6)%   49.6
Shares outstanding beginning of period
   3,900,000   2,250,000 
Shares outstanding end of period
   4,250,000   2,550,000 
Percentage change in shares outstanding
   9.0  13.3
Shares created
   1,000,000   1,450,000 
Shares redeemed
   650,000   1,150,000 
Per share NAV beginning of period
  $67.57  $49.21 
Per share NAV end of period
  $57.28  $64.98 
Percentage change in per share NAV
   (15.2)%   32.0
Percentage change in benchmark
   (7.0)%   17.1
Benchmark annualized volatility
   16.6  50.5
During the ninesix months ended SeptemberJune 30, 2017,2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,250,000 outstanding Shares at June 30, 2021. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,550,000 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.2% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 32.0% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 7.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 17.1% for the six months ended June 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(1,149,635  $(171,013
Management fee
   1,136,247    628,874 
Brokerage commission
   23,553    16,484 
Net realized gain (loss)
   (5,741,520   25,863,384 
Change in net unrealized appreciation (depreciation)
   (34,710,806   6,795,652 
Net Income (loss)
  $(41,601,961  $32,488,023 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
175

Table of Contents
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $745,304,028  $239,254,842 
NAV end of period
  $661,778,727  $249,671,968 
Percentage change in NAV
   (11.2)%   4.4
Shares outstanding beginning of period
   14,696,526   7,546,526 
Shares outstanding end of period
   14,396,526   8,446,526 
Percentage change in shares outstanding
   (2.0)%   11.9
Shares created
   3,400,000   2,250,000 
Shares redeemed
   3,700,000   1,350,000 
Per share NAV beginning of period
  $50.71  $31.70 
Per share NAV end of period
  $45.97  $29.56 
Percentage change in per share NAV
   (9.4)%   (6.8)% 
Percentage change in benchmark
   (1.2)%   1.9
Benchmark annualized volatility
   35.9  43.3
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 14,396,526 outstanding Shares at June 30, 2021. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,8847,546,526 outstanding Shares at December 31, 20162019 to 7,089,8848,446,526 outstanding Shares at SeptemberJune 30, 2017.2020. The increase in the Fund’s NAV alsowas offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 9.4% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 6.8% for the six months ended June 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 1.2% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 1.9% for the six months ended June 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(3,381,011  $(58,411
Management fee
   3,246,292    906,893 
Brokerage commission
   87,297    45,174 
Net realized gain (loss)
   121,281,221    7,688,659 
Change in net unrealized appreciation (depreciation)
   (186,138,026   (15,759,771
Net Income (loss)
  $(68,237,816  $(8,129,523
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
176

Table of Contents
ProShares Ultra VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $1,356,204,199  $527,636,003 
NAV end of period
  $840,870,703  $992,156,607 
Percentage change in NAV
   (38.0)%   88.0
Shares outstanding beginning of period
   12,713,091   4,163,091 
Shares outstanding end of period
   30,128,420   3,013,091 
Percentage change in shares outstanding
   137.0  (27.6)% 
Shares created
   32,585,000   3,475,000 
Shares redeemed
   15,169,671   4,625,000 
Per share NAV beginning of period
  $106.68  $126.74 
Per share NAV end of period
  $27.91  $329.28 
Percentage change in per share NAV
   (73.8)%   159.8
Percentage change in benchmark
   (56.0)%   128.5
Benchmark annualized volatility
   76.0  132.5
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted in partprimarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the inverse ofone and
one-half
times (1.5x) the daily performance of the Bloomberg WTI Crude Oil SubindexSM.S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 30,128,420 outstanding Shares at June 30, 2021. By comparison, during the ninesix months ended SeptemberJune 30, 2016,2020, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,739,884 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted in partprimarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 4,163,091 outstanding Shares at December 31, 2019 to 3,013,091 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 73.8% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 159.8% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 56.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 128.5% for the six months ended June 30, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
177

Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(12,044,833  $(2,815,021
Management fee
   6,676,198    2,677,153 
Brokerage commission
   3,129,904    1,179,860 
Net realized gain (loss)
   (1,559,026,428   618,204,440 
Change in net unrealized appreciation (depreciation)
   (40,244,083   51,016,036 
Net Income (loss)
  $(1,611,315,344  $666,405,455 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $2,989,499  $5,580,964 
NAV end of period
  $2,560,348  $2,764,355 
Percentage change in NAV
   (14.4)%   (50.5)% 
Shares outstanding beginning of period
   49,970   99,970 
Shares outstanding end of period
   49,970   49,970 
Percentage change in shares outstanding
   —    (50.0)% 
Shares created
   —     —   
Shares redeemed
   —     50,000 
Per share NAV beginning of period
  $59.83  $55.83 
Per share NAV end of period
  $51.24  $55.32 
Percentage change in per share NAV
   (14.4)%   (0.9)% 
Percentage change in benchmark
   (7.1)%   0.6
Benchmark annualized volatility
   5.0  11.8
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.4% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.9% for the six months ended June 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 7.1% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 0.6% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2021.
178

Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(12,248  $(4,913
Management fee
   12,911    13,842 
Net realized gain (loss)
   (279,474   (115,236
Change in net unrealized appreciation (depreciation)
   (137,429   49,554 
Net Income (loss)
  $(429,151  $(70,595
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2021.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $2,222,639  $5,608,612 
NAV end of period
  $2,304,732  $5,614,042 
Percentage change in NAV
   3.7  0.1
Shares outstanding beginning of period
   50,000   100,000 
Shares outstanding end of period
   50,000   100,000 
Percentage change in shares outstanding
   —    —  
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $44.45  $56.09 
Per share NAV end of period
  $46.09  $56.14 
Percentage change in per share NAV
   3.7  0.1
Percentage change in benchmark
   (2.7)%   (1.6)% 
Benchmark annualized volatility
   9.9  14.6
During the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of
179

Table of Contents
the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020.

For the ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0%3.7% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decreaseincrease of 39.9%0.1% for the ninesix months ended SeptemberJune 30, 2016,2020, was primarily due to angreater appreciation in the value of the assets ofheld by the Fund during the ninesix months ended SeptemberJune 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on January 6, 2017 at $31.36 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $116.11 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.

2021.

The benchmark’s decline of 9.4%2.7% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s decline of 0.3%1.6% for the ninesix months ended SeptemberJune 30, 2016,2020, can be attributed to a greater decrease in the pricevalue of WTI Crude Oilthe Australian dollar versus the U.S. dollar during the nine monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(426,772  $(1,070,888

Management fee

   1,374,438    1,291,075 

Brokerage commission

   50,772    125,327 

Net realized gain (loss)

   49,805,940    (36,901,010

Change in net unrealized appreciation/depreciation

   (5,398,492   (29,797,685

Net income (loss)

  $43,980,676   $(67,769,583

2020:

   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(10,573  $(12,760
Management fee
   10,331    30,018 
Brokerage commission
   760    2,838 
Net realized gain (loss)
   (171,677   (366,954
Change in net unrealized appreciation (depreciation)
   264,343    385,144 
Net Income (loss)
  $82,093   $5,430 
The Fund’s net income increased for the ninesix months ended SeptemberJune 30, 2017,2021 as compared to the ninesix months ended SeptemberJune 30, 2016,2020, primarily due to a greater decrease in the pricevalue of WTI Crude Oilthe Australian dollar versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the Share split for the ProShares UltraShort Bloomberg Crude Oil.

2021.

180

Table of Contents
ProShares UltraPro 3x ShortUltraShort Bloomberg Crude Oil ETF

Oil*

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operationsfor the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $96,839,233  $125,451,681 
NAV end of period
  $79,400,059  $117,821,898 
Percentage change in NAV
   (18.0)%   (6.1)% 
Shares outstanding beginning of period
   2,084,971   2,572,471 
Shares outstanding end of period
   4,383,799   1,609,971 
Percentage change in shares outstanding
   110.3  (37.4)% 
Shares created
   3,887,500   5,587,500 
Shares redeemed
   1,588,672   6,550,000 
Per share NAV beginning of period
  $46.45  $48.77 
Per share NAV end of period
  $18.11  $73.18 
Percentage change in per share NAV
   (61.0)%   50.1
Percentage change in benchmark
   50.1  (58.6)% 
Benchmark annualized volatility
   28.2  109.8
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
181

Table of Contents
During the six months ended June 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

  $200 

NAV end of period

  $15,768,728 

Percentage change in NAV

   NM 

Shares outstanding beginning of period

   8 

Shares outstanding end of period

   900,008 

Percentage change in shares outstanding

   NM 

Shares created

   1,050,008 

Shares redeemed

   150,000 

Per share NAV beginning of period

  $25.00 

Per share NAV end of period

  $17.52 

Percentage change in per share NAV

   (29.9)% 

Percentage change in benchmark

   (4.8)% 

Benchmark annualized volatility

   26.1

NM — Not Meaningful

During2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)
the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 2,084,971 outstanding Shares at December 31, 2020 to 4,383,799 outstanding Shares at June 30, 2021. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,572,471 outstanding Shares at December 31, 2019 to 1,609,971 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 61.0% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 50.1% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The new benchmark’s rise of 50.1% for the six months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
 benchmark’s decline of 58.6% for the six months ended June 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended SeptemberJune 30, 2017,2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(509,925  $(813,439
Management fee
   402,298    551,269 
Brokerage commission
   71,625    423,785 
Net realized gain (loss)
   (75,188,186   44,726,655 
Change in net unrealized appreciation (depreciation)
   (4,308,588   1,379,632 
Net Income (loss)
  $(80,006,699  $45,292,848 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the six months ended June 30, 2021.
* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.
182

Table of Contents
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $24,977,745  $12,515,603 
NAV end of period
  $97,525,300  $28,552,210 
Percentage change in NAV
   290.4  128.1
Shares outstanding beginning of period
   524,832   324,832 
Shares outstanding end of period
   4,524,832   424,832 
Percentage change in shares outstanding
   762.1  30.8
Shares created
   7,550,000   1,200,000 
Shares redeemed
   3,550,000   1,100,000 
Per share NAV beginning of period
  $47.59  $38.53 
Per share NAV end of period
  $21.55  $67.21 
Percentage change in per share NAV
   (54.7)%   74.5
Percentage change in benchmark
   34.2  (37.8)% 
Benchmark annualized volatility
   35.5  50.5
During the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 8524,832 outstanding Shares at March 24, 2017December 31, 2020 to 900,0084,524,832 outstanding Shares at SeptemberJune 30, 2017.2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 324,832 outstanding Shares at December 31, 2019 to 424,832 outstanding Shares at June 30, 2020.
183

Table of Contents
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 54.7% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 74.5% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s rise of 34.2% for the six months ended June 30, 2021, as compared to the benchmark’s decline of 37.8% for the six months ended June 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(574,164  $(109,326
Management fee
   350,648    69,037 
Brokerage commission
   182,023    78,743 
Net realized gain (loss)
   (16,664,698   10,862,268 
Change in net unrealized appreciation (depreciation)
   (17,798,697   560,972 
Net Income (loss)
  $(35,037,559  $11,313,914 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the six months ended June 30, 2021.
184

Table of Contents
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $52,953,339  $120,581,173 
NAV end of period
  $48,820,440  $78,848,965 
Percentage change in NAV
   (7.8)%   (34.6)% 
Shares outstanding beginning of period
   2,350,000   4,500,000 
Shares outstanding end of period
   2,050,000   2,950,000 
Percentage change in shares outstanding
   (12.8)%   (34.4)% 
Shares created
   200,000   350,000 
Shares redeemed
   500,000   1,900,000 
Per share NAV beginning of period
  $22.53  $26.80 
Per share NAV end of period
  $23.81  $26.73 
Percentage change in per share NAV
   5.7  (0.3)% 
Percentage change in benchmark
   (2.9)%   0.2
Benchmark annualized volatility
   6.1  8.7
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,050,000 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,950,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 3x oftwo times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

spot price of the euro versus the U.S. dollar.

For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

Net investment income (loss)

  $(59,643

Brokerage commission

   17,296 

Offering costs

   77,250 

Limitation by Sponsor

   (34,903

Net realized gain (loss)

   232,006 

Change in net unrealized appreciation/depreciation

   (2,423,370

Net income (loss)

  $(2,251,007

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $4,038,794  $10,462,856 

NAV end of period

  $5,921,434  $6,349,132 

Percentage change in NAV

   46.6  (39.3)% 

Shares outstanding beginning of period

   174,832   224,856 

Shares outstanding end of period

   174,832   174,832 

Percentage change in shares outstanding

   0.0  (22.2)% 

Shares created

   300,000   850,000 

Shares redeemed

   300,000   900,024 

Per share NAV beginning of period

  $23.10  $46.53 

Per share NAV end of period

  $33.87  $36.32 

Percentage change in per share NAV

   46.6  (21.9)% 

Percentage change in benchmark

   (27.9)%   (5.9)% 

Benchmark annualized volatility

   34.64  39.6

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 174,832 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the nine months ended September 30, 2017 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 46.6%5.7% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 21.9%0.3% for the ninesix months ended SeptemberJune 30, 2016,2020, was primarily due to an appreciation in the value of the assets ofheld by the Fund during the nine months September 30, 2017.

During the ninesix months ended SeptemberJune 30, 2017, the Fund’s per Share NAV reached its high for the period on February 22, 2017 at $39.72 per Share and reached its low for the period on January 26, 2017 at $25.38 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $84.20 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.

2021.

The benchmark’s decline of 27.9%2.9% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the benchmark’s declinerise of 5.9%0.2% for the ninesix months ended SeptemberJune 30, 2016,2020, can be attributed to a greater decrease in the pricevalue of Henry Hub Natural Gasthe euro versus the U.S. dollar during the nine monthsperiod ended SeptemberJune 30, 2017.

2021.

185

Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(44,874  $(107,463

Management fee

   51,110    70,066 

Brokerage commission

   19,673    53,910 

Net realized gain (loss)

   1,755,918    458,954 

Change in net unrealized appreciation/depreciation

   830,801    2,803,491 

Net income (loss)

  $2,541,845   $3,154,982 

2020:

   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(225,912  $(9,389
Management fee
   238,718    477,073 
Net realized gain (loss)
   (725,230   (1,238,585
Change in net unrealized appreciation (depreciation)
   3,881,067    1,920,568 
Net Income (loss)
  $2,929,925   $672,594 
The Fund’s net income decreasedincreased for the ninesix months ended SeptemberJune 30, 2017,2021 as compared to the ninesix months ended SeptemberJune 30, 2016,2020, primarily due to a greater decrease in the pricevalue of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstandingthe euro versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2017, as compared to the nine months ended September 30, 2016.

2021.

186

Table of Contents
ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $63,653,647  $74,971,764 

NAV end of period

  $35,426,783  $76,364,786 

Percentage change in NAV

   (44.3)%   1.9

Shares outstanding beginning of period

   696,978   646,978 

Shares outstanding end of period

   496,978   1,096,978 

Percentage change in shares outstanding

   (28.7)%   69.6

Shares created

   300,000   1,000,000 

Shares redeemed

   500,000   550,000 

Per share NAV beginning of period

  $91.33  $115.88 

Per share NAV end of period

  $71.28  $69.61 

Percentage change in per share NAV

   (22.0)%   (39.9)% 

Percentage change in benchmark

   12.0  24.8

Benchmark annualized volatility

   11.7  17.0

2020:

   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $20,337,376  $21,047,560 
NAV end of period
  $32,835,014  $15,851,043 
Percentage change in NAV
   61.5  (24.7)% 
Shares outstanding beginning of period
   646,977   396,977 
Shares outstanding end of period
   946,977   446,977 
Percentage change in shares outstanding
   46.4  12.6
Shares created
   1,050,000   350,000 
Shares redeemed
   750,000   300,000 
Per share NAV beginning of period
  $31.43  $53.02 
Per share NAV end of period
  $34.67  $35.46 
Percentage change in per share NAV
   10.3  (33.1)% 
Percentage change in benchmark
   (7.0)%   17.1
Benchmark annualized volatility
   16.6  24.2
During the ninesix months ended SeptemberJune 30, 2017,2021, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 696,978646,977 outstanding Shares at December 31, 20162020 to 496,978946,977 outstanding Shares at SeptemberJune 30, 2017.2021. The decreaseincrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 396,977 outstanding Shares at December 31, 2019 to 446,977 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of gold bullionits benchmark. The Fund’s per Share NAV increase of 10.3% for the six months ended June 30, 2021, as measuredcompared to the Fund’s per Share NAV decrease of 33.1% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the U.S. dollar p.m. LBMA Gold Price. By comparison,Fund during the ninesix months ended SeptemberJune 30, 2016,2021.
The benchmark’s decline of 7.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 17.1% for the six months ended June 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(139,918  $(25,708
Management fee
   133,695    83,860 
Brokerage commission
   5,873    3,763 
Net realized gain (loss)
   (2,981,188   (8,020,153
Change in net unrealized appreciation (depreciation)
   3,626,200    38,043 
Net Income (loss)
  $505,094   $(8,007,818
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the six months ended June 30, 2021.
187

Table of Contents
ProShares UltraShort Silver*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $28,885,775  $13,834,163 
NAV end of period
  $34,859,763  $10,145,625 
Percentage change in NAV
   20.7  (26.7)% 
Shares outstanding beginning of period
   1,041,744   129,244 
Shares outstanding end of period
   1,491,329   129,244 
Percentage change in shares outstanding
   43.2  —  
Shares created
   2,750,000   200,000 
Shares redeemed
   2,300,415   200,000 
Per share NAV beginning of period
  $27.73  $107.04 
Per share NAV end of period
  $23.37  $78.50 
Percentage change in per share NAV
   (15.7)%   (26.7)% 
Percentage change in benchmark
   (1.2)%   1.9
Benchmark annualized volatility
   35.9  43.3
During the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,9781,041,744 outstanding Shares at December 31, 20152020 to 1,096,9781,491,329 outstanding Shares at SeptemberJune 30, 2016.2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

Bloomberg Silver Subindex

SM
. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020.
For the ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.0%15.7% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 39.9%26.7% for the ninesix months ended SeptemberJune 30, 2016,2020, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $90.53 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(66,015  $(350,865

Management fee

   268,125    469,612 

Brokerage commission

   39    33 

Net realized gain (loss)

   (10,940,120   (29,965,948

Change in net unrealized appreciation/depreciation

   (99,988   (225,049

Net income (loss)

  $(11,106,123  $(30,541,862

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $23,017,656  $55,987,938 

NAV end of period

  $22,933,677  $39,589,348 

Percentage change in NAV

   (0.4)%   (29.3)% 

Shares outstanding beginning of period

   616,976   866,978 

Shares outstanding end of period

   716,976   1,416,976 

Percentage change in shares outstanding

   16.2  63.4

Shares created

   700,000   1,600,000 

Shares redeemed

   600,000   1,050,002 

Per share NAV beginning of period

  $37.31  $64.58 

Per share NAV end of period

  $31.99  $27.94 

Percentage change in per share NAV

   (14.3)%   (56.7)% 

Percentage change in benchmark

   3.8  40.0

Benchmark annualized volatility

   19.6  27.1

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 616,976 outstanding Shares at December 31, 2016 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 1,416,976 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(40,264  $(210,102

Management fee

   143,542    281,605 

Brokerage commission

   39    33 

Net realized gain (loss)

   (2,693,510   (26,657,499

Change in net unrealized appreciation/depreciation

   745,784    (4,263,685

Net income (loss)

  $(1,987,990  $(31,131,286

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $15,770,088  $17,510,898 

NAV end of period

  $8,093,438  $14,775,779 

Percentage change in NAV

   (48.7)%   (15.6)% 

Shares outstanding beginning of period

   350,000   400,005 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (42.9)%   (12.5)% 

Shares created

   —     50,000 

Shares redeemed

   150,000   100,005 

Per share NAV beginning of period

  $45.06  $43.78 

Per share NAV end of period

  $40.47  $42.22 

Percentage change in per share NAV

   (10.2)%   (3.6)% 

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(36,347  $(95,407

Management fee

   92,259    116,244 

Brokerage commission

   1,433    2,009 

Net realized gain (loss)

   (1,335,372   (199,557

Change in net unrealized appreciation/depreciation

   (26,290   (268,792

Net income (loss)

  $(1,398,009  $(563,756

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar and a higher asset base during the nine months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $16,613,473  $20,460,679 

NAV end of period

  $9,125,205  $17,389,549 

Percentage change in NAV

   (45.1)%   (15.0)% 

Shares outstanding beginning of period

   300,000   350,005 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (33.3)%   —^ 

Shares created

   —     —   

Shares redeemed

   100,000   5 

Per share NAV beginning of period

  $55.38  $58.46 

Per share NAV end of period

  $45.63  $49.68 

Percentage change in per share NAV

   (17.6)%   (15.0)% 

Percentage change in benchmark

   8.7  5.1

Benchmark annualized volatility

   7.7  12.1
   

^Amount represents less than 0.05%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.

The benchmark’s rise of 8.7%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 5.1% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(42,311  $(115,076

Management fee

   94,837    136,306 

Brokerage commission

   6,088    11,011 

Net realized gain (loss)

   (1,920,783   (2,462,114

Change in net unrealized appreciation/depreciation

   (802,007   (493,626

Net income (loss)

  $(2,765,101  $(3,070,816

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar, in conjunction with a significant decline in shares outstanding, during the nine months ended September 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $349,392,650  $522,306,518 

NAV end of period

  $226,620,904  $370,915,586 

Percentage change in NAV

   (35.1)%   (29.0)% 

Shares outstanding beginning of period

   12,900,000   20,450,014 

Shares outstanding end of period

   10,450,000   15,600,000 

Percentage change in shares outstanding

   (19.0)%   (23.7)% 

Shares created

   1,800,000   650,000 

Shares redeemed

   4,250,000   5,500,014 

Per share NAV beginning of period

  $27.08  $25.54 

Per share NAV end of period

  $21.69  $23.78 

Percentage change in per share NAV

   (19.9)%   (6.9)% 

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,450,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(461,825  $(2,129,104

Management fee

   1,914,770    2,894,802 

Net realized gain (loss)

   (45,338,431   (60,591,510

Change in net unrealized appreciation/depreciation

   (12,255,062   30,468,759 

Net income (loss)

  $(58,055,318  $(32,251,855

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $276,781,747  $237,372,900 

NAV end of period

  $148,459,101  $263,899,544 

Percentage change in NAV

   (46.4)%   11.2

Shares outstanding beginning of period

   3,449,290   2,699,294 

Shares outstanding end of period

   1,999,290   4,349,290 

Percentage change in shares outstanding

   (42.0)%   61.1

Shares created

   900,000   2,100,000 

Shares redeemed

   2,350,000   450,004 

Per share NAV beginning of period

  $80.24  $87.94 

Per share NAV end of period

  $74.26  $60.68 

Percentage change in per share NAV

   (7.5)%   (31.0)% 

Percentage change in benchmark

   3.9  18.5

Benchmark annualized volatility

   8.7  13.0

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.5% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.0% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2017.

During2021.

The benchmark’s decline of 1.2% for the ninesix months ended SeptemberJune 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $81.40 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.

The benchmark’s rise of 3.9%for the nine months ended September 30, 2017,2021, as compared to the benchmark’s rise of 18.5%1.9% for the ninesix months ended SeptemberJune 30, 2016,2020, can be attributed to a lesser risedecrease in the value of the Japanese yen versus the U.S. dollarsilver futures contracts during the nine monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(396,084  $(1,133,789

Management fee

   1,468,775    1,462,231 

Net realized gain (loss)

   (17,532,916   (86,179,609

Change in net unrealized appreciation/depreciation

   (7,490,982   14,046,211 

Net income (loss)

  $(25,419,982  $(73,267,187

2020:

   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(177,247  $(27,294
Management fee
   157,576    62,885 
Brokerage commission
   11,268    7,921 
Net realized gain (loss)
   (8,808,722   (3,035,499
Change in net unrealized appreciation (depreciation)
   6,541,191    1,436,385 
Net Income (loss)
  $(2,444,778  $(1,626,408
The Fund’s net income increaseddecreased for the ninesix months ended SeptemberJune 30, 2017,2021 as compared to the ninesix months ended SeptemberJune 30, 2016,2020, primarily due to a lesser risedecrease in the value of futures, in conjunction with the Japanese yen versus the U.S. dollartiming of shareholder activity, prices during the ninesix months ended SeptemberJune 30, 2017.

2021.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil*

UltraShort Silver.

188

Table of Contents
ProShares UltraShort Yen
Fund Performance

The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $933,731,860  $783,922,475 

NAV end of period

  $622,142,765  $979,757,506 

Percentage change in NAV

   (33.4)%   25.0

Shares outstanding beginning of period

   40,013,933   31,163,934 

Shares outstanding end of period

   34,761,317   46,613,933 

Percentage change in shares outstanding

   (13.1)%   49.6

Shares created

   65,600,000   50,475,000 

Shares redeemed

   70,852,616   35,025,001 

Per share NAV beginning of period

  $23.34  $25.15 

Per share NAV end of period

  $17.90  $21.02 

Percentage change in per share NAV

   (23.3)%   (16.4)% 

Percentage change in benchmark

   (9.4)%   (0.3)% 

Benchmark annualized volatility

   25.4  47.3

2020:

   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $23,691,070  $38,132,320 
NAV end of period
  $27,231,748  $29,787,034 
Percentage change in NAV
   14.9  (21.9)% 
Shares outstanding beginning of period
   349,290   499,290 
Shares outstanding end of period
   349,290   399,290 
Percentage change in shares outstanding
   —    (20.0)% 
Shares created
   100,000   100,000 
Shares redeemed
   100,000   200,000 
Per share NAV beginning of period
  $67.83  $76.37 
Per share NAV end of period
  $77.96  $74.60 
Percentage change in per share NAV
   15.0  (2.3)% 
Percentage change in benchmark
   (7.1)%   0.6
Benchmark annualized volatility
   5.0  11.8
During the ninesix months ended SeptemberJune 30, 2017,2021, the decreaseincrease in the Fund’s NAV resulted primarily from a decrease from 40,013,933 outstanding Shares at December 31, 2016 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 31,163,934 outstanding Shares at December 31, 2015 to 46,613,933 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2017 and 2016, 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 23.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 16.4% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 6, 2017 at $23.49 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $28.16 per Share and reached its low for the period on February 11, 2016 at $12.02 per Share.

The benchmark’s decline of 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,483,954  $(4,978,159

Management fee

   5,773,725    6,031,448 

Brokerage commission

   147,117    443,936 

Net realized gain (loss)

   (123,526,841   (132,886,039

Change in net unrealized appreciation/depreciation

   (6,245,549   190,350,573 

Net income (loss)

  $(131,256,344  $52,486,375 

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

  $200 

NAV end of period

  $7,581,464 

Percentage change in NAV

   NM 

Shares outstanding beginning of period

   8 

Shares outstanding end of period

   300,008 

Percentage change in shares outstanding

   NM 

Shares created

   1,400,008 

Shares redeemed

   1,100,000 

Per share NAV beginning of period

  $25.00 

Per share NAV end of period

  $25.27 

Percentage change in per share NAV

   1.1

Percentage change in benchmark

   (4.8)% 

Benchmark annualized volatility

   26.1

NM – Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark.

During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

Net investment income (loss)

  $(99,140

Brokerage commission

   24,374 

Offering costs

   77,250 

Limitation by Sponsor

   (2,484

Net realized gain (loss)

   3,137,907 

Change in net unrealized appreciation/depreciation

   1,272,779 

Net income (loss)

  $4,311,546 

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $43,203,386  $38,851,184 

NAV end of period

  $51,059,617  $31,750,207 

Percentage change in NAV

   18.2  (18.3)% 

Shares outstanding beginning of period

   2,292,169   2,092,170 

Shares outstanding end of period

   5,842,169   2,192,169 

Percentage change in shares outstanding

   154.9  4.8

Shares created

   6,600,000   2,200,000 

Shares redeemed

   3,050,000   2,100,001 

Per share NAV beginning of period

  $18.85  $18.57 

Per share NAV end of period

  $8.74  $14.48 

Percentage change in per share NAV

   (53.6)%   (22.0)% 

Percentage change in benchmark

   (27.9)%   (5.9)% 

Benchmark annualized volatility

   34.6  39.6

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 5,842,169 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, 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 53.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 17, 2017 at $15.76 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share.

The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(190,949  $(282,519

Management fee

   318,839    229,760 

Brokerage commission

   71,984    98,016 

Net realized gain (loss)

   (21,041,439   6,591,292 

Change in net unrealized appreciation/depreciation

   (3,507,126   (7,750,780

Net income (loss)

  $(24,739,514  $(1,442,007

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $92,127,200  $69,864,815 

NAV end of period

  $89,587,943  $99,949,269 

Percentage change in NAV

   (2.8)%   43.1

Shares outstanding beginning of period

   2,800,000   2,350,014 

Shares outstanding end of period

   2,250,000   2,250,000 

Percentage change in shares outstanding

   (19.6)%   (4.3)% 

Shares created

   400,000   150,000 

Shares redeemed

   950,000   250,014 

Per share NAV beginning of period

  $32.90  $29.73 

Per share NAV end of period

  $39.82  $44.42 

Percentage change in per share NAV

   21.0  49.4

Percentage change in benchmark

   12.0  24.8

Benchmark annualized volatility

   11.6  17.0

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,250,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 49.4% for the nine months ended September 30, 2016 was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share.

The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(160,597  $(486,568

Management fee

   692,340    665,265 

Brokerage commission

   39    33 

Net realized gain (loss)

   23,363,236    33,704,266 

Change in net unrealized appreciation/depreciation

   (3,986,925   (208,227

Net income (loss)

  $19,215,714   $33,009,471 

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to lesser increase in the price of spot gold in U.S. dollar terms in conjunction with share transactions during the nine months ended September 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $275,779,940  $216,416,642 

NAV end of period

  $244,805,182  $372,251,128 

Percentage change in NAV

   (11.2)%   72.0

Shares outstanding beginning of period

   8,246,526   7,996,533 

Shares outstanding end of period

   7,196,526   7,596,526 

Percentage change in shares outstanding

   (12.7)%   (5.0)% 

Shares created

   950,000   1,500,000 

Shares redeemed

   2,000,000   1,900,007 

Per share NAV beginning of period

  $33.44  $27.06 

Per share NAV end of period

  $34.02  $49.00 

Percentage change in per share NAV

   1.7  81.1

Percentage change in benchmark

   3.8  40.0

Benchmark annualized volatility

   19.6  27.1

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The increase in the Fund’s NAV was offset by a decrease from 7,996,533 outstanding Shares at December 31, 2015 to 7,596,526 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.7% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 81.1% for the nine months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $42.76 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share.

The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(474,113  $(1,713,227

Management fee

   1,971,071    2,300,935 

Brokerage commission

   49    36 

Net realized gain (loss)

   20,326,492    174,873,081 

Change in net unrealized appreciation/depreciation

   (7,233,752   9,844,227 

Net income (loss)

  $12,618,627   $183,004,081 

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $11,914,585  $10,857,730 

NAV end of period

  $13,705,608  $9,678,714 

Percentage change in NAV

   15.0  (10.9)% 

Shares outstanding beginning of period

   850,000   700,014 

Shares outstanding end of period

   800,000   600,000 

Percentage change in shares outstanding

   (5.9)%   (14.3)% 

Shares created

   1,200,000   50,000 

Shares redeemed

   1,250,000   150,014 

Per share NAV beginning of period

  $14.02  $15.51 

Per share NAV end of period

  $17.13  $16.13 

Percentage change in per share NAV

   22.2  4.0

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 850,000 outstanding Shares at December 31, 2016 to 800,000 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 22.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 4.0% for the nine months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $16.89 per Share and reached its low for the period on April 14, 2016 at $13.95 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(26,051  $(53,805

Management fee

   95,974    71,859 

Net realized gain (loss)

   2,666,306    1,156,114 

Change in net unrealized appreciation/depreciation

   364,855    (654,956

Net income (loss)

  $3,005,110   $447,353 

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $5,540,957  $5,473,848 

NAV end of period

  $5,804,920  $7,443,729 

Percentage change in NAV

   4.8  36.0

Shares outstanding beginning of period

   99,970   99,974 

Shares outstanding end of period

   99,970   99,970 

Percentage change in shares outstanding

   —^   —^ 

Shares created

   —     —   

Shares redeemed

   —     4 

Per share NAV beginning of period

  $55.43  $54.75 

Per share NAV end of period

  $58.07  $74.46 

Percentage change in per share NAV

   4.8  36.0

Percentage change in benchmark

   3.9  18.5

Benchmark annualized volatility

   8.7  13.0

^Amount represents less than 0.05%

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x inverse

(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 20162020 to SeptemberJune 30, 2017.2021. By comparison, during the ninesix months ended SeptemberJune 30, 2016,2020, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 399,290 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at September 30, 2016.

For the ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.8%15.0% for the ninesix months ended SeptemberJune 30, 2017,2021, as compared to the Fund’s per Share NAV increasedecrease of 36.0%2.3% for the ninesix months ended SeptemberJune 30, 2016,2020, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2017.

During2021.

The benchmark’s decline of 7.1% for the ninesix months ended SeptemberJune 30, 2017, the Fund’s per Share NAV reached its high for the period on April 18, 2017 at $63.59 per Share and reached its low for the period on January 3, 2017 at $54.62 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share.

The benchmark’s rise of 3.9% for the nine months ended September 30, 2017,2021, as compared to the benchmark’s rise of 18.5%0.6% for the ninesix months ended SeptemberJune 30, 2016,2020, can be attributed to a lesser risedecrease in the value of the Japanese yen versus the U.S. dollar during the nine monthsperiod ended SeptemberJune 30, 2017.

2021.

Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172021 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(20,949  $(35,548

Management fee

   42,356    47,356 

Net realized gain (loss)

   338,006    2,273,202 

Change in net unrealized appreciation/depreciation

   (53,094   (267,574

Net income (loss)

  $263,963   $1,970,080 

2020:

   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(131,833  $(17,541
Management fee
   138,999    148,867 
Net realized gain (loss)
   2,857,659    (395,772
Change in net unrealized appreciation (depreciation)
   1,256,265    (630,608
Net Income (loss)
  $3,982,091   $(1,043,921
The Fund’s net income decreasedincreased for the ninesix months ended SeptemberJune 30, 2017,2021 as compared to the ninesix months ended SeptemberJune 30, 2016,2020, primarily due to a lesser risedecrease in the value of the Japanese yen versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2017.

2021.

189

Table of Contents
ProShares VIX Mid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $72,075,095  $45,986,584 
NAV end of period
  $92,662,734  $59,085,470 
Percentage change in NAV
   28.6  28.5
Shares outstanding beginning of period
   1,962,403   2,162,403 
Shares outstanding end of period
   3,037,403   1,462,403 
Percentage change in shares outstanding
   54.8  (32.4)% 
Shares created
   1,425,000   1,100,000 
Shares redeemed
   350,000   1,800,000 
Per share NAV beginning of period
  $36.73  $21.27 
Per share NAV end of period
  $30.51  $40.40 
Percentage change in per share NAV
   (16.9)%   90.0
Percentage change in benchmark
   (16.4)  %   90.9
Benchmark annualized volatility
   30.8  %   75.1
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500® VIX Short-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,037,403 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,162,403 outstanding Shares at December 31, 2019 to 1,462,403 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.9% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 90.0% for the six months ended June 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 16.4% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 90.9% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2021.
190

Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(431,944  $(85,793
Management fee
   365,346    218,560 
Brokerage commission
   27,408    32,623 
Net realized gain (loss)
   (10,866,226   20,952,940 
Change in net unrealized appreciation (depreciation)
   (4,703,492   3,669,337 
Net Income (loss)
  $(16,001,662  $24,536,484 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the six months ended June 30, 2021.
191

Table of Contents
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
  
Six Months Ended
June 30, 2020
 
NAV beginning of period
  $293,390,549  $279,792,503 
NAV end of period
  $272,352,675  $221,343,175 
Percentage change in NAV
   (7.2)%   (20.9)% 
Shares outstanding beginning of period
   5,331,579   5,687,829 
Shares outstanding end of period
   11,307,826   1,981,579 
Percentage change in shares outstanding
   112.1  (65.2)% 
Shares created
   10,256,250   2,668,750 
Shares redeemed
   4,280,003   6,375,000 
Per share NAV beginning of period
  $55.03  $49.19 
Per share NAV end of period
  $24.09  $111.70 
Percentage change in per share NAV
   (56.2)%   127.1
Percentage change in benchmark
   (56.0)%   128.5
Benchmark annualized volatility
   76.0  132.5
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 5,331,579 outstanding Shares at December 31, 2020 to 11,307,826 outstanding Shares at June 30, 2021. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,687,829 outstanding Shares at December 31, 2019 to 1,981,579 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 56.2% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 127.1% for the six months ended June 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 56.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 128.5% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
192

Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
   
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
Net investment income (loss)
  $(2,122,386  $(299,597
Management fee
   1,494,823    1,024,560 
Brokerage commission
   267,497    244,857 
Net realized gain (loss)
   (252,481,234   324,892,071 
Change in net unrealized appreciation (depreciation)
   (14,438,507   16,033,274 
Net Income (loss)
  $(269,042,127  $340,625,748 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the six months ended June 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 3.
Quantitative and Qualitative Disclosures About Market Risk.1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.

193

Table of Contents
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity,

and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The following tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes.and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of SeptemberJune 30, 20172021 and 2016,2020, each of the VIX Funds’Fund’s positions were as follows:

ProShares VIX Short-Term Futures ETF:

Short Euro

:
As of SeptemberJune 30, 20172021 and 2016,2020, the ProShares VIX Short-Term Futures ETFShort Euro Fund was exposed to equity market volatilityinverse exchange rate price risk through its holdingholdings of VIXEuro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in VIX futures contractsthese Financial Instruments as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to equity market volatilityexchange rate price risk.

Futures Positions as of SeptemberJune 30, 2017

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2017    9,373   $11.68    1,000   $109,429,775 

VIX Futures (CBOE)

   Long    November 2017    6,252    13.03    1,000    81,432,300 

2021

Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
  Short  September 2021   15   $1.19    125,000   $(2,224,688
Futures Positions as of SeptemberJune 30, 2016

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2016    8,392   $15.78    1,000   $132,383,800 

VIX Futures (CBOE)

   Long    November 2016    5,601    16.95    1,000    94,936,950 

2020

Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
  Long  September 2020   16   $1.13    125,000   $2,250,500 
The SeptemberJune 30, 20172021 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach dayto match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form10-K for the year ended December 31, 2016 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 1, 2017 ( the “Form10-K”) for additional information regarding performance for periods longer than a single day.

ProShares VIXMid-Term Futures ETF:

As of September 30, 2017 and 2016, the ProShares VIXMid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2018    582   $14.78    1,000   $8,599,050 

VIX Futures (CBOE)

   Long    February 2018    971    15.23    1,000    14,783,475 

VIX Futures (CBOE)

   Long    March 2018    971    15.80    1,000    15,341,800 

VIX Futures (CBOE)

   Long    April 2018    388    16.28    1,000    6,314,700 

Futures Positions as of September 30, 2016

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2017    614   $18.50    1,000   $11,359,000 

VIX Futures (CBOE)

   Long    February 2017    1,024    19.05    1,000    19,507,200 

VIX Futures (CBOE)

   Long    March 2017    1,023    19.40    1,000    19,846,200 

VIX Futures (CBOE)

   Long    April 2017    409    19.98    1,000    8,169,775 

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach dayto match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF:

As of September 30, 2017 and 2016, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2017    51,224   $11.68    1,000   $(598,040,200

VIX Futures (CBOE)

   Short    November 2017    34,126    13.03    1,000    (444,491,150

Futures Positions as of September 30, 2016

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2016    18,688   $15.78    1,000   $(294,803,200

VIX Futures (CBOE)

   Short    November 2016    12,445    16.95    1,000    (210,942,750

The September 30, 2017 and 20162020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day
to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares Short VIX Short-Term Futures ETF
As of June 30, 2021 and 2020, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2021 and 2020, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2021
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  July 2021   8,517   $17.90    1,000   $(152,482,406
VIX Futures (Cboe)
  Short  August 2021   7,201    19.75    1,000    (142,210,389
194

Table of Contents
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  July 2020   4,764   $30.88    1,000   $(147,088,500
VIX Futures (Cboe)
  Short  August 2020   3,411    31.83    1,000    (108,555,075
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one.one-half. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF:

Bloomberg Crude Oil:

As of SeptemberJune 30, 20172021 and 2016,2020, the ProShares Ultra VIX Short-Term Futures ETFBloomberg Crude Oil Fund was exposed to equity market volatilitycommodity price risk through its holding of VIXCrude Oil futures contracts.contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these VIX futures contractsFinancial Instruments as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to equity market volatilitycommodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2017    52,495   $11.68    1,000   $612,879,125 

VIX Futures (CBOE)

   Long    November 2017    35,008    13.03    1,000    455,979,200 
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2016    54,497   $15.78    1,000   $859,690,175 

VIX Futures (CBOE)

   Long    November 2016    36,351    16.95    1,000    616,149,450 

Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2021   8,113   $72.77    1,000   $590,383,010 
WTI Crude Oil (NYMEX)
  Long  December 2021   8,603    70.13    1,000    603,328,390 
WTI Crude Oil (NYMEX)
  Long  June 2022   8,948    66.54    1,000    595,399,920 
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.  Long  $60.4445   $54,331,869 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   60.4445    192,754,488 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
  Long   60.4445    249,583,741 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   60.4445    128,583,706 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   60.4445    191,424,891 
195

Table of Contents
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2020   17,132   $39.34    1,000   $673,972,880 
WTI Crude Oil (NYMEX)
  Long  October 2020   22,205    39.48    1,000    876,653,400 
WTI Crude Oil (NYMEX)
  Long  December 2020   25,357    39.68    1,000    1,006,165,760 
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
  Goldman Sachs International  Long  $37.2575   $225,096,897 
Morgan Stanley WTI Crude Oil Subindex
  Morgan Stanley  Long   287.8039    129,511,755 
Bloomberg WTI Crude Oil Subindex
  Societe Generale  Long   37.2575    107,081,626 
The SeptemberJune 30, 20172021 and 20162020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.

Commodity Price Sensitivity

Each Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the Commodity Fundsevent of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Commodity Index Funds isFund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:
As of June 30, 2021 and 2020, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holdingsholding of Financial Instruments.Natural Gas futures contracts. The following tables provide information about eachthe Fund’s positions in these Financial Instruments as of the Commodity Funds’June 30, 2021 and the Commodity Index Funds’ Financial Instruments,2020, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  September 2021   3,875   $3.62    10,000   $140,430,000 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  September 2020   5,659   $1.79    10,000   $101,239,510 
The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
196

Table of Contents
ProShares Ultra Euro:
As of SeptemberJune 30, 20172021 and 2016, 2020, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/09/21    3,450,921   1.2118   $4,181,993 
Euro
  UBS AG  Long   07/09/21    4,235,502   1.2213    5,172,812 
Euro
  UBS AG  Short   07/09/21    (1,496,000  1.1883    (1,777,623
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/10/20    3,440,921   1.1227   $3,862,950 
Euro
  UBS AG  Long   07/10/20    4,020,302   1.1283    4,536,305 
Euro
  UBS AG  Short   07/10/20    (203,000  1.1264    (228,659
The June 30, 2021 and 2020 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Commodity Fundseuro and multiplying by two. See “Item 1A. Risk Factors” in the CommodityAnnual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Gold:
As of June 30, 2021 and 2020 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2021
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2021   972   $1,771.60    100   $172,199,520 
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $195.7033   $108,368,339 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   195.7033    93,647,812 
Bloomberg Gold Subindex
  UBS AG  Long   195.7033    112,731,674 
Futures Positions as of June 30, 2020
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2020   721   $1,800.50    100   $129,816,050 
197

Table of Contents
Swap Agreements as of June 30, 2020
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $203.8550   $70,552,163 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   203.8550    69,644,070 
Bloomberg Gold Subindex
  UBS AG  Long   203.8550    61,364,755 
The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index Funds’for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of June 30, 2021 and 2020 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as follows:

of June 30, 2021

Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Long  September 2021   2,217   $26.19    5,000   $290,360,490 
Swap Agreements as of June 30, 2021
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $238.4964   $310,326,474 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   238.4964    261,540,197 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Long   238.4964    243,690,136 
Bloomberg Silver Subindex
  UBS AG  Long   238.4964    217,640,652 
Futures Positions as of June 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Long  September 2020   1,928   $18.64    5,000   $179,660,680 
198

Table of Contents
Swap Agreements as of June 30, 2020
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $172.6990   $135,066,136 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   172.6990    93,005,691 
Bloomberg Silver Subindex
  UBS AG  Long   172.6990    91,761,402 
The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of June 30, 2021 and 2020, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2021
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2021   34,175   $17.90    1,000   $611,845,278 
VIX Futures (Cboe)
  Long  August 2021   28,926    19.75    1,000    571,250,896 
Swap Agreements as of June 30, 2021
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs & Co.  Long  $29.4600   $77,700,750 
Futures Positions as of June 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2020   26,764   $30.88    1,000   $826,338,500 
VIX Futures (Cboe)
  Long  August 2020   19,103    31.83    1,000    607,952,975 
Swap Agreements as of June 30, 2020
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
   
Notional Amount
at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs & Co.  Long  $34.0592   $52,525,586 
199

Table of Contents
The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Yen:
As of June 30, 2021 and 2020, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2021
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/09/21    336,192,517   0.009125   $3,067,633 
Yen
  UBS AG  Long   07/09/21    246,112,756   0.009124    2,245,458 
Yen
  UBS AG  Short   07/09/21    (13,400,000  0.009047    (121,227
Foreign Currency Forward Contracts as of June 30, 2020
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/10/20    336,014,517   0.009196   $3,089,931 
Yen
  UBS AG  Long   07/10/20    274,932,756   0.009201    2,529,705 
Yen
  UBS AG  Short   07/10/20    (12,240,000  0.009236    (113,045
The June 30, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Australian Dollar:
As of June 30, 2021 and 2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to exchange rate price risk.
200

Table of Contents
Futures Positions as of June 30, 2021
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
 
Australian Dollar Fx Currency Futures (CME)
   Short    September 2021    61   $75.01    1,000   $(4,573,780
Futures Positions as of June 30, 2020
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
 
Australian Dollar Fx Currency Futures (CME)
   Short    September 2020    163   $69.01    1,000   $(11,255,150
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Crude Oil:

As of SeptemberJune 30, 20172021 and 2016,2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM.
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Short   November 2017    1,894   $51.67    1,000   $(97,862,980

Swap Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Short  $76.1424   $(149,040,494

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Short   76.1424    (109,832,549

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Short   76.1424    (12,927,229

Bloomberg WTI Crude Oil Subindex

  UBS AG  Short   76.1424    (106,765,884

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2016    2,093   $48.24    1,000   $(100,966,320

Swap Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Short  $79.0094   $(110,835,497

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Short   79.0094    (78,877,241

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Short   79.0094    (8,278,478

Bloomberg WTI Crude Oil Subindex

  UBS AG  Short   79.0094    (80,182,717

Futures Positions as of June 30, 2021
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   Short   September 2021   720   $72.77    1,000   $(52,394,400
WTI Crude Oil (NYMEX)
   Short   December 2021   764    70.13    1,000    (53,579,320
WTI Crude Oil (NYMEX)
   Short   June 2022   794    66.54    1,000    (52,832,760
Futures Positions as of June 30, 2020
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   Short   September 2020   919   $39.34    1,000   $(36,153,460
WTI Crude Oil (NYMEX)
   Short   October 2020   1,990    39.48    1,000    (78,565,200
WTI Crude Oil (NYMEX)
   Short   December 2020   1,980    39.68    1,000    (78,566,400
201

Table of Contents
Swap Agreements as of June 30, 2020
Reference Index
  
Counterparty
   
Long or
Short
   
Index Close
   
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   Goldman Sachs International    Short   $37.2575   $(42,317,531
The SeptemberJune 30, 20172021 and 20162020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The SeptemberJune 30, 20172021 and 20162020 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares UltraPro 3x Short Crude Oil ETF:

As of September 30, 2017, the ProShares UltraPro 3x Short Crude Oil ETF was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2017    916   $51.67    1,000   $(47,329,720

The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than one day.

third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of SeptemberJune 30, 20172021 and 2016,2020, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    November 2017    394   $3.01    10,000   $(11,847,580
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    November 2016    437   $2.91    10,000   $(12,699,220

Futures Positions as of June 30, 2021
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
   Short   September
2021
   5,382   $3.62    10,000   $(195,043,680
Futures Positions as of June 30, 2020
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
   Short   September
2020
   3,192   $1.79    10,000   $(57,104,880
The SeptemberJune 30, 20172021 and 20162020 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of September 30, 2017 and 2016, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    December 2017    2   $1,284.80    100   $(256,960

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Short  $1,283.43   $(20,663,223

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Short   1,283.41    (21,687,062

0.995 Fine Troy Ounce Gold

  Societe Generale  Short   1,283.41    (6,160,368

0.995 Fine Troy Ounce Gold

  UBS AG  Short   1,283.41    (22,138,823

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    December 2016    2   $1,317.10    100   $(263,420

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Short  $1,322.72   $(29,893,472

0.995 Fine Troy Ounce Gold

  Deutsche Bank AG  Short   1,322.80    (73,018,560

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Short   1,322.70    (21,689,635

0.995 Fine Troy Ounce Gold

  Societe Generale  Short   1,322.71    (5,290,840

0.995 Fine Troy Ounce Gold

  UBS AG  Short   1,322.71    (22,552,206

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of September 30, 2017 and 2016, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

   Short   December 2017   2   $16.68    5,000   $(166,760

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citybank, N.A.  Short  $16.8646   $(16,071,964

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Short   16.8644    (13,263,851

0.999 Fine Troy Ounce Silver

  Societe Generale  Short   16.8645    (2,630,862

0.999 Fine Troy Ounce Silver

  UBS AG  Short   16.8644    (13,727,622

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

   Short   December 2016   2   $19.21    5,000   $(192,140

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Short  $19.3535   $(11,979,817

0.999 Fine Troy Ounce Silver

  Deutsche Bank AG  Short   19.3551    (41,536,045

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Short   19.3535    (12,976,522

0.999 Fine Troy Ounce Silver

  Societe Generale  Short   19.3537    (3,019,177

0.999 Fine Troy Ounce Silver

  UBS AG  Short   19.3535    (9,463,862

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2017 and 2016, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2017    55   $1.19    125,000   $(8,156,844
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2016    105   $1.13    125,000   $(14,801,063

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of September 30, 2017 and 2016, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2017    232   $78.36    1,000   $(18,179,520

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2016    456   $76.49    1,000   $(34,879,440

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of SeptemberJune 30, 20172021 and 2016,2020, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017 

Reference

Currency

  Counterparty  Long or
Short
  Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International  Long   10/06/17    3,175,800   1.1821   $3,754,078 

Euro

  UBS AG  Long   10/06/17    35,067,900   1.1821    41,453,378 

Euro

  Goldman Sachs International  Short   10/06/17    (194,781,925  1.1821    (230,249,569

Euro

  UBS AG  Short   10/06/17    (226,747,400  1.1821    (268,035,604
Foreign Currency Forward Contracts as of September 30, 2016 

Reference

Currency

  Counterparty  Long or
Short
  Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International  Long   10/07/16    11,861,500   1.1236   $13,327,034 

Euro

  UBS AG  Long   10/07/16    18,134,300   1.1236    20,374,863 

Euro

  Goldman Sachs International  Short   10/07/16    (344,672,125  1.1236    (387,257,692

Euro

  UBS AG  Short   10/07/16    (345,543,400  1.1236    (388,236,616

202

Table of Contents
Foreign Currency Forward Contracts as of June 30, 2021
 
 
Reference Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International   Long    07/09/21    950,000   1.2101   $1,149,583 
Euro
  UBS AG   Long    07/09/21    2,380,000   1.2022    2,861,261 
Euro
  Goldman Sachs International   Short    07/09/21    (37,911,263  1.2211    (46,293,004
Euro
  UBS AG   Short    07/09/21    (47,835,199  1.2168    (58,206,953
Foreign Currency Forward Contracts as of June 30, 2020
Reference Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  UBS AG   Long    07/10/20    24,450,000   1.1306   $27,643,554 
Euro
  Goldman Sachs International   Short    07/10/20    (42,027,263  1.1227    (47,181,907
Euro
  UBS AG   Short    07/10/20    (123,240,199  1.1229    (138,384,964
The SeptemberJune 30, 20172021 and 20162020 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

third-party custodian.

ProShares UltraShort Gold:
As of June 30, 2021 and 2020 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2021
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
 
Gold Futures (COMEX)
   Short    August 2021    169   $1,771.60    100   $(29,940,040
Swap Agreements as of June 30, 2021
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional
Amount at
Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $195.7033   $(14,671,543
Bloomberg Gold Subindex
  Goldman Sachs International   Short    195.7033    (9,598,230
Bloomberg Gold Subindex
  UBS AG   Short    195.7033    (11,477,443
Futures Positions as of June 30, 2020
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional
Amount at
Value
 
Gold Futures (COMEX)
   Short    August 2020    46   $1,800.50    100   $(8,282,300
203

Table of Contents
Swap Agreements as of June 30, 2020
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $203.8550   $(10,722,833
Bloomberg Gold Subindex
  Goldman Sachs International  Short   203.8550    (8,036,739
Bloomberg Gold Subindex
  UBS AG  Short   203.8550    (4,678,097
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of June 30, 2021 and 2020 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Short  September 2021   179   $26.19    5,000   $(23,443,630
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $238.4964   $(8,849,343
Bloomberg Silver Subindex
  Goldman Sachs International  Short   238.4964    (11,715,662
  Morgan Stanley & Co.      
Bloomberg Silver Subindex
  International PLC  Short   238.4964    (9,263,439
Bloomberg Silver Subindex
  UBS AG  Short   238.4964    (16,415,733
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Short  September 2020   74   $18.64    5,000   $(6,895,690
204

Table of Contents
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional
Amount at
Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $172.6990   $(5,885,533
Bloomberg Silver Subindex
  Goldman Sachs International  Short   172.6990    (3,503,375
Bloomberg Silver Subindex
  UBS AG  Short   172.6990    (4,010,780
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:

As of SeptemberJune 30, 20172021 and 2016,2020, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017 

Reference Currency

  Counterparty  Long or
Short
  Settlement
Date
   Yen  Forward Rate   Market Value
USD
 

Yen

  Goldman Sachs International  Long   10/06/17    571,833,200   0.008888   $5,082,606 

Yen

  UBS AG  Long   10/06/17    2,539,647,800   0.008888    22,573,065 

Yen

  Goldman Sachs International  Short   10/06/17    (17,548,070,400  0.008888    (155,971,917

Yen

  UBS AG  Short   10/06/17    (18,981,034,100  0.008888    (168,708,480
Foreign Currency Forward Contracts as of September 30, 2016 

Reference Currency

  Counterparty  Long or
Short
  Settlement
Date
   Yen  Forward Rate   Market Value
USD
 

Yen

  Goldman Sachs International  Long   10/07/16    812,107,700   0.009863   $8,009,961 

Yen

  UBS AG  Long   10/07/16    4,484,904,300   0.009863    44,235,400 

Yen

  Goldman Sachs International  Short   10/07/16    (27,401,188,900  0.009863    (270,262,747

Yen

  UBS AG  Short   10/07/16    (31,384,937,700  0.009863    (309,555,163

Foreign Currency Forward Contracts as of June 30, 2021
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/09/21    995,120,000   0.009133   $9,088,259 
Yen
  UBS AG  Long   07/09/21    152,800,000   0.009096    1,389,896 
Yen
  Goldman Sachs International  Short   07/09/21    (2,069,325,165  0.009121    (18,874,773
Yen
  UBS AG  Short   07/09/21    (5,125,948,875  0.009118    (46,736,956
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  UBS AG  Long   07/10/20    667,860,000   0.009305   $6,214,279 
Yen
  Goldman Sachs International  Short   07/10/20    (1,888,338,165  0.009196    (17,364,827
Yen
  UBS AG  Short   07/10/20    (5,209,742,875  0.009190    (47,878,145
The SeptemberJune 30, 20172021 and 20162020 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative twotwo. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Commodity Price Sensitivity

Eachthird-party custodian.

205

Table of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. Contents
ProShares VIX Mid-Term Futures ETF
As of SeptemberJune 30, 20172021 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2017 and 2016,2020, the ProShares Ultra Bloomberg Crude OilVIX Mid-Term Futures ETF Fund was exposed to commodity priceequity market volatility risk through its holding of Crude OilVIX futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM.contracts. The following tables providetable provides information about the Fund’s positions in these Financial InstrumentsVIX futures contracts as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to commodity priceequity market volatility risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  November 2017   5,855   $51.67    1,000   $302,527,850 

Swap Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Long  $76.1424   $332,458,695 

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Long   76.1424    242,703,814 

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Long   76.1424    115,090,880 

Bloomberg WTI Crude Oil Subindex

  UBS AG  Long   76.1424    251,436,908 

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  November 2016   8,345   $48.24    1,000   $402,562,800 

Swap Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Index
Close
   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Long  $79.0094   $566,152,847 

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Long   79.0094    454,062,414 

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Long   79.0094    100,430,739 

Bloomberg WTI Crude Oil Subindex

  UBS AG  Long   79.0094    436,225,560 

Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  October 2021   747   $21.85    1,000   $16,325,237 
VIX Futures (Cboe)
  Long  November 2021   1,379    22.26    1,000    30,695,161 
VIX Futures (Cboe)
  Long  December 2021   1,379    22.38    1,000    30,859,951 
VIX Futures (Cboe)
  Long  January 2022   632    23.38    1,000    14,775,781 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  October 2020   378   $33.18    1,000   $12,540,150 
VIX Futures (Cboe)
  Long  November 2020   647    30.58    1,000    19,782,025 
VIX Futures (Cboe)
  Long  December 2020   647    29.08    1,000    18,811,525 
VIX Futures (Cboe)
  Long  January 2021   270    29.43    1,000    7,944,750 
The SeptemberJune 30, 20172021 and 20162020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable.contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure tomatch the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the returnperformance of the Index and multiplying by two See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares UltraPro 3x Crude Oil ETF:

As of September 30, 2017, the ProShares UltraPro 3x Crude Oil ETF was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  November 2017   440   $51.67    1,000   $22,734,800 

The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional (gains) losses associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two.Index. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than onea single day.

ProShares Ultra Bloomberg Natural Gas:

VIX Short-Term Futures ETF

As of SeptemberJune 30, 20172021 and 2016,2020, the ProShares Ultra Bloomberg Natural GasVIX Short-Term Futures ETF Fund was exposed to commodity priceequity market volatility risk through its holding of Natural GasVIX futures contracts. The following tables provide information about the Fund’s positions in these Financial InstrumentsVIX futures contracts as of SeptemberJune 30, 20172021 and 2016,2020, which were sensitive to commodity priceequity market volatility risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

  Long  November 2017   3,396   $3.01    10,000   $102,117,720 
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

  Long  November 2016   2,185   $2.91    10,000   $63,496,100 

Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2021   7,861   $17.90    1,000   $140,737,841 
VIX Futures (Cboe)
  Long  August 2021   6,655    19.75    1,000    131,427,599 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2020   4,125   $30.88    1,000   $127,359,375 
VIX Futures (Cboe)
  Long  August 2020   2,943    31.83    1,000    93,660,975 
206

Table of Contents
The SeptemberJune 30, 20172021 and 20162020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable.contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00match the performance of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.Index. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two.Index. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

207

Table of Contents
Qualitative Disclosure
As of September 30, 2017 and 2016, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positionsdescribed in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    December 2017    2   $1,284.80    100   $256,960 

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Long  $1,283.43   $56,984,292 

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Long   1,283.41    48,923,589 

0.995 Fine Troy Ounce Gold

  Societe Generale  Long   1,283.41    23,101,380 

0.995 Fine Troy Ounce Gold

  UBS AG  Long   1,283.41    49,924,649 

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    December 2016    2   $1,317.10    100   $263,420 

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Long  $1,322.72   $55,818,784 

0.995 Fine Troy Ounce Gold

  Deutsche Bank AG  Long   1,322.80    42,461,880 

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Long   1,322.70    48,305,004 

0.995 Fine Troy Ounce Gold

  Societe Generale  Long   1,322.71    20,369,734 

0.995 Fine Troy Ounce Gold

  UBS AG  Long   1,322.71    32,670,937 

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases)Item 7 in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiodreturns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of September 30, 2017 and 2016, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

  Long  December 2017   2   $16.68    5,000   $166,760 

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Long  $16.8646   $161,967,618 

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Long   16.8644    131,471,490 

0.999 Fine Troy Ounce Silver

  Societe Generale  Long   16.8645    63,815,268 

0.999 Fine Troy Ounce Silver

  UBS AG  Long   16.8644    132,149,438 

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    December 2016    2   $19.21    5,000   $192,140 

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Long  $19.3535   $216,797,907 

0.999 Fine Troy Ounce Silver

  Deutsche Bank AG  Long   19.3551    110,726,656 

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Long   19.3535    188,634,694 

0.999 Fine Troy Ounce Silver

  Societe Generale  Long   19.3537    67,428,291 

0.999 Fine Troy Ounce Silver

  UBS AG  Long   19.3535    160,692,111 

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of September 30, 2017 and 2016, the ProShares Ultra Euro Fund was exposed to 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017

Reference

Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International   Long    10/06/17    11,961,025   1.1821   $14,138,996 

Euro

  UBS AG   Long    10/06/17    17,574,000   1.1821    20,774,032 

Euro

  Goldman Sachs International   Short    10/06/17    (1,663,500  1.1821    (1,966,405

Euro

  UBS AG   Short    10/06/17    (4,680,700  1.1821    (5,533,004

Foreign Currency Forward Contracts as of September 30, 2016

Reference

Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International   Long    10/07/16    9,020,825   1.1236   $10,135,383 

Euro

  UBS AG   Long    10/07/16    8,385,200   1.1236    9,421,224 

Euro

  UBS AG   Short    10/07/16    (169,500  1.1236    (190,442

The September 30, 2017 and 2016 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 Instrumentseach day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of September 30, 2017 and 2016, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017

Reference Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Yen  Forward
Rate
   Market Value
USD
 

Yen

  Goldman Sachs International   Long    10/06/17    735,730,100   0.008888   $6,539,365 

Yen

  UBS AG   Long    10/06/17    652,357,100   0.008888    5,798,323 

Yen

  Goldman Sachs International   Short    10/06/17    (23,286,700  0.008888    (206,978

Yen

  UBS AG   Short    10/06/17    (57,172,300  0.008888    (508,163

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Yen  Forward
Rate
   Market Value
USD
 

Yen

  Goldman Sachs International   Long    10/07/16    1,029,857,000   0.009863   $10,157,661 

Yen

  UBS AG   Long    10/07/16    524,705,100   0.009863    5,175,259 

Yen

  Goldman Sachs International   Short    10/07/16    (34,119,100  0.009863    (336,523

Yen

  UBS AG   Short    10/07/16    (11,065,500  0.009863    (109,141

The September 30, 2017 and 2016 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Qualitative Disclosure

As described above in Item 2 in this QuarterlyAnnual Report on Form10-Q, 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse(-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, (beforebefore fees and expenses), both over a single day and over time,expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or negative two. Each Matching VIX Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark.three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated investment objectives both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and directlong exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and itssub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrencesstrategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 27 in this Quarterlythe Annual Report on Form10-Q, 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a(1.1*0.9)-1 =-1% period benchmark return, thetwo-day period return for a theoreticaltwo-times fund would be equal to a (1.2*0.8) *0.8)-1 =-4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in
208

Table of Contents
the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a(1.1*0.9)-1 =-1% period benchmark return, thetwo-day period return for a theoreticaltwo-times fund would be equal to a (1.2*0.8) *0.8)-1 =-4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective( (-0.5x, -1x,-2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 27 of this Quarterlythe Annual Report on Form10-Q, 10-K, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfoliore-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements during theeach day also affects whether the Fund’s portfolio needs to bere-positioned. rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds orand UltraShort Funds will generally decrease when the Index rises on a given day.day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise.day. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in aboth non-interest bearing and interest bearing demand deposit account.accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in RuleRules 13a-15(e) and15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2016,2020, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the
209

Table of Contents
Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the duly authorized officersprincipal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended SeptemberJune 30, 20172021 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

210

Table of Contents
Part IIII. OTHER INFORMATION

Item 1. Legal Proceedings.

None

The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule 10b-5 of the 1934 Act, and Items 303 and 105 of Regulation S-K, 17 C.F.R. Section 229.303(a)(3)(ii), 229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and affirmed the District Court’s judgement.
Item 1A. Risk Factors.

There has

Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not beentrade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a material changesignificant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the Risk Factors previously disclosedperformance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the Trust’s Annual Report on Form10-Kmarkets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the year ended December 31, 2016, filedfirst time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
211

Table of Contents
Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, May Have a Significant Negative Impact on the Performance of Each Fund
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and may continue to be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during March 1, 2017.

and April 2020, the U.S. federal government passed various legislation in response to the COVID-19 pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

Natural or environmental disasters or public health crisis, such as the COVID-19 pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.
The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. In April 2020, the unemployment rate in the U.S. was extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.
Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
212

Table of Contents
The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing COVID-19 pandemic
Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The COVID-19 pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The COVID-19 pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.
Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

a) None.

b) The Trust initially registered Shares on its Registration Statement on FormS-1 (FileNo. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on FormS-1 (FileNo. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale

Not applicable.
213

Table of all registered Shares and reallocated the remaining amountContents

Title of Securities Registered
  
Amount Registered as of
June 30, 2021
   
Shares Sold For the
Three Months Ended
June 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2021
   
Shares Sold For the
Six Months Ended
June 30, 2021
   
Sale Price of Shares Sold
For the Six Months
Ended June 30, 2021
 
ProShares Short Euro Common Units of Beneficial Interest
  $203,055,627    —     $—      —     $—   
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest
  $1,418,967,805    450,000   $21,503,474    2,850,000   $119,612,942 
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest
  $2,698,414,797    1,050,000   $60,208,663    3,400,000   $177,252,853 
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest
  $386,032,584    650,000   $13,706,591    4,050,000   $90,187,414 
ProShares Ultra Euro Common Units of Beneficial Interest
  $186,681,873    100,000   $1,488,793    100,000   $1,488,793 
ProShares Ultra Gold Common Units of Beneficial Interest
  $594,079,932    400,000   $23,214,269    1,000,000   $60,276,530 
ProShares Ultra Silver Common Units of Beneficial Interest
  $817,900,286    1,000,000   $46,374,159    3,400,000   $166,773,794 
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest
  $6,066,240,184    12,955,000   $434,635,046    32,585,000   $2,373,778,077 
ProShares Ultra Yen Common Units of Beneficial Interest
  $201,792,144    —     $—      —     $—   
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest
  $159,935,804    —     $—      —     $—   
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest
  $1,124,471,841    1,937,500   $43,181,460    3,887,500   $107,484,439 
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest
  $478,890,865    3,450,000   $93,913,245    7,550,000   $235,963,431 
ProShares UltraShort Euro Common Units of Beneficial Interest
  $486,592,151    —     $—      200,000   $4,613,244 
ProShares UltraShort Gold Common Units of Beneficial Interest
  $178,478,592    300,000   $10,071,690    1,050,000   $37,362,906 
214

Table of the registered Shares among the Funds listed on its Registration Statement on FormS-3 (FileNo. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on FormS-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on FormS-1 (FileNo. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on FormS-3 (FileNo. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on FormS-1 (FileNo. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on FormS-1 (FileNo. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (FileNo. 333-183672) was a combined prospectus and acted as a post-effective amendment to the FormS-1 (FileNo. 333-176878). On September 27, 2012, a Registration Statement on FormS-3 (FileNo. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on FormS-1 (FileNo. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on FormS-1 (FileNo. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s FormS-1 Registration Statements (File Nos.333-183672 and333-178707). Also, on January 30, 2013, a Registration Statement on FormS-3 (FileNo. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s FormS-1 Registration Statement (FileNo. 333-193672) and FormS-3 Registration Statement (FileNo. 333-183674). On April 24, 2013, a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on FormS-3 (FileNo. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short- Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined

prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-185289). On May 21, 2013, a Registration Statement on FormS-1 (File333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIXMid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 (FileNo. 333-185288). On July 30, 2013, a Registration Statement on FormS-3 (FileNo. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-187820). On May 6, 2014, a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-188215) was declared effective, updating the FormS-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional Shares. On July 30, 2014, a Registration Statement on FormS-1 (FileNo. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIXMid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a posteffective amendment to two FormS-1 registration statements (File Nos.333-188215 and333-185288). On July 30, 2014, a Registration Statement on FormS-3 (FileNo. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the FormS-1 to the FormS-3. On September 29, 2014, a Registration Statement on FormS-1 (FileNo. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-196884). On November 25, 2014, a Registration Statement on FormS-1 (FileNo. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 registration statement (FileNo. 333-198189) and the FormS-3 registration statement(333-196885). On November 25, 2014, a Registration Statement on FormS-3 (FileNo. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the FormS-3 to the FormS-1. On March 31, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective, which registered additional Shares for ProShares VIXMid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 registration statement (FileNo. 333-199642). On March 31, 2015, a Registration Statement on FormS-3 (FileNo. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-199641). On August 11, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the FormS-1; no additional Shares were registered with that filing. That registration statement was a combined prospectus and acted as apre-effective amendment to post-effective amendment No. 1 of the FormS-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on FormS-3 (FileNo. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on FormS-3 (FileNo. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra

Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. On March 1, 2017, a Registration Statement on FormS-3 (FileNo. 333-215930) was declared effective which removed ProShares UltraShort Gold from the Registration Statement on FormS-3 (FileNo. 333-213918); no additional Shares for any Fund were registered with that filing. On March 1, 2017, a Registration Statement on FormS-1 (FileNo. 333-215929) was declared effective which registered Shares for ProShares UltraShort Gold that were previously registered on the Registration Statement on FormS-3 (FileNo. 333-213918). Through the two March 1, 2017 filings, ProShares UltraShort Gold was transferred from the FormS-3 to a FormS-1. On March 22, 2017, a Registration Statement on FormS-1 (FileNo. 333-214904) was declared effective which registered Shares for ProShares UltraPro Bloomberg Crude Oil and ProShares UltraPro Short Bloomberg Crude Oil. On June 30, 2017, the Trust had four effective registration statements outstanding: (1) a FormS-1 Registration Statement (No.333-215929); (2) a FormS-1 Registration Statement (No.333-214904); (3) a FormS-1 Registration Statement (No.333-202724); and (4) a FormS-3 Registration Statement (No.333-215930).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

Title of Securities Registered

  Amount
Registered As of

September 30, 2017
   Shares Sold For the
Three Months Ended
September 30, 2017
   Sale Price of Shares
Sold For the

Three Months Ended
September 30, 2017
 

ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest

   1,878,742,424    3,106,250   $119,114,643 

ProShares VIXMid-Term Futures ETF Common Units of Beneficial Interest

   555,231,376    675,000    18,111,394 

ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest

   9,178,056,779    17,750,000    1,373,345,679 

ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest

   10,862,875,118    33,400,000    988,812,355 

ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest

   2,167,514,328    5,400,000    201,007,302 

ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest

   1,020,000,000    700,000    14,228,859 

ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest

   344,275,705    150,000    4,692,571 

ProShares UltraShort Gold Common Units of Beneficial Interest

   312,159,711    50,000    3,415,569 

ProShares UltraShort Silver Common Units of Beneficial Interest

   1,950,297,178    200,000    5,866,605 

ProShares Short Euro Common Units of Beneficial Interest

   153,418,934    —      —   

ProShares UltraShort Australian Dollar Common Units of Beneficial Interest

   172,771,084    —      —   

ProShares UltraShort Euro Common Units of Beneficial Interest

   1,916,296,347    1,350,000    29,240,662 

ProShares UltraShort Yen Common Units of Beneficial Interest

   951,478,689    150,000    11,021,193 

ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest

   5,508,543,310    4,400,000    65,521,323 

ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest

   1,020,000,000    250,000    4,957,138 

ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest

   427,459,640    2,600,000    22,195,648 

ProShares Ultra Gold Common Units of Beneficial Interest

   328,071,127    50,000    1,958,848 

ProShares Ultra Silver Common Units of Beneficial Interest

   1,388,553,846    300,000    9,317,745 

ProShares Ultra Euro Common Units of Beneficial Interest

   119,594,796    450,000    7,734,814 

ProShares Ultra Yen Common Units of Beneficial Interest

   138,726,333    —     $—   

Total:

  $40,394,066,725     

(b) From July 1, 2017 through September 30, 2017, the number of Shares redeemed and average price per Share for each Fund were as follows:

Fund

  Total Number of
Shares Redeemed
   Average Price
Per Share
 

ProShares VIX Short-Term Futures ETF*

    

07/01/17 to 07/31/17

   151,046   $39.08 

08/01/17 to 08/31/17

   775,000   $45.45 

09/01/17 to 09/30/17

   100,000   $39.51 

ProShares VIXMid-Term Futures ETF

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   —     $—   

ProShares Short VIX Short-Term Futures ETF*

    

07/01/17 to 07/31/17

   6,350,000   $86.46 

08/01/17 to 08/31/17

   2,200,000   $75.67 

09/01/17 to 09/30/17

   8,000,000   $87.22 

ProShares Ultra VIX Short-Term Futures ETF*

    

07/01/17 to 07/31/17

   2,354,714   $31.97 

08/01/17 to 08/31/17

   10,150,000   $39.90 

09/01/17 to 09/30/17

   4,600,000   $28.01 

ProShares UltraShort Bloomberg Crude Oil

    

07/01/17 to 07/31/17

   100,000   $42.69 

08/01/17 to 08/31/17

   900,000   $40.50 

09/01/17 to 09/30/17

   100,000   $33.59 

ProShares UltraPro 3X Short Crude Oil ETF

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   —     $—   

ProShares UltraShort Bloomberg Natural Gas

    

07/01/17 to 07/31/17

   50,000   $33.97 

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   150,000   $33.19 

ProShares UltraShort Gold

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   50,000   $71.27 

ProShares UltraShort Silver

    

07/01/17 to 07/31/17

   100,000   $36.69 

08/01/17 to 08/31/17

   50,000   $31.53 

09/01/17 to 09/30/17

   —     $—   

ProShares Short Euro

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   50,000   $40.60 

09/01/17 to 09/30/17

   —     $—   

ProShares UltraShort Australian Dollar

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   50,000   $44.61 

09/01/17 to 09/30/17

   —     $—   

ProShares UltraShort Euro

    

07/01/17 to 07/31/17

   500,000   $22.66 

08/01/17 to 08/31/17

   350,000   $21.53 

09/01/17 to 09/30/17

   300,000   $21.31 

ProShares UltraShort Yen

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   400,000   $70.07 

09/01/17 to 09/30/17

   50,000   $74.26 

ProShares Ultra Bloomberg Crude Oil

    

07/01/17 to 07/31/17

   18,300,000   $15.77 

08/01/17 to 08/31/17

   4,250,000   $16.42 

09/01/17 to 09/30/17

   11,850,000   $17.05 

Fund

  Total Number of
Shares Redeemed
   Average Price
Per Share
 

ProShares UltraPro 3X Crude Oil ETF

    

07/01/17 to 07/31/17

   150,000   $22.74 

08/01/17 to 08/31/17

   150,000   $22.66 

09/01/17 to 09/30/17

   700,000   $23.82 

ProShares Ultra Bloomberg Natural Gas

    

07/01/17 to 07/31/17

   350,000   $9.72 

08/01/17 to 08/31/17

   350,000   $9.23 

09/01/17 to 09/30/17

   550,000   $9.55 

ProShares Ultra Gold

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   50,000   $40.64 

09/01/17 to 09/30/17

   100,000   $39.80 

ProShares Ultra Silver

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   250,000   $35.67 

09/01/17 to 09/30/17

   250,000   $38.49 

ProShares Ultra Euro

    

07/01/17 to 07/31/17

   150,000   $16.49 

08/01/17 to 08/31/17

   100,000   $17.17 

09/01/17 to 09/30/17

   200,000   $17.53 

ProShares Ultra Yen

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   —     $—   

*See Note 1 of the Notes to Financial Statements in this Quarterly Report on Form10-Q regarding the reverse Share splits for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and the Share split for ProShares Short VIX Short-Term Futures ETF.

Contents

Title of Securities Registered
  
Amount Registered as of
June 30, 2021
   
Shares Sold For the
Three Months Ended
June 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2021
   
Shares Sold For the
Six Months Ended
June 30, 2021
   
Sale Price of Shares Sold
For the Six Months
Ended June 30, 2021
 
ProShares UltraShort Silver Common Units of Beneficial Interest
  $454,916,081    300,000   $7,086,666    2,750,000   $65,182,313 
ProShares UltraShort Yen Common Units of Beneficial Interest
  $484,084,957    —     $—      100,000   $7,132,412 
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest
  $332,636,785    1,025,000   $33,730,245    1,425,000   $49,610,239 
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest
  $1,128,860,082    3,925,000   $124,484,014    10,256,250   $451,376,724 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust:
  
$
17,402,032,390
    
27,542,500
   
$
913,598,315
    
74,603,750
   
$
3,948,096,111
 
Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

215

Table of Contents
Item 6.
Exhibits.

Exhibit
No.

  

Description of Document

31.1  Certification by Principal Executive Officer of the Trust Pursuant to Rule13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2  Certification by Principal Financial Officer of the Trust Pursuant to Rule13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
32.132.1*  Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.232.2*  Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS  XBRL Instance Document (1)
101.SCH  XBRL Taxonomy Extension Schema (1)
101.CAL  XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF  XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB  XBRL Taxonomy Extension Label Linkbase (1)
101.PRE  XBRL Taxonomy Extension Presentation Linkbase (1)

Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1tags are embedded within the inline XBRL document.
(1)Filed herewith.
*These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.

SIGNATURES

216

Table of Contents
Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

PROSHARES TRUST II

/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 9, 2017August 6, 2021
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 9, 2017August 6, 2021

237

217