0001415311 us-gaap:SwapMember ck0001415311:ProsharesUltraShortSilverMember 2022-01-01 2022-06-30
Table of Contents
UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM10-Q

☒
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2017.

for the quarterly period ended June 30, 2023.
or

☐
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from
to
.

Commission file number:001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware
 
87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501

7272 Wisconsin Avenue, Suite 1000

21

st
Floor
Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)497-6400

(Registrant’s telephone number, including area code)

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

Common Units
Title of Beneficial Interesteach class
Trading
Symbol(s)
Name of each exchange
on which registered
ProShares Short VIX Short-Term Futures ETFSVXYCboe BZX Exchange
ProShares Ultra Bloomberg Crude OilUCO NYSE Arca Inc.
(Title of each class)ProShares Ultra Bloomberg Natural Gas (Name of exchange on which registered)
BOIL NYSE Arca
(Title of class)ProShares Ultra Euro (Name of exchange on which registered)ULENYSE Arca
ProShares Ultra GoldUGLNYSE Arca
ProShares Ultra SilverAGQNYSE Arca
ProShares Ultra VIX Short-Term Futures ETFUVXYCboe BZX Exchange
ProShares Ultra YenYCLNYSE Arca
ProShares UltraShort Bloomberg Crude OilSCONYSE Arca
ProShares UltraShort Bloomberg Natural GasKOLDNYSE Arca
ProShares UltraShort EuroEUONYSE Arca
ProShares UltraShort GoldGLLNYSE Arca
ProShares UltraShort SilverZSLNYSE Arca
ProShares UltraShort YenYCSNYSE Arca
ProShares VIX Mid-Term Futures ETFVIXMCboe BZX Exchange
ProShares VIX Short-Term Futures ETFVIXYCboe 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 RegulationS-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, anon-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 Rule12b-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 Rule12b-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 August 
4
, 2023, the registrant had 108,589,214 shares of common stock, $0 par value per share, outstanding.

Table of Contents
PROSHARES TRUST II

Table of Contents

   
Page
 

Part I. FINANCIAL INFORMATION

  

Item 1. Financial Statements.

   32 

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

   151134 

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

   211182
Item 4. Controls and Procedures.
197 

Item 4. Controls and Procedures.

229

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings.

   230198 

Item 1A. Risk Factors.

   230198 

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

   230200 

Item 3. Defaults Upon Senior Securities.

   235202 

Item 4. Mine Safety Disclosures.

   235202 

Item 5. Other Information.

   235202 

Item 6. Exhibits.

   236202 

Table of Contents
Part I. FINANCIAL INFORMATION

Item 1.Condensed Financial Statements.

Index

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:

  

ProShares VIX Short-Term Futures ETF

4

ProShares VIXMid-Term Futures ETF

9

ProShares Short VIX Short-Term Futures ETF

   141 

ProShares Ultra Bloomberg Crude Oil
6
ProShares Ultra Bloomberg Natural Gas
11
ProShares Ultra Euro
16
ProShares Ultra Gold
21
ProShares Ultra Silver
26
ProShares Ultra VIX Short-Term Futures ETF

   1931 

ProShares Ultra Yen
36
ProShares UltraShort Bloomberg Crude Oil

   2441 

ProShares UltraPro 3x Short Crude Oil ETF

29

ProShares UltraShort Bloomberg Natural Gas

   3446 

ProShares UltraShort GoldEuro

   3951 

ProShares UltraShort SilverGold

   4456 

ProShares Short EuroUltraShort Silver

   4961 

ProShares UltraShort Australian DollarYen

   5466 

ProShares UltraShort EuroVIX Mid-Term Futures ETF

   5971 

ProShares UltraShort YenVIX Short-Term Futures ETF

   6476 

ProShares Ultra Bloomberg Crude OilTrust II

   6981 

ProShares UltraPro 3x Crude Oil ETF

74

ProShares Ultra Bloomberg Natural Gas

79

ProShares Ultra Gold

84

ProShares Ultra Silver

89

ProShares Ultra Euro

94

ProShares Ultra Yen

99

ProShares Trust II

104

Notes to Financial Statements

   10885 

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

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, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $89,711,485 and $144,283,581, respectively)
  $89,727,034   $144,307,676 
Cash
   62,993,244    6,852,395 
Segregated cash balances with brokers for futures contracts
   110,594,314    127,094,546 
Receivable on open futures contracts
   18,825,539    67,086,947 
Interest receivable
   432,544    475,930 
  
 
 
   
 
 
 
Total assets
   282,572,675    345,817,494 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   —      5,861,814 
Brokerage commissions and futures account fees payable
   8,756    21,576 
Payable to Sponsor
   210,652    342,466 
  
 
 
   
 
 
 
Total liabilities
   219,408    6,225,856 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   282,353,267    339,591,638 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $282,572,675   $345,817,494 
  
 
 
   
 
 
 
Shares outstanding
   3,334,307    5,784,307 
  
 
 
   
 
 
 
Net asset value per share
  $84.68   $58.71 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $84.68   $58.68 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

1
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2023

(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
    
(32% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due 07/06/23
  $15,000,000   $14,993,694 
4.959% due 07/13/23
   25,000,000    24,964,895 
5.104% due 08/01/23
   25,000,000    24,897,695 
4.972% due 08/08/23
   25,000,000    24,870,750 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $89,711,485)
    $89,727,034 
    
 
 
 
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 2023
   5,241   $78,672,651   $21,799,615 
VIX Futures - Cboe, expires August 2023
   3,810    62,485,143    2,129,590 
      
 
 
 
      $23,929,205 
      
 
 
 
^^
Rates shown representsrepresent discount rate at the time of purchase.
†All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

2
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

OPERATIO

NS
(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,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $2,437,210  $225,134  $4,546,332  $319,477 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   617,036   1,034,361   1,182,813   2,020,898 
Brokerage commissions
   123,422   177,552   249,925   365,250 
Futures account fees
   —     107,221   —     324,251 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   740,458   1,319,134   1,432,738   2,710,399 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,696,752   (1,094,000)   3,113,594   (2,390,922) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   65,228,142   (13,029,194)   94,832,290   (54,129,808) 
Short-term U.S. government and agency obligations
   (25,811)   (76,018)   (25,811)   (86,512) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   65,202,331   (13,105,212)   94,806,479   (54,216,320) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   9,658,017   (34,466,848)   12,836,824   (29,757,664) 
Short-term U.S. government and agency obligations
   15,084   (40,932)   (8,546)   (452,209) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   9,673,101   (34,507,780)   12,828,278   (30,209,873) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   74,875,432   (47,612,992)   107,634,757   (84,426,193) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $76,572,184  $(48,706,992)  $110,748,351  $(86,817,115) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

3
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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $295,340,393  $495,588,849  $339,591,638  $423,812,594 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 550,000, 1,600,000, 3,000,000 and 4,600,000 shares, respectively
   38,020,154   75,921,860   185,319,488   232,437,331 
Redemption of 1,850,000, 2,300,000, 5,450,000 and 3,100,000 shares, respectively
   (127,579,464)   (119,158,761)   (353,306,210)   (165,787,854) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (1,300,000
), (700,000), (2,450,000) and 1,500,000 shares, respectively
   (89,559,310)   (43,236,901)   (167,986,722)   66,649,477 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,696,752   (1,094,000)   3,113,594   (2,390,922) 
Net realized gain (loss)
   65,202,331   (13,105,212)   94,806,479   (54,216,320) 
Change in net unrealized appreciation (depreciation)
   9,673,101   (34,507,780)   12,828,278   (30,209,873) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   76,572,184   (48,706,992)   110,748,351   (86,817,115) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $282,353,267  $403,644,956  $282,353,267  $403,644,956 
  
 
 
  
 
 
  
 
 
  
 
 
 
See ac
comp
anying notes to financial statements.
4
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $110,748,351  $(86,817,115) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (278,358,687)   (569,767,938) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   334,826,194   565,832,801 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,921,222)   (206,220) 
Net realized (gain) loss on investments
   25,811   86,512 
Change in unrealized (appreciation) depreciation on investments
   8,546   452,209 
Decrease (Increase) in receivable on open futures contracts
   48,261,408   (6,253,293) 
Decrease (Increase) in interest receivable
   43,386   (73,181) 
Increase (Decrease) in payable to Sponsor
   (131,814)   (2,886) 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (12,820)   (92,191) 
Increase (Decrease) in payable on open futures contracts
   —     1,735,890 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   213,489,153   (95,105,412) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   185,319,488   232,437,331 
Payment on shares redeemed
   (359,168,024)   (171,912,984) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (173,848,536)   60,524,347 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   39,640,617   (34,581,065) 
Cash, beginning of period
   133,946,941   183,010,984 
  
 
 
  
 
 
 
Cash, end of period
  $173,587,558  $148,429,919 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

5
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

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 
  

 

 

  

 

 

 

FINANCIAL CONDITION

   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $413,892,685 and $313,413,683, respectively)
  $413,997,952   $313,465,007 
Cash
   67,718,783    224,296,858 
Segregated cash balances with brokers for futures contracts
   75,508,570    76,813,658 
Segregated cash balances with brokers for swap agreements
   182,681,745    175,489,745 
Unrealized appreciation on swap agreements
   —      74,159,577 
Receivable on open futures contracts
   2,846,634    8,466,027 
Interest receivable
   449,770    618,549 
  
 
 
   
 
 
 
Total assets
   743,203,454    873,309,421 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   1,186,903    13,545,014 
Payable on open futures contracts
   1,541,204    —   
Brokerage commissions and futures account fees payable
   7,646    7,154 
Payable to Sponsor
   581,092    662,979 
Unrealized depreciation on swap agreements
   1,692,241    —   
  
 
 
   
 
 
 
Total liabilities
   5,009,086    14,215,147 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   738,194,368    859,094,274 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $743,203,454   $873,309,421 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   31,093,096    28,393,096 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $23.74   $30.26 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $23.65   $30.31 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

6
Table of Contents
PROSHARES VIXMID-TERM FUTURES ETF

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 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES VIXMID-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2023

(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
          
(56% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
5.132% due 07/06/23
†
  $100,000,000   $99,957,960 
4.959% due 07/13/23
†
   40,000,000    39,943,832 
5.242% due 07/18/23
†
   100,000,000    99,789,580 
5.251% due 07/25/23
   75,000,000    74,769,690 
5.104% due 08/01/23
   50,000,000    49,795,390 
4.972% due 08/08/23
†
   50,000,000    49,741,500 
        
 
 
 
Total short-term U.S. government and agency obligations
          
(cost $413,892,685)
       $413,997,952 
        
 
 
 
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 2023
   2,315   $163,855,700   $534,428 
WTI Crude Oil - NYMEX, expires December 2023
   2,393    168,467,200    3,955,084 
WTI Crude Oil - NYMEX, expires June 2024
   2,478    171,031,560    4,928,794 
             
 
 
 
             $9,418,306 
             
 
 
 
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%   07/06/23   $172,685,565   $(303,753) 
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.35   07/06/23    214,703,580    (377,662) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.35   07/06/23    179,707,950    (316,105) 
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.25   07/06/23    162,974,521    (275,938) 
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.30   07/06/23    242,623,120    (418,783) 
                
 
 
 
            Total Unrealized
Depreciation		 
 		  $(1,692,241) 
                
 
 
 
†All or partial amount pledged as collateral for 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, 2017.2023. 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, 2017,2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

7
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,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $5,878,092  $1,264,011  $11,886,000  $1,572,891 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   1,744,998   3,098,904   3,619,616   6,183,716 
Brokerage commissions
   94,303   140,210   188,647   335,751 
Futures account fees
   —     109,601   —     362,288 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,839,301   3,348,715   3,808,263   6,881,755 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   4,038,791   (2,084,704)   8,077,737   (5,308,864) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   29,371,809   244,497,710   40,205,833   510,907,542 
Swap agreements
   (105,727,226)   118,798,382   (30,780,823)   651,811,620 
Short-term U.S. government and agency obligations
   (59,378)   (4,653)   (59,378)   (7,789) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (76,414,795)   363,291,439   9,365,632   1,162,711,373 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (20,075,857)   (187,136,364)   (16,873,410)   (89,000,726) 
Swap agreements
   65,510,145   (24,001,881)   (75,851,818)   (216,215,448) 
Short-term U.S. government and agency obligations
   104,869   (405,864)   53,943   (991,922) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   45,539,157   (211,544,109)   (92,671,285)   (306,208,096) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (30,875,638)   151,747,330   (83,305,653)   856,503,277 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(26,836,847)  $149,662,626  $(75,227,916)  $851,194,413 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

8
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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $811,668,456  $1,336,980,685  $859,094,274  $1,103,783,570 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 15,550,000, 1,700,000, 34,650,000 and 10,300,000 shares, respectively (Note 1)
   353,363,209   72,419,653   812,713,784   402,736,686 
Redemption of 15,050,000, 11,450,000, 31,950,000 and 36,050,000 shares, respectively (Note 1)
   (400,000,450)   (498,195,726)   (858,385,774)   (1,296,847,431) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 500,000,
(9,750,000)
, 2,700,000 and (25,750,000) shares, respectively (Note 1)
   (46,637,241)   (425,776,073)   (45,671,990)   (894,110,745) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   4,038,791   (2,084,704)   8,077,737   (5,308,864) 
Net realized gain (loss)
   (76,414,795)   363,291,439   9,365,632   1,162,711,373 
Change in net unrealized appreciation (depreciation)
   45,539,157   (211,544,109)   (92,671,285)   (306,208,096) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (26,836,847)   149,662,626   (75,227,916)   851,194,413 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $738,194,368  $1,060,867,238  $738,194,368  $1,060,867,238 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

9
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,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(75,227,916)  $851,194,413 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (8,286,191,814)   (4,782,347,856) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   8,193,611,806   5,104,987,142 
Net amortization and accretion on short-term U.S. government and agency obligations
   (7,958,372)   (1,304,714) 
Net realized (gain) loss on investments
   59,378   7,789 
Change in unrealized (appreciation) depreciation on investments
   75,797,875   217,207,370 
Decrease (Increase) in receivable on open futures contracts
   5,619,393   —   
Decrease (Increase) in interest receivable
   168,779   (210,318) 
Increase (Decrease) in payable to Sponsor
   (81,887)   174,702 
Increase (Decrease) in brokerage commissions and futures account fees payable
   492   (12,077) 
Increase (Decrease) in payable on open futures contracts
   1,541,204   (4,104,319) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (92,661,062)   1,385,592,132 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   812,713,784   402,736,686 
Payment on shares redeemed
   (870,743,885)   (1,276,766,479) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (58,030,101)   (874,029,793) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (150,691,163)   511,562,339 
Cash, beginning of period
   476,600,261   217,287,389 
  
 
 
  
 
 
 
Cash, end of period
  $325,909,098  $728,849,728 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

1
0
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, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $298,722,860 and $263,209,299, respectively)
  $298,783,390   $263,260,158 
Cash
   193,070,994    13,689,494 
Segregated cash balances with brokers for futures contracts
   405,057,584    163,045,170 
Segregated cash balances with brokers for swap agreements
   83,160,000    —   
Unrealized appreciation on swap agreements
   46,088,257    —   
Receivable on open futures contracts
   117,556,776    149,650,221 
Interest receivable
   1,694,276    653,922 
  
 
 
   
 
 
 
Total assets
   1,145,411,277    590,298,965 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   3,473,947    1,826,653 
Payable on open futures contracts
   —      1,835,443 
Brokerage commissions and futures account fees payable
   69,389    35,242 
Payable to Sponsor
   846,663    450,514 
  
 
 
   
 
 
 
Total liabilities
   4,389,999    4,147,852 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   1,141,021,278    586,151,113 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $1,145,411,277   $590,298,965 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   16,421,876    1,614,376 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $69.48   $363.08 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $68.99   $355.60 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

1
1
Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2023

(unaudited)

   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(26% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.242% due 07/18/23
  $100,000,000   $99,789,580 
5.104% due 08/01/23
   50,000,000    49,795,390 
4.972% due 08/08/23
   50,000,000    49,741,500 
5.161% due 08/10/23
   100,000,000    99,456,920 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $298,722,860)
    $298,783,390 
    
 
 
 
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 

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT 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 
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT 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 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT 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 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

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 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(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) 

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 
       

 

 

 

†All or partial amount pledged as collateral for forward agreements and/or futures contracts.
Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires September 2023
   71,349   $1,979,221,260   $248,335,437 
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 Natural Gas Subindex
   0.50%   07/06/23   $148,091,216   $22,537,665 
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex
   0.50  07/06/23    101,183,890    15,398,946 
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex
   0.32  07/06/23    52,717,728    8,028,280 
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex
   0.35  07/06/23    810,173    123,366 
       
 
 
 
      Total Unrealized
Appreciation		 
 		  $46,088,257 
       
 
 
 
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2023. 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 GOLD

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) 
  

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT 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 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

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 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

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 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(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 
    

 

 

 

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 
       

 

 

 

†All or partial amount pledged as collateral for forward 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, 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, 2017,2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

1
2
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

NATURAL GAS

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,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $8,866,705  $146,470  $17,825,228  $186,051 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   2,588,571   534,624   4,916,981   931,234 
Brokerage commissions
   1,145,371   114,706   2,098,150   203,158 
Futures account fees
   211,785   63,213   399,478   134,330 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   3,945,727   712,543   7,414,609   1,268,722 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   4,920,978   (566,073)   10,410,619   (1,082,671) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (539,203,219)   164,990,694   (1,639,994,302)   241,211,382 
Swap agreements
   (77,680,050)   —     (38,520,261)   —   
Short-term U.S. government and agency obligations
   (3,646)   —     (7,216)   (3,452) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (616,886,915)   164,990,694   (1,678,521,779)   241,207,930 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   572,850,724   (271,251,560)   558,949,406   (186,220,796) 
Swap agreements
   85,176,576   —     46,088,257   —   
Short-term U.S. government and agency obligations
   29,724   (36,909)   9,671   (199,929) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   658,057,024   (271,288,469)   605,047,334   (186,420,725) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   41,170,109   (106,297,775)   (1,073,474,445)   54,787,205 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $46,091,087  $(106,863,848)  $(1,063,063,826)  $53,704,534 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

1
3
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTNATURAL GAS

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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $1,139,983,773  $145,069,486  $586,151,113  $193,892,178 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 13,792,500, 325,000, 32,765,000 and 455,000 shares, respectively (Note 1)
   814,876,179   549,486,344   3,160,825,013   637,366,699 
Redemption of 12,825,000, 217,500, 17,957,500 and 597,500 shares, respectively (Note 1)
   (859,929,761)   (400,394,140)   (1,542,891,022)   (697,665,569) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 967,500, 107,500, 14,807,500 and (142,500) shares, respectively (Note 1)
   (45,053,582)   149,092,204   1,617,933,991   (60,298,870) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   4,920,978   (566,073)   10,410,619   (1,082,671) 
Net realized gain (loss)
   (616,886,915)   164,990,694   (1,678,521,779)   241,207,930 
Change in net unrealized appreciation (depreciation)
   658,057,024   (271,288,469)   605,047,334   (186,420,725) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   46,091,087   (106,863,848)   (1,063,063,826)   53,704,534 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $1,141,021,278  $187,297,842  $1,141,021,278  $187,297,842 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

1
4
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

NATURAL GAS

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,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(1,063,063,826)  $53,704,534 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (10,025,950,123)   (520,892,453) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   9,997,363,885   505,991,302 
Net amortization and accretion on short-term U.S. government and agency obligations
   (6,934,539)   (119,696) 
Net realized (gain) loss on investments
   7,216   3,452 
Change in unrealized (appreciation) depreciation on investments
   (46,097,928)   199,929 
Decrease (Increase) in receivable on open futures contracts
   32,093,445   20,455,330 
Decrease (Increase) in interest receivable
   (1,040,354)   (38,738) 
Increase (Decrease) in payable to Sponsor
   396,149   68,086 
Increase (Decrease) in brokerage commissions and futures account fees payable
   34,147   (57,121) 
Increase (Decrease) in payable on open futures contracts
   (1,835,443)   26,800,768 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,115,027,371)   86,115,393 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   3,160,825,013   638,028,828 
Payment on shares redeemed
   (1,541,243,728)   (691,677,317) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,619,581,285   (53,648,489) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   504,553,914   32,466,904 
Cash, beginning of period
   176,734,664   54,135,725 
  
 
 
  
 
 
 
Cash, end of period
  $681,288,578  $86,602,629 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

1
5
Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTULTRA EURO

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, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Cash
  $6,440,727   $9,156,418 
Segregated cash balances with brokers for foreign currency forward contracts
   833,000    1,103,000 
Unrealized appreciation on foreign currency forward contracts
   241,390    514,115 
Interest receivable
   28,208    40,421 
  
 
 
   
 
 
 
Total assets
   7,543,325    10,813,954 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   6,188    10,833 
Unrealized depreciation on foreign currency forward contracts
   1,702    98,459 
  
 
 
   
 
 
 
Total liabilities
   7,890    109,292 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   7,535,435    10,704,662 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $7,543,325   $10,813,954 
  
 
 
   
 
 
 
Shares outstanding
   650,000    950,000 
  
 
 
   
 
 
 
Net asset value per share
  $11.59   $11.27 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $11.61   $11.26 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

1
6
Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF

ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2023

(unaudited)

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 

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

   1.80%   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) 
         

 

 

 

†All or partial amount pledged as collateral for forward agreements and/or futures contracts.
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
  07/14/23    7,784,921  $8,501,340  $129,303 
Euro with UBS AG
  07/14/23    7,204,502   7,867,506   112,087 
     
 
 
 
     Total Unrealized
Appreciation		 
 		 $241,390 
     
 
 
 
Contracts to Sell
     
Euro with Goldman Sachs International
  07/14/23    (93,000)  $(101,558)  $(197) 
Euro with UBS AG
  07/14/23    (1,152,000)   (1,258,014)   (1,505) 
     
 
 
 
     Total Unrealized
Depreciation		 
 		 $(1,702) 
     
 
 
 
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2023. 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 represents 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.

1
7
Table of Contents
PROSHARES ULTRA GOLD

EURO

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,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $88,182  $6,522  $185,419  $11,109 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   19,851   15,037   44,097   35,315 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   19,851   15,037   44,097   35,315 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   68,331   (8,515)   141,322   (24,206) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
   78,291   (446,365)   358,570   (887,395) 
Short-term U.S. government and agency obligations
   —     —     —     (5,949) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   78,291   (446,365)   358,570   (893,344) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
   (79,023)   (282,077)   (175,968)   (415,047) 
Short-term U.S. government and agency obligations
   —     787   —     (4,668) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (79,023)   (281,290)   (175,968)   (419,715) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (732)   (727,655)   182,602   (1,313,059) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $67,599  $(736,170)  $323,924  $(1,337,265) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

1
8
Table of Contents
PROSHARES ULTRA GOLD

STATEMENTEURO

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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $8,616,433  $6,236,982  $10,704,662  $8,659,095 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 450,000, 200,000 and 550,000 shares, respectively
   —     5,052,555   2,296,437   6,368,822 
Redemption of 100,000, 100,000, 500,000 and 350,000 shares, respectively
   (1,148,597)   (1,137,741)   (5,789,588)   (4,275,026) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (100,000), 350,000, (300,000) and 200,000 shares, respectively
   (1,148,597)   3,914,814   (3,493,151)   2,093,796 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   68,331   (8,515)   141,322   (24,206) 
Net realized gain (loss)
   78,291   (446,365)   358,570   (893,344) 
Change in net unrealized appreciation (depreciation)
   (79,023)   (281,290)   (175,968)   (419,715) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   67,599   (736,170)   323,924   (1,337,265) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $7,535,435  $9,415,626  $7,535,435  $9,415,626 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

19
Table of Contents
PROSHARES ULTRA GOLD

EURO

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,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $323,924  $(1,337,265) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   —     (5,984,289) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     2,290,249 
Net amortization and accretion on short-term U.S. government and agency obligations
   —     (9,602) 
Net realized (gain) loss on investments
   —     5,949 
Change in unrealized (appreciation) depreciation on investments
   175,968   419,715 
Decrease (Increase) in interest receivable
   12,213   (1,382) 
Increase (Decrease) in payable to Sponsor
   (4,645)   2,121 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   507,460   (4,614,504) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   2,296,437   6,368,822 
Payment on shares redeemed
   (5,789,588)   (4,275,026) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (3,493,151)   2,093,796 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (2,985,691)   (2,520,708) 
Cash, beginning of period
   10,259,418   7,582,458 
  
 
 
  
 
 
 
Cash, end of period
  $7,273,727  $5,061,750 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

2
0
Table of Contents
PROSHARES ULTRA SILVER

GOLD

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, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $134,680,616 and $129,100,287, respectively)
  $134,714,723   $129,123,489 
Cash
   15,660,964    16,568,417 
Segregated cash balances with brokers for futures contracts
   4,415,600    2,611,350 
Segregated cash balances with brokers for swap agreements
   32,723,000    18,730,000 
Unrealized appreciation on swap agreements
   —      6,496,466 
Receivable on open futures contracts
   496,067    8,169 
Interest receivable
   107,021    126,595 
  
 
 
   
 
 
 
Total assets
   188,117,375    173,664,486 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   147,761    140,350 
Unrealized depreciation on swap agreements
   7,053,083    —   
  
 
 
   
 
 
 
Total liabilities
   7,200,844    140,350 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   180,916,531    173,524,136 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $188,117,375   $173,664,486 
  
 
 
   
 
 
 
Shares outstanding
   3,100,000    3,150,000 
  
 
 
   
 
 
 
Net asset value per share
  $58.36   $55.09 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $58.24   $55.27 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

2
1
Table of Contents
PROSHARES ULTRA SILVER

GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2023

(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
    
(74% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due
07/06/23
†
  $50,000,000   $49,978,980 
4.959% due
07/13/23
†
   20,000,000    19,971,916 
5.242% due
07/18/23
   15,000,000    14,968,437 
5.104% due
08/01/23
†
   50,000,000    49,795,390 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $134,680,616)
    $134,714,723 
    
 
 
 
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
 
Gold Futures - COMEX, expires August 2023
   530   $102,258,200   $(5,385,731) 
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%   07/06/23   $111,454,930   $(3,028,491) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25  07/06/23    52,937,566    (1,438,439) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  07/06/23    95,175,948    (2,586,153) 
       
 
 
 
      Total Unrealized
Depreciation		 
 		  $(7,053,083) 
       
 
 
 
†
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, 2017.2023. 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, 2017,2023, 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.

2
2
Table of Contents
PROSHARES ULTRA SILVER

GOLD

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,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $1,983,196  $319,154  $3,632,210  $414,267 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   474,261   716,148   901,375   1,387,563 
Brokerage commissions
   6,925   14,064   15,540   35,723 
Futures account fees
   —     8,664   —     28,169 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   481,186   738,876   916,915   1,451,455 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,502,010   (419,722)   2,715,295   (1,037,188) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   5,160,588   (28,896,339)   7,921,167   (8,706,319) 
Swap agreements
   12,035,981   (29,004,744)   20,075,298   8,623,832 
Short-term U.S. government and agency obligations
   (28,462)   —     (28,462)   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   17,168,107   (57,901,083)   27,968,003   (82,487) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (10,482,142)   3,312,504   (8,627,819)   (4,587,403) 
Swap agreements
   (22,406,342)   1,658,698   (13,549,549)   (15,091,046) 
Short-term U.S. government and agency obligations
   33,642   (159)   10,905   (171,019) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (32,854,842)   4,971,043   (22,166,463)   (19,849,468) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (15,686,735)   (52,930,040)   5,801,540   (19,931,955) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(14,184,725)  $(53,349,762)  $8,516,835  $(20,969,143) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

2
3
Table of Contents
PROSHARES ULTRA SILVER

STATEMENTGOLD

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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $201,161,529  $355,029,822  $173,524,136  $232,780,534 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 50,000, 100,000, 450,000 and 1,600,000 shares, respectively
   3,236,120   6,573,039   28,209,474   102,257,715 
Redemption of 150,000, 1,150,000, 500,000 and 1,250,000 shares, respectively
   (9,296,393)   (68,314,246)   (29,333,914)   (74,130,253) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (100,000), (1,050,000), (50,000) and 350,000 shares, respectively
   (6,060,273)   (61,741,207)   (1,124,440)   28,127,462 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,502,010   (419,722)   2,715,295   (1,037,188) 
Net realized gain (loss)
   17,168,107   (57,901,083)   27,968,003   (82,487) 
Change in net unrealized appreciation (depreciation)
   (32,854,842)   4,971,043   (22,166,463)   (19,849,468) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (14,184,725)   (53,349,762)   8,516,835   (20,969,143) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $180,916,531  $239,938,853  $180,916,531  $239,938,853 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

2
4
Table of Contents
PROSHARES ULTRA SILVER

GOLD

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,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $8,516,835  $(20,969,143) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (492,848,662)   (704,533,509) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   489,813,291   704,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,573,420)   (377,637) 
Net realized (gain) loss on investments
   28,462   —   
Change in unrealized (appreciation) depreciation on investments
   13,538,644   15,262,065 
Decrease (Increase) in receivable on open futures contracts
   (487,898)   944,644 
Decrease (Increase) in interest receivable
   19,574   (31,715) 
Increase (Decrease) in payable to Sponsor
   7,411   24,571 
Increase (Decrease) in brokerage commissions and futures account fees payable
   —     (4,034) 
Increase (Decrease) in payable on open futures contracts
   —     1,022,544 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   16,014,237   (4,662,214) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   28,209,474   102,257,715 
Payment on shares redeemed
   (29,333,914)   (71,305,703) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (1,124,440)   30,952,012 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   14,889,797   26,289,798 
Cash, beginning of period
   37,909,767   15,422,082 
  
 
 
  
 
 
 
Cash, end of period
  $52,799,564  $41,711,880 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

2
5
Table of Contents
PROSHARES ULTRA EURO

SILVER

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, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $224,295,385 and $228,617,421, respectively)
  $224,344,440   $228,657,634 
Cash
   43,579,042    74,136,821 
Segregated cash balances with brokers for futures contracts
   19,465,500    19,452,250 
Segregated cash balances with brokers for swap agreements
   85,841,000    56,423,000 
Unrealized appreciation on swap agreements
   —      39,224,212 
Receivable on open futures contracts
   1,635,164    —   
Interest receivable   270,810    300,712 
  
 
 
   
 
 
 
Total assets   375,135,956    418,194,629 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   —      1,615,382 
Payable on open futures contracts
   —      1,948,902 
Payable to Sponsor
   298,935    344,467 
Unrealized depreciation on swap agreements
   18,045,362    —   
  
 
 
   
 
 
 
Total liabilities
   18,344,297    3,908,751 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   356,791,659    414,285,878 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $375,135,956   $418,194,629 
  
 
 
   
 
 
 
Shares outstanding
   13,196,526    13,046,526 
  
 
 
   
 
 
 
Net asset value per share
  $27.04   $31.75 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $26.95   $32.00 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

2
6
Table of Contents
PROSHARES ULTRA EURO

SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2023

(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 
    

 

 

 

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 
      

 

 

 

   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(63% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due 07/06/23
†
  $25,000,000   $24,989,490 
4.959% due 07/13/23
†
   50,000,000    49,929,790 
5.242% due 07/18/23
   50,000,000    49,894,790 
5.104% due 08/01/23
†
   50,000,000    49,795,390 
4.972% due 08/08/23
†
   25,000,000    24,870,750 
5.161% due 08/10/23
   25,000,000    24,864,230 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $224,295,385)
    $224,344,440 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Silver Futures - COMEX, expires September 2023
   2,047   $235,609,700   $(9,977,916) 
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%   07/06/23  $166,412,438   $(6,281,114) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
  0.30  07/06/23   21,984,663    (830,545) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
  0.30  07/06/23   149,157,444    (5,634,927) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
  0.25  07/06/23   140,386,283    (5,298,776) 
     
 
 
 
    Total Unrealized
Depreciation		 
 		  $(18,045,362) 
     
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.swap agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2023. 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 June 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.

2
7
Table of Contents
PROSHARES ULTRA EURO

SILVER

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,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $3,701,182  $421,514  $7,075,578  $561,963 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   976,505   1,082,340   1,848,064   2,299,939 
Brokerage commissions
   47,075   28,732   73,637   59,283 
Futures account fees
   —     6,188   —     26,693 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,023,580   1,117,260   1,921,701   2,385,915 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   2,677,602   (695,746)   5,153,877   (1,823,952) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   17,097,790   (10,869,422)   20,739,536   (16,614,384) 
Swap agreements
   47,564,510   (145,324,753)   15,178,900   (22,942,764) 
Short-term U.S. government and agency obligations
   (46,857)   (1,174)   (46,857)   (1,164) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   64,615,443   (156,195,349)   35,871,579   (39,558,312) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (38,652,527)   (13,510,319)   (39,404,490)   (6,824,486) 
Swap agreements
   (80,409,195)   (36,561,200)   (57,269,574)   (101,003,629) 
Short-term U.S. government and agency obligations
   44,380   (64,280)   8,842   (343,929) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (119,017,342)   (50,135,799)   (96,665,222)   (108,172,044) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (54,401,899)   (206,331,148)   (60,793,643)   (147,730,356) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(51,724,297)  $(207,026,894)  $(55,639,766)  $(149,554,308) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

2
8
Table of Contents
PROSHARES ULTRA EURO

STATEMENTSILVER

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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $429,115,334  $558,375,841  $414,285,878  $515,453,594 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 700,000, 800,000, 2,600,000 and 1,800,000 shares, respectively
   20,692,563   26,625,358   71,924,842   65,659,299 
Redemption of 1,300,000, 750,000, 2,450,000 and 2,250,000 shares, respectively
   (41,291,941)   (22,396,790)   (73,779,295)   (75,981,070) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (600,000), 50,000, 150,000 and (450,000) shares, respectively
   (20,599,378)   4,228,568   (1,854,453)   (10,321,771) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   2,677,602   (695,746)   5,153,877   (1,823,952) 
Net realized gain (loss)
   64,615,443   (156,195,349)   35,871,579   (39,558,312) 
Change in net unrealized appreciation (depreciation)
   (119,017,342)   (50,135,799)   (96,665,222)   (108,172,044) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (51,724,297)   (207,026,894)   (55,639,766)   (149,554,308) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $356,791,659  $355,577,515  $356,791,659  $355,577,515 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

29

Table of Contents
PROSHARES ULTRA EURO

SILVER

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,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(55,639,766)  $(149,554,308) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (2,203,304,232)   (1,255,430,782) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,212,588,221   1,416,997,680 
Net amortization and accretion on short-term U.S. government and agency obligations
   (5,008,810)   (497,182) 
Net realized (gain) loss on investments
   46,857   1,164 
Change in unrealized (appreciation) depreciation on investments
   57,260,732   101,347,558 
Decrease (Increase) in receivable on open futures contracts
   (1,635,164)   1,384,919 
Decrease (Increase) in interest receivable
   29,902   (55,579) 
Increase (Decrease) in payable to Sponsor
   (45,532)   (78,578) 
Increase (Decrease) in brokerage commissions and futures account fees payable
   —     (9,833) 
Increase (Decrease) in payable on open futures contracts
   (1,948,902)   2,248,743 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   2,343,306   116,353,802 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   71,924,842   64,418,960 
Payment on shares redeemed
   (75,394,677)   (79,464,840) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (3,469,835)   (15,045,880) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (1,126,529)   101,307,922 
Cash, beginning of period
   150,012,071   25,488,503 
  
 
 
  
 
 
 
Cash, end of period
  $148,885,542  $126,796,425 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

3
0
Table of Contents
PROSHARES ULTRA YEN

VIX SHORT-TERM FUTURES ETF

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, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $– and $34,728,989, respectively)
  $—     $34,732,372 
Cash
   116,071,941    71,086,482 
Segregated cash balances with brokers for futures contracts
   222,756,461    323,761,025 
Receivable on open futures contracts
   50,445,515    209,470,270 
Interest receivable
   952,517    1,246,402 
  
 
 
   
 
 
 
Total assets
   390,226,434    640,296,551 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   2,056,385    348,988 
Brokerage commissions and futures account fees payable
   44,656    58,772 
Payable to Sponsor
   361,334    570,429 
  
 
 
   
 
 
 
Total liabilities
   2,462,375    978,189 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   387,764,059    639,318,362 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $390,226,434   $640,296,551 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   20,977,842    9,307,842 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $18.48   $68.69 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $18.49   $68.60 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

3
1
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires July 2023
   21,591   $324,102,501   $(69,897,187) 
VIX Futures - Cboe, expires August 2023
   15,704    257,550,311    (9,932,533) 
      
 
 
 
      $(79,829,720) 
      
 
 
 
See accompanying notes to financial statements.
3
2
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $4,750,595  $430,670  $9,167,250  $525,931 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   1,330,081   2,293,738   2,703,851   4,254,915 
Brokerage commissions
   712,511   970,211   1,490,212   1,906,969 
Futures account fees
   126,999   444,123   250,360   1,226,811 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   2,169,591   3,708,072   4,444,423   7,388,695 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   2,581,004   (3,277,402)   4,722,827   (6,862,764) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (426,304,544)   91,039,435   (608,537,974)   349,477,533 
Swap agreements
   —     —     —     22,556,586 
Short-term U.S. government and agency obligations
   4,188   (337,934)   (3,590)   (353,087) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (426,300,356)   90,701,501   (608,541,564)   371,681,032 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (45,320,517)   196,657,178   (43,274,267)   161,801,275 
Swap agreements
   —     —     —     477,437 
Short-term U.S. government and agency obligations
   5,340   78,171   (3,383)   (544,247) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (45,315,177)   196,735,349   (43,277,650)   161,734,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (471,615,533)   287,436,850   (651,819,214)   533,415,497 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(469,034,529)  $284,159,448  $(647,096,387)  $526,552,733 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
3
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $535,980,236  $1,127,608,641  $639,318,362  $816,679,636 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 12,940,000, 5,840,000, 21,310,000 and 14,150,000 shares, respectively (Note 1)
   455,030,425   799,757,076   891,490,874   1,971,472,943 
Redemption of 3,550,000, 7,470,000, 9,640,000 and 14,010,000 shares, respectively (Note 1)
   (134,212,073)   (1,235,841,632)   (495,948,790)   (2,339,021,779) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 9,390,000, (1,630,000), 11,670,000 and 140,000 shares, respectively (Note 1)
   320,818,352   (436,084,556)   395,542,084   (367,548,836) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   2,581,004   (3,277,402)   4,722,827   (6,862,764) 
Net realized gain (loss)
   (426,300,356)   90,701,501   (608,541,564)   371,681,032 
Change in net unrealized appreciation (depreciation)
   (45,315,177)   196,735,349   (43,277,650)   161,734,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (469,034,529)   284,159,448   (647,096,387)   526,552,733 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $387,764,059  $975,683,533  $387,764,059  $975,683,533 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
4
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(647,096,387)  $526,552,733 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (1,156,102,958)   (1,476,792,269) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,192,359,088   1,454,556,289 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,530,731)   (252,157) 
Net realized (gain) loss on investments
   3,590   353,166 
Change in unrealized (appreciation) depreciation on investments
   3,383   66,810 
Decrease (Increase) in receivable on open futures contracts
   159,024,755   (225,561,488) 
Decrease (Increase) in interest receivable
   293,885   (193,393) 
Increase (Decrease) in payable to Sponsor
   (209,095)   126,268 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (14,116)   (96,420) 
Increase (Decrease) in payable on open futures contracts
   1,707,397   (9,447,456) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (451,561,189)   269,312,083 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   891,490,874   1,969,293,116 
Payment on shares redeemed
   (495,948,790)   (2,339,021,779) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   395,542,084   (369,728,663) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (56,019,105)   (100,416,580)
Cash, beginning of period
   394,847,507   572,120,879 
  
 
 
  
 
 
 
Cash, end of period
  $338,828,402  $471,704,299 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
5
Table of Contents
PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Cash
  $11,390,854   $11,444,958 
Segregated cash balances with brokers for foreign currency forward contracts
   1,767,000    1,357,000 
Unrealized appreciation on foreign currency forward contracts
   18,889    1,152,834 
Interest receivable
   39,252    39,204 
  
 
 
   
 
 
 
Total assets
   13,215,995    13,993,996 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   8,505    10,915 
Unrealized depreciation on foreign currency forward contracts
   876,516    168,285 
  
 
 
   
 
 
 
Total liabilities
   885,021    179,200 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   12,330,974    13,814,796 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $13,215,995   $13,993,996 
  
 
 
   
 
 
 
Shares outstanding
   449,970    399,970 
  
 
 
   
 
 
 
Net asset value per share
  $27.40   $34.54 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $27.42   $34.56 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
3
6
Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS

SEPTEMBER

JUNE 30, 2017

2023

(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 
    

 

 

 

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 
      

 

 

 

†All or partial amount pledged as collateral for foreign currency forward contracts.
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
   07/14/23    1,507,359,517  $10,470,698  $(407,188) 
Yen with UBS AG
   07/14/23    2,188,352,856   15,201,139   (469,328) 
      
 
 
 
      Total Unrealized
Depreciation		 
 		 $(876,516) 
      
 
 
 
Contracts to Sell
      
Yen with Goldman Sachs International
   07/14/23    (1,461)  $(10)  $—   
Yen with UBS AG
   07/14/23    (158,537,000)   (1,101,259)   18,889 
      
 
 
 
      Total Unrealized
Appreciation		 
 		 $18,889 
      
 
 
 
^
The positions and counterparties herein are as of SeptemberJune 30, 2017.2023. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
3
7
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $114,980  $3,064  $235,098  $3,937 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   25,330   8,036   55,890   13,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   25,330   8,036   55,890   13,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   89,650   (4,972)   179,208   (9,528) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
   (770,142)   (761,478)   (1,068,950)   (880,249) 
Short-term U.S. government and agency obligations
   —     —     —     1,548 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (770,142)   (761,478)   (1,068,950)   (878,701) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
   (1,348,109)   154,501   (1,842,176)   15,962 
Short-term U.S. government and agency obligations
   —     (2,316)   —     (5,142) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (1,348,109)   152,185   (1,842,176)   10,820 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (2,118,251)   (609,293)   (2,911,126)   (867,881) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(2,028,601)  $(614,265)  $(2,731,918)  $(877,409) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
8
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $9,915,083  $2,099,705  $13,814,796  $2,362,849 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 150,000, 100,000, 200,000 and 100,000 shares, respectively
   4,444,492   3,539,333   6,257,118   3,539,333 
Redemption of –, –, 150,000 and – shares, respectively
   —     —     (5,009,022)   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 150,000, 100,000, 50,000 and 100,000 shares, respectively
   4,444,492   3,539,333   1,248,096   3,539,333 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   89,650   (4,972)   179,208   (9,528) 
Net realized gain (loss)
   (770,142)   (761,478)   (1,068,950)   (878,701) 
Change in net unrealized appreciation (depreciation)
   (1,348,109)   152,185   (1,842,176)   10,820 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (2,028,601)   (614,265)   (2,731,918)   (877,409) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $12,330,974  $5,024,773  $12,330,974  $5,024,773 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
39

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(2,731,918)  $(877,409) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   —     (995,769) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     1,548 
Net amortization and accretion on short-term U.S. government and agency obligations
   —     (2,342) 
Net realized (gain) loss on investments
   —     (1,548) 
Change in unrealized (appreciation) depreciation on investments
   1,842,176   (10,820) 
Decrease (Increase) in interest receivable
   (48)   (1,269) 
Increase (Decrease) in payable to Sponsor
   (2,410)   1,139 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (892,200)   (1,886,470) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   6,257,118   3,539,333 
Payment on shares redeemed
   (5,009,022)   —   
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,248,096   3,539,333 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   355,896   1,652,863 
Cash, beginning of period
   12,801,958   2,457,820 
  
 
 
  
 
 
 
Cash, end of period
  $13,157,854  $4,110,683 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
40
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $74,834,094 and $89,407,308, respectively)
  $74,852,080   $89,426,935 
Cash
   5,264,925    74,627,051 
Segregated cash balances with brokers for futures contracts
   36,646,185    65,184,460 
Receivable from capital shares sold
   2,561,440    41,694 
Receivable on open futures contracts
   —      1,604,847 
Interest receivable
   119,269    384,856 
  
 
 
   
 
 
 
Total assets
   119,443,899    231,269,843 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   5,187,383    1,257,090 
Payable on open futures contracts
   1,300,062    7,102,680 
Brokerage commissions and futures account fees payable
   3,914    4,134 
Payable to Sponsor
   97,588    208,602 
  
 
 
   
 
 
 
Total liabilities
   6,588,947    8,572,506 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   112,854,952    222,697,337 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $119,443,899   $231,269,843 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   4,405,220    9,305,220 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $25.62   $23.93 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $25.70   $23.85 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
4
1
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(66% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due 07/06/23
  $25,000,000   $24,989,490 
4.959% due 07/13/23
   25,000,000    24,964,895 
5.104% due 08/01/23
   25,000,000    24,897,695 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $74,834,094)
    $74,852,080 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
WTI Crude Oil - NYMEX, expires September 2023
   1,038   $73,469,640   $877,640 
WTI Crude Oil - NYMEX, expires December 2023
   1,073    75,539,200    7,336,619 
WTI Crude Oil - NYMEX, expires June 2024
   1,111    76,681,220    4,771,897 
      
 
 
 
      $12,986,156 
      
 
 
 
^^
Rates shown representsrepresent discount rate at the time of purchase.

See accompanying notes to financial statements.

4
2
Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT BLOOMBERG CRUDE OIL

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,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $1,560,028  $289,299  $3,563,237  $343,206 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   359,177   946,110   844,057   1,438,757 
Brokerage commissions
   60,079   107,079   125,836   184,135 
Futures account fees
   —     85,802   —     155,979 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   419,256   1,138,991   969,893   1,778,871 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,140,772   (849,692)   2,593,344   (1,435,665) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   28,046,795   (102,594,000)   55,661,074   (209,076,101) 
Short-term U.S. government and agency obligations
   (12,271)   —     (11,783)   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   28,034,524   (102,594,000)   55,649,291   (209,076,101) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (8,229,852)   34,810,301   2,741,263   36,926,293 
Short-term U.S. government and agency obligations
   13,244   (53,187)   (1,641)   (240,137) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (8,216,608)   34,757,114   2,739,622   36,686,156 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   19,817,916   (67,836,886)   58,388,913   (172,389,945) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $20,958,688  $(68,686,578)  $60,982,257  $(173,825,610) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

4
3
Table of Contents
PROSHARES ULTRA YEN

STATEMENTULTRASHORT BLOOMBERG CRUDE OIL

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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $144,762,563  $416,799,231  $222,697,337  $114,167,602 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 6,250,000, 12,320,000, 11,550,000 and 27,890,000 shares, respectively (Note 1)
   149,281,563   278,861,920   277,187,438   788,890,799 
Redemption of 7,600,000, 4,851,540, 16,450,000 and 7,911,540 shares, respectively (Note 1)
   (202,147,862)   (125,817,269)   (448,012,080)   (228,075,487) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (1,350,000), 7,468,460, (4,900,000) and 19,978,460 shares, respectively (Note 1)
   (52,866,299)   153,044,651   (170,824,642)   560,815,312 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,140,772   (849,692)   2,593,344   (1,435,665) 
Net realized gain (loss)
   28,034,524   (102,594,000)   55,649,291   (209,076,101) 
Change in net unrealized appreciation (depreciation)
   (8,216,608)   34,757,114   2,739,622   36,686,156 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   20,958,688   (68,686,578)   60,982,257   (173,825,610) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $112,854,952  $501,157,304  $112,854,952  $501,157,304 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

4
4
Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT BLOOMBERG CRUDE OIL

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,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $60,982,257  $(173,825,610) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (378,541,825)   (988,742,468) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   394,924,819   812,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,821,563)   (217,252) 
Net realized (gain) loss on investments
   11,783   —   
Change in unrealized (appreciation) depreciation on investments
   1,641   240,137 
Decrease (Increase) in receivable on open futures contracts
   1,604,847   (28,947,961) 
Decrease (Increase) in interest receivable
   265,587   (98,456) 
Increase (Decrease) in payable to Sponsor
   (111,014)   264,125 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (220)   4,674 
Increase (Decrease) in payable on open futures contracts
   (5,802,618)   11,507,191 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   71,513,694   (367,815,620) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   274,667,692   788,890,799 
Payment on shares redeemed
   (444,081,787)   (228,075,487) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (169,414,095)   560,815,312 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (97,900,401)   192,999,692 
Cash, beginning of period
   139,811,511   54,443,553 
  
 
 
  
 
 
 
Cash, end of period
  $41,911,110  $247,443,245 
  
 
 
  
 
 
 
See accompanying notes to financial statements.

4
5
Table of Contents
PROSHARES TRUST II

COMBINED ULTRASHORT BLOOMBERG NATURAL GAS

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, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $34,827,196 and $61,469,726, respectively)
  $34,829,828   $61,482,526 
Cash
   59,777,081    5,724,380 
Segregated cash balances with brokers for futures contracts
   38,892,240    38,758,160 
Receivable from capital shares sold
   2,752,997    —   
Receivable on open futures contracts
   25,849,741    33,637,888 
Interest receivable
   247,504    293,818 
  
 
 
   
 
 
 
Total assets
   162,349,391    139,896,772 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   14,487,618    5,365,196 
Payable on open futures contracts
   6,434,160    282,362 
Brokerage commissions and futures account fees payable
   8,448    7,497 
Payable to Sponsor
   94,202    132,197 
  
 
 
   
 
 
 
Total liabilities
   21,024,428    5,787,252 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   141,324,963    134,109,520 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $162,349,391   $139,896,772 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   2,566,856    4,966,856 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $55.06   $27.00 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $55.45   $27.56 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

4
6
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(25% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.104% due 08/01/23
  $10,000,000   $9,959,078 
4.972% due 08/08/23
   25,000,000    24,870,750 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $34,827,196)
    $34,829,828 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires September 2023
   10,189   $282,642,860   $(20,310,332) 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
4
7
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $1,344,889  $122,188  $2,531,641  $178,013 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   302,274   510,704   599,136   1,053,068 
Brokerage commissions
   233,647   144,907   443,288   365,858 
Futures account fees
   26,758   76,956   56,367   206,885 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   562,679   732,567   1,098,791   1,625,811 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   782,210   (610,379)   1,432,850   (1,447,798) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   48,736,428   (282,646,685)   232,145,072   (397,312,383) 
Short-term U.S. government and agency obligations
   1,415   (199)   (1,263)   (58,809) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   48,737,843   (282,646,884)   232,143,809   (397,371,192) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (61,246,927)   228,166,248   (106,199,730)   140,634,090 
Short-term U.S. government and agency obligations
   (3,173)   (87,121)   (10,168)   (342,034) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (61,250,100)   228,079,127   (106,209,898)   140,292,056 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (12,512,257)   (54,567,757)   125,933,911   (257,079,136) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(11,730,047)  $(55,178,136)  $127,366,761  $(258,526,934) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
4
8
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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $146,981,760  $250,340,837  $134,109,520  $242,145,130 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 6,600,000, 18,700,000, 13,850,000 and 23,340,000 shares, respectively (Note 1)
   457,417,060   489,076,501   833,426,697   944,035,742 
Redemption of 6,100,000, 17,601,764, 16,250,000 and 19,351,886 shares, respectively (Note 1)
   (451,343,810)   (472,415,756)   (953,578,015)   (715,830,492) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 500,000, 1,098,236, (2,400,000) and 3,988,114 shares, respectively (Note 1)
   6,073,250   16,660,745   (120,151,318)   228,205,250 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   782,210   (610,379)   1,432,850   (1,447,798) 
Net realized gain (loss)
   48,737,843   (282,646,884)   232,143,809   (397,371,192) 
Change in net unrealized appreciation (depreciation)
   (61,250,100)   228,079,127   (106,209,898)   140,292,056 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (11,730,047)   (55,178,136)   127,366,761   (258,526,934) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $141,324,963  $211,823,446  $141,324,963  $211,823,446 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
49

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $127,366,761  $(258,526,934) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (119,017,542)   (346,906,626) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   146,569,111   410,859,860 
Net amortization and accretion on short-term U.S. government and agency obligations
   (910,302)   (110,657) 
Net realized (gain) loss on investments
   1,263   58,809 
Change in unrealized (appreciation) depreciation on investments
   10,168   342,034 
Decrease (Increase) in receivable on open futures contracts
   7,788,147   (43,089,309) 
Decrease (Increase) in interest receivable
   46,314   (35,299) 
Increase (Decrease) in payable to Sponsor
   (37,995)   (37,097) 
Increase (Decrease) in brokerage commissions and futures account fees payable
   951   (35,587) 
Increase (Decrease) in payable on open futures contracts
   6,151,798   (1,699,127) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   167,968,674   (239,179,933) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   830,673,700   944,035,742 
Payment on shares redeemed
   (944,455,593)   (706,724,583) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (113,781,893)   237,311,159 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   54,186,781   (1,868,774) 
Cash, beginning of period
   44,482,540   113,000,927 
  
 
 
  
 
 
 
Cash, end of period
  $98,669,321  $111,132,153 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
0
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively)
  $—     $39,996,624 
Cash
   45,515,144    30,687,235 
Segregated cash balances with brokers for foreign currency forward contracts
   7,024,121    6,844,121 
Unrealized appreciation on foreign currency forward contracts
   29,100    193,192 
Interest receivable
   192,965    109,830 
  
 
 
   
 
 
 
Total assets
   52,761,330    77,831,002 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   42,155    63,375 
Unrealized depreciation on foreign currency forward contracts
   1,787,874    2,654,448 
  
 
 
   
 
 
 
Total liabilities
   1,830,029    2,717,823 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   50,931,301    75,113,179 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $52,761,330   $77,831,002 
  
 
 
   
 
 
 
Shares outstanding
   1,750,000    2,550,000 
  
 
 
   
 
 
 
Net asset value per share
  $29.10   $29.46 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $29.11   $29.45 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
5
1
Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
      
Euro with Goldman Sachs International
   07/14/23    4,446,000  $4,855,150  $(36,237) 
Euro with UBS AG
   07/14/23    12,460,000   13,606,649   29,100 
      
 
 
 
      Total Unrealized
Depreciation		 
 		 $(7,137) 
      
 
 
 
Contracts to Sell
      
Euro with Goldman Sachs International
   07/14/23    (51,941,263)  $(56,721,233)  $(836,536) 
Euro with UBS AG
   07/14/23    (58,308,199)   (63,674,095)   (915,101) 
      
 
 
 
      Total Unrealized
Depreciation		 
 		 $(1,751,637) 
      
 
 
 
^
The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
5
2
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 
2023
  
2022
  
2023
  
2022
 
Investment Income
    
Interest
 $593,746  $39,011  $1,240,866  $54,416 
 
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
    
Management fee
  131,101   146,934   292,669   264,390 
 
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
  131,101   146,934   292,669   264,390 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
  462,645   (107,923)   948,197   (209,974) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Foreign currency forward contracts
  (1,045,942)   3,065,129   (2,453,253)   5,607,263 
Short-term U.S. government and agency obligations
  —     —     —     210,974 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
  (1,045,942)   3,065,129   (2,453,253)   5,818,237 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Foreign currency forward contracts
  556,469   3,061,048   702,482   3,403,124 
Short-term U.S. government and agency obligations
  —     (21,310)   (4,802)   (94,645) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
  556,469   3,039,738   697,680   3,308,479 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
  (489,473)   6,104,867   (1,755,573)   9,126,716 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
 $(26,828)  $5,996,944  $(807,376)  $8,916,742 
 
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
3
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $59,537,260  $50,498,084  $75,113,179  $54,263,045 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 500,000, 100,000 and 550,000 shares, respectively
   —     14,656,401   3,051,886   16,028,063 
Redemption of 300,000, 300,000, 900,000 and 600,000 shares, respectively
   (8,579,131)   (8,881,332)   (26,426,388)   (16,937,753) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (300,000), 200,000, (800,000) and (50,000) shares, respectively
   (8,579,131)   5,775,069   (23,374,502)   (909,690) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   462,645   (107,923)   948,197   (209,974) 
Net realized gain (loss)
   (1,045,942)   3,065,129   (2,453,253)   5,818,237 
Change in net unrealized appreciation (depreciation)
   556,469   3,039,738   697,680   3,308,479 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (26,828)   5,996,944   (807,376)   8,916,742 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $50,931,301  $62,270,097  $50,931,301  $62,270,097 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
4
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(807,376)  $8,916,742 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (54,925,175)   (44,986,222) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   95,000,000   72,210,974 
Net amortization and accretion on short-term U.S. government and agency obligations
   (83,003)   (32,410) 
Net realized (gain) loss on investments
   —     (210,974) 
Change in unrealized (appreciation) depreciation on investments
   (697,680)   (3,308,479) 
Decrease (Increase) in interest receivable
   (83,135)   (17,256) 
Increase (Decrease) in payable to Sponsor
   (21,220)   6,691 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   38,382,411   32,579,066 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   3,051,886   16,028,063 
Payment on shares redeemed
   (26,426,388)   (16,937,753) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (23,374,502)   (909,690) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   15,007,909   31,669,376 
Cash, beginning of period
   37,531,356   7,554,065 
  
 
 
  
 
 
 
Cash, end of period
  $52,539,265  $39,223,441 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
5
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Cash
  $13,595,466   $12,252,100 
Segregated cash balances with brokers for futures contracts
   657,360    232,313 
Segregated cash balances with brokers for swap agreements
   2,476,000    3,536,000 
Unrealized appreciation on swap agreements
   440,571    —   
Receivable on open futures contracts
   40,101    —   
Interest receivable
   61,501    42,135 
  
 
 
   
 
 
 
Total assets
   17,270,999    16,062,548 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   1,445,160    —   
Payable on open futures contracts
   2,300    700 
Payable to Sponsor
   14,161    12,854 
Unrealized depreciation on swap agreements
   —      592,957 
  
 
 
   
 
 
 
Total liabilities
   1,461,621    606,511 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   15,809,378    15,456,037 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $17,270,999   $16,062,548 
  
 
 
   
 
 
 
Shares outstanding
   546,977    496,977 
  
 
 
   
 
 
 
Net asset value per share
  $28.90   $31.10 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $28.96   $30.99 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
5
6
Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Gold Futures - COMEX, expires August 2023
   79   $15,242,260   $970,805 
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%   07/06/23   $    (3,783,471)  $101,527 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20  07/06/23    (4,958,670)   133,231 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  07/06/23    (7,669,707)   205,813 
      
 
 
 
      Total Unrealized
Appreciation		 
 		 $440,571 
      
 
 
 
^
The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
*
Reflects the floating financing rate, as of June 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
5
7
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $184,052  $19,975  $316,614  $29,660 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   42,869   75,676   79,242   141,814 
Brokerage commissions
   1,605   2,985   2,966   5,796 
Futures account fees
   —     580   —     2,446 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   44,474   79,241   82,208   150,056 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   139,578   (59,266)   234,406   (120,396) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (562,109)   1,310,720   (676,159)   (680,529) 
Swap agreements
   (991,042)   3,247,150   (1,907,873)   (1,070,274) 
Short-term U.S. government and agency obligations
   —     —     —     4 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (1,553,151)   4,557,870   (2,584,032)   (1,750,799) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   1,132,962   485,575   1,069,691   653,483 
Swap agreements
   1,625,959   (187,339)   1,033,528   1,714,101 
Short-term U.S. government and agency obligations
   —     (8,285)   —     (48,854) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   2,758,921   289,951   2,103,219   2,318,730 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   1,205,770   4,847,821   (480,813)   567,931 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $1,345,348  $4,788,555  $(246,407)  $447,535 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
8
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $16,049,273  $32,598,451  $15,456,037  $26,859,844 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 300,000, 700,000, 600,000 and 1,150,000 shares, respectively
   7,934,073   20,554,617   16,298,343   33,744,566 
Redemption of 350,000, 800,000, 550,000 and 900,000 shares, respectively
   (9,519,316)   (23,330,339)   (15,698,595)   (26,440,661) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (50,000), (100,000), 50,000 and 250,000 shares, respectively
   (1,585,243)   (2,775,722)   599,748   7,303,905 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   139,578   (59,266)   234,406   (120,396) 
Net realized gain (loss)
   (1,553,151)   4,557,870   (2,584,032)   (1,750,799) 
Change in net unrealized appreciation (depreciation)
   2,758,921   289,951   2,103,219   2,318,730 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   1,345,348   4,788,555   (246,407)   447,535 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $15,809,378  $34,611,284  $15,809,378  $34,611,284 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
59

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(246,407)  $447,535 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   —     (17,987,491) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     29,999,990 
Net amortization and accretion on short-term U.S. government and agency obligations
   —     (21,000) 
Net realized (gain) loss on investments
   —     (4) 
Change in unrealized (appreciation) depreciation on investments
   (1,033,528)   (1,665,247) 
Decrease (Increase) in receivable on open futures contracts
   (40,101)   (5,100) 
Decrease (Increase) in interest receivable
   (19,366)   (6,385) 
Increase (Decrease) in payable to Sponsor
   1,307   (1,526) 
Increase (Decrease) in brokerage commissions and futures account fees payable
   —     (294) 
Increase (Decrease) in payable on open futures contracts
   1,600   (77,583) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,336,495)   10,682,895 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   16,298,343   32,164,882 
Payment on shares redeemed
   (14,253,435)   (26,440,661) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   2,044,908   5,724,221 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   708,413   16,407,116 
Cash, beginning of period
   16,020,413   1,990,354 
  
 
 
  
 
 
 
Cash, end of period
  $16,728,826  $18,397,470 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6
0
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Cash
  $12,006,167   $21,887,346 
Segregated cash balances with brokers for futures contracts
   1,325,250    2,820,937 
Segregated cash balances with brokers for swap agreements
   6,881,000    7,875,000 
Unrealized appreciation on swap agreements
   845,012    —   
Receivable from capital shares sold
   —      972,789 
Receivable on open futures contracts
   245,272    59,575 
Interest receivable
   61,813    60,480 
  
 
 
   
 
 
 
Total assets
   21,364,514    33,676,127 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   2,049,307    —   
Payable on open futures contracts
   5,550    —   
Payable to Sponsor
   19,184    20,705 
Unrealized depreciation on swap agreements
   —      1,722,623 
  
 
 
   
 
 
 
Total liabilities
   2,074,041    1,743,328 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   19,290,473    31,932,799 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $21,364,514   $33,676,127 
  
 
 
   
 
 
 
Shares outstanding
   941,329    1,641,329 
  
 
 
   
 
 
 
Net asset value per share
  $20.49   $19.46 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $20.58   $19.30 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
6
1
Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Silver Futures - COMEX, expires September 2023
   139   $15,998,900   $958,923 
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%   07/06/23   $(2,676,258)  $100,100 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25  07/06/23    (9,749,240)   364,653 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30  07/06/23    (7,708,614)   288,063 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25  07/06/23    (2,464,968)   92,196 
      
 
 
 
      Total Unrealized
Appreciation		 
 		 $845,012 
      
 
 
 
^
The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
*
Reflects the floating financing rate, as of June 30, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
6
2
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $323,734  $18,743  $523,812  $27,663 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   82,417   62,381   142,585   123,334 
Brokerage commissions
   8,958   6,677   14,661   11,978 
Futures account fees
   —     1,169   —     4,443 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   91,375   70,227   157,246   139,755 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   232,359   (51,484)   366,566   (112,092) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   3,460,638   5,944,050   4,792,636   4,650,280 
Swap agreements
   (2,347,042)   3,467,182   (965,417)   (2,612,794) 
Short-term U.S. government and agency obligations
   (906)   —     (906)   (190) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   1,112,690   9,411,232   3,826,313   2,037,296 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   1,782,960   2,249,743   1,899,423   1,864,397 
Swap agreements
   3,867,334   1,599,944   2,567,635   3,794,452 
Short-term U.S. government and agency obligations
   —     3,625   —     (15,885) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   5,650,294   3,853,312   4,467,058   5,642,964 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   6,762,984   13,264,544   8,293,371   7,680,260 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $6,995,343  $13,213,060  $8,659,937  $7,568,168 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6
3
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $20,335,691  $23,406,516  $31,932,799  $26,537,000 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 2,450,000, 700,000, 3,100,000 and 1,800,000 shares, respectively
   41,523,335   17,707,417   55,312,875   43,267,561 
Redemption of 2,600,000, 750,000, 3,800,000 and 1,750,000 shares, respectively
   (49,563,896)   (21,274,153)   (76,615,138)   (44,319,889) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (150,000), (50,000), (700,000) and 50,000 shares, respectively
   (8,040,561)   (3,566,736)   (21,302,263)   (1,052,328) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   232,359   (51,484)   366,566   (112,092) 
Net realized gain (loss)
   1,112,690   9,411,232   3,826,313   2,037,296 
Change in net unrealized appreciation (depreciation)
   5,650,294   3,853,312   4,467,058   5,642,964 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   6,995,343   13,213,060   8,659,937   7,568,168 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $19,290,473  $33,052,840  $19,290,473  $33,052,840 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6
4
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $8,659,937  $7,568,168 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (14,880,254)   (20,979,051) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   14,937,156   30,999,081 
Net amortization and accretion on short-term U.S. government and agency obligations
   (57,808)   (21,212) 
Net realized (gain) loss on investments
   906   190 
Change in unrealized (appreciation) depreciation on investments
   (2,567,635)   (3,778,567) 
Decrease (Increase) in receivable on open futures contracts
   (185,697)   (176,048) 
Decrease (Increase) in interest receivable
   (1,333)   (4,807) 
Increase (Decrease) in payable to Sponsor
   (1,521)   (9,072) 
Increase (Decrease) in brokerage commissions and futures account fees payable
   —     (747) 
Increase (Decrease) in payable on open futures contracts
   5,550   (5,840) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   5,909,301   13,592,095 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   56,285,664   41,679,928 
Payment on shares redeemed
   (74,565,831)   (44,319,889) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (18,280,167)   (2,639,961) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (12,370,866)   10,952,134 
Cash, beginning of period
   32,583,283   5,483,476 
  
 
 
  
 
 
 
Cash, end of period
  $20,212,417  $16,435,610 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6
5
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively)
  $—     $22,998,059 
Cash
   22,448,405    451,616 
Segregated cash balances with brokers for foreign currency forward contracts
   2,582,511    3,652,511 
Unrealized appreciation on foreign currency forward contracts
   2,238,472    963,369 
Interest receivable
   86,880    36,071 
  
 
 
   
 
 
 
Total assets
   27,356,268    28,101,626 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   —      2,683,455 
Payable to Sponsor
   19,992    29,633 
Unrealized depreciation on foreign currency forward contracts
   258,620    3,990,802 
  
 
 
   
 
 
 
Total liabilities
   278,612    6,703,890 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   27,077,656    21,397,736 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $27,356,268   $28,101,626 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   398,580    398,580 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $67.94   $53.68 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $67.95   $53.57 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
6
6
Table of Contents
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
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 UBS AG
   07/14/23    1,228,677,000  $8,534,862  $(258,620) 
      
 
 
 
      Total Unrealized
Depreciation		 
 		 $(258,620) 
      
 
 
 
Contracts to Sell
      
Yen with Goldman Sachs International
   07/14/23    (3,428,392,165)  $(23,814,929)  $890,062 
Yen with UBS AG
   07/14/23    (5,596,567,574)   (38,875,908)   1,348,410 
      
 
 
 
      Total Unrealized
Appreciation		 
 		 $2,238,472 
      
 
 
 
^
The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
6
7
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 
2023
  
2022
  
2023
  
2022
 
Investment Income
    
Interest
 $255,354  $26,913  $459,554  $36,312 
 
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
    
Management fee
  58,179   93,181   108,991   153,001 
 
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
  58,179   93,181   108,991   153,001 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
  197,175   (66,268)   350,563   (116,689) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Foreign currency forward contracts
  1,370,771   7,917,170   342,795   8,997,343 
Short-term U.S. government and agency obligations
  —     —     —     102,971 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
  1,370,771   7,917,170   342,795   9,100,314 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Foreign currency forward contracts
  3,145,023   (1,364,477)   5,007,285   101,925 
Short-term U.S. government and agency obligations
  —     (3,452)   (2,761)   (31,390) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
  3,145,023   (1,367,929)   5,004,524   70,535 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
  4,515,794   6,549,241   5,347,319   9,170,849 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
 $4,712,969  $6,482,973  $5,697,882  $9,054,160 
 
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6
8

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $25,111,818  $27,726,701  $21,397,736  $24,840,784 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 250,000, 650,000, 450,000 and 850,000 shares, respectively (Note 1)
   14,899,838   34,515,397   26,056,375   44,120,719 
Redemption of 300,000, 450,000, 450,000 and 650,000 shares, respectively (Note 1)
   (17,646,969)   (23,156,189)   (26,074,337)   (32,446,781) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (50,000), 200,000, – and 200,000 shares, respectively (Note 1)
   (2,747,131)   11,359,208   (17,962)   11,673,938 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   197,175   (66,268)   350,563   (116,689) 
Net realized gain (loss)
   1,370,771   7,917,170   342,795   9,100,314 
Change in net unrealized appreciation (depreciation)
   3,145,023   (1,367,929)   5,004,524   70,535 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   4,712,969   6,482,973   5,697,882   9,054,160 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $27,077,656  $45,568,882  $27,077,656  $45,568,882 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
69
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $5,697,882  $9,054,160 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   —     (17,984,733) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   23,000,000   28,102,971 
Net amortization and accretion on short-term U.S. government and agency obligations
   (4,702)   (20,093) 
Net realized (gain) loss on investments
   —     (102,971) 
Change in unrealized (appreciation) depreciation on investments
   (5,004,524)   (70,535) 
Decrease (Increase) in interest receivable
   (50,809)   (12,261) 
Increase (Decrease) in payable to Sponsor
   (9,641)   11,416 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   23,628,206   18,977,954 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   26,056,375   44,120,719 
Payment on shares redeemed
   (28,757,792)   (32,446,781) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (2,701,417)   11,673,938 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   20,926,789   30,651,892 
Cash, beginning of period
   4,104,127   3,003,251 
  
 
 
  
 
 
 
Cash, end of period
  $25,030,916  $33,655,143 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
0
Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively)
  $—     $49,882,348 
Cash
   42,134,389    19,575,939 
Segregated cash balances with brokers for futures contracts
   8,099,770    14,384,050 
Receivable on open futures contracts
   —      142,794 
Interest receivable
   189,748    88,180 
  
 
 
   
 
 
 
Total assets
   50,423,907    84,073,311 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   962,275    —   
Brokerage commissions and futures account fees payable
   4,683    3,688 
Payable to Sponsor
   35,536    54,664 
  
 
 
   
 
 
 
Total liabilities
   1,002,494    58,352 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   49,421,413    84,014,959 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $50,423,907   $84,073,311 
  
 
 
   
 
 
 
Shares outstanding
   2,412,403    2,762,403 
  
 
 
   
 
 
 
Net asset value per share
  $20.49   $30.41 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $20.48   $30.36 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
7
1
Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires October 2023
   501   $9,192,799   $(2,627,316) 
VIX Futures - Cboe, expires November 2023
   865    16,305,250    (4,252,873) 
VIX Futures - Cboe, expires December 2023
   865    16,564,750    (2,707,689) 
VIX Futures - Cboe, expires January 2024
   364    7,352,800    (290,336) 
      
 
 
 
      $(9,878,214) 
      
 
 
 
See accompanying notes to financial statements.
7
2
Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $650,585  $52,826  $1,298,505  $76,749 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   134,066   210,584   284,189   426,247 
Brokerage commissions
   12,200   15,500   21,369   40,369 
Futures account fees
   11,856   10,906   23,296   46,394 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   158,122   236,990   328,854   513,010 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   492,463   (184,164)   969,651   (436,261) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (6,943,333)   7,862,052   (22,764,053)   12,653,885 
Short-term U.S. government and agency obligations
   —     —     —     (336) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (6,943,333)   7,862,052   (22,764,053)   12,653,549 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (9,677,526)   4,040,230   (5,086,991)   3,705,055 
Short-term U.S. government and agency obligations
   2,424   (47,560)   (5,651)   (186,220) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (9,675,102)   3,992,670   (5,092,642)   3,518,835 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (16,618,435)   11,854,722   (27,856,695)   16,172,384 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(16,125,972)  $11,670,558  $(26,887,044)  $15,736,123 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
3
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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $67,306,087  $97,869,914  $84,014,959  $112,875,680 
  
 
 
�� 
 
 
  
 
 
  
 
 
 
Addition of 575,000, 300,000, 850,000 and 1,000,000 shares, respectively
   14,067,422   10,043,451   21,818,758   32,179,053 
Redemption of 675,000, 700,000, 1,200,000 and 1,975,000 shares, respectively
   (15,826,124)   (23,862,652)   (29,525,260)   (65,069,585) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (100,000), (400,000), (350,000) and (975,000) shares, respectively
   (1,758,702)   (13,819,201)   (7,706,502)   (32,890,532) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   492,463   (184,164)   969,651   (436,261) 
Net realized gain (loss)
   (6,943,333)   7,862,052   (22,764,053)   12,653,549 
Change in net unrealized appreciation (depreciation)
   (9,675,102)   3,992,670   (5,092,642)   3,518,835 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (16,125,972)   11,670,558   (26,887,044)   15,736,123 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $49,421,413  $95,721,271  $49,421,413  $95,721,271 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
4
Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(26,887,044)  $15,736,123 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (254,817,825)   (51,992,010) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   305,000,000   105,998,548 
Net amortization and accretion on short-term U.S. government and agency obligations
   (305,478)   (45,127) 
Net realized (gain) loss on investments
   —     336 
Change in unrealized (appreciation) depreciation on investments
   5,651   186,220 
Decrease (Increase) in receivable on open futures contracts
   142,794   (752,378) 
Decrease (Increase) in interest receivable
   (101,568)   (21,835) 
Increase (Decrease) in payable to Sponsor
   (19,128)   (20,792) 
Increase (Decrease) in brokerage commissions and futures account fees payable
   995   (7,124) 
Increase (Decrease) in payable on open futures contracts
   962,275   (94,495) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   23,980,672   68,987,466 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   21,818,758   32,179,053 
Payment on shares redeemed
   (29,525,260)   (65,069,585) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (7,706,502)   (32,890,532) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   16,274,170   36,096,934 
Cash, beginning of period
   33,959,989   27,071,819 
  
 
 
  
 
 
 
Cash, end of period
  $50,234,159  $63,168,753 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
5
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $74,762,717 and $89,329,814, respectively)
  $74,783,454   $89,347,714 
Cash
   50,424,148    33,526,868 
Segregated cash balances with brokers for futures contracts
   88,397,850    91,634,942 
Receivable on open futures contracts
   18,506,138    52,643,553 
Interest receivable
   385,471    403,667 
  
 
 
   
 
 
 
Total assets
   232,497,061    267,556,744 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   —      570,473 
Payable on open futures contracts
   2,131,494    223,719 
Brokerage commissions and futures account fees payable
   19,141    27,102 
Payable to Sponsor
   118,596    155,130 
  
 
 
   
 
 
 
Total liabilities
   2,269,231    976,424 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   230,227,830    266,580,320 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $232,497,061   $267,556,744 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   9,226,565    4,676,565 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $24.95   $57.00 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $24.96   $56.90 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
7
6
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(32% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
4.959% due 07/13/23
  $15,000,000   $14,978,937 
5.242% due 07/18/23
   25,000,000    24,947,395 
5.251% due 07/25/23
   20,000,000    19,938,584 
5.161% due 08/10/23
   15,000,000    14,918,538 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $74,762,717)
    $74,783,454 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires July 2023
   8,545   $128,268,995   $(26,123,108) 
VIX Futures - Cboe, expires August 2023
   6,216    101,944,265    (3,849,779) 
      
 
 
 
      $(29,972,887) 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
7
7
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 
2023
  
2022
  
2023
  
2022
 
Investment Income
    
Interest
 $2,440,291  $207,903  $4,560,852  $278,612 
 
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
    
Management fee
  530,826   773,717   1,048,314   1,479,408 
Brokerage commissions
  95,391   171,182   191,888   287,656 
Futures account fees
  48,732   115,783   99,391   316,440 
 
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
  674,949   1,060,682   1,339,593   2,083,504 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
  1,765,342   (852,779)   3,221,259   (1,804,892) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
  (127,229,299)   23,659,182   (173,326,001)   77,393,309 
Short-term U.S. government and agency obligations
  (10,613)   (397)   (10,605)   (300) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
  (127,239,912)   23,658,785   (173,336,606)   77,393,009 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
  (21,324,056)   46,680,364   (20,176,064)   33,506,046 
Short-term U.S. government and agency obligations
  20,803   (79,587)   2,837   (353,650) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
  (21,303,253)   46,600,777   (20,173,227)   33,152,396 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
  (148,543,165)   70,259,562   (193,509,833)   110,545,405 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
 $(146,777,823)  $69,406,783  $(190,288,574)  $108,740,513 
 
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
8
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,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $226,765,204  $404,950,400  $266,580,320  $269,703,164 
Addition of 4,460,000, 1,635,000, 6,760,000 and 3,625,000 shares, respectively (Note 1)
   159,301,302   141,195,554   267,768,654   302,368,469 
Redemption of 255,000, 2,760,000, 2,210,000 and 3,440,000 shares, respectively (Note 1)
   (9,060,853)   (273,838,421)   (113,832,570)   (339,097,830) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 4,205,000, (1,125,000), 4,550,000 and 185,000 shares, respectively (Note 1)
   150,240,449   (132,642,867)   153,936,084   (36,729,361) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,765,342   (852,779)   3,221,259   (1,804,892) 
Net realized gain (loss)
   (127,239,912)   23,658,785   (173,336,606)   77,393,009 
Change in net unrealized appreciation (depreciation)
   (21,303,253)   46,600,777   (20,173,227)   33,152,396 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (146,777,823)   69,406,783   (190,288,574)   108,740,513 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $230,227,830  $341,714,316  $230,227,830  $341,714,316 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
79
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(190,288,574)  $108,740,513 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (318,231,573)   (772,834,858) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   334,754,108   753,998,870 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,966,043)   (182,283) 
Net realized (gain) loss on investments
   10,605   300 
Change in unrealized (appreciation) depreciation on investments
   (2,837)   353,650 
Decrease (Increase) in receivable on open futures contracts
   34,137,415   (36,332,848) 
Decrease (Increase) in interest receivable
   18,196   (70,359) 
Increase (Decrease) in payable to Sponsor
   (36,534)   32,486 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (7,961)   (20,252) 
Increase (Decrease) in payable on open futures contracts
   1,907,775   (2,037,391) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (139,705,423)   51,647,828 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   267,768,654   305,395,083 
Payment on shares redeemed
   (114,403,043)   (339,097,830) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   153,365,611   (33,702,747) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   13,660,188   17,945,081 
Cash, beginning of period
   125,161,810   115,960,816 
  
 
 
  
 
 
 
Cash, end of period
  $138,821,998  $133,905,897 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
8
0
Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $1,345,727,038 and $1,466,423,925, respectively)
  $1,346,032,901   $1,466,680,542 
Cash
   768,092,274    625,964,378 
Segregated cash balances with brokers for futures contracts
   1,011,816,684    925,792,861 
Segregated cash balances with brokers for foreign currency forward contracts
   12,206,632    12,956,632 
Segregated cash balances with brokers for swap agreements
   393,762,745    262,053,745 
Unrealized appreciation on swap agreements
   47,373,840    119,880,255 
Unrealized appreciation on foreign currency forward contracts
   2,527,851    2,823,510 
Receivable from capital shares sold
   5,314,437    1,014,483 
Receivable on open futures contracts
   236,446,947    522,770,291 
Interest receivable
   5,319,549    4,920,772 
  
 
 
   
 
 
 
Total assets
   3,828,893,860    3,944,857,469 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   27,830,318    32,725,077 
Payable on open futures contracts
   14,433,430    11,742,794 
Brokerage commissions and futures account fees payable
   166,633    165,165 
Payable to Sponsor
   2,902,544    3,210,113 
Unrealized depreciation on swap agreements
   26,790,686    2,315,580 
Unrealized depreciation on foreign currency forward contracts
   2,924,712    6,911,994 
  
 
 
   
 
 
 
Total liabilities
   75,048,323    57,070,723 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   3,753,845,537    3,887,786,746 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $3,828,893,860   $3,944,857,469 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   111,471,547    89,444,047 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
8
1
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,
 
 
2023
  
2022*
  
2023
  
2022*
 
Investment Income
    
Interest
 $35,172,821  $3,593,473  $69,048,196  $4,620,355 
Expenses
    
Management fee
  9,417,542   11,608,051   18,671,870   22,225,008 
Brokerage commissions
  2,541,487   1,894,153   4,916,119   3,802,918 
Futures account fees
  426,130   1,030,206   828,892   2,835,129 
 
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
  12,385,159   14,532,410   24,416,881   28,863,055 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
  22,787,662   (10,938,937)   44,631,315   (24,242,700) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
  (903,140,314)   101,692,223   (1,989,000,881)   510,140,998 
Swap agreements
  (127,144,869)   (48,816,783)   (36,920,176)   656,366,206 
Foreign currency forward contracts
  (367,022)   9,774,456   (2,820,838)   12,836,962 
Short-term U.S. government and agency obligations
  (182,341)   (420,375)   (195,871)   (192,800) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
  (1,030,834,546)   62,229,521   (2,028,937,766)   1,179,151,366 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
  370,415,259   10,131,053   337,853,836   62,770,119 
Swap agreements
  53,364,477   (57,491,778)   (96,981,521)   (326,324,133) 
Foreign currency forward contracts
  2,274,360   1,568,995   3,691,623   3,105,964 
Short-term U.S. government and agency obligations
  266,337   (768,379)   49,246   (4,025,886) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
  426,320,433   (46,560,109)   244,613,184   (264,473,936) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
  (604,514,113)   15,669,412   (1,784,324,582)   914,677,430 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
 $(581,726,451)  $4,730,475  $(1,739,693,267)  $890,434,730 
 
 
 
  
 
 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity FundShort Euro ETF and ProShares UltraShort Commodity FundAustralian Dollar ETF through September 1, 2016 (datesMay 12, 2022, the date of liquidation). See Note 1.liquidation.

See accompanying notes to financial statements.

8
2
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,
 
 
2023
  
2022*
  
2023
  
2022*
 
Shareholders’ equity, beginning of period
 $4,138,630,893  $5,338,066,570  $3,887,786,746  $4,173,474,343 
 
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 64,617,500, 46,420,000, 132,435,000 and 93,810,000 shares, respectively (Note 1)
  2,534,087,735   2,545,986,476   6,659,958,056   5,628,786,761 
Redemption of 53,005,000, 51,800,804, 110,407,500 and 94,335,926 shares, respectively (Note 1)
  (2,337,146,640)   (3,325,413,745)   (5,054,205,998)   (6,129,326,058) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 11,612,500,
(5,380,804
), 22,027,500 and (525,926) shares, respectively (Note 1)
  196,941,095   (779,427,269)   1,605,752,058   (500,539,297) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
  22,787,662   (10,938,937)   44,631,315   (24,242,700) 
Net realized gain (loss)
  (1,030,834,546)   62,229,521   (2,028,937,766)   1,179,151,366 
Change in net unrealized appreciation (depreciation)
  426,320,433   (46,560,109)   244,613,184   (264,473,936) 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  (581,726,451)   4,730,475   (1,739,693,267)   890,434,730 
 
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
 $3,753,845,537  $4,563,369,776  $3,753,845,537  $4,563,369,776 
 
 
 
  
 
 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity FundShort Euro ETF and ProShares UltraShort Commodity FundAustralian Dollar ETF through September 1, 2016 (datesMay 12, 2022, the date of liquidation). See Note 1.liquidation.

See accompanying notes to financial statements.

8
3
Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022*
 
Cash flow from operating activities
   
Net income (loss)
  $(1,739,693,267)  $890,434,730 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (23,583,170,670)   (11,579,158,324) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   23,734,747,679   12,000,836,596 
Net amortization and accretion on short-term U.S. government and agency obligations
   (31,075,993)   (3,419,714) 
Net realized (gain) loss on investments
   195,871   192,879 
Change in unrealized (appreciation) depreciation on investments
   93,240,652   327,244,055 
Decrease (Increase) in receivable on futures contracts
   286,323,344   (318,333,532) 
Decrease (Increase) in interest receivable
   (398,777)   (872,124) 
Increase (Decrease) in payable to Sponsor
   (307,569)   557,811 
Increase (Decrease) in brokerage commissions and futures account fees payable
   1,468   (331,006) 
Increase (Decrease) in payable on futures contracts
   2,690,636   25,823,690 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,237,446,626)   1,342,975,061 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   6,655,658,102   5,625,888,021 
Payment on shares redeemed
   (5,059,100,757)   (6,100,935,295) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,596,557,345   (475,047,274) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   359,110,719   867,927,787 
Cash, beginning of period
   1,826,767,616   1,408,701,238 
  
 
 
  
 
 
 
Cash, end of period
  $2,185,878,335  $2,276,629,025 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
See accompanying notes to financial statements.
8
4
Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS

September

June 30, 2017

2023

(unaudited)

NOTE 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, 2017,2023, the following twentysixteen 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”); and (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 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 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 May 12, 2022.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

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

The “Short” Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to one-half the inverse(-1x) (-0.5x) 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)
8
5
Table of Contents
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.,-1x, -0.5x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

Each 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.

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the six months June 30, 2023, and during the year ended December 31, 2016 and during

nine months ended September 30, 2017.2022. 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 UltraShort Bloomberg Natural Gas

  

July 20, 2016

January 13, 2022		  

3-for-1

1-for-5 reverse Share split

  

July 25, 2016

January 14, 2022

ProShares VIX Short-Term Futures ETF

UltraShort Yen
  

JulyMay 25, 2016

2022		  

1-for-52-for-1 forward Share split

May 26, 2022
ProShares Ultra Bloomberg Crude Oil
May 25, 20224-for-1 forward Share splitMay 26, 2022
ProShares UltraShort Bloomberg Natural Gas
May 25, 20221-for-4 reverse Share split

  

July 25, 2016

May 26, 2022

ProShares UltraShort Bloomberg Crude Oil
May 25, 20221-for-5 reverse Share splitMay 26, 2022
ProShares Ultra Bloomberg Natural Gas
June 23, 20231-for-20 reverse Share splitJune 24, 2023
ProShares Ultra VIX Short-Term Futures ETF

  

July 25, 2016

June 23, 2023		  

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

  

July 25, 2016

June 24, 2023

ProShares UltraShort Bloomberg Crude Oil

January 11, 2017

2-for-1 Share split

January 12, 2017

ProShares Ultra Bloomberg Crude Oil

January 11, 2017

1-for-2 reverse Share split

January 12, 2017

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

June 23, 2023		  

1-for-41-for-5 reverse Share split

  

July 17, 2017

ProShares Ultra VIX Short-Term Futures ETF

June 24, 2023		 

July 14, 2017

1-for-4 reverse Share split

July 17, 2017

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 forward 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 forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward 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”).

8
6
Table of Contents
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, 2016,2022, as filed with the SEC on March 1, 2017.

February 28, 2023.

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 material or significant 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

Statements of Cash Flows

The cash amountamounts shown in the Statements of Cash Flows isare the amountamounts reported as cash in the StatementStatements of Financial Condition dated SeptemberJune 30, 2017,2023 and 2022, 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.

8
7
Table of Contents
Final Net Asset Value for Fiscal Period

Thecut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the ninesix months ended SeptemberJune 30, 20172023 were typically as follows. All times are Eastern Standard Time:

Fund
  
Create/Redeem

Cut-off*
  
NAV Calculation

Time
  
NAV

Calculation Date

Ultra Silver and UltraShort Silver Ultra Silver

  6:30 a.m.1:00 p.m.  1:25 p.m.  7:00 a.m.June 30, 2023
Ultra Gold and UltraShort Gold
  1:00 p.m.  September 1:30 2017

UltraShort Gold, Ultra Gold

p.m.		  June 30, 2023
9:30 a.m.
Ultra Bloomberg Crude Oil,
    10:00 a.m.  
Ultra Bloomberg Natural Gas,
  September 30, 2017  

UltraShort Bloomberg Crude Oil

Ultra and

UltraShort Bloomberg Crude Oil

Natural Gas  2:00 p.m.  2:30 p.m.  SeptemberJune 30, 20172023

UltraPro 3x Short Crude Oil ETF

UltraPro 3x Crude Oil ETF

Ultra Euro,
    

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

Yen,
  
UltraShort Euro and
UltraShort Yen
3:00 p.m.4:00 p.m.June 30, 2023
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.  2:30 p.m.September 30, 2017

UltraShort Australian Dollar

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

Short Euro

3:00 p.m.4:00 p.m.September 30, 2017

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, 20172023

*
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, 2017.2023.

Market value per Share is determined at the close of the NYSE Arcaapplicable primary listing exchange and may be later thanfrom 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.

2023.

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
8
8
Table of Contents
UltraShort Euro Funds,Fund, 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 ShortUltraShort Euro FundsFund 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.

89

Table of Contents
The following table summarizes the valuation of investments at SeptemberJune 30, 20172023 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 VIX Short-Term Futures ETF
  $89,727,034   $23,929,205  $—    $—    $113,656,239 
ProShares Ultra Bloomberg Crude Oil
   413,997,952    9,418,306   —     (1,692,241)   421,724,017 
ProShares Ultra Bloomberg Natural Gas
   298,783,390    248,335,437   —     46,088,257   593,207,084 
ProShares Ultra Euro
   —      —     239,688   —     239,688 
ProShares Ultra Gold
   134,714,723    (5,385,731)   —     (7,053,083)   122,275,909 
ProShares Ultra Silver
   224,344,440    (9,977,916)   —     (18,045,362)   196,321,162 
ProShares Ultra VIX Short-Term Futures ETF
   —      (79,829,720)   —     —     (79,829,720) 
ProShares Ultra Yen
   —      —     (857,627)   —     (857,627) 
ProShares UltraShort Bloomberg Crude Oil
   74,852,080    12,986,156   —     —     87,838,236 
ProShares UltraShort Bloomberg Natural Gas
   34,829,828    (20,310,332)   —     —     14,519,496 
ProShares UltraShort Euro
   —      —     (1,758,774)   —     (1,758,774) 
ProShares UltraShort Gold
   —      970,805   —     440,571   1,411,376 
ProShares UltraShort Silver
   —      958,923   —     845,012   1,803,935 
ProShares UltraShort Yen
   —      —     1,979,852   —     1,979,852 
ProShares VIX Mid-Term Futures ETF
   —      (9,878,214)   —     —     (9,878,214) 
ProShares VIX Short-Term Futures ETF
   74,783,454    (29,972,887)   —     —     44,810,567 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Combined Trust:
  
$
1,346,032,901
 
  
$
141,244,032
 
 
$
(396,861
) 
 
$
20,583,154
 
 
$
1,507,463,226
 
*
Includes cumulative appreciation/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, 20162022 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 VIX Short-Term Futures ETF
  $144,307,676   $11,092,381  $—     $—     $155,400,057 
ProShares Ultra Bloomberg Crude Oil
   313,465,007    26,291,716   —      74,159,577    413,916,300 
ProShares Ultra Bloomberg Natural Gas
   263,260,158    (310,613,969)   —      —      (47,353,811) 
9
0
Table of Contents
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and
Agencies
   
Futures
Contracts
*
  
Foreign
Currency
Forward
Contracts
  
Swap
Agreements
  
Total
 
ProShares Ultra Euro
  $—     $—    
$

415,656  
$

—    
$

415,656 
ProShares Ultra Gold
   129,123,489    3,242,088   —     6,496,466   138,862,043 
ProShares Ultra Silver
   228,657,634    29,426,574   —     39,224,212   297,308,420 
ProShares Ultra VIX Short-Term Futures ETF
   34,732,372    (36,555,453)   —     —     (1,823,081) 
ProShares Ultra Yen
   —      —     984,549   —     984,549 
ProShares UltraShort Bloomberg Crude Oil
   89,426,935    10,244,893   —     —     99,671,828 
ProShares UltraShort Bloomberg Natural Gas
  
 61,482,526   
 85,889,398  
 —    
 —    
 147,371,924 
ProShares UltraShort Euro
   39,996,624    —     (2,461,256)   —     37,535,368 
ProShares UltraShort Gold
   —      (98,886)   —     (592,957)   (691,843) 
ProShares UltraShort Silver
   —      (940,500)   —     (1,722,623)   (2,663,123) 
ProShares UltraShort Yen
   22,998,059    —     (3,027,433)   —     19,970,626 
ProShares VIX Mid-Term Futures ETF
   49,882,348    (4,791,223)   —     —     45,091,125 
ProShares VIX Short-Term Futures ETF
   89,347,714    (9,796,823)   —     —     79,550,891 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Combined Trust:
  
$
1,466,680,542
 
  
$
(196,609,804
) 
 
$
(4,088,484
) 
 
$
117,564,675
 
 
$
1,383,546,929
 
*
Includes cumulative appreciation/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

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 ininto or out of Level I and Level II fair value measurements.

3 for the quarter ended June 30, 2023 or the year end December 31, 2022.

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
9
1
Table of Contents
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 exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

ann

ually.
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

In November 2016, the FASB issued Accounting Standards UpdateNo. 2016-18, “Statement of Cash Flows (Topic 230): Restricted

Cash” (“ASU2016-18”), which amends ASC 230 to provide 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.

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 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
9
2
Table of Contents
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.

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).
93
Table of Contents
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 (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) 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.
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.

94
Table of Contents
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, 20172023 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.

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
95
Table of Contents
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, 2017,2023, 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
96
Table of Contents
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 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, 2017,2023, 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 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.

9
7
Table of Contents
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 of Derivative Instruments

as of SeptemberJune 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* 

2023
Asset Derivatives
Liability Derivatives
Derivatives Not
Accounted for as
Hedging Instruments
Fund
Statements of
Financial
Condition Location
Unrealized
Appreciation
Statements of
Financial
Condition Location
Unrealized
Depreciation
VIX Futures Contracts
Receivable on open futures contracts, unrealized appreciation on swap agreementsPayable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF$23,929,205
*
$              —  
ProShares Ultra VIX Short-Term Futures ETF—  79,829,720
*
ProShares VIX Mid-Term Futures ETF—  9,878,214
*
ProShares VIX Short-Term Futures ETF—  29,972,887
*
Commodities Contracts
Receivables on open futures contracts and/or unrealized appreciation on swap agreementsPayable on open futures contracts and/or unrealized depreciation on swap agreements
ProShares Ultra Bloomberg Crude Oil9,418,306
*
1,692,241
*
ProShares Ultra Bloomberg Natural Gas294,423,694
*
—  
ProShares Ultra Gold—  12,438,814
*
ProShares Ultra Silver—  28,023,278
*
ProShares UltraShort Bloomberg Crude Oil12,986,156
*
—  
9
8
Table of Contents
      
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial
Condition Location
  
Unrealized
Appreciation
   
Statements of
Financial
Condition Location
  
Unrealized
Depreciation
 
   ProShares UltraShort Bloomberg Natural Gas      —         20,310,332
*
 
   ProShares UltraShort Gold      1,411,376
*
       —   
   ProShares UltraShort Silver      1,803,935
*
       —   
Foreign Exchange Contracts
     Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts       Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts     
   ProShares Ultra Euro      241,390       1,702 
   ProShares Ultra Yen      18,889       876,516 
   ProShares UltraShort Euro      29,100       1,787,874 
   ProShares UltraShort Yen      2,238,472       258,620 
         
 
 
      
 
 
 
      
Combined Trust:
  
 
$346,500,523
*
 
     
 
$185,070,198
*
 
*
Includes cumulative appreciation/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 of Derivative Instruments

as 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* 

2022
Asset Derivatives
Liability Derivatives
Derivatives Not
Accounted for as
Hedging Instruments
Fund
Statements of
Financial Condition
Location
Unrealized
Appreciation
Statements of
Financial Condition
Location
Unrealized
Depreciation
VIX Futures Contracts
Receivable on open futures contracts, unrealized appreciation on swap agreementsPayable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF$11,092,381
*
$—  
99
Table of Contents
Asset Derivatives
Liability Derivatives
Derivatives Not
Accounted for as
Hedging Instruments
Fund
Statements of
Financial
Condition Location
Unrealized
Appreciation
Statements of
Financial
Condition Location
Unrealized
Depreciation
ProShares Ultra VIX Short-Term Futures ETF—  36,555,453
*
ProShares VIX Mid-Term Futures ETF—  4,791,223
*
ProShares VIX Short-Term Futures ETF—  9,796,823
*
Commodities Contracts
Receivables on open futures contracts and/or unrealized appreciation on swap agreementsPayable on open futures contracts and/or unrealized depreciation on swap agreements
ProShares Ultra Bloomberg Crude Oil100,451,293
*
—  
ProShares Ultra Bloomberg Natural Gas—  310,613,969
*
ProShares Ultra Gold9,738,554
*
—  
ProShares Ultra Silver68,650,786
*
—  
ProShares UltraShort Bloomberg Crude Oil13,202,924
*
2,958,031
*
ProShares UltraShort Bloomberg Natural Gas85,889,398
*
—  
ProShares UltraShort Gold—  691,843
*
ProShares UltraShort Silver—  2,663,123
*
Foreign Exchange Contracts
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contractsUnrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
10
0
Table of Contents
      
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial
Condition Location
  
Unrealized
Appreciation
   
Statements of
Financial
Condition Location
  
Unrealized
Depreciation
 
  ProShares Ultra Euro     514,115      98,459 
  ProShares Ultra Yen     1,152,834      168,285 
  ProShares UltraShort Euro     193,192      2,654,448 
  ProShares UltraShort Yen     963,369      3,990,802 
      
 
 
     
 
 
 
    
Combined Trust:
  
 
$291,848,846
*
 
    
 
$374,982,459
*
 
The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 2023
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
      
    
ProShares Short VIX Short-Term Futures ETF
   $65,228,142    $9,658,017 
    
ProShares Ultra VIX Short-Term Futures ETF
   (426,304,544)    (45,320,517) 
    
ProShares VIX Mid-Term Futures ETF
   (6,943,333)    (9,677,526) 
    
ProShares VIX Short-Term Futures ETF
   (127,229,299)    (21,324,056) 
10
1
Table of Contents
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
      
    
ProShares Ultra Bloomberg Crude Oil
   (76,355,417)    45,434,288 
    
ProShares Ultra Bloomberg Natural Gas
   (616,883,269)    658,027,300 
    
ProShares Ultra Gold
   17,196,569    (32,888,484) 
    
ProShares Ultra Silver
   64,662,300    (119,061,722) 
    
ProShares UltraShort Bloomberg Crude Oil
   28,046,795    (8,229,852) 
    
ProShares UltraShort Bloomberg Natural Gas
   48,736,428    (61,246,927) 
    
ProShares UltraShort Gold
   (1,553,151)    2,758,921 
    
ProShares UltraShort Silver
   1,113,596    5,650,294 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      
    
ProShares Ultra Euro
   78,291    (79,023) 
    
ProShares Ultra Yen
   (770,142)    (1,348,109) 
    
ProShares UltraShort Euro
   (1,045,942)    556,469 
    
ProShares UltraShort Yen
   1,370,771    3,145,023 
      
 
 
   
 
 
 
    
Combined Trust
  
 
$(1,030,652,205)
 
  
 
$426,054,096
 
10
2
Table of Contents
The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2023
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
      
    
ProShares Short VIX Short-Term Futures ETF
   $94,832,290    $12,836,824 
    
ProShares Ultra VIX Short-Term Futures ETF
   (608,537,974)    (43,274,267) 
    
ProShares VIX Mid-Term Futures ETF
   (22,764,053)    (5,086,991) 
    
ProShares VIX Short-Term Futures ETF
   (173,326,001)    (20,176,064) 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
      
    
ProShares Ultra Bloomberg Crude Oil
   9,425,010    (92,725,228) 
    
ProShares Ultra Bloomberg Natural Gas
   (1,678,514,563)    605,037,663 
    
ProShares Ultra Gold
   27,996,465    (22,177,368) 
    
ProShares Ultra Silver
   35,918,436    (96,674,064) 
10
3
Table of Contents
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
    
ProShares UltraShort Bloomberg Crude Oil
   55,661,074    2,741,263 
    
ProShares UltraShort Bloomberg Natural Gas
   232,145,072    (106,199,730) 
    
ProShares UltraShort Gold
   (2,584,032)    2,103,219 
    
ProShares UltraShort Silver
   3,827,219    4,467,058 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      
    
ProShares Ultra Euro
   358,570    (175,968) 
    
ProShares Ultra Yen
   (1,068,950)    (1,842,176) 
    
ProShares UltraShort Euro
   (2,453,253)    702,482 
    
ProShares UltraShort Yen
   342,795    5,007,285 
      
 
 
   
 
 
 
    
Combined Trust:
  
 
$(2,028,741,895)
 
  
 
$244,563,938
 
*
Includes cumulative appreciation/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.

10
4
Table of Contents
The Effect of Derivative Instruments on the StatementsStatement of Operations

For the three months ended SeptemberJune 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 

2022

Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
      
    
ProShares Short VIX Short-Term Futures ETF
   $(13,029,194)    $(34,466,848) 
    
ProShares Ultra VIX Short-Term Futures ETF
   91,039,435    196,657,178 
    
ProShares VIX Mid-Term Futures ETF
   7,862,052    4,040,230 
    
ProShares VIX Short-Term Futures ETF
   23,659,182    46,680,364 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
      
    
ProShares Ultra Bloomberg Crude Oil
   363,296,092    (211,138,245) 
    
ProShares Ultra Bloomberg Natural Gas
   164,990,694    (271,251,560) 
    
ProShares Ultra Gold
   (57,901,083)    4,971,202 
    
ProShares Ultra Silver
   (156,194,175)    (50,071,519) 
    
ProShares UltraShort Bloomberg Crude Oil
   (102,594,000)    34,810,301 
    
ProShares UltraShort Bloomberg Natural Gas
   (282,646,685)    228,166,248 
10
5
Table of Contents
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
    
ProShares UltraShort Gold
   4,557,870    298,236 
    
ProShares UltraShort Silver
   9,411,232    3,849,687 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      
    
ProShares Ultra Euro
   (446,365)    (282,077) 
    
ProShares Ultra Yen
   (761,478)    154,501 
    
ProShares UltraShort Euro
   3,065,129    3,061,048 
    
ProShares UltraShort Yen
   7,917,170    (1,364,477) 
      
 
 
   
 
 
 
    
Combined Trust
  
 
$62,225,876
 
  
 
$(45,885,731)
 
The Effect of Derivative Instruments on the StatementsStatement of Operations

For the threesix months ended SeptemberJune 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 Effect2022

Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
      
    
ProShares Short VIX Short-Term Futures ETF
   $(54,129,808)    $(29,757,664) 
10
6
Table of Derivative Instruments on the StatementsContents
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
    
ProShares Ultra VIX Short-Term Futures ETF
   372,034,119    162,278,712 
    
ProShares VIX Mid-Term Futures ETF
   12,653,885    3,705,055 
    
ProShares VIX Short-Term Futures ETF
   77,393,309    33,506,046 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
      
    
ProShares Ultra Bloomberg Crude Oil
   1,162,719,162    (305,216,174) 
    
ProShares Ultra Bloomberg Natural Gas
   241,211,382    (186,220,796) 
    
ProShares Ultra Gold
   (82,487)    (19,678,449) 
    
ProShares Ultra Silver
   (39,557,148)    (107,828,115) 
    
ProShares UltraShort Bloomberg Crude Oil
   (209,076,101)    36,926,293 
    
ProShares UltraShort Bloomberg Natural Gas
   (397,312,383)    140,634,090 
    
ProShares UltraShort Gold
   (1,750,803)    2,367,584 
    
ProShares UltraShort Silver
   2,037,486    5,658,849 
10
7
Table 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

Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      
    
ProShares Ultra Euro
   (887,395)    (415,047) 
    
ProShares Ultra Yen
   (880,249)    15,962 
    
ProShares UltraShort Euro
   5,607,263    3,403,124 
    
ProShares UltraShort Yen
   8,997,343    101,925 
      
 
 
   
 
 
 
    
Combined Trust:
  
 
$1,178,977,575
 
  
 
$(260,518,605)
 
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 similar 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 

2023.

Fair Values of Derivative Instruments as of June 30, 2023
 
   
Assets
   
Liabilities
 
Fund
  
Gross
Amounts of
Recognized
Assets
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts
Offset in
the
Statements
of
Financial
Condition
   
Net Amounts
of Assets
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts of
Recognized
Liabilities
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts
Offset in
the
Statements
of
Financial
Condition
   
Net Amounts
of Liabilities
presented in
the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
            
Swap agreements
  $—     $—     $—     $1,692,241   $—     $1,692,241 
ProShares Ultra Bloomberg Natural Gas
            
Swap agreements
   46,088,257    —      46,088,257    —      —      —   
10
8
Table of Contents
Fair Values of Derivative Instruments as of June 30, 2023
 
   
Assets
   
Liabilities
 
Fund
  
Gross
Amounts of
Recognized
Assets
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts
Offset in
the
Statements
of
Financial
Condition
   
Net Amounts
of Assets
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts of
Recognized
Liabilities
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts
Offset in
the
Statements
of
Financial
Condition
   
Net Amounts
of Liabilities
presented in
the
Statements of
Financial
Condition
 
ProShares Ultra Euro
                              
Foreign currency forward contracts
   241,390    —      241,390    1,702    —      1,702 
ProShares Ultra Gold
                              
Swap agreements
   —      —      —      7,053,083    —      7,053,083 
ProShares Ultra Silver
                              
Swap agreements
   —      —      —      18,045,362    —      18,045,362 
ProShares Ultra Yen
                              
Foreign currency forward contracts
   18,889    —      18,889    876,516    —      876,516 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   29,100      —      29,100      1,787,874    —      1,787,874 
ProShares UltraShort Gold
                              
Swap agreements
   440,571    —      440,571    —      —      —   
ProShares UltraShort Silver
                              
Swap agreements
   845,012    —      845,012    —      —      —   
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   2,238,472    —      2,238,472    258,620    —      258,620 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at SeptemberJune 30, 2017.2023. 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, 2023
 
Fund
  
Amounts of
Recognized
Assets /
(Liabilities)
presented
in the
Statements
of Financial
Condition
  
Financial
Instruments
for the Benefit
of (the Funds)
/ the
Counterparties
   
Cash
Collateral for
the Benefit of
(the Funds) /
the
Counterparties
   
Net
Amount
 
ProShares Ultra Bloomberg Crude Oil
                   
Citibank, N.A.
  $(303,753)  $303,753   $—     $—   
Goldman Sachs International
   (377,662)   —      377,662    —   
Morgan Stanley & Co. International PLC
   (316,105)   —      316,105    —   
Societe Generale
   (275,938)   275,938    —      —   
UBS AG
   (418,783)   —      418,783    —   
1
09
Table of Contents
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023
 
Fund
  
Amounts of
Recognized
Assets /
(Liabilities)
presented in
the
Statements
of Financial
Condition
  
Financial
Instruments
for the Benefit
of (the Funds)
/ the
Counterparties
  
Cash
Collateral for
the Benefit of
(the Funds) /
the
Counterparties
  
Net
Amount
 
ProShares Ultra Bloomberg Natural Gas
                 
Citibank, N.A.
   22,537,665   (18,660,347)   —     3,877,318 
Goldman Sachs International
   15,398,946   (11,008,327)   —     4,390,619 
Societe Generale S.A.
   8,028,280   (6,677,182)   —     1,351,098 
UBS AG
   123,366   —     —     123,366 
ProShares Ultra Euro
                 
Goldman Sachs International
   129,106   —     —     129,106 
UBS AG
   110,582   —     —     110,582 
ProShares Ultra Gold
                 
Citibank, N.A.
   (3,028,491)   —     3,028,491   —   
Goldman Sachs International
   (1,438,439)   —     1,438,439   —   
UBS AG
   (2,586,153)   —     2,586,153   —   
ProShares Ultra Silver
                 
Citibank, N.A.
   (6,281,114)   —     6,281,114   —   
Goldman Sachs International
   (830,545)   —     830,545   —   
Morgan Stanley & Co. International PLC
   (5,634,927)   —     5,634,927   —   
UBS AG
   (5,298,776)   —     5,298,776   —   
ProShares Ultra Yen
                 
Goldman Sachs International
   (407,188)   —     407,188   —   
UBS AG
   (450,439)   —     450,439   —   
ProShares UltraShort Euro
                 
Goldman Sachs International
   (872,773)   —     872,773   —   
UBS AG
   (886,001)   —     886,001   —   
ProShares UltraShort Gold
                 
Citibank, N.A.
   101,527   —     —     101,527 
Goldman Sachs International
   133,231   —     —     133,231 
UBS AG
   205,813   (22,545)   —     183,268 
ProShares UltraShort Silver
                 
Citibank, N.A.
   100,100   —     —     100,100 
Goldman Sachs International
   364,653   (364,653)   —     —   
Morgan Stanley & Co. International PLC
   288,063   —     (288,000)   63 
UBS AG
   92,196   —     —     92,196 
ProShares UltraShort Yen
                 
Goldman Sachs International
   890,062   (817,881)   —     72,181 
UBS AG
   1,089,790   (1,089,790)   —     —   
110

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 

2022:

Fair Values of Derivative Instruments as of December 31, 2022
 
   
Assets
   
Liabilities
 
Fund
  
Gross
Amounts of
Recognized
Assets
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts
Offset in
the
Statements
of
Financial
Condition
   
Net Amounts
of Assets
presented in
the
Statements of
Financial
Condition
   
Gross
Amounts of
Recognized
Liabilities
presented in
the
Statements
of Financial
Condition
   
Gross
Amounts
Offset in
the
Statements
of
Financial
Condition
   
Net
Amounts of
Liabilities
presented in
the
Statements
of Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
            
Swap agreements
  $74,159,577   $—     $74,159,577   $—     $—     $—   
ProShares Ultra Euro
            
Foreign currency forward contracts
   514,115    —      514,115    98,459    —      98,459 
ProShares Ultra Gold
            
Swap agreements
   6,496,466    —      6,496,466    —      —      —   
ProShares Ultra Silver
            
Swap agreements
   39,224,212    —      39,224,212    —      —      —   
ProShares Ultra Yen
            
Foreign currency forward contracts
   1,152,834    —      1,152,834    168,285    —      168,285 
ProShares UltraShort Euro
            
Foreign currency forward contracts
   193,192    —      193,192    2,654,448    —      2,654,448 
ProShares UltraShort Gold
            
Swap agreements
   —      —      —      592,957    —      592,957 
ProShares UltraShort Silver
            
Swap agreements
   —      —      —      1,722,623    —      1,722,623 
ProShares UltraShort Yen
            
Foreign currency forward contracts
   963,369    —      963,369    3,990,802    —      3,990,802 
11
1
Table of Contents
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2016.2022. 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 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, 2022
 
Fund
  
Amounts of
Recognized
Assets /
(Liabilities)
presented in
the
Statements of
Financial
Condition
  
Financial
Instruments
for the Benefit
of (the Funds) /
the
Counterparties
  
Cash
Collateral for
the Benefit of
(the Funds) /
the
Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
     
Citibank, N.A.
  $11,723,388  $—    $(7,220,000)  $4,503,388 
Goldman Sachs International
   14,575,933   (9,281,322)   —     5,294,611 
Morgan Stanley & Co. International PLC
   20,305,392   —     (12,510,000)   7,795,392 
Societe Generale
   11,075,235   (7,038,055)   —     4,037,180 
UBS AG
   16,479,629   (10,808,424)   (41,993)   5,629,212 
ProShares Ultra Euro
     
Goldman Sachs International
   217,491   —     —     217,491 
UBS AG
   198,165   (198,165)   —     —   
ProShares Ultra Gold
     
Citibank, N.A.
   2,582,849   —     (2,570,000)   12,849 
Goldman Sachs International
   1,226,772   (1,193,425)   —     33,347 
UBS AG
   2,686,845   (2,682,652)   (4,193)   —   
ProShares Ultra Silver
     
Citibank, N.A.
   12,628,472   —     (12,628,472)   —   
Goldman Sachs International
   1,667,621   (1,667,621)   —     —   
Morgan Stanley & Co. International PLC
   13,862,180   —     (10,733,000)   3,129,180 
UBS AG
   11,065,939   (11,065,939)   —     —   
ProShares Ultra Yen
     
Goldman Sachs International
   683,120   (308,636)   —     374,484 
UBS AG
   301,429   —     —     301,429 
ProShares UltraShort Euro
     
Goldman Sachs International
   (1,121,150)   —     1,121,150   —   
UBS AG
   (1,340,106)   —     1,340,106   —   
ProShares UltraShort Gold
     
Citibank, N.A.
   (181,291)   —     181,291   —   
Goldman Sachs International
   (231,533)   —     231,533   —   
UBS AG
   (180,133)   —     180,133   —   
ProShares UltraShort Silver
     
Citibank, N.A.
   (203,969)   —     203,969   —   
Goldman Sachs International
   (743,029)   —     743,029   —   
Morgan Stanley & Co. International PLC
   (587,758)   —     587,758   —   
UBS AG
   (187,867)   —     187,867   —   
ProShares UltraShort Yen
     
Goldman Sachs International
   (936,322)   —     936,322   —   
UBS AG
   (2,091,111)   —     1,690,000   (401,111) 
11
2
Table of Contents
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 chargestopped charging the Management Fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursedProShares UltraShort Australian Dollar ETF and will reimburse each Fund, toProShares Short Euro ETF on May 2, 2022, the extentdate it was determined that its offering costs exceed the Management Fee, for the first year of operations.

liquidation was imminent.

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 fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent,as well as 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 the(the “Administrator”). 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 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(the “Custodian”). 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.

11
3
Table of Contents
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds (the “Transfer Agent”) for entities that have entered into an Authorized Participant Agreement with one or more of the Funds (“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.

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.

11
4
Table of Contents
Transaction fees for the three and ninesix months ended SeptemberJune 30, 20172023 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, 2023
   
Six Months Ended
June 30, 2023
 
ProShares Short VIX Short-Term Futures ETF
  $49,722   $161,936 
ProShares Ultra Bloomberg Crude Oil
   —      —   
ProShares Ultra Bloomberg Natural Gas
   —      —   
ProShares Ultra Euro
   —      —   
ProShares Ultra Gold
   —      —   
ProShares Ultra Silver
   —      —   
ProShares Ultra VIX Short-Term Futures ETF
   389,333    820,351 
ProShares Ultra Yen
   —      —   
ProShares UltraShort Bloomberg Crude Oil
   —      —   
ProShares UltraShort Bloomberg Natural Gas
   —      —   
ProShares UltraShort Euro
   —      —   
ProShares UltraShort Gold
   —      —   
ProShares UltraShort Silver
   —      —   
ProShares UltraShort Yen
   —      —   
ProShares VIX Mid-Term Futures ETF
   9,046    15,511 
ProShares VIX Short-Term Futures ETF
   82,901    167,222 
   
 
 
   
 
 
 
Combined Trust:
  
$

531,002   
$

1,165,020 
11
5
Table of Contents
NOTE 76 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended SeptemberJune 30, 2017:

2023

For the Three Months Ended SeptemberJune 30, 20172023 (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 VIX
Short-Term
Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas*
  
Ultra
Euro
  
Ultra
Gold
  
Ultra
Silver
 
Net asset value, at March 31, 2023
  $63.73  $26.53  $73.76  $11.49  $62.86  $31.10 
Net investment income (loss)
   0.46   0.14   0.28   0.09   0.47   0.20 
Net realized and unrealized gain (loss)#
   20.49   (2.93)   (4.56)   0.01   (4.97)   (4.26) 
Change in net asset value from operations
   20.95   (2.79)   (4.28)   0.10   (4.50)   (4.06) 
Net asset value, at June 30, 2023
  $84.68  $23.74  $69.48  $11.59  $58.36  $27.04 
Market value per share, at March 31, 2023
†
  $63.75  $26.47  $72.20  $11.49  $63.02  $31.23 
Market value per share, at June 30, 2023
†
  $84.68  $23.65  $68.99  $11.61  $58.24  $26.95 
Total Return, at net asset value^
   32.9%   (10.5)%   (5.8)%   0.9%   (7.2)%   (13.1)% 
Total Return, at market value^
   32.8%   (10.7)%   (4.5)%   1.0%   (7.6)%   (13.7)% 
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.14%   1.00%   1.45%   0.95%   0.96%   1.00% 
Net investment income gain (loss)
   2.61%   2.20%   1.81%   3.27%   3.01%   2.61% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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, 2017.2023.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
(1)Amount represents less than $0.005.

11
6
Table of Contents
For the Three Months Ended SeptemberJune 30, 20172023 (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 VIX
Short-Term
Futures ETF*
  
Ultra
Yen
  
UltraShort
Bloomberg
Crude Oil
  
UltraShort
Bloomberg
Natural Gas
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at March 31, 2023
  $46.25  $33.05  $25.15  $71.11  $29.04  $26.88 
Net investment income (loss)
   0.15   0.26   0.19   0.44   0.24   0.22 
Net realized and unrealized gain (loss)#
   (27.92)   (5.91)   0.28   (16.49)   (0.18)   1.80 
Change in net asset value from operations
   (27.77)   (5.65)   0.47   (16.05)   0.06   2.02 
Net asset value, at June 30, 2023
  $18.48  $27.40  $25.62  $55.06  $29.10  $28.90 
Market value per share, at March 31, 2023
†
  $46.50  $33.02  $25.22  $72.42  $29.04  $26.84 
Market value per share, at June 30, 2023
†
  $18.49  $27.42  $25.70  $55.45  $29.11  $28.96 
Total Return, at net asset value^
   (60.0)%   (17.1)%   1.9%   (22.6)%   0.2%   7.5% 
Total Return, at market value^
   (60.2)%   (17.0)%   1.9%   (23.4)%   0.2%   7.9% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.55%   0.95%   1.11%   1.77%   0.95%   0.98% 
Net investment income gain (loss)
   1.84%   3.36%   3.01%   2.47%   3.36%   3.09% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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, 2017.2023.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).

11
7
Table of Contents
For the Three Months Ended SeptemberJune 30, 20172023 (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
Silver
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF*
 
Net asset value, at March 31, 2023
  $18.63  $55.98  $26.79  $45.16 
Net investment income (loss)
   0.12   0.49   0.20   0.25 
Net realized and unrealized gain (loss)#
   1.74   11.47   (6.50)   (20.46) 
Change in net asset value from operations
   1.86   11.96   (6.30)   (20.21) 
Net asset value, at June 30, 2023
  $20.49  $67.94  $20.49  $24.95 
Market value per share, at March 31, 2023
†
  $18.56  $56.00  $26.82  $45.25 
Market value per share, at June 30, 2023
†
  $20.58  $67.95  $20.48  $24.96 
Total Return, at net asset value^
   10.0%   21.4%   (23.5)%   (44.8)% 
Total Return, at market value^
   10.9%   21.3%   (23.6)%   (44.8)% 
Ratios to Average Net Assets**
     
Expense ratio^^
   1.05%   0.95%   1.00%   1.08% 
Net investment income gain (loss)
   2.68%   3.22%   3.13%   2.82% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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, 2017.2023.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).
(3)Amount represents less than 0.005%.

11
8
Table of Contents
Selected data for a Share outstanding throughout the three months ended June 30, 2022
For the Three Months Ended SeptemberJune 30, 20172022 (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 VIX
Short-Term
Futures ETF
  
Ultra
Bloomberg
Crude Oil*
  
Ultra
Bloomberg
Natural Gas*
  
Ultra
Euro
  
Ultra
Gold
  
Ultra
Silver
 
Net asset value, at March 31, 2022
  $54.55  $37.94  $1121.30  $12.47  $66.99  $39.06 
Net investment income (loss)
   (0.13)   (0.07)   (4.28)   (0.02)   (0.09)   (0.05) 
Net realized and unrealized gain (loss)#
   (6.28)   3.74   (326.32)   (1.37)   (10.44)   (14.23) 
Change in net asset value from operations
   (6.41)   3.67   (330.60)   (1.39)   (10.53)   (14.28) 
Net asset value, at June 30, 2022
  $48.14  $41.61  $790.70  $11.08  $56.46  $24.78 
Market value per share, at March 31, 2022
†
  $54.56  $38.33  $1126.20  $12.46  $66.14  $38.53 
Market value per share, at June 30, 2022
†
  $48.21  $41.86  $842.00  $11.11  $56.50  $24.47 
Total Return, at net asset value^
   (11.8)%   9.7%   (29.5)%   (11.1)%   (15.7)%   (36.6)% 
Total Return, at market value^
   (11.6)%   9.2%   (25.2)%   (10.8)%   (14.6)%   (36.5)% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.21%   1.01%   1.26%   0.95%   0.98%   0.98% 
Net investment income gain (loss)
   (1.00)%   (0.64)%   (1.01)%   (0.54)%   (0.56)%   (0.61)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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, 2017.2022.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
(2)Amount represents less than $(0.005).

Selected data for a Share outstanding throughout the three months ended September 30, 2016:

1
19
Table of Contents
For the Three Months Ended SeptemberJune 30, 20162022 (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 VIX
Short-Term
Futures ETF*
  
Ultra
Yen
  
UltraShort
Bloomberg
Crude Oil*
  
UltraShort
Bloomberg
Natural Gas*
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at March 31, 2022
  $135.00  $42.02  $29.17  $64.71  $27.30  $27.23 
Net investment income (loss)
   (0.50)   (0.05)   (0.05)   (0.08)   (0.05)   (0.05) 
Net realized and unrealized gain (loss)#
   10.63   (8.46)   (6.08)   (21.98)   3.13   4.37 
Change in net asset value from operations
   10.13   (8.51)   (6.13)   (22.06)   3.08   4.32 
Net asset value, at June 30, 2022
  $145.13  $33.51  $23.04  $42.65  $30.38  $31.55 
Market value per share, at March 31, 2022
†
  $134.60  $42.09  $28.95  $64.56  $27.31  $27.61 
Market value per share, at June 30, 2022
†
  $145.30  $33.49  $22.93  $40.02  $30.41  $31.59 
Total Return, at net asset value^
   7.5%   (20.3)%   (21.0)%   (34.1)%   11.3%   15.9% 
Total Return, at market value^
   8.0%   (20.4)%   (20.8)%   (38.0)%   11.4%   14.4% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.53%   0.95%   1.14%   1.36%   0.95%   0.99% 
Net investment income gain (loss)
   (1.36)%   (0.59)%   (0.85)%   (1.14)%   (0.70)%   (0.74)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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, 2016.2022.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

12
0
Table of Contents
For the Three Months Ended SeptemberJune 30, 20162022 (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
Silver
  
UltraShort
Yen*
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF*
 
Net asset value, at March 31, 2022
  $21.45  $46.32  $31.45  $83.04 
Net investment income (loss)
   (0.05)   (0.09)   (0.06)   (0.21) 
Net realized and unrealized gain (loss)#
   10.34   10.83   3.90   8.26 
Change in net asset value from operations
   10.29   10.74   3.84   8.05 
Net asset value, at June 30, 2022
  $31.74  $57.06  $35.29  $91.09 
Market value per share, at March 31, 2022
†
  $21.78  $46.37  $31.50  $82.85 
Market value per share, at June 30, 2022
†
  $32.19  $57.13  $35.38  $91.25 
Total Return, at net asset value^
   48.0%   23.2%   12.2%   9.6% 
Total Return, at market value^
   47.8%   23.2%   12.3%   10.1% 
Ratios to Average Net Assets**
     
Expense ratio^^
   1.06%   0.95%   0.96%   1.16% 
Net investment income gain (loss)
   (0.78)%   (0.68)%   (0.74)%   (0.94)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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, 2016.2022.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.

12
1
Table of Contents
Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2023
For the ThreeSix Months Ended SeptemberJune 30, 20162023 (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)% 

Per Share Operating Performance
  
Short VIX
Short-Term
Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas*
  
Ultra
Euro
  
Ultra
Gold
  
Ultra
Silver
 
Net asset value, at December 31, 2022
  $58.71  $30.26  $363.08  $11.27  $55.09  $31.75 
Net investment income (loss)
   0.83   0.27   0.81   0.17   0.86   0.39 
Net realized and unrealized gain (loss)#
   25.14   (6.79)   (294.41)   0.15   2.41   (5.10) 
Change in net asset value from operations
   25.97   (6.52)   (293.60)   0.32   3.27   (4.71) 
Net asset value, at June 30, 2023
  $84.68  $23.74  $69.48  $11.59  $58.36  $27.04 
Market value per share, at December 31, 2022
†
  $58.68  $30.31  $355.60  $11.26  $55.27  $32.00 
Market value per share, at June 30, 2023
†
  $84.68  $23.65  $68.99  $11.61  $58.24  $26.95 
Total Return, at net asset value^
   44.2%   (21.5)%   (80.9)%   2.9%   5.9%   (14.8)% 
Total Return, at market value^
   44.3%   (22.0)%   (80.6)%   3.1%   5.4%   (15.8)% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.15%   1.00%   1.43%   0.95%   0.97%   0.99% 
Net investment income gain (loss)
   2.50%   2.12%   2.01%   3.04%   2.86%   2.65% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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, 2016.2023.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

Selected data for a Share outstanding throughout the nine months ended September 30, 2017:

12
2
Table of Contents
For the NineSix Months Ended SeptemberJune 30, 20172023 (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 VIX
Short-Term

Futures ETF*
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
  
UltraShort
Bloomberg
Natural Gas
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at December 31, 2022
  $68.69  $34.54  $23.93  $27.00  $29.46  $31.10 
Net investment income (loss)
   0.33   0.49   0.36   0.66   0.45   0.39 
Net realized and unrealized gain (loss)#
   (50.54)   (7.63)   1.33   27.40   (0.81)   (2.59) 
Change in net asset value from operations
   (50.21)   (7.14)   1.69   28.06   (0.36)   (2.20) 
Net asset value, at June 30, 2023
  $18.48  $27.40  $25.62  $55.06  $29.10  $28.90 
Market value per share, at December 31, 2022
†
  $68.60  $34.56  $23.85  $27.56  $29.45  $30.99 
Market value per share, at June 30, 2023
†
  $18.49  $27.42  $25.70  $55.45  $29.11  $28.96 
Total Return, at net asset value^
   (73.1)%   (20.7)%   7.1%   103.9%   (1.2)%   (7.1)% 
Total Return, at market value^
   (73.1)%   (20.7)%   7.8%   101.2%   (1.2)%   (6.6)% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.56%   0.95%   1.09%   1.74%   0.95%   0.99% 
Net investment income gain (loss)
   1.66%   3.05%   2.92%   2.27%   3.08%   2.81% 
*
See Note 1 of these Notes to Financial Statements.
+**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, 2017.2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
12
3
Table of Contents
For the Six Months Ended June 30, 2023 (unaudited) 
Per Share Operating Performance
  
UltraShort
Silver
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF*
 
Net asset value, at December 31, 2022
  $19.46  $53.68  $30.41  $57.00 
Net investment income (loss)
   0.24   0.88   0.38   0.53 
Net realized and unrealized gain (loss)#
   0.79   13.38   (10.30)   (32.58) 
Change in net asset value from operations
   1.03   14.26   (9.92)   (32.05) 
Net asset value, at June 30, 2023
  $20.49  $67.94  $20.49  $24.95 
Market value per share, at December 31, 2022
†
  $19.30  $53.57  $30.36  $56.90 
Market value per share, at June 30, 2023
†
  $20.58  $67.95  $20.48  $24.96 
Total Return, at net asset value^
   5.3%   26.6%   (32.6)%   (56.2)% 
Total Return, at market value^
   6.6%   26.8%   (32.5)%   (56.1)% 
Ratios to Average Net Assets**
     
Expense ratio^^
   1.05%   0.95%   0.98%   1.09% 
Net investment income gain (loss)
   2.44%   3.06%   2.90%   2.61% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.

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, 2017.2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
12
4
Table of Contents
Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2022
For the Six Months Ended June 30, 2022 (unaudited)
Per Share Operating Performance
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
*
  
Ultra
Bloomberg
Natural Gas*
  
Ultra Euro
  
Ultra Gold
  
Ultra Silver
 
Net asset value, at December 31, 2021
  $61.56  $21.54  $511.08  $13.32  $59.69  $34.84 
Net investment income (loss)
   (0.29)   (0.15)   (5.86)   (0.04)   (0.22)   (0.13) 
Net realized and unrealized gain (loss)#
   (13.13)   20.22   285.48   (2.20)   (3.01)   (9.93) 
Change in net asset value from operations
   (13.42)   20.07   279.62   (2.24)   (3.23)   (10.06) 
Net asset value, at June 30, 2022
  $48.14  $41.61  $790.70  $11.08  $56.46  $24.78 
Market value per share, at December 31, 2021
†
  $61.55  $21.70  $521.80  $13.33  $59.81  $34.74 
Market value per share, at June 30, 2022
†
  $48.21  $41.86  $842.00  $11.11  $56.50  $24.47 
Total Return, at net asset value^
   (21.8)%   93.2%   54.7%   (16.8)%   (5.4)%   (28.9)% 
Total Return, at market value^
   (21.7)%   92.9%   61.4%   (16.7)%   (5.5)%   (29.6)% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.28%   1.05%   1.29%   0.95%   0.99%   0.98% 
Net investment income gain (loss)
   (1.12)%   (0.82)%   (1.10)%   (0.65)%   (0.71)%   (0.75)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.

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, 2017.2022.

The returns

^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
12
5
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.

2022 (unaudited)
Per Share Operating Performance
  
Ultra VIX
Short-Term

Futures ETF*
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
*
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at December 31, 2021
  $124.06  $47.29  $64.26  $247.40  $25.84  $31.71 
Net investment income (loss)
   (1.13)   (0.13)   (0.12)   (0.31)   (0.11)   (0.12) 
Net realized and unrealized gain (loss)#
   22.20   (13.65)   (41.10)   (204.44)   4.65   (0.04) 
Change in net asset value from operations
   21.07   (13.78)   (41.22)   (204.75)   4.54   (0.16) 
Net asset value, at June 30, 2022
  $145.13  $33.51  $23.04  $42.65  $30.38  $31.55 
Market value per share, at December 31, 2021
†
  $124.30  $47.29  $63.75  $242.20  $25.86  $31.66 
Market value per share, at June 30, 2022
†
  $145.30  $33.49  $22.93  $40.02  $30.41  $31.59 
Total Return, at net asset value^
   17.0%   (29.2)%   (64.2)%   (82.8)%   17.5%   (0.5)% 
Total Return, at market value^
   16.9%   (29.2)%   (64.0)%   (83.5)%   17.6%   0.2% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.65%   0.95%   1.18%   1.47%   0.95%   1.00% 
Net investment income gain (loss)
   (1.53)%   (0.67)%   (0.95)%   (1.30)%   (0.75)%   (0.81)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.

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, 2017.2022.
**^^Percentages are annualized.
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

Selected data for a Share outstanding throughout the nine months ended September 30, 2016:

12
6
Table of Contents
For the NineSix Months Ended SeptemberJune 30, 20162022 (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
Silver
  
UltraShort
Yen
*
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF*
 
Net asset value, at December 31, 2021
  $26.77  $41.50  $30.61  $75.62 
Net investment income (loss)
   (0.11)   (0.17)   (0.14)   (0.46) 
Net realized and unrealized gain (loss)#
   5.08   15.73   4.82   15.93 
Change in net asset value from operations
   4.97   15.56   4.68   15.47 
Net asset value, at June 30, 2022
  $31.74  $57.06  $35.29  $91.09 
Market value per share, at December 31, 2021
†
  $26.84  $41.50  $30.57  $75.85 
Market value per share, at June 30, 2022
†
  $32.19  $57.13  $35.38  $91.25 
Total Return, at net asset value^
   18.6%   37.5%   15.3%   20.5% 
Total Return, at market value^
   19.9%   37.7%   15.7%   20.3% 
Ratios to Average Net Assets**
     
Expense ratio^^
   1.07%   0.95%   1.02%   1.20% 
Net investment income gain (loss)
   (0.86)%   (0.72)%   (0.87)%   (1.04)% 
*
See Note 1 of these Notes to Financial 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, 2016.2022.
**Percentages are annualized.

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.
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
**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.

12
7
Table of Contents
NOTE 87 – 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(-1x) (-0.5x), 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 Leveraged 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.

12
8
Table of Contents
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.,-1x, -0.5x, -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

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 in this Counterparty Risk section 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 becomeare subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation by(in the CFTC.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.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place. The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, 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, all of the relevant 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.

129
Table of Contents
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 uncleared 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 or otherwise, 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 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 mark-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 futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s 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 futures customer segregated funds, under which the clearing house may access all of the commingled futures customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties generally do not necessarily benefit from such protections. This exposesprotections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. Bilateral OTC derivatives expose 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
130
Table of Contents
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 (1.5x) 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.

“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 20162022 may specify a January 20172023 expiration. As that contract nears expiration, it may be replaced by selling the January 20172023 contract and purchasing the contract expiring in March 2017.2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 20172023 contract would take place at a price that is higher than the price at which the March 20172023 contract is purchased, thereby creating a gain in connection with rolling. While certain
13
1
Table of Contents
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
There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, 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. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the yearyear. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have enough storagea significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to make it throughthe performance of its benchmark, and otherwise preventing a normal winter. PeriodsFund 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 backwardationa more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
1
32
Table of Contents
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) and its variants 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 if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.
As the hospitalization rates and COVID-related deaths continue to fall, the severity of lockdowns and restrictive policies relative to the onset of the COVID-19 pandemic will decrease as the situation gradually improves. Currently the bear market continues to recover from the lockdowns and restrictions that brought economic strain to several industries. Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. Currently, crude oil prices have increased since the onset of the COVID-19 pandemic. As countries around the world are typically thoughtcurrently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be caused byremoved and altered, which is expected to increase the demand shocksfor crude oil among consumers.
On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.
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 supply shortages such as an unusually cold winterreach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or a hurricane.

lose their entire investment.

NOTE 98 – 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.

13
3
Table of Contents
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. 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. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2022 and in this Quarterly Report on Form 10-Q for the period ended June 30, 2023, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. 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.

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 September 30, 2017, the following twenty 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 are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). 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” in this Quarterly Report on Form10-Q.

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 ten 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 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 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”, “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 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 (collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments)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.

Each

The “Short” Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to one-half the inverse(-1x) (-0.5x) 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-1x, -0.5x, -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
134
Table of Contents
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.

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.
Forward and Reverse Splits
On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the
135
Table of Contents
number of shares outstanding. ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Split was effective at the market open on June 23, 2023, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
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, 20172023 and 2016,2022, 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, 2023
  
Interest Income
Three Months
Ended
June 30, 2022
  
Interest Income
Six Months
Ended
June 30, 2023
  
Interest Income
Six Months
Ended
June 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
 $2,437,210  $225,134  $4,546,332  $319,477 
ProShares Ultra Bloomberg Crude Oil
  5,878,092   1,264,011   11,886,000   1,572,891 
ProShares Ultra Bloomberg Natural Gas
  8,866,705   146,470   17,825,228   186,051 
ProShares Ultra Euro
  88,182   6,522   185,419   11,109 
ProShares Ultra Gold
  1,983,196   319,154   3,632,210   414,267 
ProShares Ultra Silver
  3,701,182   421,514   7,075,578   561,963 
ProShares Ultra VIX Short-Term Futures ETF
  4,750,595   430,670   9,167,250   525,931 
ProShares Ultra Yen
  114,980   3,064   235,098   3,937 
ProShares UltraShort Bloomberg Crude Oil
  1,560,028   289,299   3,563,237   343,206 
ProShares UltraShort Bloomberg Natural Gas
  1,344,889   122,188   2,531,641   178,013 
ProShares UltraShort Euro
  593,746   39,011   1,240,866   54,416 
ProShares UltraShort Gold
  184,052   19,975   316,614   29,660 
ProShares UltraShort Silver
  323,734   18,743   523,812   27,663 
ProShares UltraShort Yen
  255,354   26,913   459,554   36,312 
ProShares VIX Mid-Term Futures ETF
  650,585   52,826   1,298,505   76,749 
ProShares VIX Short-Term Futures ETF
  2,440,291   207,903   4,560,852   278,612 
136
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”“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.

137
Table of Contents
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.

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 8, 2023, 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 (“GAAP”) 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.

138
Table of Contents
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.

2023.

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 EuroSilver 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 EuroSilver 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 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.

139
Table of Contents
Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFANational Futures Association 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.

Results of Operations for the Three Months Ended SeptemberJune 30, 20172023 Compared to the Three Months Ended SeptemberJune 30, 2016

2022

ProShares Short 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, 20172023 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% 

2022:

   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $295,340,393  $495,588,849 
NAV end of period
  $282,353,267  $403,644,956 
Percentage change in NAV
   (4.4)%   (18.6)% 
Shares outstanding beginning of period
   4,634,307   9,084,307 
Shares outstanding end of period
   3,334,307   8,384,307 
Percentage change in shares outstanding
   (28.1)%   (7.7)% 
Shares created
   550,000   1,600,000 
Shares redeemed
   1,850,000   2,300,000 
Per share NAV beginning of period
  $63.73  $54.55 
Per share NAV end of period
  $84.68  $48.14 
Percentage change in per share NAV
   32.9%   (11.8)% 
Percentage change in benchmark
   (44.4)%   10.3% 
Benchmark annualized volatility
   45.8%   90.4% 
During the three months ended SeptemberJune 30, 2017,2023, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 3,796,1134,634,307 outstanding Shares at March 31, 2023 to 3,334,307 outstanding Shares at June 30, 2017 to 5,876,317 outstanding Shares at September 30, 2017.2023. 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 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 (before fees and expenses) that correspond toone-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended SeptemberJune 30, 2016,2022, the decrease in the Fund’s NAV resulted 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 (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 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 increase of 16.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 45.7% 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 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.

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 of the 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)

  $(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 

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 decrease in the prices of near-term futures contracts on the VIX futures curve, in conjunction with an increase in shares outstanding, 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 Share split for the ProShares Short VIX Short-Term Futures ETF.

ProShares Ultra 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

  $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% 

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 9,631,952 outstanding Shares at June 30, 2017 to 25,927,238 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 S&P 500 VIX Short-Term Futures Index. 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, (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. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, 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 32.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.8% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
140
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,696,752   $(1,094,000) 
Management fee
   617,036    1,034,361 
Brokerage commission
   123,422    177,552 
Futures account fees
   –    107,221 
Net realized gain (loss)
   65,202,331    (13,105,212) 
Change in net unrealized appreciation (depreciation)
   9,673,101    (34,507,780) 
Net Income (loss)
  $76,572,184   $(48,706,992) 
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2023.
ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $811,668,456  $1,336,980,685 
NAV end of period
  $738,194,368  $1,060,867,238 
Percentage change in NAV
   (9.1)%   (20.7)% 
Shares outstanding beginning of period
   30,593,096   35,243,096 
Shares outstanding end of period
   31,093,096   25,493,096 
Percentage change in shares outstanding
   1.6%   (27.7)% 
Shares created
   15,550,000   1,700,000 
Shares redeemed
   15,050,000   11,450,000 
Per share NAV beginning of period
  $26.53  $37.94 
Per share NAV end of period
  $23.74  $41.61 
Percentage change in per share NAV
   (10.5)%   9.7% 
Percentage change in benchmark
   (4.4)%   6.8% 
Benchmark annualized volatility
   32.8%   37.5% 
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) 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 920,02530,593,096 outstanding Shares at March 31, 2023 to 31,093,096 outstanding Shares at June 30, 20162023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to 2,185,383decrease in shareholder activity offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two
141
Table of Contents
times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an decrease from 35,243,096 outstanding Shares at SeptemberMarch 31, 2022 to 25,493,096 outstanding Shares at June 30, 2016.

2022.

For the three months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 47.5%10.5% for the three months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 63.0%9.7% for the three months ended SeptemberJune 30, 2016,2022, 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.

2023.

The benchmark’s decline of 23.4%4.4% for the three months ended SeptemberJune 30, 2017,2023, as compared to the benchmark’s declinerise of 36.8%6.8% for the three months ended SeptemberJune 30, 2016,2022, can be attributed to a lesser declinedecrease in pricesthe value of the near-term futures contracts on the VIX futures curveWTI Crude Oil during the three monthsperiod ended SeptemberJune 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172023 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) 

2022:

   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $4,038,791   $(2,084,704) 
Management fee
   1,744,998    3,098,904 
Brokerage commission
   94,303    140,210 
Futures account fees
   –    109,601 
Net realized gain (loss)
   (76,414,795)    363,291,439 
Change in net unrealized appreciation (depreciation)
   45,539,157    (211,544,109) 
Net Income (loss)
  $(26,836,847)   $149,662,626 
The Fund’s net income increaseddecreased for the three months ended SeptemberJune 30, 2017,2023 as compared to the three months ended SeptemberJune 30, 2016,2022, primarily due to a lesser declinedecrease in the pricesvalue of the near-term futures contracts on the VIX futures curveWTI Crude Oil during the three months ended SeptemberJune 30, 2017.

2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverseforward Share splitssplit for the ProShares Ultra VIX Short-Term Futures ETF.Bloomberg Crude Oil.

ProShares UltraShortUltra Bloomberg Crude Oil*

Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172023 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% 

2022:

   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $1,139,983,773  $145,069,486 
NAV end of period
  $1,141,021,278  $187,297,842 
Percentage change in NAV
   0.1%   29.1% 
Shares outstanding beginning of period
   15,454,376   129,376 
Shares outstanding end of period
   16,421,876   236,876 
142
Table of Contents
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Percentage change in shares outstanding
   6.3%   83.1% 
Shares created
   13,792,500   325,000 
Shares redeemed
   12,825,000   217,500 
Per share NAV beginning of period
  $73.76  $1121.30 
Per share NAV end of period
  $69.48  $790.70 
Percentage change in per share NAV
   (5.8)%   (29.5)% 
Percentage change in benchmark
   2.2%   (6.0)% 
Benchmark annualized volatility
   57.7%   37.5% 
During the three months ended SeptemberJune 30, 2017,2023, the increase in the Fund’s NAV resulted primarily from an increase from 2,789,88415,454,376 outstanding Shares at March 31, 2023 to 16,421,876 outstanding Shares at June 30, 2017 to 7,089,884 outstanding Shares at September 30, 2017.2023. 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 inverse oftwo times (2x) the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
. By comparison, during the three months ended SeptemberJune 30, 2016,2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,039,884129,376 outstanding Shares at March 31, 2022 to 236,876 outstanding Shares at June 30, 2016 to 4,739,884 outstanding Shares at September 30, 2016.2022. 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 Natural Gas Subindex
SM
.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.5% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s rise of 2.2% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended June 30, 2022, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $4,920,978   $(566,073) 
Management fee
   2,588,571    534,624 
Brokerage commission
   1,145,371    114,706 
Futures account fees
   211,785    63,213 
Net realized gain (loss)
   (616,886,915)    164,990,694 
Change in net unrealized appreciation (depreciation)
   658,057,024    (271,288,469) 
Net Income (loss)
  $46,091,087   $(106,863,848) 
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended June 30, 2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.
143
Table of Contents
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $8,616,433  $6,236,982 
NAV end of period
  $7,535,435  $9,415,626 
Percentage change in NAV
   (12.5)%   51.0% 
Shares outstanding beginning of period
   750,000   500,000 
Shares outstanding end of period
   650,000   850,000 
Percentage change in shares outstanding
   (13.3)%   70.0% 
Shares created
   –   450,000 
Shares redeemed
   100,000   100,000 
Per share NAV beginning of period
  $11.49  $12.47 
Per share NAV end of period
  $11.59  $11.08 
Percentage change in per share NAV
   0.9%   (11.1)% 
Percentage change in benchmark
   0.6%   (5.3)% 
Benchmark annualized volatility
   6.8%   9.1% 
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 750,000 outstanding Shares at March 31, 2023 to 650,000 outstanding Shares at June 30, 2023. The decrease in partthe Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.1% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s rise of 0.6% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 5.3% for the three months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.
144
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months
Ended
June 30, 2022
 
Net investment income (loss)
  $68,331   $(8,515) 
Management fee
   19,851    15,037 
Net realized gain (loss)
   78,291    (446,365) 
Change in net unrealized appreciation (depreciation)
   (79,023)    (281,290) 
Net Income (loss)
  $67,599   $(736,170) 
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2023.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $201,161,529  $355,029,822 
NAV end of period
  $180,916,531  $239,938,853 
Percentage change in NAV
   (10.1)%   (32.4)% 
Shares outstanding beginning of period
   3,200,000   5,300,000 
Shares outstanding end of period
   3,100,000   4,250,000 
Percentage change in shares outstanding
   (3.1)%   (19.8)% 
Shares created
   50,000   100,000 
Shares redeemed
   150,000   1,150,000 
Per share NAV beginning of period
  $62.86  $66.99 
Per share NAV end of period
  $58.36  $56.46 
Percentage change in per share NAV
   (7.2)%   (15.7)% 
Percentage change in benchmark
   (2.5)%   (7.6)% 
Benchmark annualized volatility
   12.7%   13.8% 
During the three months ended June 30, 2023, 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 two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,200,000 outstanding Shares at March 31, 2023 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted 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
.
145
Table of Contents
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.2% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 15.7% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,502,010   $(419,722) 
Management fee
   474,261    716,148 
Brokerage commission
   6,925    14,064 
Futures account fees
   —      8,664 
Net realized gain (loss)
   17,168,107    (57,901,083) 
Change in net unrealized appreciation (depreciation)
   (32,854,842)    4,971,043 
Net Income (loss)
  $(14,184,725)   $(53,349,762) 
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $429,115,334  $558,375,841 
NAV end of period
  $356,791,659  $355,577,515 
Percentage change in NAV
   (16.9)%   (36.3)% 
Shares outstanding beginning of period
   13,796,526   14,296,526 
Shares outstanding end of period
   13,196,526   14,346,526 
Percentage change in shares outstanding
   (4.3)%   0.3% 
Shares created
   700,000   800,000 
Shares redeemed
   1,300,000   750,000 
Per share NAV beginning of period
  $31.10  $39.06 
Per share NAV end of period
  $27.04  $24.78 
Percentage change in per share NAV
   (13.1)%   (36.6)% 
Percentage change in benchmark
   (5.1)%   (19.4)% 
Benchmark annualized volatility
   24.1%   23.7% 
146
Table of Contents
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 13,796,526 outstanding Shares at March 31, 2023 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, 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 was offset by an increase from 14,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2022.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 36.6% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,677,602   $(695,746) 
Management fee
   976,505    1,082,340 
Brokerage commission
   47,075    28,732 
Futures account fees
   —      6,188 
Net realized gain (loss)
   64,615,443    (156,195,349) 
Change in net unrealized appreciation (depreciation)
   (119,017,342)    (50,135,799) 
Net Income (loss)
  $(51,724,297)   $(207,026,894) 
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.
147
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, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $535,980,236  $1,127,608,641 
NAV end of period
  $387,764,059  $975,683,533 
Percentage change in NAV
   (27.7)%   (13.5)% 
Shares outstanding beginning of period
   11,587,842   8,352,842 
Shares outstanding end of period
   20,977,842   6,722,842 
Percentage change in shares outstanding
   81.0%   (19.5)% 
Shares created
   12,940,000   5,840,000 
Shares redeemed
   3,550,000   7,470,000 
Per share NAV beginning of period
  $46.25  $135.00 
Per share NAV end of period
  $18.48  $145.13 
Percentage change in per share NAV
   (60.0)%   7.5% 
Percentage change in benchmark
   (44.4)%   10.3% 
Benchmark annualized volatility
   45.8%   90.4% 
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 11,587,842 outstanding Shares at March 31, 2023 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,352,842 outstanding Shares at March 31, 2022 to 6,722,842 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended June 30, 2023 and 2022, 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 60.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
148
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,581,004   $(3,277,402) 
Management fee
   1,330,081    2,293,738 
Brokerage commission
   712,511    970,211 
Futures account fees
   126,999    444,123 
Net realized gain (loss)
   (426,300,356)    90,701,501 
Change in net unrealized appreciation (depreciation)
   (45,315,177)    196,735,349 
Net Income (loss)
  $(469,034,529)   $284,159,448 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices, during the three months ended June 30, 2023.
*
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, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $9,915,083  $2,099,705 
NAV end of period
  $12,330,974  $5,024,773 
Percentage change in NAV
   24.4%   139.3% 
Shares outstanding beginning of period
   299,970   49,970 
Shares outstanding end of period
   449,970   149,970 
Percentage change in shares outstanding
   50.0%   200.1% 
Shares created
   150,000   100,000 
Shares redeemed
   —     —   
Per share NAV beginning of period
  $33.05  $42.02 
Per share NAV end of period
  $27.40  $33.51 
Percentage change in per share NAV
   (17.1)%   (20.3)% 
Percentage change in benchmark
   (8.0)%   (10.3)% 
Benchmark annualized volatility
   8.9%   11.5% 
During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 299,970 outstanding Shares at March 31, 2023 to 449,970 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 2022, the increase in
149
Table of Contents
the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at March 31, 2022 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 20.3% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 8.0% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $89,650   $(4,972) 
Management fee
   25,330    8,036 
Net realized gain (loss)
   (770,142)    (761,478) 
Change in net unrealized appreciation (depreciation)
   (1,348,109)    152,185 
Net Income (loss)
  $(2,028,601)   $(614,265) 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar in conjunction with a significant increase in average shares outstanding during the three months ended June 30, 2023.
ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $144,762,563  $416,799,231 
NAV end of period
  $112,854,952  $501,157,304 
Percentage change in NAV
   (22.0)%   20.2% 
Shares outstanding beginning of period
   5,755,220   14,286,760 
Shares outstanding end of period
   4,405,220   21,755,220 
Percentage change in shares outstanding
   (23.5)%   52.3% 
Shares created
   6,250,000   12,320,000 
Shares redeemed
   7,600,000   4,851,540 
Per share NAV beginning of period
  $25.15  $29.17 
150
Table of Contents
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Per share NAV end of period
  $25.62  $23.04 
Percentage change in per share NAV
   1.9%   (21.0)% 
Percentage change in benchmark
   (4.4)%   6.8% 
Benchmark annualized volatility
   32.8%   37.5% 
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,755,220
outstanding Shares at March 31, 2023 to 4,405,220 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily due to increase in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a increase from 14,286,760 outstanding Shares at March 31, 2022 to 21,755,220 outstanding Shares at June 30, 2022.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.9% for the Bloombergthree months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.0% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 4.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,140,772   $(849,692) 
Management fee
   359,177    946,110 
Brokerage commission
   60,079    107,079 
Futures account fees
   —      85,802 
Net realized gain (loss)
   28,034,524    (102,594,000) 
Change in net unrealized appreciation (depreciation)
   (8,216,608)    34,757,114 
Net Income (loss)
  $20,958,688   $(68,686,578) 
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of WTI Crude Oil during the three months ended June 30, 2023.
*
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.
151
Table of Contents
ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $146,981,760  $250,340,837 
NAV end of period
  $141,324,963  $211,823,446 
Percentage change in NAV
   (3.8)%   (15.4)% 
Shares outstanding beginning of period
   2,066,856   3,868,620 
Shares outstanding end of period
   2,566,856   4,966,856 
Percentage change in shares outstanding
   24.2%   28.4% 
Shares created
   6,600,000   18,700,000 
Shares redeemed
   6,100,000   17,601,764 
Per share NAV beginning of period
  $71.11  $64.71 
Per share NAV end of period
  $55.06  $42.65 
Percentage change in per share NAV
   (22.6)%   (34.1)% 
Percentage change in benchmark
   2.2%   (6.0)% 
Benchmark annualized volatility
   57.7%   87.3% 
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
.

The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 2,066,856 outstanding Shares at March 31, 2023 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,620 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

SM
.
For the three months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.6% for the three months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decrease of 2.4%34.1% for the three months ended SeptemberJune 30, 2016,2022, 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.

2023.

The benchmark’s rise of 11.2%2.2% for the three months ended SeptemberJune 30, 2017,2023, as compared to the benchmark’s decline of 5.0%6.0% for the three months ended SeptemberJune 30, 2016,2022, can be attributed to an increase in the pricevalue of WTI Crude OilHenry Hub Natural Gas during the three monthsperiod ended SeptemberJune 30, 2017.

2023.

152
Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172023 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 

2022:

   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $782,210   $(610,379) 
Management fee
   302,274    510,704 
Brokerage commission
   233,647    144,907 
Futures account fees
   26,758    76,956 
Net realized gain (loss)
   48,737,843    (282,646,884) 
Change in net unrealized appreciation (depreciation)
   (61,250,100)    228,079,127 
Net Income (loss)
  $(11,730,047)   $(55,178,136) 
The Fund’s net income decreasedincreased for the three months ended SeptemberJune 30, 2017,2023 as compared to the three months ended SeptemberJune 30, 2016,2022, primarily due to an increase in the pricevalue of WTI Crude OilHenry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended SeptemberJune 30, 2017.

2023.
*
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.Natural Gas.

ProShares UltraPro 3x Short Crude Oil ETF

UltraShort Euro

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% 

2023 and 2022:

   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $59,537,260  $50,498,084 
NAV end of period
  $50,931,301  $62,270,097 
Percentage change in NAV
   (14.5)%   23.3% 
Shares outstanding beginning of period
   2,050,000   1,850,000 
Shares outstanding end of period
   1,750,000   2,050,000 
Percentage change in shares outstanding
   (14.6)%   10.8% 
Shares created
   –   500,000 
Shares redeemed
   300,000   300,000 
Per share NAV beginning of period
  $29.04  $27.30 
Per share NAV end of period
  $29.10  $30.38 
Percentage change in per share NAV
   0.2%   11.3% 
Percentage change in benchmark
   0.6%   (5.3)% 
Benchmark annualized volatility
   6.8%   9.1% 
During the three months ended SeptemberJune 30, 2017,2023, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 200,0082,050,000 outstanding Shares at March 31, 2023 to 1,750,000 outstanding Shares at June 30, 2017 to 900,008 outstanding Shares at September 30, 2017.2023. The increasedecrease 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, (beforebefore fees and expenses)expenses, that correspond
153
Table of Contents
to 3x oftwo times the inverse (-2x) 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 3xspot price of the inverse ofeuro versus 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 of the daily performance of the Bloomberg Natural Gas SubindexSM.U.S. dollar. By comparison, during the three months ended SeptemberJune 30, 2016,2022, the increase in the Fund’s NAV resulted primarily from an increase from 74,8321,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 30, 2016.2022. 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 SubindexSM.

spot price of the euro versus the U.S. dollar.

For the three months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.1%0.2% for the three months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV increase of 6.5%11.3% for the three months ended SeptemberJune 30, 2016,2022, was primarily due to a lesser appreciation 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 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.

2023.

The benchmark’s declinerise of 4.1%0.6% for the three months ended SeptemberJune 30, 2017,2023, as compared to the benchmark’s decline of 8.0%5.3% for the three months ended SeptemberJune 30, 2016,2022, can be attributed to a lesser decreasean increase in the pricevalue of Henry Hub Natural Gasthe euro versus the U.S. dollar during the three monthsperiod ended SeptemberJune 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20172023 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 

2022:

   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $462,645   $(107,923) 
Management fee
   131,101    146,934 
Net realized gain (loss)
   (1,045,942)    3,065,129 
Change in net unrealized appreciation (depreciation)
   556,469    3,039,738 
Net Income (loss)
  $(26,828)   $5,996,944 
The Fund’s net income decreased for the three months ended SeptemberJune 30, 2017,2023 as compared to the three months ended SeptemberJune 30, 2016,2022, primarily due to a lesser decreasean increase in the pricevalue of Henry Hub Natural Gas,the euro versus the U.S. dollar during the three months ended SeptemberJune 30, 2017.

2023.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20172023 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% 

2022:

   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $16,049,273  $32,598,451 
NAV end of period
  $15,809,378  $34,611,284 
Percentage change in NAV
   (1.5)%   6.2% 
Shares outstanding beginning of period
   596,977   1,196,977 
Shares outstanding end of period
   546,977   1,096,977 
Percentage change in shares outstanding
   (8.4)%   (8.4)% 
Shares created
   300,000   700,000 
Shares redeemed
   350,000   800,000 
154
Table of Contents
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Per share NAV beginning of period
  $26.88  $27.23 
Per share NAV end of period
  $28.90  $31.55 
Percentage change in per share NAV
   7.5%   15.9% 
Percentage change in benchmark
   (2.5)%   (7.6)% 
Benchmark annualized volatility
   12.7%   13.8% 
During the three months ended SeptemberJune 30, 2017,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 596,977 outstanding Shares at March 31, 2023 to 546,977 outstanding Shares at June 30, 2023. The decrease in partthe Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended June 30, 2022, the increase 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 the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,196,977 outstanding Shares at March 31, 2022 to 1,096,977 outstanding Shares at June 30, 2022.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of gold bullionits benchmark. The Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2023, as measuredcompared to the Fund’s per Share NAV increase of 15.9% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the U.S. dollar p.m. LBMA Gold Price. There was noFund during the three months ended June 30, 2023.
The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $139,578   $(59,266) 
Management fee
   42,869    75,676 
Brokerage commission
   1,605    2,985 
Futures account fees
   —      580 
Net realized gain (loss)
   (1,553,151)    4,557,870 
Change in net unrealized appreciation (depreciation)
   2,758,921    289,951 
Net Income (loss)
  $1,345,348   $4,788,555 
The Fund’s net changeincome decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to lesser decrease in the value of the futures prices during the three months ended June 30, 2023.
155
Table of Contents
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $20,335,691  $23,406,516 
NAV end of period
  $19,290,473  $33,052,840 
Percentage change in NAV
   (5.1)%   41.2% 
Shares outstanding beginning of period
   1,091,329   1,091,329 
Shares outstanding end of period
   941,329   1,041,329 
Percentage change in shares outstanding
   (13.7)%   (4.6)% 
Shares created
   2,450,000   700,000 
Shares redeemed
   2,600,000   750,000 
Per share NAV beginning of period
  $18.63  $21.45 
Per share NAV end of period
  $20.49  $31.74 
Percentage change in per share NAV
   10.0%   48.0% 
Percentage change in benchmark
   (5.1)%   (19.4)% 
Benchmark annualized volatility
   24.1%   23.7% 
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,091,329 outstanding Shares fromat March 31, 2023 to 941,329 outstanding Shares at June 30, 20172023. 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 September 30, 2017.two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the three months ended SeptemberJune 30, 2016,2022, 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 the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 796,9781,091,329 outstanding Shares at March 31, 2022 to 1,041,329 outstanding Shares at June 30, 20162022.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1,096,9782x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 48.0% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended June 30, 2023.
156
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $232,359   $(51,484) 
Management fee
   82,417    62,381 
Brokerage commission
   8,958    6,677 
Futures account fees
   —      1,169 
Net realized gain (loss)
   1,112,690    9,411,232 
Change in net unrealized appreciation (depreciation)
   5,650,294    3,853,312 
Net Income (loss)
  $6,995,343   $13,213,060 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.
ProShares UltraShort Yen
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $25,111,818  $27,726,701 
NAV end of period
  $27,077,656  $45,568,882 
Percentage change in NAV
   7.8%   64.4% 
Shares outstanding beginning of period
   448,580   598,580 
Shares outstanding end of period
   398,580   798,580 
Percentage change in shares outstanding
   (11.1)%   33.4% 
Shares created
   250,000   650,000 
Shares redeemed
   300,000   450,000 
Per share NAV beginning of period
  $55.98  $46.32 
Per share NAV end of period
  $67.94  $57.06 
Percentage change in per share NAV
   21.4%   23.2% 
Percentage change in benchmark
   (8.0)%   (10.3)% 
Benchmark annualized volatility
   8.9%   11.4% 
During the three months ended June 30, 2023, 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 Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 448,580 outstanding Shares at SeptemberMarch 31, 2023 to 398,580 outstanding Shares at June 30, 2016.2023. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at March 31, 2022 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from
157
Table of Contents
the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.4% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 23.2% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 8.0% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $197,175   $(66,268) 
Management fee
   58,179    93,181 
Net realized gain (loss)
   1,370,771    7,917,170 
Change in net unrealized appreciation (depreciation)
   3,145,023    (1,367,929) 
Net Income (loss)
  $4,712,969   $6,482,973 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen.
ProShares VIX Mid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $67,306,087  $97,869,914 
NAV end of period
  $49,421,413  $95,721,271 
Percentage change in NAV
   (26.6)%   (2.2)% 
Shares outstanding beginning of period
   2,512,403   3,112,403 
Shares outstanding end of period
   2,412,403   2,712,403 
Percentage change in shares outstanding
   (4.0)%   (12.9)% 
Shares created
   575,000   300,000 
Shares redeemed
   675,000   700,000 
158
Table of Contents
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Per share NAV beginning of period
  $26.79  $31.45 
Per share NAV end of period
  $20.49  $35.29 
Percentage change in per share NAV
   (23.5)%   12.2% 
Percentage change in benchmark
   (23.1)%   12.9% 
Benchmark annualized volatility
   22.6%   37.1% 
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,512,403 outstanding Shares at March 31, 2023 to 2,412,403 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,112,403 outstanding Shares at March 31, 2022 to 2,712,403 outstanding Shares at June 30, 2022. 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 Mid-Term Futures Index.
For the three months ended June 30, 2023 and 2022, 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 23.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 12.2% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 23.1% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 12.9% for the three months ended June 30, 2022, 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, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $492,463   $(184,164) 
Management fee
   134,066    210,584 
Brokerage commission
   12,200    15,500 
Futures account fees
   11,856    10,906 
Net realized gain (loss)
   (6,943,333)    7,862,052 
Change in net unrealized appreciation (depreciation)
   (9,675,102)    3,992,670 
Net Income (loss)
  $(16,125,972)   $11,670,558 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the futures prices during the three months ended June 30, 2023.
159
Table of Contents
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, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $226,765,204  $404,950,400 
NAV end of period
  $230,227,830  $341,714,316 
Percentage change in NAV
   1.5%   (15.6)% 
Shares outstanding beginning of period
   5,021,565   4,876,565 
Shares outstanding end of period
   9,226,565   3,751,565 
Percentage change in shares outstanding
   83.7%   (23.1)% 
Shares created
   4,460,000   1,635,000 
Shares redeemed
   255,000   2,760,000 
Per share NAV beginning of period
  $45.16  $83.04 
Per share NAV end of period
  $24.95  $91.09 
Percentage change in per share NAV
   (44.8)%   9.6% 
Percentage change in benchmark
   (44.4)%   10.3% 
Benchmark annualized volatility
   45.8%   90.4% 
During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 5,021,565 outstanding Shares at March 31, 2023 to 9,226,565 outstanding Shares at June 30, 2023. 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,876,565 outstanding Shares at March 31, 2022 to 3,751,565 outstanding Shares at June 30, 2022. 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 three months ended June 30, 2023 and 2022, 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 44.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 9.6% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, 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, 2023.
160
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,765,342   $(852,779) 
Management fee
   530,826    773,717 
Brokerage commission
   95,391    171,182 
Futures account fees
   48,732    115,783 
Net realized gain (loss)
   (127,239,912)    23,658,785 
Change in net unrealized appreciation (depreciation)
   (21,303,253)    46,600,777 
Net Income (loss)
  $(146,777,823)   $69,406,783 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the futures prices, during the three months ended June 30, 2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
Results of Operations for the Six Months Ended June 30, 2023 Compared to the Six Months Ended June 30, 2022
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $339,591,638  $423,812,594 
NAV end of period
  $282,353,267  $403,644,956 
Percentage change in NAV
   (16.9)%   (4.8)% 
Shares outstanding beginning of period
   5,784,307   6,884,307 
Shares outstanding end of period
   3,334,307   8,384,307 
Percentage change in shares outstanding
   (42.4)%   21.8% 
Shares created
   3,000,000   4,600,000 
Shares redeemed
   5,450,000   3,100,000 
Per share NAV beginning of period
  $58.71  $61.56 
Per share NAV end of period
  $84.68  $48.14 
Percentage change in per share NAV
   44.2%   (21.8)% 
Percentage change in benchmark
   (55.7)%   21.6% 
Benchmark annualized volatility
   58.0%   88.1% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307 outstanding Shares at December 31, 2022 to 3,334,307 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2022, the decrease in the
161
Table of Contents
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 decrease in the Fund’s NAV was offset by an increase from 6,884,307 outstanding Shares at December 31, 2021 to 8,384,307 outstanding Shares at June 30, 2022.
For the six months ended June 30, 2023 and 2022, 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 44.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.
The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $3,113,594   $(2,390,922) 
Management fee
   1,182,813    2,020,898 
Brokerage commission
   249,925    365,250 
Futures account fees
   —      324,251 
Net realized gain (loss)
   94,806,479    (54,216,320) 
Change in net unrealized appreciation (depreciation)
   12,828,278    (30,209,873) 
Net Income (loss)
  $110,748,351   $(86,817,115) 
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2023.
ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $859,094,274  $1,103,783,570 
NAV end of period
  $738,194,368  $1,060,867,238 
Percentage change in NAV
   (14.1)%   (3.9)% 
Shares outstanding beginning of period
   28,393,096   51,243,096 
Shares outstanding end of period
   31,093,096   25,493,096 
Percentage change in shares outstanding
   9.5%   (50.3)% 
Shares created
   34,650,000   10,300,000 
Shares redeemed
   31,950,000   36,050,000 
Per share NAV beginning of period
  $30.26  $21.54 
162
Table of Contents
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Per share NAV end of period
  $23.74  $41.61 
Percentage change in per share NAV
   (21.5)%   93.2% 
Percentage change in benchmark
   (9.5)%   45.9% 
Benchmark annualized volatility
   31.7%   41.9% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) 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 28,393,096 outstanding Shares at December 31, 2022 to 31,093,096 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to the change in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an decrease from 51,243,096 outstanding Shares at December 31, 2021 to 25,493,096 outstanding Shares at June 30, 2022
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.5% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 93.2% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 9.5% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 45.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $8,077,737  $(5,308,864) 
Management fee
   3,619,616   6,183,716 
Brokerage commission
   188,647   335,751 
Futures account fees
   —     362,288 
Net realized gain (loss)
   9,365,632   1,162,711,373 
Change in net unrealized appreciation (depreciation)
   (92,671,285)   (306,208,096) 
Net Income (loss)
  $(75,227,916)  $851,194,413 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil.
163
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, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $586,151,113  $193,892,178 
NAV end of period
  $1,141,021,278  $187,297,842 
Percentage change in NAV
   94.7%   (3.4)% 
Shares outstanding beginning of period
   1,614,376   379,376 
Shares outstanding end of period
   16,421,876   236,876 
Percentage change in shares outstanding
   917.2%   (37.6)% 
Shares created
   32,765,000   455,000 
Shares redeemed
   17,957,500   597,500 
Per share NAV beginning of period
  $363.08  $511.08 
Per share NAV end of period
  $69.48  $790.70 
Percentage change in per share NAV
   (80.9)%   54.7% 
Percentage change in benchmark
   (49.3)%   48.9% 
Benchmark annualized volatility
   69.2%   80.3% 
During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,614,376 outstanding Shares at December 31, 2022 to 16,421,876 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 379,376 outstanding Shares at December 31, 2021 to 236,876 outstanding Shares at June 30, 2022. 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
.
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 80.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 54.7% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets during the six months ended June 30, 2023.
The benchmark’s decline of 49.3% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 48.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2023.
164
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $10,410,619   $(1,082,671) 
Management fee
   4,916,981    931,234 
Brokerage commission
   2,098,150    203,158 
Futures account fees
   399,478    134,330 
Net realized gain (loss)
   (1,678,521,779)    241,207,930 
Change in net unrealized appreciation (depreciation)
   605,047,334    (186,420,725) 
Net Income (loss)
  $(1,063,063,826)   $53,704,534 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $10,704,662  $8,659,095 
NAV end of period
  $7,535,435  $9,415,626 
Percentage change in NAV
   (29.6)%   8.7% 
Shares outstanding beginning of period
   950,000   650,000 
Shares outstanding end of period
   650,000   850,000 
Percentage change in shares outstanding
   (31.6)%   30.8% 
Shares created
   200,000   550,000 
Shares redeemed
   500,000   350,000 
Per share NAV beginning of period
  $11.27  $13.32 
Per share NAV end of period
  $11.59  $11.08 
Percentage change in per share NAV
   2.9%   (16.8)% 
Percentage change in benchmark
   1.9%   (7.9)% 
Benchmark annualized volatility
   8.0%   8.8% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 650,000 outstanding Shares at June 30, 2023. 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 spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
165
Table of Contents
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 16.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s rise of 1.9% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 7.9% for the six months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $141,322   $(24,206) 
Management fee
   44,097    35,315 
Net realized gain (loss)
   358,570    (893,344) 
Change in net unrealized appreciation (depreciation)
   (175,968)    (419,715) 
Net Income (loss)
  $323,924   $(1,337,265) 
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2023.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $173,524,136  $232,780,534 
NAV end of period
  $180,916,531  $239,938,853 
Percentage change in NAV
   4.3%   3.1% 
Shares outstanding beginning of period
   3,150,000   3,900,000 
Shares outstanding end of period
   3,100,000   4,250,000 
Percentage change in shares outstanding
   (1.6)%   9.0% 
Shares created
   450,000   1,600,000 
Shares redeemed
   500,000   1,250,000 
Per share NAV beginning of period
  $55.09  $59.69 
Per share NAV end of period
  $58.36  $56.46 
Percentage change in per share NAV
   5.9%   (5.4)% 
Percentage change in benchmark
   5.4%   (1.5)% 
Benchmark annualized volatility
   14.3%   15.7% 
During the six months ended June 30, 2023, 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
166
Table of Contents
times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 4,250,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 5.4% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s rise of 5.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 1.5% for the six months ended June 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,715,295   $(1,037,188) 
Management fee
   901,375    1,387,563 
Brokerage commission
   15,540    35,723 
Futures account fees
   —      28,169 
Net realized gain (loss)
   27,968,003    (82,487) 
Change in net unrealized appreciation (depreciation)
   (22,166,463)    (19,849,468) 
Net Income (loss)
  $8,516,835   $(20,969,143) 
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of futures prices, during the six months ended June 30, 2023.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $414,285,878  $515,453,594 
NAV end of period
  $356,791,659  $355,577,515 
Percentage change in NAV
   (13.9)%   (31.0)% 
Shares outstanding beginning of period
   13,046,526   14,796,526 
Shares outstanding end of period
   13,196,526   14,346,526 
Percentage change in shares outstanding
   1.1%   (3.0)% 
Shares created
   2,600,000   1,800,000 
Shares redeemed
   2,450,000   2,250,000 
167
Table of Contents
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Per share NAV beginning of period
  $31.75  $34.84 
Per share NAV end of period
  $27.04  $24.78 
Percentage change in per share NAV
   (14.8)%   (28.9)% 
Percentage change in benchmark
   (4.4)%   (13.4)% 
Benchmark annualized volatility
   25.8%   28.2% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, 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 14,796,526 outstanding Shares at December 31, 2021 to 14,346,526 outstanding Shares at June 30, 2022.
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.8% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 28.9% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 4.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 13.4% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $5,153,877  $(1,823,952) 
Management fee
   1,848,064   2,299,939 
Brokerage commission
   73,637   59,283 
Futures account fees
   —     26,693 
Net realized gain (loss)
   35,871,579   (39,558,312) 
Change in net unrealized appreciation (depreciation)
   (96,665,222)   (108,172,044) 
Net Income (loss)
  $(55,639,766)  $(149,554,308) 
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a lesser decrease in the value of futures prices during the six months ended June 30, 2023.
168
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, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $639,318,362  $816,679,636 
NAV end of period
  $387,764,059  $975,683,533 
Percentage change in NAV
   (39.3)%   19.5% 
Shares outstanding beginning of period
   9,307,842   6,582,842 
Shares outstanding end of period
   20,977,842   6,722,842 
Percentage change in shares outstanding
   125.4%   2.1% 
Shares created
   21,310,000   14,150,000 
Shares redeemed
   9,640,000   14,010,000 
Per share NAV beginning of period
  $68.89  $124.06 
Per share NAV end of period
  $18.48  $145.13 
Percentage change in per share NAV
   (73.1)%   17.0% 
Percentage change in benchmark
   (55.7)%   21.6% 
Benchmark annualized volatility
   58.0%   88.1% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 9,307,842 outstanding Shares at December 31, 2022 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, 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 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 also resulted in part from an increase from 6,582,842 outstanding Shares at December 31, 2021 to 6,722,842 outstanding Shares at June 30, 2022
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 73.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 17.0% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
169
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $4,722,827   $(6,862,764) 
Management fee
   2,703,851    4,254,915 
Brokerage commission
   1,490,212    1,906,969 
Futures account fees
   250,360    1,226,811 
Net realized gain (loss)
   (608,541,564)    371,681,032 
Change in net unrealized appreciation (depreciation)
   (43,277,650)    161,734,465 
Net Income (loss)
  $(647,096,387)   $526,552,733 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of futures prices during the six months ended June 30, 2023.
*
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, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $13,814,796  $2,362,849 
NAV end of period
  $12,330,974  $5,024,773 
Percentage change in NAV
   (10.7)%   112.7% 
Shares outstanding beginning of period
   399,970   49,970 
Shares outstanding end of period
   449,970   149,970 
Percentage change in shares outstanding
   12.5%   200.1% 
Shares created
   200,000   100,000 
Shares redeemed
   150,000   —   
Per share NAV beginning of period
  $34.54  $47.29 
Per share NAV end of period
  $27.40  $33.51 
Percentage change in per share NAV
   (20.7)%   (29.2)% 
Percentage change in benchmark
   (9.0)%   (15.2)% 
Benchmark annualized volatility
   10.8%   9.5% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 399,970 outstanding Shares at December 31, 2022 to 449,970 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
170
Table of Contents
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 20.7% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.2% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 9.0% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 15.2% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $179,208   $(9,528) 
Management fee
   55,890    13,465 
Net realized gain (loss)
   (1,068,950)    (878,701) 
Change in net unrealized appreciation (depreciation)
   (1,842,176)    10,820 
Net Income (loss)
  $(2,731,918)   $(877,409) 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the six months ended June 30, 2023.
ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $222,697,337  $114,167,602 
NAV end of period
  $112,854,952  $501,157,304 
Percentage change in NAV
   (49.3)%   339.0% 
Shares outstanding beginning of period
   9,305,220   1,776,760 
Shares outstanding end of period
   4,405,220   21,755,220 
Percentage change in shares outstanding
   (52.7)%   1,124.4% 
Shares created
   11,550,000   27,890,000 
Shares redeemed
   16,450,000   7,911,540 
Per share NAV beginning of period
  $23.93  $64.26 
Per share NAV end of period
  $25.62  $23.04 
Percentage change in per share NAV
   7.1%   (64.2)% 
Percentage change in benchmark
   (9.5)%   45.9% 
Benchmark annualized volatility
   31.7%   41.9% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 4,405,220 outstanding Shares at June 30, 2023. The
171
Table of Contents
decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 21,755,220 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of gold bullionits benchmark. The Fund’s per Share NAV increase of 7.1% for the six months ended June 30, 2023, as measuredcompared to the Fund’s per Share NAV decrease of 64.2% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.
The benchmark’s decline of 9.5% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 45.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,593,344   $(1,435,665) 
Management fee
   844,057    1,438,757 
Brokerage commission
   125,836    184,135 
Futures account fees
   —      155,979 
Net realized gain (loss)
   55,649,291    (209,076,101) 
Change in net unrealized appreciation (depreciation)
   2,739,622    36,686,156 
Net Income (loss)
  $60,982,257   $(173,825,610) 
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 2023.
*
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.
172
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, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $134,109,520  $242,145,130 
NAV end of period
  $141,324,963  $211,823,446 
Percentage change in NAV
   5.4%   (12.5)% 
Shares outstanding beginning of period
   4,966,856   978,742 
Shares outstanding end of period
   2,566,856   4,966,856 
Percentage change in shares outstanding
   (48.3)%   407.5% 
Shares created
   13,850,000   23,340,000 
Shares redeemed
   16,250,000   19,351,886 
Per share NAV beginning of period
  $27.00  $247.40 
Per share NAV end of period
  $55.06  $42.65 
Percentage change in per share NAV
   103.9%   (82.8)% 
Percentage change in benchmark
   (49.3)%   48.9% 
Benchmark annualized volatility
   69.2%   80.3% 
During the six months ended June 30, 2023, 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 was offset by a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, 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 Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.
For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 103.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 82.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 49.3% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 48.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2023.
173
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,432,850   $(1,447,798) 
Management fee
   599,136    1,053,068 
Brokerage commission
   443,288    365,858 
Futures account fees
   56,367    206,885 
Net realized gain (loss)
   232,143,809    (397,371,192) 
Change in net unrealized appreciation (depreciation)
   (106,209,898)    140,292,056 
Net Income (loss)
  $127,366,761   $(258,526,934) 
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $75,113,179  $54,263,045 
NAV end of period
  $50,931,301  $62,270,097 
Percentage change in NAV
   (32.2)%   14.8% 
Shares outstanding beginning of period
   2,550,000   2,100,000 
Shares outstanding end of period
   1,750,000   2,050,000 
Percentage change in shares outstanding
   (31.4)%   (2.4)% 
Shares created
   100,000   550,000 
Shares redeemed
   900,000   600,000 
Per share NAV beginning of period
  $29.46  $25.84 
Per share NAV end of period
  $29.10  $30.38 
Percentage change in per share NAV
   (1.2)%   17.5% 
Percentage change in benchmark
   1.9%   (7.9)% 
Benchmark annualized volatility
   8.0%   8.8% 
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,750,000 outstanding Shares at June 30, 2023. 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 p.m. LBMA Gold Price.

dollar. By comparison, during the six months ended June 30, 2022, 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

174
Table of Contents
spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.
For the threesix months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.6%1.2% for the threesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 1.0%17.5% for the threesix months ended SeptemberJune 30, 2016,2022, was primarily due to a greater depreciation in the value of the assets ofheld by the Fund during the threesix 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.

2023.

The benchmark’s rise of 3.3%1.9% for the threesix months ended SeptemberJune 30, 2017,2023, as compared to the benchmark’s risedecline of 0.1%7.9% for the threesix months ended SeptemberJune 30, 2016,2022, can be attributed to a greateran increase in the pricevalue of spot gold inthe euro versus the U.S. dollar terms during the three monthsperiod ended SeptemberJune 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the threesix months ended SeptemberJune 30, 20172023 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) 

2022:

   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $948,197   $(209,974) 
Management fee
   292,669    264,390 
Net realized gain (loss)
   (2,453,253)    5,818,237 
Change in net unrealized appreciation (depreciation)
   697,680    3,308,479 
Net Income (loss)
  $(807,376)   $8,916,742 
The Fund’s net income decreased for the threesix months ended SeptemberJune 30, 2017,2023 as compared to the threesix months ended SeptemberJune 30, 2016,2022, primarily due to a greateran increase in the pricevalue of spot gold inthe euro versus the U.S. dollar terms during the threesix months ended SeptemberJune 30, 2017.

2023.

ProShares UltraShort Silver

Gold

Fund Performance

The following table provides summary performance information for the Fund for the threesix months ended SeptemberJune 30, 20172023 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% 

2022:

   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $15,456,037  $26,859,844 
NAV end of period
  $15,809,378  $34,611,284 
Percentage change in NAV
   2.3%   28.9% 
Shares outstanding beginning of period
   496,977   846,977 
Shares outstanding end of period
   546,977   1,096,977 
Percentage change in shares outstanding
   10.1%   29.5% 
Shares created
   600,000   1,150,000 
Shares redeemed
   550,000   900,000 
Per share NAV beginning of period
  $31.10  $31.71 
Per share NAV end of period
  $28.90  $31.55 
Percentage change in per share NAV
   (7.1)%   (0.5)% 
Percentage change in benchmark
   5.4%   (1.5)% 
Benchmark annualized volatility
   14.3%   15.7% 
175
Table of Contents
During the threesix 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 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, 2016,2023, the increase in the Fund’s NAV resulted primarily from an increase from 966,976496,977 outstanding Shares at December 31, 2022 to 546,977 outstanding Shares at June 30, 2016 to 1,416,976 outstanding Shares at September 30, 2016.2023. 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 silver bullion as measured by the London Silver Price.

Bloomberg Gold Subindex

SM
. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,096,977 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted 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
.
For the threesix months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.9%7.1% for the threesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decrease of 15.7%0.5% for the threesix months ended SeptemberJune 30, 2016,2022, 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 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.

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)

  $(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) 

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 rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Short 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

  $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% 

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 the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, 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 (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 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 threesix 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 $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.

2023.

The benchmark’s rise of 3.5%5.4% for the threesix months ended SeptemberJune 30, 2017,2023, as compared to the benchmark’s risedecline of 1.2%1.5% for the threesix months ended SeptemberJune 30, 2016,2022, can be attributed to a greateran increase in the value of the euro versus the U.S. dollargold futures contracts during the three monthsperiod ended SeptemberJune 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the threesix months ended SeptemberJune 30, 20172023 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) 

2022:

   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $234,406   $(120,396) 
Management fee
   79,242    141,814 
Brokerage commission
   2,966    5,796 
Futures account fees
   —      2,446 
Net realized gain (loss)
   (2,584,032)    (1,750,799) 
Change in net unrealized appreciation (depreciation)
   2,103,219    2,318,730 
Net Income (loss)
  $(246,407)   $447,535 
The Fund’s net income decreased for the threesix months ended SeptemberJune 30, 2017,2023 as compared to the threesix months ended SeptemberJune 30, 2016,2022, primarily due to a greateran increase in the value of the euro versus the U.S. dollarfutures prices during the threesix months ended SeptemberJune 30, 2017.

2023.

ProShares UltraShort Australian Dollar

Silver

Fund Performance

The following table provides summary performance information for the Fund for the threesix months ended SeptemberJune 30, 20172023 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% 

2022:

   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $31,932,799  $26,537,000 
NAV end of period
  $19,290,473  $33,052,840 
Percentage change in NAV
   (39.6)%   24.6% 
Shares outstanding beginning of period
   1,641,329   991,329 
176
Table of Contents
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Shares outstanding end of period
   941,329   1,041,329 
Percentage change in shares outstanding
   (42.6)%   5.0% 
Shares created
   3,100,000   1,800,000 
Shares redeemed
   3,800,000   1,750,000 
Per share NAV beginning of period
  $19.46  $26.77 
Per share NAV end of period
  $20.49  $31.74 
Percentage change in per share NAV
   5.3%   18.6% 
Percentage change in benchmark
   (4.4)%   (13.4)% 
Benchmark annualized volatility
   25.8%   28.2% 
During the threesix months ended SeptemberJune 30, 2017,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,0001,641,329 outstanding Shares at December 31, 2022 to 941,329 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017.2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effecttiming 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. 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 inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2016, was primarily due to a lesser 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 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.

The benchmark’s rise of 2.1% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 2.7% for the three months ended September 30, 2016, can be attributed to a lesser rise in the value of the Australian dollar 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)

  $(3,456)   $(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) 

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 rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort 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

  $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% 

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 inverse 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. 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 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 decrease of 6.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% 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 $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.

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)

  $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) 

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 rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort 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

  $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%)

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,299,290 outstanding Shares at June 30, 2017 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAVshareholder 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 the spot price of the Japanese yen versus the U.S. dollar.Bloomberg Silver Subindex

SM
. By comparison, during the threesix months ended SeptemberJune 30, 2016,2022, 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 priceBloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of the Japanese yen versus the U.S. dollar.

shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.

For the threesix months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.3%5.3% for the threesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 4.5%18.6% for the threesix months ended SeptemberJune 30, 2016,2022, was primarily due to anlesser appreciation in the value of the assets held by the Fund during the threesix 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.

2023.

The benchmark’s decline of 0.03%4.4% for the threesix months ended SeptemberJune 30, 2017,2023, as compared to the benchmark’s risedecline of 1.8%13.4% for the threesix months ended SeptemberJune 30, 2016,2022, can be attributed to a declinelesser decrease in the value of the Japanese yen versus the U.S. dollarsilver futures contracts during the three monthsperiod ended SeptemberJune 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the threesix months ended SeptemberJune 30, 20172023 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) 

2022:

   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $366,566   $(112,092) 
Management fee
   142,585    123,334 
Brokerage commission
   14,661    11,978 
Futures account fees
   —      4,443 
Net realized gain (loss)
   3,826,313    2,037,296 
Change in net unrealized appreciation (depreciation)
   4,467,058    5,642,964 
Net Income (loss)
  $8,659,937   $7,568,168 
The Fund’s net income increased for the threesix months ended SeptemberJune 30, 2017,2023 as compared to the threesix months ended SeptemberJune 30, 2016,2022, primarily due to a declinedecrease in the value of the Japanese yen versus the U.S. dollarfutures prices during the threesix months ended SeptemberJune 30, 2017.

2023.

177
Table of Contents
ProShares Ultra Bloomberg Crude Oil*

UltraShort Yen

*
Fund Performance

The following table provides summary performance information for the Fund for the threesix months ended SeptemberJune 30, 20172023 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% 

2022:

   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $21,397,736  $24,840,784 
NAV end of period
  $27,077,656  $45,568,882 
Percentage change in NAV
   26.5%   83.4% 
Shares outstanding beginning of period
   398,580   598,580 
Shares outstanding end of period
   398,580   798,580 
Percentage change in shares outstanding
   —  %   33.4% 
Shares created
   450,000   850,000 
Shares redeemed
   450,000   650,000 
Per share NAV beginning of period
  $53.68  $41.50 
Per share NAV end of period
  $67.94  $57.06 
Percentage change in per share NAV
   26.6%   37.5% 
Percentage change in benchmark
   (9.0)%   (15.2)% 
Benchmark annualized volatility
   10.8%   9.5% 
During the threesix 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, 2016,2023, the increase in the Fund’s NAV resulted from an increase from 36,938,933 outstanding Shares at June 30, 2016 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 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 20.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 13.6% 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 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.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 5.0% for the three months ended September 30, 2016, 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 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) 

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 an increase in the price of WTI Crude Oil during the three months ended September 30, 2016.

*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 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 September 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% 

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,050,008 outstanding Shares at June 30, 2017 to 300,008 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 3x 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 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, 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 oftwo times 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 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, 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 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, 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 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 2xinverse (-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, 2022 to June 30, 2017 to September 30, 2017.2023. By comparison, during 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 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, 2017,2022, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000598,580 outstanding Shares at December 31, 20162021 to 11,100,000798,580 outstanding Shares at SeptemberJune 30, 2017.2022. 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 two times the inverse (-2x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, duringspot price of the nineJapanese yen versus the U.S. dollar.

For the six months ended SeptemberJune 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 fees2023 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, 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% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 42.9% 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 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.

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 of the 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)

  $(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 

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 decline in futures prices 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 Share split for the ProShares Short VIX Short-Term Futures ETF.

ProShares Ultra 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

  $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% 

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,965,383 outstanding Shares at December 31, 2016 to 25,927,238 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 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 195,025 outstanding Shares at December 31, 2015 to 2,185,383 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 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 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 88.1% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 88.0% 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 $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.

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)

  $(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) 

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 decline in futures prices 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 splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Crude Oil*

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

  $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% 

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,884 outstanding Shares at December 31, 2016 to 7,089,884 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 2x of the inverse of 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 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 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 nine months ended September 30, 2017 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0%26.6% for the ninesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 39.9%37.5% for the ninesix months ended SeptemberJune 30, 2016,2022, was primarily due to anlesser 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.

2023.

The benchmark’s decline of 9.4%9.0% for the ninesix months ended SeptemberJune 30, 2017,2023, as compared to the benchmark’s decline of 0.3%15.2% for the ninesix months ended SeptemberJune 30, 2016,2022, can be attributed to a greaterlesser decrease in the pricevalue of WTI Crude Oilthe Japanese yen versus the U.S. dollar during the nine monthsperiod ended SeptemberJune 30, 2017.

2023.

178
Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172023 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) 

2022:

   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $350,563   $(116,689) 
Management fee
   108,991    153,001 
Net realized gain (loss)
   342,795    9,100,314 
Change in net unrealized appreciation (depreciation)
   5,004,524    70,535 
Net Income (loss)
  $5,697,882   $9,054,160 
The Fund’s net income increaseddecreased for the ninesix months ended SeptemberJune 30, 2017,2023 as compared to the ninesix months ended SeptemberJune 30, 2016,2022, primarily due to a greaterlesser decrease in the pricevalue of WTI Crude Oilthe Japanese yen versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2017.

2023.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the forward Share split for the ProShares UltraShort Bloomberg Crude Oil.Ultra Short Yen.

ProShares UltraPro 3x Short Crude OilVIX Mid-Term Futures 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

  $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

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 900,008 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 3x of the inverse 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 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, 20172023 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% 

2022:

   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $84,014,959  $112,875,680 
NAV end of period
  $49,421,413  $95,721,271 
Percentage change in NAV
   (41.2)%   (15.2)% 
Shares outstanding beginning of period
   2,762,403   3,687,403 
Shares outstanding end of period
   2,412,403   2,712,403 
Percentage change in shares outstanding
   (12.7)%   (26.4)% 
Shares created
   850,000   1,000,000 
Shares redeemed
   1,200,000   1,975,000 
Per share NAV beginning of period
  $30.41  $30.61 
Per share NAV end of period
  $20.49  $35.29 
Percentage change in per share NAV
   (32.6)%   15.3% 
Percentage change in benchmark
   (31.9)%   16.5% 
Benchmark annualized volatility
   30.2%   34.9% 
During the ninesix months ended SeptemberJune 30, 2017,2023, the increasedecrease 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 of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net changeS&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares fromat December 31, 20162022 to September2,412,403 outstanding Shares at June 30, 2017.2023. By comparison, during the ninesix months ended SeptemberJune 30, 2016,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,8563,687,403 outstanding Shares at December 31, 20152021 to 174,8322,712,403 outstanding Shares at SeptemberJune 30, 2016.2022. 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 of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

S&P 500 VIX Mid-Term Futures Index.

179
Table of Contents
For the ninesix months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 46.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 21.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months September 30, 2017.

During the nine months ended September 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.

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)

  $(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 

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, in conjunction with a significant decline in average shares outstanding during the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016.

ProShares UltraShort 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

  $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% 

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,978 outstanding Shares at December 31, 2016 to 496,978 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 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 an increase from 646,978 outstanding Shares at December 31, 2015 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 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.

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 22.0%32.6% for the ninesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 39.9%15.3% for the ninesix months ended SeptemberJune 30, 2016,2022, was primarily due to a lesser depreciation in the value of the assets ofheld by the Fund during the ninesix months ended SeptemberJune 30, 2017.

During2023.

The benchmark’s decline of 31.9% 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 $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, 2017,2023, as compared to the benchmark’s rise of 24.8%16.5% for the ninesix months ended SeptemberJune 30, 2016,2022, can be attributed to a lesser increasedecrease in the pricevalue of spot gold in U.S. dollar termsthe futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the nine monthsperiod ended SeptemberJune 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172023 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) 

2022:

   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $969,651   $(436,261) 
Management fee
   284,189    426,247 
Brokerage commission
   21,369    40,369 
Futures account fees
   23,296    46,394 
Net realized gain (loss)
   (22,764,053)    12,653,549 
Change in net unrealized appreciation (depreciation)
   (5,092,642)    3,518,835 
Net Income (loss)
  $(26,887,044)   $15,736,123 
The Fund’s net income increaseddecreased for the ninesix months ended SeptemberJune 30, 2017,2023 as compared to the ninesix months ended SeptemberJune 30, 2016,2022, primarily due to a lesser increasedecrease in the pricevalue of spot gold in U.S. dollar termsthe futures prices during the ninesix months ended SeptemberJune 30, 2017.

2023.

ProShares UltraShort Silver

VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20172023 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% 

2022:

   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $266,580,320  $269,703,164 
NAV end of period
  $230,227,830  $341,714,316 
Percentage change in NAV
   (13.6)%   26.7% 
Shares outstanding beginning of period
   4,676,565   3,566,565 
Shares outstanding end of period
   9,226,565   3,751,565 
Percentage change in shares outstanding
   97.3%   5.2% 
Shares created
   6,760,000   3,625,000 
Shares redeemed
   2,210,000   3,440,000 
Per share NAV beginning of period
  $57.00  $75.62 
Per share NAV end of period
  $24.95  $91.09 
Percentage change in per share NAV
   (56.2)%   20.5% 
Percentage change in benchmark
   (55.7)%   21.6% 
Benchmark annualized volatility
   58.0%   88.1% 
180
Table of Contents
During the ninesix months ended SeptemberJune 30, 2017,2023, 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 of the inverse of the daily performance of silver bullion as measured by the London Silver Price.S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 616,9764,676,565 outstanding Shares at December 31, 20162022 to 716,9769,226,565 outstanding Shares at SeptemberJune 30, 2017.2023. By comparison, during the ninesix months ended SeptemberJune 30, 2016,2022, 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 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.S&P 500 VIX Short-Term Futures Index. The decreaseincrease in the Fund’s NAV was offset byalso resulted in part from an increase from 866,9783,566,565 outstanding Shares at December 31, 20152021 to 1,416,9763,751,565 outstanding Shares at SeptemberJune 30, 2016.

2022.

For the ninesix months ended SeptemberJune 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.3%56.2% for the ninesix months ended SeptemberJune 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 56.7%20.4% for the ninesix months ended SeptemberJune 30, 2016,2022, was primarily due to a lesser depreciationdeprecation in the value of the assets ofheld by the Fund during the ninesix months ended SeptemberJune 30, 2017.

During2023.

The benchmark’s decline of 55.7% for the ninesix months ended SeptemberJune 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, 2017,2023, as compared to the benchmark’s rise of 40.0%21.6% for the ninesix months ended SeptemberJune 30, 2016,2022, can be attributed to a lesser risedecrease in the pricevalue of spot silver in U.S. dollar termsthe near-term futures contracts on the VIX futures curve during the nine monthsperiod ended SeptemberJune 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20172023 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) 

2022:

   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $3,221,259   $(1,804,892) 
Management fee
   1,048,314    1,479,408 
Brokerage commission
   191,888    287,656 
Futures account fees
   99,391    316,440 
Net realized gain (loss)
   (173,336,606)    77,393,009 
Change in net unrealized appreciation (depreciation)
   (20,173,227)    33,152,396 
Net Income (loss)
  $(190,288,574)   $108,740,513 
The Fund’s net income decreased for the ninesix months ended SeptemberJune 30, 2017,2023 as compared to the ninesix months ended SeptemberJune 30, 2016,2022, primarily due to a greater increasedecrease in the value of the euro versus the U.S. dollar and a higher asset basefutures prices during the ninesix months ended SeptemberJune 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 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 $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, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen 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)

  $(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) 

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 value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares Ultra Bloomberg Crude Oil*

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

  $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% 

During the nine months ended September 30, 2017, the decrease 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 (before fees and expenses) that correspond to 2x of 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.

2023.
*
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.VIX Short-Term Futures ETF.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons

181
Table 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 feesContents

Item 3. Quantitative 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 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, 2016 to September 30, 2017. 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 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 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 4.8% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 36.0% for the nine months ended September 30, 2016, was primarily due to a lesser 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 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, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen 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)

  $(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 

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 value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

Item 3.Quantitative and Qualitative Disclosures About Market Risk.

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, 20172023 and 2016,2022, each of the VIX Funds’Fund’s positions were as follows:

ProShares VIX Short-Term Futures ETF:

As of September 30, 2017 and 2016, the ProShares VIX Short-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    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 

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    8,392   $15.78    1,000   $132,383,800 

VIX Futures (CBOE)

   Long    November 2016    5,601    16.95    1,000    94,936,950 

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 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:

ETF

As of SeptemberJune 30, 20172023 and 2016,2022, 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 SeptemberJune 30, 20172023 and 2016,2022, which were sensitive to equity market volatility risk.

Futures Positions as of September

Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  July 2023   5,241   $15.01    1,000   $(78,672,651) 
VIX Futures (Cboe)
  Short  August 2023   3,810    16.40    1,000    (62,485,143) 
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  July 2022   3,652   $28.56    1,000   $(104,309,520) 
VIX Futures (Cboe)
  Short  August 2022   3,346    29.18    1,000    (97,627,580) 
The June 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, 20172023 and 20162022 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 positionsposition in Financial Instrumentseach dayto have $1.00$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:

As

182
Table of September 30, 2017 and 2016, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these 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    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 

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. 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 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 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 Form10-K for additional information regarding performance for periods longer than a single day.

Commodity Price Sensitivity

Each 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. As of September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2017 and 2016, 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 WTI Crude Oil SubindexSM. 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		 

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) 

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 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 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. 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.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2017 and 2016, 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 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		 

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) 

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 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 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.

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 September 30, 2017 and 2016, 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 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    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) 

The September 30, 2017 and 2016 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 Instrumentseach 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. Futureperiod 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 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 UltraShort Yen:

As of September 30, 2017 and 2016, 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 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    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) 

The September 30, 2017 and 2016 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 Instrumentseach 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two See “Item 1A. Risk Factors” in the 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

Each 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. As of September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

Contents

ProShares Ultra Bloomberg Crude Oil:

As of SeptemberJune 30, 20172023 and 2016,2022, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil SubindexIndex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20172023 and 2016,2022, 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   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, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2023   2,315   $70.78    1,000   $163,855,700 
WTI Crude Oil (NYMEX)
  Long  December 2023   2,393    70.40    1,000    168,467,200 
WTI Crude Oil (NYMEX)
  Long  June 2024   2,478    69.02    1,000    171,031,560 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.  Long  $76.6109   $172,685,565 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   76.6109    214,703,580 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC		  Long   76.6109    179,707,950 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   76.6109    162,974,521 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   76.6109    242,623,120 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2022   2,204   $103.10    1,000   $227,232,400 
WTI Crude Oil (NYMEX)
  Long  December 2022   2,535    95.56    1,000    242,244,600 
WTI Crude Oil (NYMEX)
  Long  June 2023   2,688    87.62    1,000    235,522,560 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.  Long  $95.7921   $215,921,141 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   95.7921    321,089,755 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC		  Long   95.7921    373,984,332 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   95.7921    203,778,726 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   95.7921    303,369,078 
183
Table of Contents
The SeptemberJune 30, 20172023 and 20162022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The SeptemberJune 30, 20172023 and 20162022 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 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 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. 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. 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 Ultra Bloomberg Natural Gas:

As of SeptemberJune 30, 20172023 and 2016,2022, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts.contracts and swap agreements linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20172023 and 2016,2022, 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)

  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, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  September 2023   71,349   $2.77    10,000   $1,979,221,260 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg Natural Gas Subindex
  Citibank, N.A.  Long  $0.0892   $148,091,216 
Bloomberg Natural Gas Subindex
  Goldman Sachs International  Long   0.0892    101,183,890 
Bloomberg Natural Gas Subindex
  Societe General  Long   0.0892    52,717,728 
Bloomberg Natural Gas Subindex
  UBS AG  Long   0.0892    810,173 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  September 2022   6,954   $5.39    10,000   $374,959,680 
The SeptemberJune 30, 20172023 and 20162022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 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, 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 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 Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of September 30, 2017 and 2016, the ProShares Ultra Gold Fund was exposed to commodity price Swap counterparty 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)

   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) 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:

Asthird-party custodian.

184
Table 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:

Contents

ProShares Ultra Euro:

As of SeptemberJune 30, 20172023 and 2016,2022, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20172023 and 2016,2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September

Foreign Currency Forward Contracts as of June 30, 2023
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/14/23    7,784,921   1.0754   $8,372,037 
Euro
  UBS AG  Long   07/14/23    7,204,502   1.0765    7,755,419 
Euro
  Goldman Sachs International  Short   07/14/23    (93,000)   1.0899    (101,361) 
Euro
  UBS AG  Short   07/14/23    (1,152,000)   1.0907    (1,256,509) 
 
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/08/22    4,532,921   1.0752   $4,873,797 
Euro
  UBS AG  Long   07/08/22    14,836,502   1.0632    15,774,356 
Euro
  UBS AG  Short   07/08/22    (1,446,000)   1.0601    (1,532,970) 
The June 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, 20172023 and 20162022 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. 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 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 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 Ultra Yen:

Gold:

As of SeptemberJune 30, 20172023 and 2016,2022 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2023   530   $1,929.40    100   $102,258,200 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $201.2774   $111,454,930 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   201.2774    52,937,566 
Bloomberg Gold Subindex
  UBS AG  Long   201.2774    95,175,948 
185
Table of Contents
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2022   954   $1,807.30    100   $172,416,420 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $197.5387   $109,384,670 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   197.5387    84,543,271 
Bloomberg Gold Subindex
  UBS AG  Long   197.5387    113,788,925 
The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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. Swap counterparty risk 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, 2023 and 2022 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, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Long  September 2023   2,047   $23.02    5,000   $235,609,700 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $198.4659   $166,412,438 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   198.4659    21,984,663 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC		  Long   198.4659    149,157,444 
Bloomberg Silver Subindex
  UBS AG  Long   198.4659    140,386,283 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Long  September 2022   773   $20.35    5,000   $78,660,480 
186
Table of Contents
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $182.7827   $153,262,171 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   182.7827    177,466,859 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC		  Long   182.7827    168,307,407 
Bloomberg Silver Subindex
  UBS AG  Long   182.7827    134,298,894 
The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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. Swap counterparty risk 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, 2023 and 2022, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2023   21,591   $15.01    1,000   $324,102,501 
VIX Futures (Cboe)
  Long  August 2023   15,704    16.40    1,000    257,550,311 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2022   26,481   $28.56    1,000   $756,358,266 
VIX Futures (Cboe)
  Long  August 2022   24,277    29.18    1,000    708,339,740 
The June 30, 2023 and 2022 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 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
187
Table of Contents
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, 2023 and 2022, 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 SeptemberJune 30, 20172023 and 2016,2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September

Foreign Currency Forward Contracts as of June 30, 2023
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/14/23    1,507,359,517   0.007217   $10,877,886 
Yen
  UBS AG  Long   07/14/23    2,188,352,856   0.007161    15,670,467 
Yen
  Goldman Sachs International  Short   07/14/23    (1,461)   0.006844    (10) 
Yen
  UBS AG  Short   07/14/23    (158,537,000)   0.007066    (1,120,148) 
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market
Value USD
 
Yen
  Goldman Sachs International  Long   07/08/22    333,241,517   0.007476   $2,491,153 
Yen
  UBS AG  Long   07/08/22    1,080,855,856   0.007414    8,013,151 
Yen
  UBS AG  Short   07/08/22    (54,170,000)   0.007409    (401,369) 
The June 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, 20172023 and 20162022 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. 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 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 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

third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:
As described aboveof June 30, 2023 and 2022, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in Item 2these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Short  September 2023   1,038   $70.78    1,000   $(73,469,640) 
WTI Crude Oil (NYMEX)
  Short  December 2023   1,073    70.40    1,000    (75,539,200) 
WTI Crude Oil (NYMEX)
  Short  June 2024   1,111    69.02    1,000    (76,681,220) 
188
Table of Contents
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Short  September 2022   3,134   $103.10    1,000   $(323,115,400) 
WTI Crude Oil (NYMEX)
  Short  December 2022   3,605    95.56    1,000    (344,493,800) 
WTI Crude Oil (NYMEX)
  Short  June 2023   3,824    87.62    1,000    (335,058,880) 
The June 30, 2023 and 2022 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 this Quarterlythe price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form10-Q, 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Natural Gas:
As of June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Short  September 2023   10,189   $2.77    10,000   $(282,642,860) 
 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Short  September 2022   7,871   $5.39    10,000   $(424,404,320) 
The June 30, 2023 and 2022 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
189
Table of Contents
ProShares UltraShort Euro:
As of June 30, 2023 and 2022, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2023
 
       
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/14/23    4,446,000   1.1002   $4,891,387 
Euro
  UBS AG  Long   07/14/23    12,460,000   1.0897    13,577,549 
Euro
  Goldman Sachs International  Short   07/14/23    (51,941,263)   1.0759    (55,884,697) 
Euro
  UBS AG  Short   07/14/23    (58,308,199)   1.0763    (62,758,994) 
 
Foreign Currency Forward Contracts as of June 30, 2022
 
       
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/08/22    12,080,000   1.0563   $12,760,213 
Euro
  UBS AG  Long   07/08/22    12,060,000   1.0551    12,724,426 
Euro
  Goldman Sachs International  Short   07/08/22    (51,635,263)   1.0740    (55,457,155) 
Euro
  UBS AG  Short   07/08/22    (91,489,199)   1.0702    (97,911,917) 
The June 30, 2023 and 2022 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of June 30, 2023 and 2022 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
   Short    August 2023    79   $1,929.40    100   $(15,242,260) 
190
Table of Contents
Swap Agreements as of June 30, 2023
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $201.2774   $(3,783,471) 
Bloomberg Gold Subindex
  Goldman Sachs International  Short   201.2774    (4,958,670) 
Bloomberg Gold Subindex
  UBS AG  Short   201.2774    (7,669,707) 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Short  August 2022   184   $1,807.30    100   $(33,254,320) 
Swap Agreements as of June 30, 2022
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $197.5387   $(14,809,140) 
Bloomberg Gold Subindex
  Goldman Sachs International  Short   197.5387    (9,688,247) 
Bloomberg Gold Subindex
  UBS AG  Short   197.5387    (11,585,084) 
The June 30, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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. Swap counterparty risk 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, 2023 and 2022 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, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short    September 2023    139   $23.02    5,000   $(15,998,900) 
191
Table of Contents
Swap Agreements as of June 30, 2023
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $198.4659   $(2,676,258) 
Bloomberg Silver Subindex
  Goldman Sachs International  Short   198.4659    (9,749,240) 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC		  Short   198.4659    (7,708,614) 
Bloomberg Silver Subindex
  UBS AG  Short   198.4659    (2,464,968) 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short    September 2022    445   $20.35    5,000   $(45,283,200) 
Swap Agreements as of June 30, 2022
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $182.7827   $(2,464,774) 
Bloomberg Silver Subindex
  Goldman Sachs International  Short   182.7827    (8,978,838) 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC		  Short   182.7827    (7,099,463) 
Bloomberg Silver Subindex
  UBS AG  Short   182.7827    (2,270,181) 
The June 30, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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. Swap counterparty risk 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 June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2023
 
       
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  UBS AG  Long   07/14/23    1,228,677,000   0.007157   $8,793,482 
Yen
  Goldman Sachs International  Short   07/14/23    (3,428,392,165)   0.007206    (24,704,991) 
Yen
  UBS AG  Short   07/14/23    (5,596,567,574)   0.007187    (40,224,318) 
192
Table of Contents
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  UBS AG  Long  07/08/22   1,505,180,000   0.007476   $11,252,838 
Yen
  Goldman Sachs International  Short  07/08/22   (1,658,463,165)   0.007476    (12,389,197) 
Yen
  UBS AG  Short  07/08/22   (12,207,008,574)   0.007451    (90,956,530) 
The June 30, 2023 and 2022 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares VIX Mid-Term Futures ETF
As of June 30, 2023 and 2022, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  October 2023   501   $18.35    1,000   $9,192,799 
VIX Futures (Cboe)
  Long  November 2023   865    18.85    1,000    16,305,250 
VIX Futures (Cboe)
  Long  December 2023   865    19.15    1,000    16,564,750 
VIX Futures (Cboe)
  Long  January 2024   364    20.20    1,000    7,352,800 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  October 2022   569   $29.78    1,000   $16,944,251 
VIX Futures (Cboe)
  Long  November 2022   1,089    29.52    1,000    32,144,884 
VIX Futures (Cboe)
  Long  December 2022   1,090    28.81    1,000    31,400,611 
VIX Futures (Cboe)
  Long  January 2023   521    29.60    1,000    15,420,610 
The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
193
Table of Contents
ProShares VIX Short-Term Futures ETF
As of June 30, 2023 and 2022, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of June 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2023   8,545   $15.01    1,000   $128,268,995 
VIX Futures (Cboe)
  Long  August 2023   6,216    16.40    1,000    101,944,265 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2022   6,185   $28.56    1,000   $176,657,825 
VIX Futures (Cboe)
  Long  August 2022   5,672    29.18    1,000    165,494,213 
The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
Qualitative Disclosure
As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, 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(-1x) (-0.5x) 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.

194
Table of Contents
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 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.

195
Table of Contents
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(-1x, (-0.5x, -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),times in “Note 2 —Significant Accounting Policies —Final Net Asset Value for Fiscal Period” ), 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/redeemcreation/redemption 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. 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).

196
Table of Contents
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,June 30, 2023, 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 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, 20172023 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.

197
Table of Contents
Part IIII. OTHER INFORMATION

Item 1. Legal Proceedings.

None

As of June 30, 2023, the Trust is not a party to any material legal proceedings.
Item 1A. Risk Factors.

There has

Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust
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 Reportmarkets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) and its variants 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 if reimposed, a severe economic impact on Form10-Kglobal economies as economic activity in some instances has essentially ceased.
As the hospitalization rates and COVID-related deaths continue to fall, the severity of lockdowns and restrictive policies relative to the onset of the COVID-19 pandemic will decrease as the situation gradually improves. Currently the bear market continues to recover from the lockdowns and restrictions that brought economic strain to several industries. Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the year ended December 31, 2016, filedprice of crude oil and futures contracts on March 1, 2017.

crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. Currently, crude oil prices have increased since the onset of the COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.

On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing of hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.
198
Table of Contents
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 FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some FCMs 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.
Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, 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, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have 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, civil unrest, 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. To attempt to curb the spread of COVID-19, federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. 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 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. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance r 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 transaction 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 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.
The outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to COVID-19, SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as COVID-19, the extent of any such outbreak’s disruption to important
199
Table of Contents
global, regional and local supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted.
Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
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

a)
None.
b)
Not applicable.
c)
The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended June 30, 2023:
Title of Securities Registered
*
  
 
   
Total Number of
Shares Redeemed
   
Average Price
Per Share
 
ProShares Short VIX Short-Term Futures ETF
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    1,600,000   $67.92 
    05/01/23 to 05/31/23    —     $—   
    06/01/23 to 06/30/23    250,000   $77.20 
ProShares Ultra Bloomberg Crude Oil
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    7,050,000   $29.30 
    05/01/23 to 05/31/23    4,000,000   $24.62 
    06/01/23 to 06/30/23    4,000,000   $23.93 
ProShares Ultra Bloomberg Natural Gas (Note 1)
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    4,330,000   $71.01 
    05/01/23 to 05/31/23    3,927,500   $66.99 
    06/01/23 to 06/30/23    4,567,500   $62.93 
ProShares Ultra Euro
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    50,000   $11.39 
    06/01/23 to 06/30/23    50,000   $11.58 
ProShares Ultra Gold
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    50,000   $66.13 
    06/01/23 to 06/30/23    100,000   $59.90 
ProShares Ultra Silver
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    900,000   $32.70 
    05/01/23 to 05/31/23    50,000   $34.48 
    06/01/23 to 06/30/23    350,000   $29.61 
200
Table of all registered Shares and reallocated the remaining amountContents
Title of Securities Registered
*
  
 
   
Total Number of
Shares Redeemed
   
Average Price
Per Share
 
ProShares Ultra VIX Short-Term Futures ETF (Note 1)
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    3,300,000   $37.71 
    06/01/23 to 06/30/23    250,000   $23.78 
ProShares Ultra Yen
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    —     $—   
    06/01/23 to 06/30/23    —     $—   
ProShares UltraShort Bloomberg Crude Oil
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    2,000,000   $24.48 
    05/01/23 to 05/31/23    3,400,000   $27.40 
    06/01/23 to 06/30/23    2,200,000   $26.97 
ProShares UltraShort Bloomberg Natural Gas
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    1,950,000   $75.15 
    05/01/23 to 05/31/23    2,850,000   $73.12 
    06/01/23 to 06/30/23    1,300,000   $71.98 
ProShares UltraShort Euro
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    50,000   $28.73 
    05/01/23 to 05/31/23    150,000   $28.30 
    06/01/23 to 06/30/23    100,000   $28.87 
ProShares UltraShort Gold
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    150,000   $26.27 
    06/01/23 to 06/30/23    200,000   $28.48 
ProShares UltraShort Silver
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    250,000   $17.03 
    05/01/23 to 05/31/23    1,550,000   $19.17 
    06/01/23 to 06/30/23    800,000   $19.97 
ProShares UltraShort Yen
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    150,000   $56.19 
    05/01/23 to 05/31/23    100,000   $60.30 
    06/01/23 to 06/30/23    50,000   $63.75 
ProShares VIX Mid-Term Futures ETF
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    125,000   $27.25 
    05/01/23 to 05/31/23    —     $—   
    06/01/23 to 06/30/23    550,000   $22.52 
ProShares VIX Short-Term Futures ETF (Note 1)
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    170,000   $38.52 
    06/01/23 to 06/30/23    85,000   $29.40 
201
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

   —     $—   

Contents
*See Note 1
The registration statement covers an indeterminate amount of the Notessecurities 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.be offered or sold.

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a
Rule 10b5-1
trading arrangement (as such terms are defined in item 408 of Regulation S-K under the Securities Act of 1933, as amended) for the three month period ended June 30, 2023.
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)
32.1  Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted
32.1*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.

SIGNATURES

*
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.
202
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

PROSHARES TRUST II

/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: August 8, 2023
Date: November 9, 2017
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 9, 2017August 8, 2023

237

203