P1Dhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberhttp://fasb.org/us-gaap/2023#RelatedPartyMemberfalseQ30001415311--12-31The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.Rates shown represent discount rate at the time of purchase.All or partial amount pledged as collateral for swap agreements.All or partial amount pledged as collateral for futures contracts.The positions and counterparties herein are as of September 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.For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. See Note 1 of these Notes to Financial Statements. 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. Percentages are annualized. Percentages are not annualized for the period ended September 30, 2022. 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. Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. Percentages are not annualized for the period ended September 30, 2023. The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. 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. 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. Reflects the floating financing rate, as of September 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.Amount represents greater than $(0.005). 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 nine months ended September 30, 2023. Amount represents less than $0.005. 0001415311 us-gaap:NondesignatedMember us-gaap:CommodityContractMember ck0001415311:NetRealizedGainLossOnFuturesContractsAndSwapAgreementsChangesInUnrealizedAppreciationDepreciationOnFuturesContractsAndSwapAgreementsMember ck0001415311:ProsharesUltraBloombergCrudeOilMember 2023-01-01 2023-09-30
Table of Contents
UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM
10-Q

Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2017.2023.

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 ETF
VIXMCboe 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 Regulation
S-T
232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). ☒ Yes ☐ No

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

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

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

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

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court. ☐ Yes ☒ No
As of November
2
, 2023, the registrant had 106,289,214 shares of common stock, $0 par value per share, outstanding.

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 
  

 

 

   

 

 

 

   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $104,655,954 and $144,283,581, respectively)
  $104,670,946   $144,307,676 
Cash
   50,012,847    6,852,395 
Segregated cash balances with brokers for futures contracts
   96,778,870    127,094,546 
Receivable on open futures contracts
   12,792,560    67,086,947 
Interest receivable
   275,091    475,930 
  
 
 
   
 
 
 
Total assets
   264,530,314    345,817,494 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   —     5,861,814 
Payable on open futures contracts
   2,625,055    —  
Brokerage commissions and futures account fees payable
   8,960    21,576 
Payable to Sponsor
   197,552    342,466 
  
 
 
   
 
 
 
Total liabilities
   2,831,567    6,225,856 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   261,698,747    339,591,638 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $264,530,314   $345,817,494 
  
 
 
   
 
 
 
Shares outstanding
   3,034,307    5,784,307 
  
 
 
   
 
 
 
Net asset value per share
  $86 .25   $58 .71 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $86 .34   $58 .68 
  
 
 
   
 
 
 
See accompanying notes to financial statements.

1

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 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
    
(40% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.407% due 10/10/23  $20,000,000   $19,976,556 
5.478% due 10/17/23   45,000,000    44,900,905 
5.499% due 10/24/23   15,000,000    14,951,600 
5.490% due 11/14/23   25,000,000    24,841,885 
       
Total short-term U.S. government and agency obligations
(cost $104,655,954)
    $104,670,946 
       
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 October 2023   4,373   $77,713,457   $(1,730,931
VIX Futures - Cboe, expires November 2023   2,906    53,023,748    (656,454
         
      $(2,387,385
         
^^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

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   419   3,946   (943  6,237 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $2,624,180  $1,006,499  $7,170,512  $1,325,976 
                 
Expenses
     
Management fee   634,871   914,054   1,817,684   2,934,952 
Brokerage commissions   137,943   152,661   387,868   517,911 
Futures account fees   —    23,966   —    348,217 
Non-recurring
fees and expenses
   —    6,122   —    6,122 
                 
Total expenses   772,814   1,096,803   2,205,552   3,807,202 
                 
Net investment income (loss)   1,851,366   (90,304  4,964,960   (2,481,226
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   30,285,319   27,694,574   125,117,609   (26,435,234
Short-term U.S. government and agency obligations   4   —    (25,807  (86,512
                 
Net realized gain (loss)   30,285,323   27,694,574   125,091,802   (26,521,746
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   (26,316,590  (17,783,632  (13,479,766  (47,541,296
Short-term U.S. government and agency obligations   (557  313,442   (9,103  (138,767
                 
Change in net unrealized appreciation (depreciation)   (26,317,147  (17,470,190  (13,488,869  (47,680,063
                 
Net realized and unrealized gain (loss)   3,968,176   10,224,384   111,602,933   (74,201,809
                 
Net income (loss)
  $5,819,542  $10,134,080  $116,567,893  $(76,683,035
                 
See accompanying notes to financial statements.

3

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $282,353,267  $403,644,956  $339,591,638  $423,812,594 
Addition of 650,000, 450,000, 3,650,000 and 5,050,000 shares, respectively   56,262,968   23,538,063   241,582,456   255,975,394 
Redemption of 950,000, 2,200,000, 6,400,000 and 5,300,000 shares, respectively   (82,737,030  (115,486,048  (436,043,240  (281,273,902
                 
Net addition (redemption) of (300,000), (1,750,000), (2,750,000) and (250,000) shares, respectively   (26,474,062  (91,947,985  (194,460,784  (25,298,508
                 
Net investment income (loss)   1,851,366   (90,304  4,964,960   (2,481,226
Net realized gain (loss)   30,285,323   27,694,574   125,091,802   (26,521,746
Change in net unrealized appreciation (depreciation)   (26,317,147  (17,470,190  (13,488,869  (47,680,063
                 
Net income (loss)   5,819,542   10,134,080   116,567,893   (76,683,035
                 
Shareholders’ equity, end of period
  $261,698,747  $321,831,051  $261,698,747  $321,831,051 
                 
See accompanying notes to financial statements.

4
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(144,414,206 $(143,895,518

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

   

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

   12,797,080   (2,370,400

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

   (634,948,674  (742,783,009

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

   597,015,224   622,882,786 

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

   (786,305  (324,819

Net realized gain (loss) on investments

   943   (6,237

Change in unrealized appreciation/depreciation on investments

   (6,384  (35,549

Decrease (Increase) in receivable on futures contracts

   4,484,270   1,105,799 

Increase (Decrease) in payable to Sponsor

   (10,310  85,931 

Increase (Decrease) in payable on futures contracts

   3,913,679   —   
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (161,954,683  (265,341,016
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   274,586,934   461,486,395 

Payment on shares redeemed

   (112,968,055  (195,044,482
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   161,618,879   266,441,913 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (335,804  1,100,897 

Cash, beginning of period

   4,536,425   2,124,103 
  

 

 

  

 

 

 

Cash, end of period

  $4,200,621  $3,225,000 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $116,567,893  $(76,683,035
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   (584,136,375  (1,119,341,677
Proceeds from sales or maturities of short-term U.S. government and agency obligations   626,824,736   1,130,832,801 
Net amortization and accretion on short-term U.S. government and agency obligations   (3,086,541  (491,158
Net realized (gain) loss on investments   25,807   86,512 
Change in unrealized (appreciation) depreciation on investments   9,103   138,767 
Decrease (Increase) in receivable on open futures contracts   54,294,387   21,641,411 
Decrease (Increase) in interest receivable   200,839   (231,733
Increase (Decrease) in payable to Sponsor   (144,914  256,789 
Increase (Decrease) in brokerage commissions and futures account fees payable   (12,616  (95,868
Increase (Decrease) in payable on open futures contracts   2,625,055   2,882,905 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    6,122 
         
Net cash provided by (used in) operating activities   213,167,374   (40,998,164
         
Cash flow from financing activities
   
Proceeds from addition of shares   241,582,456   255,975,394 
Payment on shares redeemed   (441,905,054  (287,399,032
         
Net cash provided by (used in) financing activities   (200,322,598  (31,423,638
         
Net increase (decrease) in cash
   12,844,776   (72,421,802
Cash, beginning of period   133,946,941   183,010,984 
         
Cash, end of period  $146,791,717  $110,589,182 
         
See accompanying notes to financial statements.

5

PROSHARES VIXMID-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $314,842   $1,155,115 

Segregated cash balances with brokers for futures contracts

   7,454,800    1,052,615 

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

   35,955,278    45,486,235 

Receivable from capital shares sold

   1,890,685    —   

Receivable on open futures contracts

   —      242,541 
  

 

 

   

 

 

 

Total assets

   45,615,605    47,936,506 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      2,085,020 

Payable on open futures contracts

   539,598    —   

Payable to Sponsor

   28,584    32,572 
  

 

 

   

 

 

 

Total liabilities

   568,182    2,117,592 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   45,047,423    45,818,914 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $45,615,605   $47,936,506 
  

 

 

   

 

 

 

Shares outstanding

   1,787,403    1,087,403 
  

 

 

   

 

 

 

Net asset value per share

  $25.20   $42.14 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $25.17   $42.34 
  

 

 

   

 

 

 

   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $264,043,695 and $313,413,683, respectively)  $264,081,088   $313,465,007 
Cash   26,232,492    224,296,858 
Segregated cash balances with brokers for futures contracts   31,197,841    76,813,658 
Segregated cash balances with brokers for swap agreements   283,449,745    175,489,745 
Unrealized appreciation on swap agreements   11,240,991    74,159,577 
Receivable on open futures contracts   —     8,466,027 
Interest receivable   337,421    618,549 
          
Total assets   616,539,578    873,309,421 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   8,912,592    13,545,014 
Payable on open futures contracts   2,980,155    —  
Brokerage commissions and futures account fees payable   2,674    7,154 
Payable to Sponsor
   519,825    662,979 
          
Total liabilities   12,415,246    14,215,147 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   604,124,332    859,094,274 
          
Total liabilities and shareholders’ equity  $616,539,578   $873,309,421 
          
Shares outstanding   17,143,096    28,393,096 
          
Net asset value per share  $35 .24   $30 .26 
          
Market value per share (Note 2)  $35 .28   $30 .31 
          
See accompanying notes to financial statements.

6

PROSHARES VIXMID-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 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
    
(44% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.407% due 10/10/23  $50,000,000   $49,941,390 
5.478% due 10/17/23   90,000,000    89,801,811 
5.499% due 10/24/23
   50,000,000    49,838,665 
5.490% due 11/14/23   50,000,000    49,683,770 
5.497% due 11/21/23   25,000,000    24,815,452 
       
Total short-term U.S. government and agency obligations
(cost $264,043,695)
    $264,081,088 
       
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.
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

   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2023   879   $78,055,200   $14,366,865 
WTI Crude Oil - NYMEX, expires June 2024   920    74,630,400    10,551,545 
WTI Crude Oil - NYMEX, expires December 2024   956    74,434,160    (188,490
         
      $24,729,920 
         
Total Return 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
      

 

 

 

Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/23   $210,901,349   $1,869,634 
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/23    262,218,064    2,324,555 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/23    151,363,911    1,607,761 
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.25  10/06/23    199,041,224    1,776,923 
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.30  10/06/23    157,428,427    3,662,118 
          
      Total Unrealized
Appreciation
    $11,240,991 
          
All or partial amount pledged as collateral for swap agreements and/or futures contracts.agreements.
^The positions and counterparties herein are as of September 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 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.

7

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $5,340,428  $2,391,191  $17,226,428  $3,964,082 
                 
Expenses
     
Management fee   1,629,737   2,118,088   5,249,353   8,301,804 
Brokerage commissions   51,162   85,906   239,809   421,657 
Futures account fees   —    19,466   —    381,754 
Non-recurring
fees and expenses
   —    13,739   —    13,739 
                 
Total expenses   1,680,899   2,237,199   5,489,162   9,118,954 
                 
Net investment income (loss)   3,659,529   153,992   11,737,266   (5,154,872
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   45,265,209   (58,028,223  85,471,042   452,879,319 
Swap agreements   199,284,914   (286,550,709  168,504,091   365,260,911 
Short-term U.S. government and agency obligations   120   —    (59,258  (7,789
                 
Net realized gain (loss)   244,550,243   (344,578,932  253,915,875   818,132,441 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   15,311,614   (62,302,727  (1,561,796  (151,303,453
Swap agreements   12,933,232   28,330,957   (62,918,586  (187,884,491
Short-term U.S. government and agency obligations   (67,874  723,596   (13,931  (268,326
                 
Change in net unrealized appreciation (depreciation)   28,176,972   (33,248,174  (64,494,313  (339,456,270
                 
Net realized and unrealized gain (loss)   272,727,215   (377,827,106  189,421,562   478,676,171 
                 
Net income (loss)
  $276,386,744  $(377,673,114 $201,158,828  $473,521,299 
                 
See accompanying notes to financial statements.

8
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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $738,194,368  $1,060,867,238  $859,094,274  $1,103,783,570 
Addition of –, 10,400,000, 34,650,000 and 20,700,000 shares, respectively   —    335,779,871   812,713,784   738,516,557 
Redemption of 13,950,000, 8,250,000, 45,900,000 and 44,300,000 shares, respectively   (410,456,780  (294,378,733  (1,268,842,554  (1,591,226,164
                 
Net addition (redemption) of (13,950,000), 2,150,000, (11,250,000) and (23,600,000) shares, respectively   (410,456,780  41,401,138   (456,128,770  (852,709,607
                 
Net investment income (loss)   3,659,529   153,992   11,737,266   (5,154,872
Net realized gain (loss)   244,550,243   (344,578,932  253,915,875   818,132,441 
Change in net unrealized appreciation (depreciation)   28,176,972   (33,248,174  (64,494,313  (339,456,270
                 
Net income (loss)   276,386,744   (377,673,114  201,158,828   473,521,299 
                 
Shareholders’ equity, end of period
  $604,124,332  $724,595,262  $604,124,332  $724,595,262 
                 
See accompanying notes to financial statements.

9

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 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $201,158,828  $473,521,299 
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   (9,133,783,770  (13,891,053,120
Proceeds from sales or maturities of short-term U.S. government and agency obligations   9,194,559,106   14,207,412,141 
Net amortization and accretion on short-term U.S. government and agency obligations   (11,464,606  (2,942,264
Net realized (gain) loss on investments   59,258   7,789 
Change in unrealized (appreciation) depreciation on investments   62,932,517   188,152,817 
Decrease (Increase) in receivable on open futures contracts   8,466,027   (891,736
Decrease (Increase) in interest receivable   281,128   (317,244
Increase (Decrease) in payable to Sponsor   (143,154  493,818 
Increase (Decrease) in brokerage commissions and futures account fees payable   (4,480  (18,209
Increase (Decrease) in payable on open futures contracts   2,980,155   (22,405,789
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    13,739 
         
Net cash provided by (used in) operating activities   325,041,009   951,973,241 
         
Cash flow from financing activities
   
Proceeds from addition of shares   812,713,784   738,516,557 
Payment on shares redeemed   (1,273,474,976  (1,574,816,957
         
Net cash provided by (used in) financing activities   (460,761,192  (836,300,400
         
Net increase (decrease) in cash
   (135,720,183  115,672,841 
Cash, beginning of period   476,600,261   217,287,389 
         
Cash, end of period  $340,880,078  $332,960,230 
         
See accompanying notes to financial statements.

10

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.

   
September 30, 2023

(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $303,815,641 and $263,209,299, respectively)  $303,858,387   $263,260,158 
Cash   24,873,663    13,689,494 
Segregated cash balances with brokers for futures contracts   379,123,011    163,045,170 
Segregated cash balances with brokers for swap agreements   74,778,263    —  
Receivable on open futures contracts   126,823,271    149,650,221 
Interest receivable   1,484,336    653,922 
          
Total assets   910,940,931    590,298,965 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   32,487,150    1,826,653 
Payable on open futures contracts   5,930,098    1,835,443 
Brokerage commissions and futures account fees payable   36,861    35,242 
Payable to Sponsor
   709,247    450,514 
Unrealized depreciation on swap agreements   1,438,294    —  
          
Total liabilities   40,601,650    4,147,852 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   870,339,281    586,151,113 
          
Total liabilities and shareholders’ equity  $910,940,931   $590,298,965 
          
Shares outstanding (Note 1)   16,118,544    1,614,376 
          
Net asset value per share (Note 1)  $54 .00   $363 .08 
          
Market value per share (Note 1) (Note 2)  $54 .38   $355 .60 
          
See accompanying notes to financial statements.

11

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2023

(unaudited)

   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(35% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.407% due 10/10/23  $50,000,000   $49,941,390 
5.478% due 10/17/23   100,000,000    99,779,790 
5.499% due 10/24/23
   55,000,000    54,822,532 
5.490% due 11/14/23   50,000,000    49,683,770 
5.497% due 11/21/23
   50,000,000    49,630,905 
       
Total short-term U.S. government and agency obligations
(cost $303,815,641)
    $303,858,387 
       
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 
       

 

 

 

Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires November 2023   50,182   $1,469,830,780   $(114,592,473
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  10/06/23   $132,651,213   $(706,090
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex   0.50  10/06/23    90,634,449    (482,438
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex   0.32  10/06/23    47,221,373    (245,972
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex   0.35  10/06/23    725,704    (3,794
          
      Total Unrealized
Depreciation
    $(1,438,294
          
All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^The positions and counterparties herein are as of September 30, 2017.2023. 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 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 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.

12

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $9,098,504  $909,204  $26,923,732  $1,095,255 
                 
Expenses
     
Management fee   2,303,082   658,525   7,220,063   1,589,759 
Brokerage commissions   629,541   97,589   2,727,691   300,747 
Futures account fees   131,828   43,620   531,306   177,950 
Non-recurring
fees and expenses
   —    4,791   —    4,791 
                 
Total expenses   3,064,451   804,525   10,479,060   2,073,247 
                 
Net investment income (loss)   6,034,053   104,679   16,444,672   (977,992
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   221,454,698   (5,889,116  (1,418,539,604  235,322,266 
Swap agreements   15,625,140   —    (22,895,121  —  
Short-term U.S. government and agency obligations   198   (4,181  (7,018  (7,633
                 
Net realized gain (loss)   237,080,036   (5,893,297  (1,441,441,743  235,314,633 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   (362,927,910  97,063,212   196,021,496   (89,157,584
Swap agreements   (47,526,551  —    (1,438,294  —  
Short-term U.S. government and agency obligations   (17,784  158,315   (8,113  (41,614
                 
Change in net unrealized appreciation (depreciation)   (410,472,245  97,221,527   194,575,089   (89,199,198
                 
Net realized and unrealized gain (loss)   (173,392,209  91,328,230   (1,246,866,654  146,115,435 
                 
Net income (loss)
  $(167,358,156 $91,432,909  $(1,230,421,982 $145,137,443 
                 
See accompanying notes to financial statements.

13
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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $1,141,021,278  $187,297,842  $586,151,113  $193,892,178 
                 
Addition of 12,950,000, 300,000, 45,715,000 and 755,000 shares, respectively (Note 1)   739,093,446   425,638,048   3,899,918,459   1,063,004,747 
Redemption of 13,253,332, 265,000, 31,210,832 and 862,500 shares, respectively (Note 1)   (842,417,287  (414,982,702  (2,385,308,309  (1,112,648,271
                 
Net addition (redemption) of (303,332), 35,000, 14,504,168 and (107,500) shares, respectively (Note 1)   (103,323,841  10,655,346   1,514,610,150   (49,643,524
                 
Net investment income (loss)   6,034,053   104,679   16,444,672   (977,992
Net realized gain (loss)   237,080,036   (5,893,297  (1,441,441,743  235,314,633 
Change in net unrealized appreciation (depreciation)   (410,472,245  97,221,527   194,575,089   (89,199,198
                 
Net income (loss)   (167,358,156  91,432,909   (1,230,421,982  145,137,443 
                 
Shareholders’ equity, end of period
  $870,339,281  $289,386,097  $870,339,281  $289,386,097 
                 
See accompanying notes to financial statements.

14

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 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(1,230,421,982 $145,137,443 
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   (10,927,044,661  (750,045,262
Proceeds from sales or maturities of short-term U.S. government and agency obligations   10,897,274,725   734,916,266 
Net amortization and accretion on short-term U.S. government and agency obligations   (10,843,424  (561,077
Net realized (gain) loss on investments   7,018   7,633 
Change in unrealized (appreciation) depreciation on investments   1,446,407   41,614 
Decrease (Increase) in receivable on open futures contracts   22,826,950   (36,015,281
Decrease (Increase) in interest receivable   (830,414  (157,395
Increase (Decrease) in payable to Sponsor   258,733   294,750 
Increase (Decrease) in brokerage commissions and futures account fees payable   1,619   (48,246
Increase (Decrease) in payable on open futures contracts   4,094,655   1,186,502 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    4,791 
         
Net cash provided by (used in) operating activities   (1,243,230,374  94,761,738 
         
Cash flow from financing activities
   
Proceeds from addition of shares   3,899,918,459   1,083,453,488 
Payment on shares redeemed   (2,354,647,812  (1,109,986,578
         
Net cash provided by (used in) financing activities   1,545,270,647   (26,533,090
         
Net increase (decrease) in cash
   302,040,273   68,228,648 
Cash, beginning of period   176,734,664   54,135,725 
         
Cash, end of period  $478,774,937  $122,364,373 
         
See accompanying notes to financial statements.

15

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.

   
September 30, 2023

(unaudited)
   
December 31,
2022
 
Assets
    
Cash  $ 5,923,008   $9,156,418 
Segregated cash balances with brokers for foreign currency forward contracts   803,000    1,103,000 
Unrealized appreciation on foreign currency forward contracts   867    514,115 
Interest receivable   25,385    40,421 
          
Total assets   6,752,260    10,813,954 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   5,200    10,833 
Unrealized depreciation on foreign currency forward contracts   223,579    98,459 
          
Total liabilities   228,779    109,292 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   6,523,481    10,704,662 
          
Total liabilities and shareholders’ equity  $6,752,260   $ 10,813,954 
          
Shares outstanding   600,000    950,000 
          
Net asset value per share  $10 .87   $11 .27 
          
Market value per share (Note 2)  $10 .85   $11 .26 
          
See accompanying notes to financial statements.

16

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2023

(unaudited)

Futures

Foreign Currency Forward 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 

^
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
      
Euro with Goldman Sachs International   10/06/23    7,691,921  $8,134,350  $ (136,003
Euro with UBS AG   10/06/23    4,954,502   5,239,479   (87,576
         
      Total Unrealized
Depreciation
 
 
 $ (223,579
         
Contracts to Sell
      
Euro with UBS AG   10/06/23    (323,000 $(341,578 $867 
         
      Total Unrealized
Appreciation
 
 
 $867 
         
^The positions and counterparties herein are as of September 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.

17

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

ULTRA EURO

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.

   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $80,746  $36,856  $266,165  $47,965 
                 
Expenses
     
Management fee   16,999   31,331   61,096   66,646 
Non-recurring
fees and expenses
   —    237   —    237 
                 
Total expenses   16,999   31,568   61,096   66,883 
                 
Net investment income (loss)   63,747   5,288   205,069   (18,918
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts   (22,385  (1,618,381  336,185   (2,505,776
Short-term U.S. government and agency obligations   —    —    —    (5,949
                 
Net realized gain (loss)   (22,385  (1,618,381  336,185   (2,511,725
                 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts   (462,400  (98,836  (638,368  (513,883
Short-term U.S. government and agency obligations   —    3,824   —    (844
                 
Change in net unrealized appreciation (depreciation)   (462,400  (95,012  (638,368  (514,727
                 
Net realized and unrealized gain (loss)   (484,785  (1,713,393  (302,183  (3,026,452
                 
Net income (loss)
  $ (421,038 $ (1,708,105 $ (97,114 $ (3,045,370
                 
See accompanying notes to financial statements.

18
PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTULTRA EURO

STATEMENTS 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 
  

 

 

 

   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $ 7,535,435  $9,415,626  $ 10,704,662  $8,659,095 
                 
Addition of —, 700,000, 200,000 and 1,250,000 shares, respectively   —    7,168,239   2,296,437   13,537,061 
Redemption of 50,000, 100,000, 550,000 and 450,000 shares, respectively   (590,916  (1,006,389  (6,380,504  (5,281,415
                 
Net addition (redemption) of (50,000), 600,000, (350,000) and 800,000 shares, respectively   (590,916  6,161,850   (4,084,067  8,255,646 
                 
Net investment income (loss)   63,747   5,288   205,069   (18,918
Net realized gain (loss)   (22,385  (1,618,381  336,185   (2,511,725
Change in net unrealized appreciation (depreciation)   (462,400  (95,012  (638,368  (514,727
                 
Net income (loss)   (421,038  (1,708,105  (97,114  (3,045,370
                 
Shareholders’ equity, end of period
  $6,523,481  $ 13,869,371  $6,523,481  $ 13,869,371 
                 
See accompanying notes to financial statements.

19

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTULTRA EURO

STATEMENTS 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.

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(97,114 $ (3,045,370
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   —    (5,984,290
Proceeds from sales or maturities of short-term U.S. government and agency obligations   —    6,290,250 
Net amortization and accretion on short-term U.S. government and agency obligations   —    (11,431
Net realized (gain) loss on investments   —    5,949 
Change in unrealized (appreciation) depreciation on investments   638,368   514,727 
Decrease (Increase) in interest receivable   15,036   (13,185
Increase (Decrease) in payable to Sponsor   (5,633  18,088 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    237 
         
Net cash provided by (used in) operating activities   550,657   (2,225,025
         
Cash flow from financing activities
   
Proceeds from addition of shares   2,296,437   13,058,757 
Payment on shares redeemed   (6,380,504  (5,281,415
         
Net cash provided by (used in) financing activities   (4,084,067  7,777,342 
         
Net increase (decrease) in cash
   (3,533,410  5,552,317 
Cash, beginning of period   10,259,418   7,582,458 
         
Cash, end of period  $6,726,008  $ 13,134,775 
         
See accompanying notes to financial statements.

20

PROSHARES ULTRA BLOOMBERG NATURAL GAS

GOLD

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 
  

 

 

   

 

 

 

   
September 30, 2023

(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $109,649,343 and $129,100,287, respectively)  $ 109,664,879   $ 129,123,489 
Cash   11,124,533    16,568,417 
Segregated cash balances with brokers for futures contracts   2,074,800    2,611,350 
Segregated cash balances with brokers for swap agreements   35,494,971    18,730,000 
Unrealized appreciation on swap agreements   —     6,496,466 
Receivable on open futures contracts   —     8,169 
Interest receivable   73,655    126,595 
          
Total assets   158,432,838    173,664,486 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts   264,526    —  
Payable to Sponsor
   128,566    140,350 
Unrealized depreciation on swap agreements   10,343,189    —  
          
Total liabilities   10,736,281    140,350 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   147,696,557    173,524,136 
          
Total liabilities and shareholders’ equity  $158,432,838   $173,664,486 
          
Shares outstanding   2,800,000    3,150,000 
          
Net asset value per share  $52 .75   $55 .09 
          
Market value per share (Note 2)  $52 .60   $55 .27 
          
See accompanying notes to financial statements.

21

PROSHARES ULTRA BLOOMBERG NATURAL GAS

GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2023

(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 
    

 

 

 

   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(74% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.407% due 10/10/23  $ 25,000,000   $24,970,695 
5.478% due 10/17/23   40,000,000    39,911,916 
5.499% due 10/24/23   25,000,000    24,919,333 
5.490% due 11/14/23
   10,000,000    9,936,754 
5.497% due 11/21/23   10,000,000    9,926,181 
       
Total short-term U.S. government and agency obligations
(cost $109,649,343)
    $ 109,664,879 
       
Futures Contracts Purchased

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

Natural Gas—NYMEX, expires November 2017

   3,396   $102,117,720   $(971,690

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   (454  264   (1,126  (405
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   1,692   2,064   1,284   1,913 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $43,203,386 

Addition of 6,600,000 shares

   66,608,730 

Redemption of 3,050,000 shares

   (34,012,985
  

 

 

 

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

   32,595,745 
  

 

 

 

Net investment income (loss)

   (190,949

Net realized gain (loss)

   (21,041,439

Change in net unrealized appreciation/depreciation

   (3,507,126
  

 

 

 

Net income (loss)

   (24,739,514
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $51,059,617 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(24,739,514 $(1,442,007

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

   

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

   888,691   1,947,056 

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

   (172,712,634  (89,354,690

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

   166,176,382   90,362,175 

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

   (199,874  (45,257

Net realized gain (loss) on investments

   1,126   405 

Change in unrealized appreciation/depreciation on investments

   (1,284  (1,913

Decrease (Increase) in receivable on futures contracts

   —     3,065,769 

Increase (Decrease) in payable to Sponsor

   1,153   3,356 

Increase (Decrease) in brokerage commissions and fees payable

   (433  (1,236

Increase (Decrease) in payable on futures contracts

   (1,208,911  1,073,868 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (31,795,298  5,607,526 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   66,608,730   24,550,026 

Payment on shares redeemed

   (34,012,985  (30,208,996
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   32,595,745   (5,658,970
  

 

 

  

 

 

 

Net increase (decrease) in cash

   800,447   (51,444

Cash, beginning of period

   971,442   1,411,137 
  

 

 

  

 

 

 

Cash, end of period

  $1,771,889  $1,359,693 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $188,166   $1,262,351 

Segregated cash balances with brokers for futures contracts

   10,780    13,200 

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

   101,900,580    95,356,621 
  

 

 

   

 

 

 

Total assets

   102,099,526    96,632,172 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   3,980,452    —   

Payable on open futures contracts

   780    1,280 

Payable to Sponsor

   76,924    72,585 

Unrealized depreciation on forward agreements

   8,453,427    4,431,107 
  

 

 

   

 

 

 

Total liabilities

   12,511,583    4,504,972 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   89,587,943    92,127,200 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $102,099,526   $96,632,172 
  

 

 

   

 

 

 

Shares outstanding

   2,250,000    2,800,000 
  

 

 

   

 

 

 

Net asset value per share

  $39.82   $32.90 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $39.60   $33.20 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.018% due 10/05/17

  $16,000,000   $15,999,013 

1.046% due 10/12/17†

   30,000,000    29,992,167 

1.013% due 10/19/17†

   12,000,000    11,994,787 

1.079% due 11/09/17†

   10,000,000    9,989,867 

1.023% due 12/07/17†

   10,000,000    9,981,942 

0.987% due 12/14/17†

   12,000,000    11,976,639 

1.001% due 01/11/18

   12,000,000    11,966,165 
    

 

 

 

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

    $101,900,580 
    

 

 

 

Futures Contracts Purchased

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

Gold Futures—COMEX, expires December 2017

   2   $256,960   $9,520 

Forward Agreements^

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

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

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

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

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

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

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

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

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

 

 

 
         $(8,453,427
         

 

 

 

   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2023   264   $ 49,265,040   $ (2,617,740
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25  10/06/23   $ 105,703,033   $ (4,441,216
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.25  10/06/23    50,205,597    (2,109,437
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25  10/06/23    90,264,166    (3,792,536
          
      
 
Total
Unrealized
Depreciation
 
 
 
  $ (10,343,189
          
All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.
^The positions and counterparties herein are as of September 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 September 30, 20172023, 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.

22

PROSHARES ULTRA GOLD

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $1,837,846  $678,282  $5,470,056  $1,092,549 
                 
Expenses
     
Management fee   417,418   475,457   1,318,793   1,863,020 
Brokerage commissions   5,346   8,176   20,886   43,899 
Futures account fees   —    —    —    28,169 
Non-recurring
fees and expenses
   —    2,940   —    2,940 
                 
Total expenses   422,764   486,573   1,339,679   1,938,028 
                 
Net investment income (loss)   1,415,082   191,709   4,130,377   (845,479
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   (6,609,223  (13,871,427  1,311,944   (22,577,746
Swap agreements   (10,266,780  (25,954,159  9,808,518   (17,330,327
Short-term U.S. government and agency obligations   138   (708  (28,324  (708
                 
Net realized gain (loss)   (16,875,865  (39,826,294  11,092,138   (39,908,781
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   2,767,991   2,305,467   (5,859,828  (2,281,936
Swap agreements   (3,290,106  (234,566  (16,839,655  (15,325,612
Short-term U.S. government and agency obligations   (18,571  151,932   (7,666  (19,087
                 
Change in net unrealized appreciation (depreciation)   (540,686  2,222,833   (22,707,149  (17,626,635
                 
Net realized and unrealized gain (loss)   (17,416,551  (37,603,461  (11,615,011  (57,535,416
                 
Net income (loss)
  $ (16,001,469 $ (37,411,752 $ (7,484,634 $ (58,380,895
                 
See accompanying notes to financial statements.

23
PROSHARES ULTRA GOLD

STATEMENT

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $ 180,916,531  $ 239,938,853  $ 173,524,136  $232,780,534 
                 
Addition of 50,000, 50,000, 500,000 and 1,650,000 shares, respectively   3,076,173   2,645,499   31,285,647   104,903,214 
Redemption of 350,000, 900,000, 850,000 and 2,150,000 shares, respectively   (20,294,678  (45,150,308  (49,628,592  (119,280,561
                 
Net addition (redemption) of (300,000), (850,000), (350,000) and (500,000) shares, respectively   (17,218,505  (42,504,809  (18,342,945  (14,377,347
                 
Net investment income (loss)   1,415,082   191,709   4,130,377   (845,479
Net realized gain (loss)   (16,875,865  (39,826,294  11,092,138   (39,908,781
Change in net unrealized appreciation (depreciation)   (540,686  2,222,833   (22,707,149  (17,626,635
                 
Net income (loss)   (16,001,469  (37,411,752  (7,484,634  (58,380,895
                 
Shareholders’ equity, end of period
  $147,696,557  $160,022,292  $147,696,557  $160,022,292 
                 
See accompanying notes to financial statements.

24

PROSHARES ULTRA GOLD

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 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(7,484,634 $ (58,380,895
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   (886,531,310  (913,776,847
Proceeds from sales or maturities of short-term U.S. government and agency obligations   909,750,482   978,997,411 
Net amortization and accretion on short-term U.S. government and agency obligations   (3,796,552  (903,566
Net realized (gain) loss on investments   28,324   708 
Change in unrealized (appreciation) depreciation on investments   16,847,321   15,344,699 
Decrease (Increase) in receivable on open futures contracts   8,169   823,707 
Decrease (Increase) in interest receivable   52,940   (39,702
Increase (Decrease) in payable to Sponsor   (11,784  125,445 
Increase (Decrease) in brokerage commissions and futures account fees payable   —    (4,034
Increase (Decrease) in payable on open futures contracts   264,526   —  
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    2,940 
         
Net cash provided by (used in) operating activities   29,127,482   22,189,866 
         
Cash flow from financing activities
   
Proceeds from addition of shares   31,285,647   104,903,214 
Payment on shares redeemed   (49,628,592  (119,280,561
         
Net cash provided by (used in) financing activities   (18,342,945  (14,377,347
         
Net increase (decrease) in cash
   10,784,537   7,812,519 
Cash, beginning of period   37,909,767   15,422,082 
         
Cash, end of period  $48,694,304  $23,234,601 
         
See accompanying notes to financial statements.

25

PROSHARES ULTRA SILVER

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 
  

 

 

   

 

 

 

   
September 30, 2023

(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $199,247,238 and $228,617,421, respectively)  $ 199,275,356   $ 228,657,634 
Cash   16,864,895    74,136,821 
Segregated cash balances with brokers for futures contracts   14,064,000    19,452,250 
Segregated cash balances with brokers for swap agreements   121,550,121    56,423,000 
Unrealized appreciation on swap agreements   —     39,224,212 
Interest receivable   211,212    300,712 
          
Total assets   351,965,584    418,194,629 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   —     1,615,382 
Payable on open futures contracts   2,071,169    1,948,902 
Payable to Sponsor
   281,601    344,467 
Unrealized depreciation on swap agreements   21,616,739    —  
          
Total liabilities   23,969,509    3,908,751 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   327,996,075    414,285,878 
          
Total liabilities and shareholders’ equity  $351,965,584   $418,194,629 
          
Shares outstanding   13,246,526    13,046,526 
          
Net asset value per share  $24 .76   $31 .75 
          
Market value per share (Note 2)  $24 .61   $32 .00 
          
See accompanying notes to financial statements.

26

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 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
    
(61% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.407% due 10/10/23  $25,000,000   $24,970,695 
5.478% due 10/17/23   90,000,000    89,801,811 
5.499% due 10/24/23   25,000,000    24,919,332 
5.490% due 11/14/23
   25,000,000    24,841,885 
5.497% due 11/21/23   35,000,000    34,741,633 
       
Total short-term U.S. government and agency obligations
(cost $199,247,238)
    $199,275,356 
       
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
 
Silver Futures - COMEX, expires December 2023   1,756   $197,111,000   $(6,167,328
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25  10/06/23   $159,867,323   $(7,524,763
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.30  10/06/23    21,119,991    (994,790
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30  10/06/23    143,290,980    (6,749,262
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25  10/06/23    134,864,794    (6,347,924
          
      Total Unrealized
Depreciation
 
 
  $(21,616,739
          
All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.
^The positions and counterparties herein are as of September 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 September 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.

27

PROSHARES ULTRA SILVER

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $3,343,905  $824,171  $10,419,483  $1,386,134 
                 
Expenses
     
Management fee   892,009   798,802   2,740,073   3,098,741 
Brokerage commissions   27,874   34,796   101,511   94,079 
Futures account fees   —    —    —    26,693 
Non-recurring
fees and expenses
   —    5,922   —    5,922 
                 
Total expenses   919,883   839,520   2,841,584   3,225,435 
                 
Net investment income (loss)   2,424,022   (15,349  7,577,899   (1,839,301
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   (14,704,230  (13,577,109  6,035,306   (30,191,493
Swap agreements   (15,547,180  (133,807,652  (368,280  (156,750,416
Short-term U.S. government and agency obligations   —    (6,553  (46,857  (7,717
                 
Net realized gain (loss)   (30,251,410  (147,391,314  5,620,169   (186,949,626
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   3,810,588   3,988,709   (35,593,902  (2,835,777
Swap agreements   (3,571,377  87,216,478   (60,840,951  (13,787,151
Short-term U.S. government and agency obligations   (20,937  272,285   (12,095  (71,644
                 
Change in net unrealized appreciation (depreciation)   218,274   91,477,472   (96,446,948  (16,694,572
                 
Net realized and unrealized gain (loss)   (30,033,136  (55,913,842  (90,826,779  (203,644,198
                 
Net income (loss)
  $ (27,609,114 $ (55,929,191 $ (83,248,880 $ (205,483,499
                 
See accompanying notes to financial statements.

28
PROSHARES ULTRA SILVER

STATEMENT

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $ 356,791,659  $355,577,515  $414,285,878  $515,453,594 
                 
Addition of 1,500,000, 2,450,000, 4,100,000 and 4,250,000 shares, respectively   42,340,032   52,469,935   114,264,874   118,129,234 
Redemption of 1,450,000, 1,250,000, 3,900,000 and 3,500,000 shares, respectively   (43,526,502  (28,147,396  (117,305,797  (104,128,466
                 
Net addition (redemption) of 50,000, 1,200,000, 200,000 and 750,000 shares, respectively   (1,186,470  24,322,539   (3,040,923  14,000,768 
                 
Net investment income (loss)   2,424,022   (15,349  7,577,899   (1,839,301
Net realized gain (loss)   (30,251,410  (147,391,314  5,620,169   (186,949,626
Change in net unrealized appreciation (depreciation)   218,274   91,477,472   (96,446,948  (16,694,572
                 
Net income (loss)   (27,609,114  (55,929,191  (83,248,880  (205,483,499
                 
Shareholders’ equity, end of period
  $327,996,075  $323,970,863  $327,996,075  $323,970,863 
                 
See accompanying notes to financial statements.

29

PROSHARES ULTRA SILVER

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 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(83,248,880 $(205,483,499
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   (2,785,919,203  (2,619,720,954
Proceeds from sales or maturities of short-term U.S. government and agency obligations   2,822,588,221   2,909,963,011 
Net amortization and accretion on short-term U.S. government and agency obligations   (7,345,692  (1,060,031
Net realized (gain) loss on investments   46,857   7,717 
Change in unrealized (appreciation) depreciation on investments   60,853,046   13,858,795 
Decrease (Increase) in receivable on open futures contracts   —    (314,479
Decrease (Increase) in interest receivable   89,500   (72,051
Increase (Decrease) in payable to Sponsor   (62,866  143,880 
Increase (Decrease) in brokerage commissions and futures account fees payable   —    (9,833
Increase (Decrease) in payable on open futures contracts   122,267   —  
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    5,922 
         
Net cash provided by (used in) operating activities   7,123,250   97,318,478 
         
Cash flow from financing activities
   
Proceeds from addition of shares   114,264,874   113,960,240 
Payment on shares redeemed   (118,921,179  (107,612,236
         
Net cash provided by (used in) financing activities   (4,656,305  6,348,004 
         
Net increase (decrease) in cash
   2,466,945   103,666,482 
Cash, beginning of period   150,012,071   25,488,503 
         
Cash, end of period  $152,479,016  $129,154,985 
         
See accompanying notes to financial statements.

30

PROSHARES ULTRA EURO

VIX SHORT-TERM FUTURES ETF

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 
  

 

 

   

 

 

 

   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $84,569,073 and $34,728,989, respectively)  $84,581,081   $34,732,372 
Cash   20,004,039    71,086,482 
Segregated cash balances with brokers for futures contracts   133,149,681    323,761,025 
Receivable from capital shares sold   9,725,630    —  
Receivable on open futures contracts   41,678,702    209,470,270 
Interest receivable   689,129    1,246,402 
          
Total assets   289,828,262    640,296,551 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   6,477,149    —  
Payable on open futures contracts   —     348,988 
Brokerage commissions and futures account fees payable   34,400    58,772 
Payable to Sponsor
   266,022    570,429 
          
Total liabilities   6,777,571    978,189 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   283,050,691    639,318,362 
          
Total liabilities and shareholders’ equity  $ 289,828,262   $ 640,296,551 
          
Shares outstanding (Note 1)   17,474,459    9,307,842 
          
Net asset value per share (Note 1)  $16 .20   $68 .69 
          
Market value per share (Note 1) (Note 2)  $16 .21   $68 .60 
          
See accompanying notes to financial statements.

31

PROSHARES ULTRA EURO

VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 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 
    

 

 

 

   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(30% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.478% due 10/17/23  $10,000,000   $9,977,979 
5.499% due 10/24/23   25,000,000    24,919,332 
5.490% due 11/14/23   50,000,000    49,683,770 
       
Total short-term U.S. government and agency obligations
(cost $84,569,073)
    $84,581,081 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2023   14,181   $252,013,387   $26,387,450 
VIX Futures - Cboe, expires November 2023   9,464    172,682,983    2,622,041 
         
      $29,009,491 
         
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
32

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $3,255,531  $3,945,136  $12,422,781  $4,471,067 
                 
Expenses
     
Management fee   803,793   2,831,005   3,507,644   7,085,920 
Brokerage commissions   517,699   1,276,819   2,007,911   3,183,788 
Futures account fees   103,793   219,828   354,153   1,446,639 
Non-recurring
fees and expenses
   —    20,117   —    20,117 
                 
Total expenses   1,425,285   4,347,769   5,869,708   11,736,464 
                 
Net investment income (loss)   1,830,246   (402,633  6,553,073   (7,265,397
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   (142,584,115  (289,871,717  (751,122,089  59,605,816 
Swap agreements   —    —    —    22,556,586 
Short-term U.S. government and agency obligations   (141  (2,037  (3,731  (355,124
                 
Net realized gain (loss)   (142,584,256  (289,873,754  (751,125,820  81,807,278 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   108,839,211   161,330,331   65,564,944   323,131,606 
Swap agreements   —    —    —    477,437 
Short-term U.S. government and agency obligations   12,008   414,952   8,625   (129,295
                 
Change in net unrealized appreciation (depreciation)   108,851,219   161,745,283   65,573,569   323,479,748 
                 
Net realized and unrealized gain (loss)   (33,733,037  (128,128,471  (685,552,251  405,287,026 
                 
Net income (loss)
  $(31,902,791 $(128,531,104 $(678,999,178 $398,021,629 
                 
See accompanying notes to financial statements.
33
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $387,764,059  $975,683,533  $639,318,362  $816,679,636 
                 
Addition of 13,400,000, 9,340,000, 34,710,000 and 23,490,000 shares, respectively (Note 1)   217,623,291   1,064,364,417   1,109,114,165   3,035,837,360 
Redemption of 16,903,383, 8,330,000, 26,543,383 and 22,340,000 shares, respectively (Note 1)   (290,433,868  (916,027,068  (786,382,658  (3,255,048,847
                 
Net addition (redemption) of (3,503,383), 1,010,000, 8,166,617 and 1,150,000 shares, respectively (Note 1)   (72,810,577  148,337,349   322,731,507   (219,211,487
                 
Net investment income (loss)   1,830,246   (402,633  6,553,073   (7,265,397
Net realized gain (loss)   (142,584,256  (289,873,754  (751,125,820  81,807,278 
Change in net unrealized appreciation (depreciation)   108,851,219   161,745,283   65,573,569   323,479,748 
                 
Net income (loss)   (31,902,791  (128,531,104  (678,999,178  398,021,629 
                 
Shareholders’ equity, end of period
  $283,050,691  $995,489,778  $283,050,691  $995,489,778 
                 
See accompanying notes to financial statements.
34

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(678,999,178 $398,021,629 
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   (1,439,995,575  (4,540,406,696
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,392,250,029   4,489,474,762 
Net amortization and accretion on short-term U.S. government and agency obligations   (2,098,269  (1,094,279
Net realized (gain) loss on investments   3,731   355,124 
Change in unrealized (appreciation) depreciation on investments   (8,625  (348,142
Decrease (Increase) in receivable on open futures contracts   167,791,568   (228,922,727
Decrease (Increase) in interest receivable   557,273   (1,045,845
Increase (Decrease) in payable to Sponsor   (304,407  1,301,939 
Increase (Decrease) in brokerage commissions and futures account fees payable   (24,372  (101,787
Increase (Decrease) in payable on open futures contracts   (348,988  (9,447,456
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    20,117 
         
Net cash provided by (used in) operating activities   (561,176,813  107,806,639 
         
Cash flow from financing activities
   
Proceeds from addition of shares   1,099,388,535   3,035,837,360 
Payment on shares redeemed   (779,905,509  (3,218,451,554
         
Net cash provided by (used in) financing activities   319,483,026   (182,614,194
         
Net increase (decrease) in cash
   (241,693,787  (74,807,555
Cash, beginning of period   394,847,507   572,120,879 
         
Cash, end of period  $153,153,720  $497,313,324 
         
See accompanying notes to financial statements.
35

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Cash  $16,103,538   $11,444,958 
Segregated cash balances with brokers for foreign currency forward contracts   1,937,000    1,357,000 
Unrealized appreciation on foreign currency forward contracts   8,894    1,152,834 
Interest receivable   60,530    39,204 
          
Total assets   18,109,962    13,993,996 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   12,399    10,915 
Unrealized depreciation on foreign currency forward contracts   589,315    168,285 
          
Total liabilities   601,714    179,200 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   17,508,248    13,814,796 
          
Total liabilities and shareholders’ equity  $18,109,962   $13,993,996 
          
Shares outstanding   699,970    399,970 
          
Net asset value per share  $25 .01   $34 .54 
          
Market value per share (Note 2)  $25 .00   $34 .56 
          
See accompanying notes to financial statements.
36

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2023
(unaudited)
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 
      

 

 

 

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   10/06/23    2,355,724,056  $15,780,833  $(268,253
Yen with UBS AG   10/06/23    2,976,699,856   19,940,707   (321,062
         
      Total Unrealized
Depreciation
 
 
 $(589,315
         
Contracts to Sell
      
Yen with UBS AG   10/06/23    (97,972,000 $(656,308 $8,894 
         
      Total Unrealized
Appreciation
   $8,894 
         
^The positions and counterparties herein are as of September 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.
37

PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $174,354  $25,362  $409,452  $29,299 
                 
Expenses
     
Management fee   35,968   21,245   91,858   34,710 
Non-recurring
fees and expenses
   —    194   —    194 
                 
Total expenses   35,968   21,439   91,858   34,904 
                 
Net investment income (loss)   138,386   3,923   317,594   (5,605
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts   (1,854,770  (1,652,590  (2,923,720  (2,532,839
Short-term U.S. government and agency obligations   —    —    —    1,548 
                 
Net realized gain (loss)   (1,854,770  (1,652,590  (2,923,720  (2,531,291
                 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts   277,206   (17,967  (1,564,970  (2,005
Short-term U.S. government and agency obligations   —    3,286   —    (1,856
                 
Change in net unrealized appreciation (depreciation)   277,206   (14,681  (1,564,970  (3,861
                 
Net realized and unrealized gain (loss)   (1,577,564  (1,667,271  (4,488,690  (2,535,152
                 
Net income (loss)
  $(1,439,178 $(1,663,348 $(4,171,096 $(2,540,757
                 
See accompanying notes to financial statements.
38
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $12,330,974  $5,024,773  $13,814,796  $2,362,849 
                 
Addition of 300,000, 250,000, 500,000 and 350,000 shares, respectively   8,063,291   8,285,325   14,320,409   11,824,658 
Redemption of 50,000, 50,000, 200,000 and 50,000 shares, respectively   (1,446,839  (1,487,561  (6,455,861  (1,487,561
                 
Net addition (redemption) of 250,000, 200,000, 300,000 and 300,000 shares, respectively   6,616,452   6,797,764   7,864,548   10,337,097 
                 
Net investment income (loss)   138,386   3,923   317,594   (5,605
Net realized gain (loss)   (1,854,770  (1,652,590  (2,923,720  (2,531,291
Change in net unrealized appreciation (depreciation)   277,206   (14,681  (1,564,970  (3,861
                 
Net income (loss)   (1,439,178  (1,663,348  (4,171,096  (2,540,757
                 
Shareholders’ equity, end of period
  $17,508,248  $10,159,189  $17,508,248  $10,159,189 
                 
See accompanying notes to financial statements.
39

PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(4,171,096 $(2,540,757
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   —    (3,732
Net realized (gain) loss on investments   —    (1,548
Change in unrealized (appreciation) depreciation on investments   1,564,970   3,861 
Decrease (Increase) in interest receivable   (21,326  (9,886
Increase (Decrease) in payable to Sponsor   1,484   14,302 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    194 
         
Net cash provided by (used in) operating activities   (2,625,968  (3,531,787
         
Cash flow from financing activities
   
Proceeds from addition of shares   14,320,409   11,824,658 
Payment on shares redeemed   (6,455,861  (1,487,561
         
Net cash provided by (used in) financing activities   7,864,548   10,337,097 
         
Net increase (decrease) in cash
   5,238,580   6,805,310 
Cash, beginning of period   12,801,958   2,457,820 
         
Cash, end of period  $18,040,538  $9,263,130 
         
See accompanying notes to financial statements.
40

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $184,272,303 and $89,407,308, respectively)  $184,298,349   $89,426,935 
Cash   26,182,767    74,627,051 
Segregated cash balances with brokers for futures contracts   76,076,031    65,184,460 
Receivable from capital shares sold   7,585,012    41,694 
Receivable on open futures contracts   3,557,787    1,604,847 
Interest receivable   279,874    384,856 
          
Total assets   297,979,820    231,269,843 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   —     1,257,090 
Payable on open futures contracts   993,204    7,102,680 
Brokerage commissions and futures account fees payable   4,433    4,134 
Payable to Sponsor
   205,717    208,602 
          
Total liabilities   1,203,354    8,572,506 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   296,776,466    222,697,337 
          
Total liabilities and shareholders’ equity  $297,979,820   $231,269,843 
          
Shares outstanding   17,605,220    9,305,220 
          
Net asset value per share  $16 .86   $23 .93 
          
Market value per share (Note 2)  $16 .82   $23 .85 
          
See accompanying notes to financial statements.
41

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(62% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.407% due 10/10/23  $25,000,000   $24,970,695 
5.478% due 10/17/23   70,000,000    69,845,853 
5.499% due 10/24/23   25,000,000    24,919,332 
5.490% due 11/14/23   40,000,000    39,747,016 
5.497% due 11/21/23   25,000,000    24,815,453 
       
Total short-term U.S. government and agency obligations
(cost $184,272,303)
    $184,298,349 
       
Futures Contracts Sold
      
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2023   2,296   $203,884,800   $(16,612,860
WTI Crude Oil - NYMEX, expires June 2024   2,404    195,012,480    (9,249,968
WTI Crude Oil - NYMEX, expires December 2024   2,500    194,650,000    822,565 
         
      $(25,040,263
         
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
42

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
   
Nine Months Ended

September 30,
 
  
2023
  
2022
   
2023
  
2022
 
Investment Income
      
Interest  $2,609,417  $1,748,548   $6,172,654  $2,091,754 
                  
Expenses
      
Management fee   548,671   1,160,746    1,392,728   2,599,503 
Brokerage commissions   54,549   148,121    180,385   332,256 
Futures account fees   —    39,563    —    195,542 
Non-recurring
fees and expenses
   —    7,548    —    7,548 
                  
Total expenses   603,220   1,355,978    1,573,113   3,134,849 
                  
Net investment income (loss)   2,006,197   392,570    4,599,541   (1,043,095
                  
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   (47,764,820  66,444,885    7,896,254   (142,631,216
Short-term U.S. government and agency obligations   60   —     (11,723  —  
                  
Net realized gain (loss)   (47,764,760  66,444,885    7,884,531   (142,631,216
                  
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   (38,026,419  76,797,273    (35,285,156  113,723,566 
Short-term U.S. government and agency obligations   8,060   190,676    6,419   (49,461
                  
Change in net unrealized appreciation (depreciation)   (38,018,359  76,987,949    (35,278,737  113,674,105 
                  
Net realized and unrealized gain (loss)   (85,783,119  143,432,834    (27,394,206  (28,957,111
                  
Net income (loss)
  $(83,776,922 $143,825,404   $(22,794,665 $(30,000,206
                  
See accompanying notes to financial statements.
43
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $112,854,952  $501,157,304  $222,697,337  $114,167,602 
Addition of 17,250,000, 11,050,000, 28,800,000 and 38,940,000 shares, respectively   345,709,147   263,018,131   622,896,585   1,051,908,930 
Redemption of 4,050,000, 20,650,000, 20,500,000 and 28,561,540 shares, respectively   (78,010,711  (539,209,750  (526,022,791  (767,285,237
                 
Net addition (redemption) of 13,200,000, (9,600,000), 8,300,000 and 10,378,460 shares, respectively   267,698,436   (276,191,619  96,873,794   284,623,693 
                 
Net investment income (loss)   2,006,197   392,570   4,599,541   (1,043,095
Net realized gain (loss)   (47,764,760  66,444,885   7,884,531   (142,631,216
Change in net unrealized appreciation (depreciation)   (38,018,359  76,987,949   (35,278,737  113,674,105 
                 
Net income (loss)   (83,776,922  143,825,404   (22,794,665  (30,000,206
                 
Shareholders’ equity, end of period
  $296,776,466  $368,791,089  $296,776,466  $368,791,089 
                 
See accompanying notes to financial statements.
44

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(22,794,665 $(30,000,206
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   (881,618,883  (5,037,566,739
Proceeds from sales or maturities of short-term U.S. government and agency obligations   789,898,469   4,974,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (3,156,304  (1,233,461
Net realized (gain) loss on investments   11,723   —  
Change in unrealized (appreciation) depreciation on investments   (6,419  49,461 
Decrease (Increase) in receivable on open futures contracts   (1,952,940  (3,393,165
Decrease (Increase) in interest receivable   104,982   (329,488
Increase (Decrease) in payable to Sponsor   (2,885  639,427 
Increase (Decrease) in brokerage commissions and futures account fees payable   299   3,314 
Increase (Decrease) in payable on open futures contracts   (6,109,476  54,103 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    7,548 
         
Net cash provided by (used in) operating activities   (125,626,099  (97,769,206
         
Cash flow from financing activities
   
Proceeds from addition of shares   615,353,267   1,051,908,930 
Payment on shares redeemed   (527,279,881  (758,540,834
         
Net cash provided by (used in) financing activities   88,073,386   293,368,096 
         
Net increase (decrease) in cash
   (37,552,713  195,598,890 
Cash, beginning of period   139,811,511   54,443,553 
         
Cash, end of period  $102,258,798  $250,042,443 
         
See accompanying notes to financial statements.
45

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $19,932,661 and $61,469,726, respectively)  $19,935,466   $61,482,526 
Cash   17,318,005    5,724,380 
Segregated cash balances with brokers for futures contracts   50,351,496    38,758,160 
Receivable from capital shares sold   12,292,429    —  
Receivable on open futures contracts   11,619,568    33,637,888 
Interest receivable   228,248    293,818 
          
Total assets   111,745,212    139,896,772 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   —     5,365,196 
Payable on open futures contracts   —     282,362 
Brokerage commissions and futures account fees payable   4,417    7,497 
Payable to Sponsor
   77,733    132,197 
          
Total liabilities   82,150    5,787,252 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   111,663,062    134,109,520 
          
Total liabilities and shareholders’ equity  $ 111,745,212   $ 139,896,772 
          
Shares outstanding   1,816,856    4,966,856 
          
Net asset value per share  $61 .46   $27 .00 
          
Market value per share (Note 2)  $61 .04   $27 .56 
          
See accompanying notes to financial statements.
46

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(18% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.499% due 10/24/23  $ 20,000,000   $ 19,935,466 
       
Total short-term U.S. government and agency obligations
(cost $19,932,661)
    $19,935,466 
       
Futures Contracts Sold
      
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2023   7,624   $ 223,306,960   $ 23,776,317 
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
47

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $1,476,050  $953,050  $4,007,691  $1,131,063 
                 
Expenses
     
Management fee   304,567   730,949   903,703   1,784,017 
Brokerage commissions   133,782   173,386   577,070   539,244 
Futures account fees   23,941   48,485   80,308   255,370 
Non-recurring
fees and expenses
   —    5,374   —    5,374 
                 
Total expenses   462,290   958,194   1,561,081   2,584,005 
                 
Net investment income (loss)   1,013,760   (5,144  2,446,610   (1,452,942
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   (10,798,451  8,173,631   221,346,621   (389,138,752
Short-term U.S. government and agency obligations   (174  (57,864  (1,437  (116,673
                 
Net realized gain (loss)   (10,798,625  8,115,767   221,345,184   (389,255,425
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   44,086,649   (23,776,729  (62,113,081  116,857,361 
Short-term U.S. government and agency obligations   173   309,345   (9,995  (32,689
                 
Change in net unrealized appreciation (depreciation)   44,086,822   (23,467,384  (62,123,076  116,824,672 
                 
Net realized and unrealized gain (loss)   33,288,197   (15,351,617  159,222,108   (272,430,753
                 
Net income (loss)
  $34,301,957  $(15,356,761 $161,668,718  $(273,883,695
                 
See accompanying notes to financial statements.
48
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $141,324,963  $211,823,446  $134,109,520  $242,145,130 
Addition of 5,500,000, 58,900,000, 19,350,000 and 82,240,000 shares, respectively   295,245,731   790,506,039   1,128,672,428   1,734,541,781 
Redemption of 6,250,000, 49,900,000, 22,500,000 and 69,251,886 shares, respectively   (359,209,589  (744,582,726  (1,312,787,604  (1,460,413,218
                 
Net addition (redemption) of (750,000), 9,000,000, (3,150,000) and 12,988,114 shares, respectively   (63,963,858  45,923,313   (184,115,176  274,128,563 
                 
Net investment income (loss)   1,013,760   (5,144  2,446,610   (1,452,942
Net realized gain (loss)   (10,798,625  8,115,767   221,345,184   (389,255,425
Change in net unrealized appreciation (depreciation)   44,086,822   (23,467,384  (62,123,076  116,824,672 
                 
Net income (loss)   34,301,957   (15,356,761  161,668,718   (273,883,695
                 
Shareholders’ equity, end of period
  $111,663,062  $242,389,998  $111,663,062  $242,389,998 
                 
See accompanying notes to financial statements.
49

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $161,668,718  $(273,883,695
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   (228,632,508  (641,286,804
Proceeds from sales or maturities of short-term U.S. government and agency obligations   271,472,626   680,730,195 
Net amortization and accretion on short-term U.S. government and agency obligations   (1,304,490  (447,861
Net realized (gain) loss on investments   1,437   116,673 
Change in unrealized (appreciation) depreciation on investments   9,995   32,689 
Decrease (Increase) in receivable on open futures contracts   22,018,320   (17,665,801
Decrease (Increase) in interest receivable   65,570   (278,702
Increase (Decrease) in payable to Sponsor   (54,464  354,079 
Increase (Decrease) in brokerage commissions and futures account fees payable   (3,080  (23,511
Increase (Decrease) in payable on open futures contracts   (282,362  (8,542,438
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    5,374 
         
Net cash provided by (used in) operating activities   224,959,762   (260,889,802
         
Cash flow from financing activities
   
Proceeds from addition of shares   1,116,379,999   1,734,541,781 
Payment on shares redeemed   (1,318,152,800  (1,464,617,750
         
Net cash provided by (used in) financing activities   (201,772,801  269,924,031 
         
Net increase (decrease) in cash
   23,186,961   9,034,229 
Cash, beginning of period   44,482,540   113,000,927 
         
Cash, end of period  $67,669,501  $122,035,156 
         
See accompanying notes to financial statements.
50

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 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   37,961,502    30,687,235 
Segregated cash balances with brokers for foreign currency forward contracts   4,464,121    6,844,121 
Unrealized appreciation on foreign currency forward contracts   1,585,136    193,192 
Interest receivable   164,862    109,830 
          
Total assets   44,175,621    77,831,002 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   34,405    63,375 
Unrealized depreciation on foreign currency forward contracts   136,808    2,654,448 
          
Total liabilities   171,213    2,717,823 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   44,004,408    75,113,179 
          
Total liabilities and shareholders’ equity  $ 44,175,621   $ 77,831,002 
          
Shares outstanding   1,400,000    2,550,000 
          
Net asset value per share  $31 .43   $29 .46 
          
Market value per share (Note 2)  $31 .43   $29 .45 
          
See accompanying notes to financial statements.
51

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 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   10/06/23    486,000  $513,954  $(5,789
Euro with UBS AG   10/06/23    10,804,000   11,425,433   (131,019
         
      Total Unrealized
Depreciation
 
 
 $(136,808
         
Contracts to Sell
      
Euro with Goldman Sachs International   10/06/23    (43,752,263 $(46,268,836 $769,294 
Euro with UBS AG   10/06/23    (50,970,199  (53,901,938  815,842 
         
      Total Unrealized
Appreciation
   $ 1,585,136 
         
^The positions and counterparties herein are as of September 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.
52

PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $523,684  $230,824  $1,764,550  $285,240 
                 
Expenses
     
Management fee   111,472   203,036   404,141   467,426 
Non-recurring
fees and expenses
   —    1,835   —    1,835 
                 
Total expenses   111,472   204,871   404,141   469,261 
                 
Net investment income (loss)   412,212   25,953   1,360,409   (184,021
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts   (122,866  11,086,708   (2,576,119  16,693,971 
Short-term U.S. government and agency obligations   —    —    —    210,974 
                 
Net realized gain (loss)   (122,866  11,086,708   (2,576,119  16,904,945 
                 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts   3,207,102   (354,043  3,909,584   3,049,081 
Short-term U.S. government and agency obligations   —    61,225   (4,802  (33,420
                 
Change in net unrealized appreciation (depreciation)   3,207,102   (292,818  3,904,782   3,015,661 
                 
Net realized and unrealized gain (loss)   3,084,236   10,793,890   1,328,663   19,920,606 
                 
Net income (loss)
  $ 3,496,448  $ 10,819,843  $2,689,072  $ 19,736,585 
                 
See accompanying notes to financial statements.
53
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $50,931,301  $62,270,097  $75,113,179  $54,263,045 
                 
Addition of –, 1,100,000, 100,000 and 1,650,000 shares, respectively   —    36,183,635   3,051,886   52,211,698 
Redemption of 350,000, 550,000, 1,250,000 and 1,150,000 shares, respectively   (10,423,341  (18,689,297  (36,849,729  (35,627,050
                 
Net addition (redemption) of (350,000), 550,000, (1,150,000) and 500,000 shares, respectively   (10,423,341  17,494,338   (33,797,843  16,584,648 
                 
Net investment income (loss)   412,212   25,953   1,360,409   (184,021
Net realized gain (loss)   (122,866  11,086,708   (2,576,119  16,904,945 
Change in net unrealized appreciation (depreciation)   3,207,102   (292,818  3,904,782   3,015,661 
                 
Net income (loss)   3,496,448   10,819,843   2,689,072   19,736,585 
                 
Shareholders’ equity, end of period
  $44,004,408  $90,584,278  $44,004,408  $90,584,278 
                 
See accompanying notes to financial statements.
54

PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $2,689,072  $19,736,585 
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  (74,843,167
Proceeds from sales or maturities of short-term U.S. government and agency obligations   95,000,000   76,210,974 
Net amortization and accretion on short-term U.S. government and agency obligations   (83,003  (83,446
Net realized (gain) loss on investments   —    (210,974
Change in unrealized (appreciation) depreciation on investments   (3,904,782  (3,015,661
Decrease (Increase) in interest receivable   (55,032  (61,501
Increase (Decrease) in payable to Sponsor   (28,970  98,171 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    1,835 
         
Net cash provided by (used in) operating activities   38,692,110   17,832,816 
         
Cash flow from financing activities
   
Proceeds from addition of shares   3,051,886   52,211,149 
Payment on shares redeemed   (36,849,729  (32,142,870
         
Net cash provided by (used in) financing activities   (33,797,843  20,068,279 
         
Net increase (decrease) in cash
   4,894,267   37,901,095 
Cash, beginning of period   37,531,356   7,554,065 
         
Cash, end of period  $42,425,623  $45,455,160 
         
See accompanying notes to financial statements.
55

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Cash  $9,138,880   $ 12,252,100 
Segregated cash balances with brokers for futures contracts   557,700    232,313 
Segregated cash balances with brokers for swap agreements   2,476,000    3,536,000 
Unrealized appreciation on swap agreements   649,016    —  
Receivable from capital shares sold   1,607,017    —  
Receivable on open futures contracts   6,250    —  
Interest receivable   38,854    42,135 
          
Total assets   14,473,717    16,062,548 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts   98,549    700 
Payable to Sponsor
   9,299    12,854 
Unrealized depreciation on swap agreements   —     592,957 
          
Total liabilities   107,848    606,511 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   14,365,869    15,456,037 
          
Total liabilities and shareholders’ equity  $ 14,473,717   $16,062,548 
          
Shares outstanding   446,977    496,977 
          
Net asset value per share  $32 .14   $31 .10 
          
Market value per share (Note 2)  $32 .20   $30 .99 
          
See accompanying notes to financial statements.
56

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2023
(unaudited)
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2023   71   $ 13,249,310   $ 510,754 
Total Return Swap Agreements
^
      
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25  10/06/23   $(3,588,216 $149,583 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.20  10/06/23    (4,702,766  196,202 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25  10/06/23    (7,273,894  303,231 
         
      Total Unrealized
Appreciation
   $649,016 
         
^The positions and counterparties herein are as of September 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.
^^*Rates shown represents discountReflects the floating financing rate, as of September 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 the time of purchase.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.

57

PROSHARES ULTRA EURO

ULTRASHORT GOLD

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $142,707  $72,261  $459,321  $101,921 
                 
Expenses
     
Management fee   32,970   76,652   112,212   218,466 
Brokerage commissions   1,099   3,565   4,065   9,361 
Futures account fees   —    —    —    2,446 
Non-recurring
fees and expenses
   —    639   —    639 
                 
Total expenses   34,069   80,856   116,277   230,912 
                 
Net investment income (loss)   108,638   (8,595  343,044   (128,991
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   807,474   2,017,269   131,315   1,336,740 
Swap agreements   628,950   2,970,959   (1,278,923  1,900,685 
Short-term U.S. government and agency obligations   —    —    —    4 
                 
Net realized gain (loss)   1,436,424   4,988,228   (1,147,608  3,237,429 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   (460,051  725,119   609,640   1,378,602 
Swap agreements   208,445   81,220   1,241,973   1,795,321 
Short-term U.S. government and agency obligations   —    35,207   —    (13,647
                 
Change in net unrealized appreciation (depreciation)   (251,606  841,546   1,851,613   3,160,276 
                 
Net realized and unrealized gain (loss)   1,184,818   5,829,774   704,005   6,397,705 
                 
Net income (loss)
  $ 1,293,456  $ 5,821,179  $1,047,049  $ 6,268,714 
                 
See accompanying notes to financial statements.

58
PROSHARES ULTRA EURO

STATEMENTULTRASHORT GOLD

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $ 15,809,378  $34,611,284  $15,456,037  $26,859,844 
                 
Addition of 100,000, 350,000, 700,000 and 1,500,000 shares, respectively   3,039,866   12,520,359   19,338,209   46,264,925 
Redemption of 200,000, 650,000, 750,000 and 1,550,000 shares, respectively   (5,776,831  (23,318,097  (21,475,426  (49,758,758
                 
Net addition (redemption) of (100,000), (300,000), (50,000) and (50,000) shares, respectively   (2,736,965  (10,797,738  (2,137,217  (3,493,833
                 
Net investment income (loss)   108,638   (8,595  343,044   (128,991
Net realized gain (loss)   1,436,424   4,988,228   (1,147,608  3,237,429 
Change in net unrealized appreciation (depreciation)   (251,606  841,546   1,851,613   3,160,276 
                 
Net income (loss)   1,293,456   5,821,179   1,047,049   6,268,714 
                 
Shareholders’ equity, end of period
  $14,365,869  $29,634,725  $14,365,869  $29,634,725 
                 
See accompanying notes to financial statements.

59

PROSHARES ULTRA EURO

ULTRASHORT GOLD

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 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $1,047,049  $6,268,714 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:   
Purchases of short-term U.S. government and agency obligations   —    (17,987,492
Proceeds from sales or maturities of short-term U.S. government and agency obligations   —    35,999,990 
Net amortization and accretion on short-term U.S. government and agency obligations   —    (26,784
Net realized (gain) loss on investments   —    (4
Change in unrealized (appreciation) depreciation on investments   (1,241,973  (1,781,674
Decrease (Increase) in receivable on open futures contracts   (6,250  —  
Decrease (Increase) in interest receivable   3,281   (25,595
Increase (Decrease) in payable to Sponsor   (3,555  22,778 
Increase (Decrease) in brokerage commissions and futures account fees payable   —    (294
Increase (Decrease) in payable on open futures contracts   97,849   (49,875
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    639 
Net cash provided by (used in) operating activities   (103,599  22,420,403 
Cash flow from financing activities
   
Proceeds from addition of shares   17,731,192   46,264,925 
Payment on shares redeemed   (21,475,426  (49,758,758
         
Net cash provided by (used in) financing activities   (3,744,234  (3,493,833
         
Net increase (decrease) in cash
   (3,847,833  18,926,570 
Cash, beginning of period   16,020,413   1,990,354 
         
Cash, end of period  $12,172,580  $20,916,924 
         
See accompanying notes to financial statements.

60

PROSHARES ULTRA YEN

ULTRASHORT SILVER

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 
  

 

 

   

 

 

 

   
September 30, 2023

(unaudited)
   
December 31,
2022
 
Assets
    
Cash  $8,563,844   $ 21,887,346 
Segregated cash balances with brokers for futures contracts   876,000    2,820,937 
Segregated cash balances with brokers for swap agreements   6,426,200    7,875,000 
Unrealized appreciation on swap agreements   1,014,468    —  
Receivable from capital shares sold   —     972,789 
Receivable on open futures contracts   54,510    59,575 
Interest receivable   46,359    60,480 
          
Total assets   16,981,381    33,676,127 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   13,864    20,705 
Unrealized depreciation on swap agreements   —     1,722,623 
          
Total liabilities   13,864    1,743,328 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   16,967,517    31,932,799 
          
Total liabilities and shareholders’ equity  $ 16,981,381   $33,676,127 
          
Shares outstanding   791,329    1,641,329 
          
Net asset value per share  $21 .44   $19 .46 
          
Market value per share (Note 2)  $21 .55   $19 .30 
          
See accompanying notes to financial statements.

61

PROSHARES ULTRA YEN

ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 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.
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2023   109   $12,235,250   $851,237 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25  10/06/23   $(2,570,998 $120,165 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.25  10/06/23    (9,365,796  437,748 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30  10/06/23    (7,405,429  345,878 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25  10/06/23    (2,368,019  110,677 
         
      Total Unrealized
Appreciation
   $1,014,468 
         
^The positions and counterparties herein are as of September 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.
*Reflects the floating financing rate, as of September 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.
62

PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $337,096  $63,222  $860,908  $90,885 
                 
Expenses
     
Management fee   78,166   67,215   220,751   190,549 
Brokerage commissions   13,775   8,699   28,436   20,677 
Futures account fees   —    —    —    4,443 
Non-recurring
fees and expenses
   —    612   —    612 
                 
Total expenses   91,941   76,526   249,187   216,281 
                 
Net investment income (loss)   245,155   (13,304  611,721   (125,396
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   6,217,172   1,719,839   11,009,808   6,370,119 
Swap agreements   704,259   4,495,568   (261,158  1,882,774 
Short-term U.S. government and agency obligations   —    —    (906  (190
                 
Net realized gain (loss)   6,921,431   6,215,407   10,747,744   8,252,703 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   (107,686  (1,063,521  1,791,737   800,876 
Swap agreements   169,456   (3,024,441  2,737,091   770,011 
Short-term U.S. government and agency obligations   —    12,438   —    (3,447
                 
Change in net unrealized appreciation (depreciation)   61,770   (4,075,524  4,528,828   1,567,440 
                 
Net realized and unrealized gain (loss)   6,983,201   2,139,883   15,276,572   9,820,143 
                 
Net income (loss)
  $7,228,356  $2,126,579  $15,888,293  $9,694,747 
                 
See accompanying notes to financial statements.
63
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $19,290,473  $33,052,840  $31,932,799  $26,537,000 
                 
Addition of 2,950,000, 1,000,000, 6,050,000 and 2,800,000 shares, respectively   51,792,185   34,082,044   107,105,060   77,349,605 
Redemption of 3,100,000, 1,050,000, 6,900,000 and 2,800,000 shares, respectively   (61,343,497  (35,498,411  (137,958,635  (79,818,300
                 
Net addition (redemption) of (150,000), (50,000), (850,000) and – shares, respectively   (9,551,312  (1,416,367  (30,853,575  (2,468,695
                 
Net investment income (loss)   245,155   (13,304  611,721   (125,396
Net realized gain (loss)   6,921,431   6,215,407   10,747,744   8,252,703 
Change in net unrealized appreciation (depreciation)   61,770   (4,075,524  4,528,828   1,567,440 
                 
Net income (loss)   7,228,356   2,126,579   15,888,293   9,694,747 
                 
Shareholders’ equity, end of period
  $16,967,517  $33,763,052  $16,967,517  $33,763,052 
                 
See accompanying notes to financial statements.
64

PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $15,888,293  $9,694,747 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:   
Purchases of short-term U.S. government and agency obligations   (39,876,608  (20,979,052
Proceeds from sales or maturities of short-term U.S. government and agency obligations   39,937,156   41,999,081 
Net amortization and accretion on short-term U.S. government and agency obligations   (61,454  (24,695
Net realized (gain) loss on investments   906   190 
Change in unrealized (appreciation) depreciation on investments   (2,737,091  (766,564
Decrease (Increase) in receivable on open futures contracts   5,065   15,446 
Decrease (Increase) in interest receivable   14,121   (25,020
Increase (Decrease) in payable to Sponsor   (6,841  12,281 
Increase (Decrease) in brokerage commissions and futures account fees payable   —    (747
Increase (Decrease) in payable on open futures contracts   —    592,924 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    612 
         
Net cash provided by (used in) operating activities   13,163,547   30,519,203 
         
Cash flow from financing activities
   
Proceeds from addition of shares   108,077,849   77,349,605 
Payment on shares redeemed   (137,958,635  (79,818,300
         
Net cash provided by (used in) financing activities   (29,880,786  (2,468,695
         
Net increase (decrease) in cash
   (16,717,239  28,050,508 
Cash, beginning of period   32,583,283   5,483,476 
         
Cash, end of period  $15,866,044  $33,533,984 
         
See accompanying notes to financial statements.
65

PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
   
September 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   22,694,511    451,616 
Segregated cash balances with brokers for foreign currency forward contracts   2,482,511    3,652,511 
Unrealized appreciation on foreign currency forward contracts   969,376    963,369 
Interest receivable   94,406    36,071 
          
Total assets   26,240,804    28,101,626 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   —     2,683,455 
Payable to Sponsor
   19,843    29,633 
Unrealized depreciation on foreign currency forward contracts   48,770    3,990,802 
          
Total liabilities   68,613    6,703,890 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   26,172,191    21,397,736 
          
Total liabilities and shareholders’ equity  $ 26,240,804   $ 28,101,626 
          
Shares outstanding   348,580    398,580 
          
Net asset value per share  $75 .08   $53 .68 
          
Market value per share (Note 2)  $75 .08   $53 .57 
          
See accompanying notes to financial statements.
66

PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 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   10/06/23    428,237,000  $2,868,730  $(48,770
         
      Total Unrealized
Depreciation
 
 
 $(48,770
         
Contracts to Sell
      
Yen with Goldman Sachs International   10/06/23    (3,330,184,165 $(22,308,674 $ 406,284 
Yen with UBS AG   10/06/23    (4,908,633,574  (32,882,597  563,092 
         
      Total Unrealized
Appreciation
   $969,376 
         
^The positions and counterparties herein are as of September 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.
67

PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $274,125  $115,191  $733,679  $151,503 
                 
Expenses
     
Management fee   58,762   106,598   167,753   259,599 
Non-recurring
fees and expenses
   —    953   —    953 
                 
Total expenses   58,762   107,551   167,753   260,552 
                 
Net investment income (loss)   215,363   7,640   565,926   (109,049
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts   3,079,208   5,879,873   3,422,003   14,877,216 
Short-term U.S. government and agency obligations   —    —    —    102,971 
                 
Net realized gain (loss)   3,079,208   5,879,873   3,422,003   14,980,187 
                 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts   (1,059,246  (546,737  3,948,039   (444,812
Short-term U.S. government and agency obligations   —    22,866   (2,761  (8,524
                 
Change in net unrealized appreciation (depreciation)   (1,059,246  (523,871  3,945,278   (453,336
                 
Net realized and unrealized gain (loss)   2,019,962   5,356,002   7,367,281   14,526,851 
                 
Net income (loss)
  $2,235,325  $ 5,363,642  $ 7,933,207  $ 14,417,802 
                 
See accompanying notes to financial statements.
68
PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $27,077,656  $45,568,882  $21,397,736  $24,840,784 
                 
Addition of –, 250,000, 450,000 and 1,100,000 shares, respectively   —    15,352,183   26,056,375   59,472,902 
Redemption of 50,000, 250,000, 500,000 and 900,000 shares, respectively   (3,140,790  (14,347,369  (29,215,127  (46,794,150
                 
Net addition (redemption) of (50,000), –, (50,000) and 200,000 shares, respectively   (3,140,790  1,004,814   (3,158,752  12,678,752 
                 
Net investment income (loss)   215,363   7,640   565,926   (109,049
Net realized gain (loss)   3,079,208   5,879,873   3,422,003   14,980,187 
Change in net unrealized appreciation (depreciation)   (1,059,246  (523,871  3,945,278   (453,336
                 
Net income (loss)   2,235,325   5,363,642   7,933,207   14,417,802 
                 
Shareholders’ equity, end of period
  $ 26,172,191  $51,937,338  $26,172,191  $51,937,338 
                 
See accompanying notes to financial statements.
69

PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $7,933,207  $14,417,802 
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   —    (17,984,732
Proceeds from sales or maturities of short-term U.S. government and agency obligations   23,000,000   34,102,971 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,702  (24,192
Net realized (gain) loss on investments   —    (102,971
Change in unrealized (appreciation) depreciation on investments   (3,945,278  453,336 
Decrease (Increase) in interest receivable   (58,335  (42,154
Increase (Decrease) in payable to Sponsor   (9,790  48,690 
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    953 
         
Net cash provided by (used in) operating activities   26,915,102   30,869,703 
         
Cash flow from financing activities
   
Proceeds from addition of shares   26,056,375   59,472,902 
Payment on shares redeemed   (31,898,582  (46,794,150
         
Net cash provided by (used in) financing activities   (5,842,207  12,678,752 
         
Net increase (decrease) in cash
   21,072,895   43,548,455 
Cash, beginning of period   4,104,127   3,003,251 
         
Cash, end of period  $25,177,022  $46,551,706 
         
See accompanying notes to financial statements.
70

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 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   50,204,095    19,575,939 
Segregated cash balances with brokers for futures contracts   9,032,162    14,384,050 
Receivable on open futures contracts   560,581    142,794 
Interest receivable   208,470    88,180 
          
Total assets   60,005,308    84,073,311 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Brokerage commissions and futures account fees payable   2,387    3,688 
Payable to Sponsor
   34,897    54,664 
          
Total liabilities   37,284    58,352 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   59,968,024    84,014,959 
          
Total liabilities and shareholders’ equity  $ 60,005,308   $84,073,311 
          
Shares outstanding   3,087,403    2,762,403 
          
Net asset value per share  $19 .42   $30 .41 
          
Market value per share (Note 2)  $19 .41   $30 .36 
          
See accompanying notes to financial statements.
71

PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2023
(unaudited)
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2024   617   $ 11,784,515   $ (350,626
VIX Futures - Cboe, expires February 2024   1,028    19,841,839    (508,849
VIX Futures - Cboe, expires March 2024   1,028    20,146,847    (104,194
VIX Futures - Cboe, expires April 2024   411    8,178,119    19,997 
         
      $ (943,672
         
See accompanying notes to financial statements.
72

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $597,040  $220,211  $1,895,545  $296,960 
                 
Expenses
     
Management fee   117,018   201,508   401,207   627,755 
Brokerage commissions   8,822   17,922   30,191   58,291 
Futures account fees   9,991   —    33,287   46,394 
Non-recurring
fees and expenses
   —    2,050   —    2,050 
                 
Total expenses   135,831   221,480   464,685   734,490 
                 
Net investment income (loss)   461,209   (1,269  1,430,860   (437,530
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   (12,244,511  (1,349,272  (35,008,564  11,304,613 
Short-term U.S. government and agency obligations   —    —    —    (336
                 
Net realized gain (loss)   (12,244,511  (1,349,272  (35,008,564  11,304,277 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   8,934,542   3,236,565   3,847,551   6,941,620 
Short-term U.S. government and agency obligations   —    131,644   (5,651  (54,576
                 
Change in net unrealized appreciation (depreciation)   8,934,542   3,368,209   3,841,900   6,887,044 
                 
Net realized and unrealized gain (loss)   (3,309,969  2,018,937   (31,166,664  18,191,321 
                 
Net income (loss)
  $ (2,848,760 $2,017,668  $ (29,735,804 $ 17,753,791 
                 
See accompanying notes to financial statements.
73
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $49,421,413  $95,721,271  $84,014,959  $ 112,875,680 
                 
Addition of 850,000, 850,000, 1,700,000 and 1,850,000 shares, respectively   16,840,213   28,312,142   38,658,971   60,491,195 
Redemption of 175,000, 450,000, 1,375,000 and 2,425,000 shares, respectively   (3,444,842  (15,630,507  (32,970,102  (80,700,092
                 
Net addition (redemption) of 675,000, 400,000, 325,000 and (575,000) shares, respectively   13,395,371   12,681,635   5,688,869   (20,208,897
                 
Net investment income (loss)   461,209   (1,269  1,430,860   (437,530
Net realized gain (loss)   (12,244,511  (1,349,272  (35,008,564  11,304,277 
Change in net unrealized appreciation (depreciation)   8,934,542   3,368,209   3,841,900   6,887,044 
                 
Net income (loss)   (2,848,760  2,017,668   (29,735,804  17,753,791 
                 
Shareholders’ equity, end of period
  $59,968,024  $ 110,420,574  $59,968,024  $110,420,574 
                 
See accompanying notes to financial statements.
74

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $ (29,735,804 $17,753,791 
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   (294,811,992  (66,991,148
Proceeds from sales or maturities of short-term U.S. government and agency obligations   345,000,000   120,998,548 
Net amortization and accretion on short-term U.S. government and agency obligations   (311,311  (63,980
Net realized (gain) loss on investments   —    336 
Change in unrealized (appreciation) depreciation on investments   5,651   54,576 
Decrease (Increase) in receivable on open futures contracts   (417,787  (765,221
Decrease (Increase) in interest receivable   (120,290  (84,257
Increase (Decrease) in payable to Sponsor   (19,767  51,511 
Increase (Decrease) in brokerage commissions and futures account fees payable   (1,301  (7,124
Increase (Decrease) in payable on open futures contracts   —    (94,495
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    2,050 
         
Net cash provided by (used in) operating activities   19,587,399   70,854,587 
         
Cash flow from financing activities
   
Proceeds from addition of shares   38,658,971   60,491,195 
Payment on shares redeemed   (32,970,102  (78,938,105
         
Net cash provided by (used in) financing activities   5,688,869   (18,446,910
         
Net increase (decrease) in cash
   25,276,268   52,407,677 
Cash, beginning of period   33,959,989   27,071,819 
         
Cash, end of period  $59,236,257  $79,479,496 
         
See accompanying notes to financial statements.
75

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $104,624,795 and $89,329,814, respectively)  $ 104,639,666   $89,347,714 
Cash   23,955,940    33,526,868 
Segregated cash balances with brokers for futures contracts   65,304,529    91,634,942 
Receivable on open futures contracts   17,543,264    52,643,553 
Interest receivable   266,995    403,667 
          
Total assets   211,710,394    267,556,744 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   —     570,473 
Payable on open futures contracts   —     223,719 
Brokerage commissions and futures account fees payable   11,670    27,102 
Payable to Sponsor
   94,296    155,130 
          
Total liabilities   105,966    976,424 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   211,604,428    266,580,320 
          
Total liabilities and shareholders’ equity  $211,710,394   $ 267,556,744 
          
Shares outstanding (Note 1)   9,075,947    4,676,565 
          
Net asset value per share (Note 1)  $23 .31   $57 .00 
          
Market value per share (Note 1) (Note 2)  $23 .30   $56 .90 
          
See accompanying notes to financial statements.
76

PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(49% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
5.407% due 10/10/23  $25,000,000   $24,970,695 
5.478% due 10/17/23   45,000,000    44,900,905 
5.490% due 11/14/23   25,000,000    24,841,885 
5.497% due 11/21/23   10,000,000    9,926,181 
       
Total short-term U.S. government and agency obligations (cost $104,624,795)    $104,639,666 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount at
Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2023   7,067   $125,589,070   $11,154,767 
VIX Futures - Cboe, expires November 2023   4,719    86,104,290    719,403 
         
      $11,874,170 
         
^^Rates shown representsrepresent discount rate at the time of purchase.

See accompanying notes to financial statements.

77

PROSHARES ULTRA YEN

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

  $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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest  $2,271,345  $1,400,201  $6,832,197  $1,678,813 
                 
Expenses
     
Management fee   447,560   874,070   1,495,874   2,353,478 
Brokerage commissions   58,426   203,095   250,314   490,751 
Futures account fees   44,110   54,944   143,501   371,384 
Non-recurring
fees and expenses
   —    8,700   —    8,700 
                 
Total expenses   550,096   1,140,809   1,889,689   3,224,313 
                 
Net investment income (loss)   1,721,249   259,392   4,942,508   (1,545,500
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   (54,950,042  (45,457,319  (228,276,043  31,935,990 
Short-term U.S. government and agency obligations   —    —    (10,605  (300
                 
Net realized gain (loss)   (54,950,042  (45,457,319  (228,286,648  31,935,690 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   41,847,057   51,449,994   21,670,993   84,956,040 
Short-term U.S. government and agency obligations   (5,866  248,953   (3,029  (104,697
                 
Change in net unrealized appreciation (depreciation)   41,841,191   51,698,947   21,667,964   84,851,343 
                 
Net realized and unrealized gain (loss)   (13,108,851  6,241,628   (206,618,684  116,787,033 
                 
Net income (loss)
  $(11,387,602 $6,501,020  $(201,676,176 $115,241,533 
                 
See accompanying notes to financial statements.

78
PROSHARES ULTRA YEN

STATEMENTVIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $230,227,830  $341,714,316  $266,580,320  $269,703,164 
                 
Addition of 2,475,000, 3,555,000,
9,235,000
and
7,180,000
shares, respectively (Note 1)
   56,655,376   261,088,034   324,424,030   563,456,503 
Redemption of 2,625,618, 2,190,000,
4,835,618
and
5,630,000
shares, respectively (Note 1)
   (63,891,176  (171,766,742  (177,723,746  (510,864,572
                 
Net addition (redemption) of (150,618), 1,365,000, 4,399,382 and 1,550,000 shares, respectively (Note 1)   (7,235,800  89,321,292   146,700,284   52,591,931 
                 
Net investment income (loss)   1,721,249   259,392   4,942,508   (1,545,500
Net realized gain (loss)   (54,950,042  (45,457,319  (228,286,648  31,935,690 
Change in net unrealized appreciation (depreciation)   41,841,191   51,698,947   21,667,964   84,851,343 
                 
Net income (loss)   (11,387,602  6,501,020   (201,676,176  115,241,533 
                 
Shareholders’ equity, end of period
  $211,604,428  $437,536,628  $211,604,428  $437,536,628 
                 
See accompanying notes to financial statements.

79

PROSHARES ULTRA YEN

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)

  $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 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)  $(201,676,176 $115,241,533 
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   (614,146,126  (2,462,189,566
Proceeds from sales or maturities of short-term U.S. government and agency obligations   601,754,108   2,455,998,870 
Net amortization and accretion on short-term U.S. government and agency obligations   (2,913,568  (725,037
Net realized (gain) loss on investments   10,605   300 
Change in unrealized (appreciation) depreciation on investments   3,029   104,697 
Decrease (Increase) in receivable on open futures contracts   35,100,289   (67,758,303
Decrease (Increase) in interest receivable   136,672   (362,333
Increase (Decrease) in payable to Sponsor   (60,834  372,867 
Increase (Decrease) in brokerage commissions and futures account fees payable   (15,432  (20,676
Increase (Decrease) in payable on open futures contracts   (223,719  (2,037,391
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    8,700 
         
Net cash provided by (used in) operating activities   (182,031,152  38,633,661 
         
Cash flow from financing activities
   
Proceeds from addition of shares   324,424,030   566,483,117 
Payment on shares redeemed   (178,294,219  (498,163,549
         
Net cash provided by (used in) financing activities   146,129,811   68,319,568 
         
Net increase (decrease) in cash
   (35,901,341  106,953,229 
Cash, beginning of period   125,161,810   115,960,816 
         
Cash, end of period  $89,260,469  $222,914,045 
         
See accompanying notes to financial statements.

80

PROSHARES TRUST II

COMBINED 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 
  

 

 

   

 

 

 

   
September 30, 2023

(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $1,374,810,703 and $1,466,423,925, respectively)  $1,375,005,218   $1,466,680,542 
Cash   367,158,559    625,964,378 
Segregated cash balances with brokers for futures contracts   858,586,121    925,792,861 
Segregated cash balances with brokers for foreign currency forward contracts   9,686,632    12,956,632 
Segregated cash balances with brokers for swap agreements   524,175,300    262,053,745 
Unrealized appreciation on swap agreements   12,904,475    119,880,255 
Unrealized appreciation on foreign currency forward contracts   2,564,273    2,823,510 
Receivable from capital shares sold   31,210,088    1,014,483 
Receivable on open futures contracts   214,636,493    522,770,291 
Interest receivable   4,484,827    4,920,772 
          
Total assets   3,400,411,986    3,944,857,469 
          
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed   47,876,891    32,725,077 
Payable on open futures contracts   14,962,756    11,742,794 
Brokerage commissions and futures account fees payable   105,802    165,165 
Payable to Sponsor
   2,610,466    3,210,113 
Unrealized depreciation on swap agreements   33,398,222    2,315,580 
Unrealized depreciation on foreign currency forward contracts   998,472    6,911,994 
          
Total liabilities   99,952,609    57,070,723 
          
Commitments and Contingencies (Note 2)    
Shareholders’ equity
    
Shareholders’ equity   3,300,459,377    3,887,786,746 
          
Total liabilities and shareholders’ equity  $3,400,411,986   $3,944,857,469 
          
Shares outstanding (Note 1)   105,689,214    89,444,047 
          
See accompanying notes to financial statements.

81

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

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022*
 
Investment Income
     
Interest  $33,986,958  $14,620,209  $103,035,154  $19,240,564 
Expenses
     
Management fee   8,433,063   11,269,281   27,104,933   33,494,289 
Brokerage commissions   1,640,018   2,210,735   6,556,137   6,013,653 
Futures account fees   313,663   449,872   1,142,555   3,285,001 
Non-recurring
fees and expenses
   —    81,773   —    81,773 
                 
Total expenses   10,386,744   14,011,661   34,803,625   42,874,716 
                 
Net investment income (loss)   23,600,214   608,548   68,231,529   (23,634,152
                 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts   14,374,480   (321,993,985  (1,974,626,401  188,147,013 
Swap agreements   190,429,303   (438,845,993  153,509,127   217,520,213 
Foreign currency forward contracts   1,079,187   13,695,610   (1,741,651  26,532,572 
Short-term U.S. government and agency obligations   205   (71,343  (195,666  (264,143
                 
Net realized gain (loss)   205,883,175   (747,215,711  (1,823,054,591  431,935,655 
                 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts   (202,241,004  291,970,061   135,612,832   354,740,180 
Swap agreements   (41,076,901  112,369,648   (138,058,422  (213,954,485
Foreign currency forward contracts   1,962,662   (1,017,583  5,654,285   2,088,381 
Short-term U.S. government and agency obligations   (111,348  3,053,986   (62,102  (971,900
                 
Change in net unrealized appreciation (depreciation)   (241,466,591  406,376,112   3,146,593   141,902,176 
                 
Net realized and unrealized gain (loss)   (35,583,416  (340,839,599  (1,819,907,998  573,837,831 
                 
Net income (loss)
  $(11,983,202 $(340,231,051 $(1,751,676,469 $550,203,679 
                 
*   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.
82
PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2023
  
2022
  
2023
  
2022*
 
Shareholders’ equity, beginning of period
  $3,753,845,537  $4,563,369,776  $3,887,786,746  $4,173,474,343 
                 
Addition of 57,975,000, 100,995,000, 190,410,000 and 194,805,000 shares, respectively (Note 1)   1,835,741,719   3,360,951,964   8,495,699,775   8,989,738,725 
Redemption of 63,757,333, 97,035,000, 174,164,833 and 191,370,926 shares, respectively (Note 1)   (2,277,144,677  (3,379,709,104  (7,331,350,675  (9,509,035,162
                 
Net addition (redemption) of (5,782,333), 3,960,000, 16,245,167 and 3,434,074 shares, respectively (Note 1)   (441,402,958  (18,757,140  1,164,349,100   (519,296,437
                 
Net investment income (loss)   23,600,214   608,548   68,231,529   (23,634,152
Net realized gain (loss)   205,883,175   (747,215,711  (1,823,054,591  431,935,655 
Change in net unrealized appreciation (depreciation)   (241,466,591  406,376,112   3,146,593   141,902,176 
                 
Net income (loss)   (11,983,202  (340,231,051  (1,751,676,469  550,203,679 
                 
Shareholders’ equity, end of period
  $3,300,459,377  $4,204,381,585  $3,300,459,377  $4,204,381,585 
                 
*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.

83

PROSHARES TRUST II

COMBINED STATEMENT 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 
  

 

 

  

 

 

 

   
Nine Months Ended

September 30,
 
  
2023
  
2022*
 
Cash flow from operating activities
   
Net income (loss)  $(1,751,676,469 $550,203,679 
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   (27,871,422,186  (32,181,153,315
Proceeds from sales or maturities of short-term U.S. government and agency obligations   28,009,309,658   32,879,938,110 
Net amortization and accretion on short-term U.S. government and agency obligations   (46,469,916  (9,697,124
Net realized (gain) loss on investments   195,666   264,143 
Change in unrealized (appreciation) depreciation on investments   132,466,239   212,838,004 
Decrease (Increase) in receivable on futures contracts   308,133,798   (333,246,149
Decrease (Increase) in interest receivable   435,945   (3,095,982
Increase (Decrease) in payable to Sponsor   (599,647  4,244,972 
Increase (Decrease) in brokerage commissions and futures account fees payable   (59,363  (327,015
Increase (Decrease) in payable on futures contracts   3,219,962   (37,886,245
Increase (Decrease) in
non-recurring
fees and expenses payable
   —    81,773 
         
Net cash provided by (used in) operating activities   (1,216,466,313  1,082,164,851 
         
Cash flow from financing activities
   
Proceeds from addition of shares   8,465,504,170   9,008,566,233 
Payment on shares redeemed   (7,316,198,861  (9,440,488,808
         
Net cash provided by (used in) financing activities   1,149,305,309   (431,922,575
         
Net increase (decrease) in cash
   (67,161,004  650,242,276 
Cash, beginning of period   1,826,767,616   1,408,701,238 
         
Cash, end of period  $1,759,606,612  $2,058,943,514 
         
*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.

84

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 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 September 30, 2017,2023, the following twentysixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); 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)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

85

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the nine months September 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-5

2-for-1
forward Share split
May 26, 2022
ProShares Ultra Bloomberg Crude OilMay 25, 2022
4-for-1
forward Share split
May 26, 2022
ProShares UltraShort Bloomberg Natural GasMay 25, 2022
1-for-4
reverse Share split

  

July 25, 2016

May 26, 2022

ProShares UltraShort Bloomberg Crude Oil

May 25, 2022
1-for-5
reverse Share split
May 26, 2022
ProShares Ultra Bloomberg Natural GasJune 23, 2023
1-for-20
reverse Share split
June 24, 2023
ProShares Ultra VIX Short-Term Futures ETF

  

July 25, 2016

June 23, 2023
  

1-for-5 

1-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-4

1-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”).

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

with the instructions for Form

10-Q
and the rules and regulations of the 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 Form

10-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.

86

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 September 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.

Final Net Asset Value for Fiscal Period

The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months
 ended September 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.    7:00 a.m.1:25 p.m.    September 30, 201729, 2023 

Ultra Gold and UltraShort Gold Ultra Gold

   9:30 a.m.1:00 p.m.    10:00 a.m.1:30 p.m.    September 30, 201729, 2023 

Ultra Bloomberg Crude Oil,

Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil

Ultra and

UltraShort Bloomberg Crude Oil

Natural Gas
   2:00 p.m.    2:30 p.m.    September 30, 201729, 2023 

UltraPro 3x Short Crude Oil ETF

Ultra Euro,
      

UltraPro 3x Crude Oil ETF

Ultra Yen,
      

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

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

UltraShort Australian Dollar

Yen
   3:00 p.m.    4:00 p.m.    September 30, 201729, 2023 

Short Euro

VIX Short-Term Futures ETF,
Ultra VIX Short-Term Futures ETF,
VIX
Mid-Term
Futures ETF and
VIX Short-Term Futures ETF   3:2:00 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, 201729, 2023 

*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 nine months ended September 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 nine months ended September 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.

87

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 ShortUltraShort 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.

88

The following table summarizes the valuation of investments at September 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  $104,670,946   $(2,387,385 $—   $—   $102,283,561 
ProShares Ultra Bloomberg Crude Oil   264,081,088    24,729,920   —    11,240,991   300,051,999 
ProShares Ultra Bloomberg Natural Gas   303,858,387    (114,592,473  —    (1,438,294  187,827,620 
ProShares Ultra Euro   —     —    (222,712  —    (222,712
ProShares Ultra Gold   109,664,879    (2,617,740  —    (10,343,189  96,703,950 
ProShares Ultra Silver   199,275,356    (6,167,328  —    (21,616,739  171,491,289 
ProShares Ultra VIX Short-Term Futures ETF   84,581,081    29,009,491   —    —    113,590,572 
ProShares Ultra Yen   —     —    (580,421  —    (580,421
ProShares UltraShort Bloomberg Crude Oil   184,298,349    (25,040,263  —    —    159,258,086 
ProShares UltraShort Bloomberg Natural Gas   19,935,466    23,776,317   —    —    43,711,783 
ProShares UltraShort Euro   —     —    1,448,328   —    1,448,328 
ProShares UltraShort Gold   —     510,754   —    649,016   1,159,770 
ProShares UltraShort Silver   —     851,237   —    1,014,468   1,865,705 
ProShares UltraShort Yen   —     —    920,606   —    920,606 
ProShares VIX
Mid-Term
Futures ETF
   —     (943,672  —    —    (943,672
ProShares VIX Short-Term Futures ETF   104,639,666    11,874,170   —    —    116,513,836 
                      
Combined Trust:
  
$
1,375,005,218
 
  
$
(60,996,972
 
$
1,565,801
 
 
$
(20,493,747
 
$
1,295,080,300
 
*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
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

89

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 September 30, 2023 or the year ended 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 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.

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

90

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 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.

91

Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (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.
92

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

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

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

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

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference indexIndex and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2017 2023
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 segregated
tri-party
account at the Custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

93

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 September 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 daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Forward Contracts

Certain of the Funds enter into forward contracts for 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 regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in 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 segregated
tri-party
account at the Custodiana third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the 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 September 30, 2017,2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

94

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 daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.

The following tables indicate the location of derivative related items on the StatementStatements of Financial Condition
as
well as the effect of derivative instruments on the StatementStatements of Operations during the reporting period.

95

Fair Value of Derivative Instruments

as of September 30, 2017

   

Assets Derivatives

   

Liability Derivatives

 
Derivatives not  Statements of         Statements of       
accounted for  Financial         Financial       
as hedging  Condition     Unrealized   Condition     Unrealized 

instruments

  

Location

  

Fund

  Appreciation   

Location

  

Fund

  Depreciation 

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares Short VIX Short-Term Futures ETF

  $94,244,035*   

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

  $18,329,321* 
          

ProShares VIXMid-Term Futures ETF

   1,941,640* 
          

ProShares Ultra VIX Short-Term Futures ETF

   101,763,031* 

Commodities Contracts

  

Receivables on open futures contracts, unrealized appreciation on swaps and/or forward agreements

  

ProShares UltraShort Bloomberg Natural Gas

   348,521*   

Payable on open futures contracts, unrealized depreciation on swaps and/or forward agreements

  

ProShares UltraShort Bloomberg Crude Oil

   19,045,866* 
    

ProShares UltraShort Gold

   2,961,605     

ProShares UltraPro 3X Short Crude Oil ETF

   2,423,370* 
    

ProShares UltraShort Silver

   2,157,373*     

ProShares UltraShort Gold

   9,540* 
    

ProShares Ultra Bloomberg Crude Oil

   54,614,553*     

ProShares Ultra Bloomberg Natural Gas

   971,690* 
    

ProShares UltraPro 3X Crude Oil ETF

   1,272,779*     

ProShares Ultra Gold

   8,453,427 
    

ProShares Ultra Gold

   9,520*     

ProShares Ultra Silver

   28,248,742* 

Foreign Exchange Contracts

  

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

  

ProShares Short Euro

   106,206*   

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

  

ProShares UltraShort Euro

   565,859 
    

ProShares UltraShort Australian Dollar

   379,490*     

ProShares UltraShort Yen

   570,141 
    

ProShares UltraShort Euro

   4,465,552     

ProShares Ultra Euro

   291,439 
    

ProShares UltraShort Yen

   9,817,020     

ProShares Ultra Yen

   407,660 
    

ProShares Ultra Euro

   82,079       
    

ProShares Ultra Yen

   12,351       
      

 

 

       

 

 

 
    Total Trust  $170,471,084*     Total Trust  $183,021,726* 

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 agreements   Payable on open futures contracts, unrealized depreciation on swap agreements  
  ProShares Short VIX Short-Term Futures ETF    $—     $2,387,385
  ProShares Ultra VIX Short-Term Futures ETF     29,009,491     —  
  
ProShares VIX
Mid-Term
Futures ETF
     19,997    963,669
  ProShares VIX Short-Term Futures ETF     11,874,170    —  
Commodities Contracts    Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements  
  ProShares Ultra Bloomberg Crude Oil     36,159,401    188,490
  ProShares Ultra Bloomberg Natural Gas     —      116,030,767 
  ProShares Ultra Gold     —      12,960,929
  ProShares Ultra Silver     —      27,784,068
  ProShares UltraShort Bloomberg Crude Oil     822,565    25,862,828
  ProShares UltraShort Bloomberg Natural Gas     23,776,317    —  
  ProShares UltraShort Gold     1,159,770    —  
  ProShares UltraShort Silver     1,865,705    —  
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     867     223,579 
  ProShares Ultra Yen     8,894     589,315 
  ProShares UltraShort Euro     1,585,136     136,808 
  ProShares UltraShort Yen     969,376     48,770 
               
    
Combined Trust:
  
$
107,251,689 
*
 
   
$
187,176,608 
*
 
*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.

96

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 agreements   Payable on open futures contracts, unrealized depreciation on swap agreements  
  ProShares Short VIX Short-Term Futures ETF    $11,092,381    $—  
  ProShares Ultra VIX Short-Term Futures ETF     —      36,555,453 
  
ProShares VIX
Mid-Term
Futures ETF
     —      4,791,223
  ProShares VIX Short-Term Futures ETF     —      9,796,823
Commodities Contracts    Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements  
  ProShares Ultra Bloomberg Crude Oil     
100,451,293
 
*
 
    —  
  ProShares Ultra Bloomberg Natural Gas     —      
310,613,969
 
*
 
  ProShares Ultra Gold     9,738,554    —  
  ProShares Ultra Silver     68,650,786    —  
  ProShares UltraShort Bloomberg Crude Oil     13,202,924    2,958,031
  ProShares UltraShort Bloomberg Natural Gas     85,889,398    —  
  ProShares UltraShort Gold     —      691,843
  ProShares UltraShort Silver     —      2,663,123
Foreign Exchange Contracts    Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts   Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts  
 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
*
 
97

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 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  $30,285,319   $(26,316,590
    ProShares Ultra VIX Short-Term Futures ETF   (142,584,115   108,839,211 
    
ProShares VIX
Mid-Term
Futures ETF
   (12,244,511   8,934,542 
    ProShares VIX Short-Term Futures ETF   (54,950,042   41,847,057 
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   244,550,123    28,244,846 
    ProShares Ultra Bloomberg Natural Gas   237,079,838    (410,454,461
    ProShares Ultra Gold   (16,876,003   (522,115
    ProShares Ultra Silver   (30,251,410   239,211 
    ProShares UltraShort Bloomberg Crude Oil   (47,764,820   (38,026,419
    ProShares UltraShort Bloomberg Natural Gas   (10,798,451   44,086,649 
    ProShares UltraShort Gold   1,436,424    (251,606
    ProShares UltraShort Silver   6,921,431    61,770 
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   (22,385  (462,400
  ProShares Ultra Yen   (1,854,770  277,206 
  ProShares UltraShort Euro   (122,866  3,207,102 
  ProShares UltraShort Yen   3,079,208   (1,059,246
           
  
Combined Trust
  
$
205,882,970
 
 
$
(241,355,243
98
The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 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  $125,117,609   $(13,479,766
    ProShares Ultra VIX Short-Term Futures ETF   (751,122,089   65,564,944 
    
ProShares VIX
Mid-Term
Futures ETF
   (35,008,564   3,847,551 
    ProShares VIX Short-Term Futures ETF   (228,276,043   21,670,993 
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   253,975,133    (64,480,382
    ProShares Ultra Bloomberg Natural Gas   (1,441,434,725   194,583,202 
    ProShares Ultra Gold   11,120,462    (22,699,483
    ProShares Ultra Silver   5,667,026    (96,434,853
    ProShares UltraShort Bloomberg Crude Oil   7,896,254    (35,285,156
    ProShares UltraShort Bloomberg Natural Gas   221,346,621    (62,113,081
    ProShares UltraShort Gold   (1,147,608   1,851,613 
    ProShares UltraShort Silver   10,748,650    4,528,828 
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   336,185    (638,368
    ProShares Ultra Yen   (2,923,720   (1,564,970
    ProShares UltraShort Euro   (2,576,119   3,909,584 
    ProShares UltraShort Yen   3,422,003    3,948,039 
              
    
Combined Trust:
  
$
(1,822,858,925
  
$
3,208,695
 
*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.

99

The Effect of Derivative Instruments on the StatementsStatement of Operations

For the three months ended September 30, 2017

Derivatives not accounted for as
hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

  Realized Gain
(Loss) on Derivatives
Recognized in Income
  Change in
Unrealized
Appreciation/
Depreciation on
Derivatives
Recognized in Income
 

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

  $(27,447,205 $(17,219,461
    

ProShares VIXMid-Term Futures ETF

   (3,965,084  364,615 
    

ProShares Short VIX Short-Term Futures ETF

   188,300,727   100,033,466 
    

ProShares Ultra VIX Short-Term Futures ETF

   (126,532,816  (95,515,562

Commodity Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

  

ProShares UltraShort Bloomberg Crude Oil

   (9,418,807  (30,456,798
    

ProShares UltraPro 3X Short Crude Oil ETF

   (1,540,337  (2,178,096
    

ProShares UltraShort Bloomberg Natural Gas

   (151,368  615,201 
    

ProShares UltraShort Gold

   (2,644,155  299,106 
    

ProShares UltraShort Silver

   (467,171  (393,756
    

ProShares Ultra Bloomberg Crude Oil

   45,497,245   112,823,127 
    

ProShares UltraPro 3X Crude Oil ETF

   4,971,742   694,326 
    

ProShares Ultra Bloomberg Natural Gas

   (2,014,548  (1,078,511
    

ProShares Ultra Gold

   5,462,918   (549,421
    

ProShares Ultra Silver

   1,064,270   7,159,593 

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

   (599,482  291,787 
    

ProShares UltraShort Australian Dollar

   (1,453,355  837,800 
    

ProShares UltraShort Euro

   (24,505,520  10,103,133 
    

ProShares UltraShort Yen

   (1,067,853  (83,509
    

ProShares Ultra Euro

   1,259,663   (519,273
    

ProShares Ultra Yen

   (4,492  (52,440
      

 

 

  

 

 

 
    Total Trust  $44,744,372  $85,175,327 

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  $27,694,574   $(17,783,632
    ProShares Ultra VIX Short-Term Futures ETF   (289,871,717   161,330,331 
    
ProShares VIX
Mid-Term
Futures ETF
   (1,349,272   3,236,565 
    ProShares VIX Short-Term Futures ETF   (45,457,319   51,449,994 
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   (344,578,932   (33,971,770
    ProShares Ultra Bloomberg Natural Gas   (5,889,116   97,063,212 
    ProShares Ultra Gold   (39,825,586   2,070,901 
    ProShares Ultra Silver   (147,384,761   91,205,187 
    ProShares UltraShort Bloomberg Crude Oil   66,444,885    76,797,273 
    ProShares UltraShort Bloomberg Natural Gas   8,173,631    (23,776,729
    ProShares UltraShort Gold   4,988,228    806,339 
    ProShares UltraShort Silver   6,215,407    (4,087,962
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   (1,618,381   (98,836
    ProShares Ultra Yen   (1,652,590   (17,967
    ProShares UltraShort Euro   11,086,708    (354,043
    ProShares UltraShort Yen   5,879,873    (546,737
              
    
Combined Trust
  
$
(747,144,368
  
$
403,322,126
 
100

The Effect of Derivative Instruments on the StatementsStatement of Operations

For the three months ended September 30, 2016

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

  $(101,785,229 $6,786,934 
    

ProShares VIXMid-Term Futures ETF

   (4,899,530  (1,149,750
    

ProShares Short VIX Short-Term Futures ETF

   277,246,086   (51,813,012
    

ProShares Ultra VIX Short-Term Futures ETF

   (745,101,700  138,973,918 

Commodity Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

  

ProShares UltraShort Bloomberg Crude Oil

   50,281,494   (32,976,232
    

ProShares UltraShort Bloomberg Natural Gas

   (101,997  712,984 
    

ProShares UltraShort Gold

   (10,296,533  9,770,795 
    

ProShares UltraShort Silver

   (14,865,870  9,507,258 
    

ProShares Ultra Bloomberg Crude Oil

   (246,218,628  165,582,895 
    

ProShares Ultra Bloomberg Natural Gas

   1,964,411   (8,409,834
    

ProShares Ultra Gold

   12,629,891   (13,416,914
    

ProShares Ultra Silver

   119,372,366   (88,240,470

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

   327,212   (488,475
    

ProShares UltraShort Australian Dollar

   (318,842  (971,687
    

ProShares UltraShort Euro

   (5,537,097  (2,518,631
    

ProShares UltraShort Yen

   (33,476,385  23,071,090 
    

ProShares Ultra Euro

   46,252   118,030 
    

ProShares Ultra Yen

   955,047   (764,447
      

 

 

  

 

 

 
    Total Trust  $(699,779,052 $153,774,452 

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2017

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

  $(126,202,705 $(17,860,669
    

ProShares VIXMid-Term Futures ETF

   (19,180,135  (653,395
    

ProShares Short VIX Short-Term Futures ETF

   471,128,319   104,553,646 
    

ProShares Ultra VIX Short-Term Futures ETF

   (646,036,987  (93,790,794

Commodity Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

  

ProShares UltraShort Bloomberg Crude Oil

   49,807,530   (5,412,170
    

ProShares UltraPro 3X Short Crude Oil ETF

   232,006   (2,423,370
    

ProShares UltraShort Bloomberg Natural Gas

   1,756,252   830,552 
    

ProShares UltraShort Gold

   (10,938,952  (100,481
    

ProShares UltraShort Silver

   (2,693,320  745,817 
    

ProShares Ultra Bloomberg Crude Oil

   (123,511,840  (6,281,183
    

ProShares UltraPro 3X Crude Oil ETF

   3,137,907   1,272,779 
    

ProShares Ultra Bloomberg Natural Gas

   (21,040,313  (3,508,410
    

ProShares Ultra Gold

   23,362,749   (3,993,840
    

ProShares Ultra Silver

   20,327,016   (7,245,193

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

   (1,334,988  (26,694
    

ProShares UltraShort Australian Dollar

   (1,920,606  (802,850
    

ProShares UltraShort Euro

   (45,334,575  (12,263,238
    

ProShares UltraShort Yen

   (17,529,013  (7,498,058
    

ProShares Ultra Euro

   2,666,172   364,650 
    

ProShares Ultra Yen

   338,091   (53,233
      

 

 

  

 

 

 
    Total Trust  $(442,967,392 $(54,146,134

The 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  $(26,435,234  $(47,541,296
    ProShares Ultra VIX Short-Term Futures ETF   82,162,402    323,609,043 
    
ProShares VIX
Mid-Term
Futures ETF
   11,304,613    6,941,620 
    ProShares VIX Short-Term Futures ETF   31,935,990    84,956,040 
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   818,140,230    (339,187,944
    ProShares Ultra Bloomberg Natural Gas   235,322,266    (89,157,584
    ProShares Ultra Gold   (39,908,073   (17,607,548
    ProShares Ultra Silver   (186,941,909   (16,622,928
    ProShares UltraShort Bloomberg Crude Oil   (142,631,216   113,723,566 
    ProShares UltraShort Bloomberg Natural Gas   (389,138,752   116,857,361 
    ProShares UltraShort Gold   3,237,425    3,173,923 
    ProShares UltraShort Silver   8,252,893    1,570,887 
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   (2,505,776   (513,883
    ProShares Ultra Yen   (2,532,839   (2,005
    ProShares UltraShort Euro   16,693,971    3,049,081 
    ProShares UltraShort Yen   14,877,216    (444,812
              
    
Combined Trust:
  
$
431,833,207
 
  
$
142,803,521
 
101

Table 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

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 September 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 September 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 $11,240,991  $—   $11,240,991  $—   $—   $—  
ProShares Ultra Bloomberg Natural Gas      
Swap agreements  —    —    —    1,438,294   —    1,438,294 
ProShares Ultra Euro      
Foreign currency forward contracts  867   —    867   223,579   —    223,579 
ProShares Ultra Gold      
Swap agreements  —    —    —    10,343,189   —    10,343,189 
ProShares Ultra Silver      
Swap agreements  —    —    —    21,616,739   —    21,616,739 
ProShares Ultra Yen      
Foreign currency forward contracts  8,894   —    8,894   589,315   —    589,315 
ProShares UltraShort Euro      
Foreign currency forward contracts  1,585,136   —    1,585,136   136,808   —    136,808 
ProShares UltraShort Gold      
Swap agreements  649,016   —    649,016   —    —    —  
ProShares UltraShort Silver      
Swap agreements  1,014,468   —    1,014,468   —    —    —  
ProShares UltraShort Yen      
Foreign currency forward contracts  969,376   —    969,376   48,770   —    48,770 
102
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 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 be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of 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 September 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. $1,869,634  $(1,869,634 $—   $—  
Goldman Sachs International  2,324,555   (2,324,555  —    —  
Morgan Stanley & Co.    
International PLC  1,607,761   (1,368,876  (238,885  —  
Societe Generale  1,776,923   (1,776,923  —    —  
UBS AG  3,662,118   (3,662,118  —    —  
ProShares Ultra Bloomberg Natural Gas    
Citibank, N.A.  (706,090  —    706,090   —  
Goldman Sachs International  (482,438  —    482,438   —  
Societe Generale  (245,972  —    245,972   —  
UBS AG  (3,794  —    3,794   —  
ProShares Ultra Euro    
Goldman Sachs International  (136,003  —    136,003   —  
UBS AG  (86,709  —    86,709   —  
ProShares Ultra Gold    
Citibank, N.A.  (4,441,216  —    4,441,216   —  
Goldman Sachs International  (2,109,437  —    2,109,437   —  
UBS AG  (3,792,536  —    3,792,536   —  
ProShares Ultra Silver    
Citibank, N.A.  (7,524,763  —    7,524,763   —  
Goldman Sachs International  (994,790  —    994,790   —  
Morgan Stanley & Co. International PLC  (6,749,262  —    6,749,262   —  
UBS AG  (6,347,924  —    6,347,924   —  
ProShares Ultra Yen    
Goldman Sachs International  (268,253  —    268,253   —  
UBS AG  (312,168  —    312,168   —  
ProShares UltraShort Euro    
Goldman Sachs International  763,505   (763,505  —    —  
UBS AG  684,823   (684,823  —    —  
ProShares UltraShort Gold    
Citibank, N.A.  149,583   —    —    149,583 
Goldman Sachs International  196,202   —    —    196,202 
UBS AG  303,231   (262,149  —    41,082 
ProShares UltraShort Silver    
Citibank, N.A.  120,165   —    —    120,165 
Goldman Sachs International  437,748   (344,363  —    93,385 
Morgan Stanley & Co. International PLC  345,878   —    —    345,878 
UBS AG  110,677   —    —    110,677 
ProShares UltraShort Yen    
Goldman Sachs International  406,284   (331,699  —    74,585 
UBS AG  514,322   (290,824  —    223,498 
103

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 
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 be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 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   —     —   

104

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
105

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 Schedule
K-1
preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.

Non-Recurring
Fees and Expenses

Each Fund pays all its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

106

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.

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.

107

Authorized Participants may pay a fixed transaction fee of up to $500(typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co.,BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three and nine months ended September 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 


   
Three Months Ended
   
Nine Months Ended
 
Fund
  
September 30, 2023
   
September 30, 2023
 
ProShares Short VIX Short-Term Futures ETF  $41,549   $203,485 
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   248,309    1,068,660 
ProShares Ultra Yen   —     —  
ProShares UltraShort Bloomberg Crude Oil   —     —  
ProShares UltraShort Bloomberg Natural Gas   —     —  
ProShares UltraShort Euro   —     —  
ProShares UltraShort Gold   —     —  
ProShares UltraShort Silver   —     —  
ProShares UltraShort Yen   —     —  
ProShares VIX
Mid-Term
Futures ETF
   6,068    21,579 
ProShares VIX Short-Term Futures ETF   47,895    215,117 
           
Combined Trust:
  
$

343,821   
$

1,508,841 
108

NOTE 76 – FINANCIAL HIGHLIGHTS

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

2023

For the Three Months Ended September 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 June 30, 2023  $84.68  $23.74  $69.48  $11.59  $58.36  $27.04 
Net investment income (loss)   0.60   0.16   0.38   0.10   0.47   0.18 
Net realized and unrealized gain (loss)#   0.97   11.34   (15.86  (0.82  (6.08  (2.46
Change in net asset value from operations   1.57   11.50   (15.48  (0.72  (5.61  (2.28
Net asset value, at September 30, 2023  $86.25  $35.24  $54.00  $10.87  $52.75  $24.76 
Market value per share, at June 30, 2023
  $84.68  $23.65  $68.99  $11.61  $58.24  $26.95 
Market value per share, at September 30, 2023
  $86.34  $35.28  $54.38  $10.85  $52.60  $24.61 
Total Return, at net asset value^
   1.9  48.4  (22.3)%   (6.2)%   (9.6)%   (8 .4)% 
Total Return, at market value^
   2.0  49.2  (21.2)%   (6.6)%   (9.7)%   (8.7)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.16  0.98  1 .26  0.95  0.96  0.98
Net investment income gain (loss)   2.77  2.13  2 .49  3.56  3.22  2.58
*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 September 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.

109

For the Three Months Ended September 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

#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, 2017.
**Percentages are annualized.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).

For the Three 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 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) 

#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, 2017.
**Percentages are annualized.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).
(3)Amount represents less than 0.005%.

For the Three Months Ended September 30, 2017 (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)% 

#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, 2017.
**Percentages are annualized.
(2)Amount represents less than $(0.005).

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

For the Three Months Ended September 30, 2016 (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 June 30, 2023  $18.48  $27.40  $25.62  $55.06  $29.10  $28.90 
Net investment income (loss)   0.09   0.25   0.17   0.45   0.26   0.23 
Net realized and unrealized gain (loss)#   (2.37  (2.64  (8.93  5.95   2.07   3.01 
Change in net asset value from operations   (2.28  (2.39  (8.76  6.40   2.33   3.24 
Net asset value, at September 30, 2023  $16.20  $25.01  $16.86  $61.46  $31.43  $32.14 
Market value per share, at June 30, 2023
  $18.49  $27.42  $25.70  $55.45  $29.11  $28.96 
Market value per share, at September 30, 2023
  $16.21  $25.00  $16.82  $61.04  $31.43  $32.20 
Total Return, at net asset value^
   (12.4)%   (8.7)%   (34.2)%   11.6  8 .0  11.2
Total Return, at market value^
   (12.3)%   (8.8)%   (34.6)%   10.1  8 .0  11.2
Ratios to Average Net Assets**
                         
Expense ratio^^   1.68  0.95  1.04  1.44  0.95  0.98
Net investment income gain (loss)   2.16  3.66  3.47  3.16  3.51  3.13
*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 September 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 brokerage commissions and futures account fees were excluded.

110

For the Three Months Ended September 30, 20162023 (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)% 

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

For the Three Months Ended September 30, 2016 (unaudited)

Per Share Operating Performance

  Ultra
Bloomberg
Crude Oil*
  Ultra
Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver  Ultra Euro  Ultra Yen 

Net asset value, at June 30, 2016

  $24.33  $17.75  $44.80  $45.53  $15.89  $72.67 

Net investment income (loss)

   (0.04  (0.04  (0.08  (0.09  (0.03  (0.13

Net realized and unrealized gain (loss)#

   (3.27  (3.23  (0.30  3.56   0.27   1.92 

Change in net asset value from operations

   (3.31  (3.27  (0.38  3.47   0.24   1.79 

Net asset value, at September 30, 2016

  $21.02  $14.48  $44.42  $49.00  $16.13  $74.46 

Market value per share, at June 30, 2016†

  $24.44  $17.65  $45.03  $47.67  $15.86  $72.71 

Market value per share, at September 30, 2016†

  $20.76  $14.58  $44.01  $48.11  $16.12  $74.48 

Total Return, at net asset value^

   (13.6)%   (18.4)%   (0.8)%   7.6  1.5  2.5

Total Return, at market value^

   (15.1)%   (17.4)%   (2.3)%   0.9  1.6  2.4

Ratios to Average Net Assets**

       

Expense ratio

   1.00  1.23  0.95  0.95  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.75)%   (1.03)%   (0.67)%   (0.68)%   (0.69)%   (0.70)% 

Per Share Operating Performance
  
UltraShort
Silver
  
UltraShort
Yen
  
VIX Mid-Term

Futures

ETF
  
VIX Short-
Term Futures
ETF*
 
Net asset value, at June 30, 2023  $20.49  $67.94  $20.49  $24.95 
Net investment income (loss)   0.14   0.61   0.17   0.19 
Net realized and unrealized gain (loss)#   0.81   6.53   (1.24  (1.83
Change in net asset value from operations   0.95   7.14   (1.07  (1.64
Net asset value, at September 30, 2023  $21.44  $75.08  $19.42  $23.31 
Market value per share, at June 30, 2023
  $20.58  $67.95  $20.48  $24.96 
Market value per share, at September 30, 2023
  $21.55  $75.08  $19.41  $23.30 
Total Return, at net asset value^
   4.6  10.5  (5.2)%   (6.6)% 
Total Return, at market value^
   4.7  10.5  (5.2)%   (6.6)% 
Ratios to Average Net Assets**
                 
Expense ratio^^   1.12  0.95  0.99  1.04
Net investment income gain (loss)   2.98  3.48  3.35  3.27
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange,applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.2023.
**^^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.

111

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

2022

For the NineThree Months Ended September 30, 20172022 (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
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas*
  
Ultra Euro
  
Ultra Gold
  
Ultra Silver
 
Net asset value, at June 30, 2022  $48.14  $41.61  $790.70  $11.08  $56.46  $24.78 
Net investment income (loss)   (0.01  0.01   0.58   0.00(1)   0.05   0.00(2) 
Net realized and unrealized gain (loss)#   0.38   (15.41  273.12   (1.51  (9.44  (3.94
Change in net asset value from operations   0.37   (15.40  273.70   (1.51  (9.39  (3.94
Net asset value, at September 30, 2022  $48.51  $26.21  $1064.40  $9.57  $47.07  $20.84 
Market value per share, at June 30, 2022
  $48.21  $41.86  $842.00  $11.11  $56.50  $24.47 
Market value per share, at September 30, 2022
  $48.59  $26.26  $1073.20  $9.57  $46.93  $20.76 
Total Return, at net asset value^
   0.8  (37.0)%   34.6  (13.7)%   (16.6)%   (15.9)% 
Total Return, at market value^
   0.8  (37.3)%   27.5  (13.9)%   (16.9)%   (15.2)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.14  1 .01  1 .16  0.96  0.97  1.00
Net investment income gain (loss)   (0.09)%   0 .07  0 .15  0.16  0.38  (0.02)% 
*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, 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 September 30, 2017.
**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 September 30, 2017.2022.
^^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 greater than $(0.005).
112

For the Three Months Ended September 30, 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 June 30, 2022  $145.13  $33.51  $23.04  $42.65  $30.38  $31.55 
Net investment income (loss)   (0.04  0.01   0.02   0.00(1)   0.01   (0.01
Net realized and unrealized gain (loss)#   (16.35  (4.49  7.28   (25.30  4.45   5.64 
Change in net asset value from operations   (16.39  (4.48  7.30   (25.30  4.46   5.63 
Net asset value, at September 30, 2022  $128.74  $29.03  $30.34  $17.35  $34.84  $37.18 
Market value per share, at June 30, 2022
  $145.30  $33.49  $22.93  $40.02  $30.41  $31.59 
Market value per share, at September 30, 2022
  $128.50  $29.06  $30.28  $17.21  $34.88  $37.30 
Total Return, at net asset value^
   (11.3)%   (13.3)%   31.7  (59.3)%   14.7  17.9
Total Return, at market value^
   (11.6)%   (13.2)%   32.1  (57.0)%   14.7  18.1
Ratios to Average Net Assets**
                         
Expense ratio^^   1 .46  0.96  1.11  1 .25  0.96  1.00
Net investment income gain (loss)   (0.14)%   0.18  0.32  (0.01)%   0.12  (0.11)% 
*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, 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 September 30, 2017.

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 $25.0000 for ProShares UltraPro 3X Crude Oil ETF.

**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 September 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.

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

(1)Amount represents greater than $(0.005).

113

For the NineThree Months Ended September 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 June 30, 2022  $31.74  $57.06  $35.29  $91.09 
Net investment income (loss)   (0.02  0.01   0.00(1)   0.05 
Net realized and unrealized gain (loss)#   2.34   7.97   0.19   (5.63
Change in net asset value from operations   2.32   7.98   0.19   (5.58
Net asset value, at September 30, 2022  $34.06  $65.04  $35.48  $85.51 
Market value per share, at June 30, 2022
  $32.19  $57.13  $35.38  $91.25 
Market value per share, at September 30, 2022
  $34.15  $65.02  $35.50  $85.50 
Total Return, at net asset value^
   7 .3  14.0  0 .6  (6.1)% 
Total Return, at market value^
   6 .1  13.8  0 .3  (6.3)% 
Ratios to Average Net Assets**
                 
Expense ratio^^   1.08  0.96  0.93  1.11
Net investment income gain (loss)   (0.19)%   0.07  (0.01)%   0.25
*See Note 1 of these Notes to Financial StatementsStatements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange,applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 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.

(1)Amount represents greater than $(0.005).

114

S
elected Data for a Share Outstanding Throughout the nine Months Ended September
 30, 2023
For the Nine Months Ended September 30, 20162023 (unaudited)

Per Share Operating Performance

  UltraShort Gold  UltraShort
Silver
  Short Euro  UltraShort
Australian
Dollar
  UltraShort Euro  UltraShort Yen 

Net asset value, at December 31, 2015

  $115.88  $64.58  $43.78  $58.46  $25.54  $87.94 

Net investment income (loss)

   (0.42  (0.21  (0.25  (0.33  (0.13  (0.38

Net realized and unrealized gain (loss)#

   (45.85  (36.43  (1.31  (8.45  (1.63  (26.88

Change in net asset value from operations

   (46.27  (36.64  (1.56  (8.78  (1.76  (27.26

Net asset value, at September 30, 2016

  $69.61  $27.94  $42.22  $49.68  $23.78  $60.68 

Market value per share, at December 31, 2015†

  $115.83  $64.55  $43.74  $58.15  $25.53  $87.89 

Market value per share, at September 30, 2016†

  $70.19  $28.41  $42.22  $49.67  $23.76  $60.64 

Total Return, at net asset value^

   (39.9)%   (56.7)%   (3.6)%   (15.0)%   (6.9)%   (31.0)% 

Total Return, at market value^

   (39.4)%   (56.0)%   (3.5)%   (14.6)%   (6.9)%   (31.0)% 

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.95  0.97  1.03  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.71)%   (0.71)%   (0.78)%   (0.80)%   (0.70)%   (0.74)% 

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

For the Nine Months Ended September 30, 2016 (unaudited)

Per Share Operating Performance

  Ultra Bloomberg
Crude Oil*
  Ultra Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver  Ultra Euro  Ultra Yen 

Net asset value, at December 31, 2015

  $25.15  $18.57  $29.73  $27.06  $15.51  $54.75 

Net investment income (loss)

   (0.12  (0.12  (0.21  (0.21  (0.08  (0.36

Net realized and unrealized gain (loss)#

   (4.01  (3.97  14.90   22.15   0.70   20.07 

Change in net asset value from operations

   (4.13  (4.09  14.69   21.94   0.62   19.71 

Net asset value, at September 30, 2016

  $21.02  $14.48  $44.42  $49.00  $16.13  $74.46 

Market value per share, at December 31, 2015†

  $25.08  $18.48  $29.73  $27.08  $15.51  $54.70 

Market value per share, at September 30, 2016†

  $20.76  $14.58  $44.01  $48.11  $16.12  $74.48 

Total Return, at net asset value^

   (16.4)%   (22.0)%   49.4  81.1  4.0  36.0

Total Return, at market value^

   (17.2)%   (21.1)%   48.0  77.7  3.9  36.2

Ratios to Average Net Assets**

       

Expense ratio

   1.02  1.36  0.95  0.95  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.78)%   (1.17)%   (0.69)%   (0.71)%   (0.71)%   (0.71)% 

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)   1.41   0.43   1.18   0.27   1.33   0.57 
Net realized and unrealized gain (loss)#   26.13   4.55   (310.26  (0.67  (3.67  (7.56
Change in net asset value from operations   27.54   4.98   (309.08  (0.40  (2.34  (6.99
Net asset value, at September 30, 2023  $86.25  $35.24  $54.00  $10.87  $52.75  $24.76 
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 September 30, 2023
  $86.34  $35.28  $54.38  $10.85  $52.60  $24.61 
Total Return, at net asset value^
   46.9  16.5  (85.1)%   (3.5)%   (4.3)%   (22.0)% 
Total Return, at market value^
   47.1  16.4  (84.7)%   (3.6)%   (4.8)%   (23.1)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.15  0.99  1 .38  0.95  0.97  0.99
Net investment income gain (loss)   2.59  2.12  2 .16  3.19  2.98  2.63
*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 calculatedcalculated.
^Percentages are not annualized for the period ended September 30, 2016.2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
115

For the Nine Months Ended September 30, 2023 (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, 2022  $68.69  $34.54  $23.93  $27.00  $29.46  $31.10 
Net investment income (loss)   0.40   0.74   0.53   1.11   0.70   0.61 
Net realized and unrealized gain (loss)#   (52.89  (10.27  (7.60  33.35   1.27   0.43 
Change in net asset value from operations   (52.49  (9.53  (7.07  34.46   1.97   1.04 
Net asset value, at September 30, 2023  $16.20  $25.01  $16.86  $61.46  $31.43  $32.14 
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 September 30, 2023
  $16.21  $25.00  $16.82  $61.04  $31.43  $32.20 
Total Return, at net asset value^
   (76.4)%   (27.6)%   (29.6)%   127.7  6.7  3.4
Total Return, at market value^
   (76.4)%   (27.7)%   (29.5)%   121.5  6.7  3.9
Ratios to Average Net Assets**
                         
Expense ratio^^   1 .58  0 .95  1.07  1.64  0.95  0.98
Net investment income gain (loss)   1 .77  3 .28  3.14  2.57  3.20  2.90
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2023.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

116

For the Nine Months Ended September 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)   0.38   1.47   0.54   0.70 
Net realized and unrealized gain (loss)#   1.60   19.93   (11.53  (34.39
Change in net asset value from operations   1.98   21.40   (10.99  (33.69
Net asset value, at September 30, 2023  $21.44  $75.08  $19.42  $23.31 
Market value per share, at December 31, 2022
  $19.30  $53.57  $30.36  $56.90 
Market value per share, at September 30, 2023
  $21.55  $75.08  $19.41  $23.30 
Total Return, at net asset value^
   10.2  39.9  (36.1)%   (59.1)% 
Total Return, at market value^
   11.7  40.2  (36.1)%   (59.1)% 
Ratios to Average Net Assets**
                 
Expense ratio^^   1.07  0.95  0 .98  1 .07
Net investment income gain (loss)   2.63  3.20  3 .03  2 .81
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2023.
^^The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
117

Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2022
For the Nine Months Ended September 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)   (0.31  (0.16  (5.33  (0.02  (0.19  (0.13
Net realized and unrealized gain (loss)#   (12.74  4.83   558.65   (3.73  (12.43  (13.87
Change in net asset value from operations   (13.05  4.67   553.32   (3.75  (12.62  (14.00
Net asset value, at September 30, 2022  $48.51  $26.21  $1,064.40  $9.57  $47.07  $20.84 
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 September 30, 2022
  $48.59  $26.26  $1,073.20  $9.57  $46.93  $20.76 
Total Return, at net asset value^
   (21.2)%   21.7  108.3  (28.2)%   (21.1)%   (40.2)% 
Total Return, at market value^
   (21.1)%   21.0  105.7  (28.2)%   (21.5)%   (40.2)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1 .23  1.04  1 .24  0.95  0 .99  0 .99
Net investment income gain (loss)   (0.80)%   (0.59)%   (0 .58)%   (0.27)%   (0.43)%   (0.56)% 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
118

For the Nine Months Ended September 30, 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)   (0.94  (0.04  (0.07  (0.14  (0.08  (0.13
Net realized and unrealized gain (loss)#   5.62   (18.22  (33.85  (229.91  9.08   5.60 
Change in net asset value from operations   4.68   (18.26  (33.92  (230.05  9.00   5.47 
Net asset value, at September 30, 2022  $128.74  $29.03  $30.34  $17.35  $34.84  $37.18 
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 September 30, 2022
  $128.50  $29.06  $30.28  $17.21  $34.88  $37.30 
Total Return, at net asset value^
   3.7  (38.6)%   (52.8)%   (93.0)%   34.8  17.3
Total Return, at market value^
   3.4  (38.6)%   (52.5)%   (92.9)%   34.9  17.8
Ratios to Average Net Assets**
                         
Expense ratio^^   1.57  0.96  1.15  1.38  0.95  1.00
Net investment income gain (loss)   (0.97)%   (0.15)%   (0.38)%   (0.77)%   (0.37)%   (0.56)% 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
119

For the Nine Months Ended September 30, 2022 (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, 2021  $26.77  $41.50  $30.61  $75.62 
Net investment income (loss)   (0.13  (0.16  (0.15  (0.35
Net realized and unrealized gain (loss)#   7.42   23.70   5.02   10.24 
Change in net asset value from operations   7.29   23.54   4.87   9.89 
Net asset value, at September 30, 2022  $34.06  $65.04  $35.48  $85.51 
Market value per share, at December 31, 2021
  $26.84  $41.50  $30.57  $75.85 
Market value per share, at September 30, 2022
  $34.15  $65.02  $35.50  $85.50 
Total Return, at net asset value^
   27.2  56.7  15.9  13.1
Total Return, at market value^
   27.2  56.7  16.1  12.7
Ratios to Average Net Assets**
                 
Expense ratio^^   1.08  0.95  0.99  1.16
Net investment income gain (loss)   (0.63)%   (0.40)%   (0.59)%   (0.56)% 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
120

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.

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

121

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.

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.
122

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 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, a
single-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 downward
single-day
or intraday movements in the underlying benchmark of an Ultra Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

123

“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 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 backwardation are typically thoughta more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to be caused by demand shocksinvest 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.
124

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The outbreak of
COVID-19
(including any variants), or supply shortagesany 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 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 unusually cold winterinvestment in the Fund may decline significantly.
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, the markets for gold, silver, oil, natural gas and other commodities, and the price of Financial Instruments based on such commodities, and other markets. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in the 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 reach a hurricane.

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.
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.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form
10-Q.
The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential”“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 September 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 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 VIX
Mid-Term
Futures Index (the
“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”).

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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 a
per-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 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
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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 nine months ended September 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

September 30, 2023
   
Interest Income

Three Months

Ended

September 30, 2022
   
Interest Income

Nine Months

Ended

September 30, 2023
   
Interest Income

Nine Months

Ended

September 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
  $ 2,624,180   $ 1,006,499   $7,170,512   $ 1,325,976 
ProShares Ultra Bloomberg Crude Oil
   5,340,428    2,391,191    17,226,428    3,964,082 
ProShares Ultra Bloomberg Natural Gas
   9,098,504    909,204    26,923,732    1,095,255 
ProShares Ultra Euro
   80,746    36,856    266,165    47,965 
ProShares Ultra Gold
   1,837,846    678,282    5,470,056    1,092,549 
ProShares Ultra Silver
   3,343,905    824,171    10,419,483    1,386,134 
ProShares Ultra VIX Short-Term Futures ETF
   3,255,531    3,945,136    12,422,781    4,471,067 
ProShares Ultra Yen
   174,354    25,362    409,452    29,299 
ProShares UltraShort Bloomberg Crude Oil
   2,609,417    1,748,548    6,172,654    2,091,754 
ProShares UltraShort Bloomberg Natural Gas
   1,476,050    953,050    4,007,691    1,131,063 
ProShares UltraShort Euro
   523,684    230,824    1,764,550    285,240 
ProShares UltraShort Gold
   142,707    72,261    459,321    101,921 
ProShares UltraShort Silver
   337,096    63,222    860,908    90,885 
ProShares UltraShort Yen
   274,125    115,191    733,679    151,503 
ProShares VIX
Mid-Term
Futures ETF
   597,040    220,211    1,895,545    296,960 
ProShares VIX Short-Term Futures ETF
   2,271,345    1,400,201    6,832,197    1,678,813 
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”
between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying thesuch Fund’s benchmark at a specified date and price, should it hold such derivativesderivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it
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would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on
Form10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an unclearedOTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
tri-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, 2017,6, 2023, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate
off-balance
sheet financing arrangements and have no loan guarantee arrangements or
off-balance
sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the 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.

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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.

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 September 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.

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.

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

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 282,353,267  $ 403,644,956 
NAV end of period
  $261,698,747  $321,831,051 
Percentage change in NAV
   (7.3)  (20.3)
Shares outstanding beginning of period
   3,334,307   8,384,307 
Shares outstanding end of period
   3,034,307   6,634,307 
Percentage change in shares outstanding
   (9.0)  (20.9)
Shares created
   650,000   450,000 
Shares redeemed
   950,000   2,200,000 
Per share NAV beginning of period
  $84.68  $48.14 
Per share NAV end of period
  $86.25  $48.51 
Percentage change in per share NAV
   1.9  0.8
Percentage change in benchmark
   (6.1)  (5.7)
Benchmark annualized volatility
   52.0  51.0
During the three months ended September 30, 2017,2023, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 3,796,1133,334,307 outstanding Shares at June 30, 20172023 to 5,876,3173,034,307 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 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 three months ended September 30, 2016,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 27,600,0008,384,307 outstanding Shares at June 30, 20162022 to 13,900,0006,634,307 outstanding Shares at September 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
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 20172023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 of to
one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.9%1.9% for the three months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV increase of 45.7%0.8% for the three months ended September 30, 2016,2022, was primarily due to a lessergreater appreciation in the value of the assets ofheld 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 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.

2023.

The benchmark’s decline of 23.4%6.1% for the three months ended September 30, 2017,2023, as compared to the benchmark’s decline of 36.8%5.7% for the three months ended September 30, 2016,2022, can be attributed to a lesser declinegreater decrease in the value of the prices of the near-term futures contracts on the VIX futures curve during the three monthsperiod ended September 30, 2017.

2023.

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Net Income/Loss

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

2022:

   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $1,851,366   $(90,304
Management fee
   634,871    914,054 
Brokerage commission
   137,943    152,661 
Futures account fees
   —      23,966 
Non-recurring
fees and expenses
   —      6,122 
Net realized gain (loss)
   30,285,323    27,694,574 
Change in net unrealized appreciation (depreciation)
   (26,317,147   (17,470,190
Net Income (loss)
  $5,819,542   $10,134,080 
The Fund’s net income increaseddecreased for the three months ended September 30, 2017,2023 as compared to the three months ended September 30, 2016,2022, primarily due to a greater decrease in the pricesvalue of near-term futures contracts on the VIX futures curve,prices, in conjunction with an increase in shares outstanding,the timing of shareholder activity, 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.

2023.

ProShares Ultra VIX Short-Term Futures ETF*

Bloomberg Crude Oil

Fund Performance

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

2022:

   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 738,194,368  $ 1,060,867,238 
NAV end of period
  $604,124,332  $724,595,262 
Percentage change in NAV
   (18.2)%   (31.7)% 
Shares outstanding beginning of period
   31,093,096   25,493,096 
Shares outstanding end of period
   17,143,096   27,643,096 
Percentage change in shares outstanding
   (44.9)%   8.4
Shares created
   —     10,400,000 
Shares redeemed
   13,950,000   8,250,000 
Per share NAV beginning of period
  $23.74  $41.61 
Per share NAV end of period
  $35.24  $26.21 
Percentage change in per share NAV
   48.4  (37.0)% 
Percentage change in benchmark
   22.1  (18.6)% 
Benchmark annualized volatility
   18.4  42.8
During the three months ended September 30, 2017,2023, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 9,631,95231,093,096 outstanding Shares at June 30, 20172023 to 25,927,23817,143,096 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 2x oftwo times (2x) the daily performance of the S&P 500 VIX Short-Term Futures Index.Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended September 30, 2016,2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times (2x) the daily performance of the S&P 500 VIX Short-Term Futures Index.Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 920,02525,493,096 outstanding Shares at June 30, 20162022 to 2,185,38327,643,096 outstanding Shares at September 30, 2016.

2022.

For the three months ended September 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 increase of 48.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
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The benchmark’s rise of 22.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 18.6% for the three months ended September 30, 2022, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $3,659,529   $153,992 
Management fee
   1,629,737    2,118,088 
Brokerage commission
   51,162    85,906 
Futures account fees
   —      19,466 
Non-recurring
fees and expenses
   —      13,739 
Net realized gain (loss)
   244,550,243    (344,578,932
Change in net unrealized appreciation (depreciation)
   28,176,972    (33,248,174
Net Income (loss)
  $ 276,386,744   $ (377,673,114
The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to an increase in the value of WTI Crude Oil during the three months ended September 30, 2023.
ProShares Ultra Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 1,141,021,278  $ 187,297,842 
NAV end of period
  $870,339,281  $289,386,097 
Percentage change in NAV
   (23.7)%   54.5
Shares outstanding beginning of period
   16,421,876   236,876 
Shares outstanding end of period
   16,118,544   271,876 
Percentage change in shares outstanding
   (1.8)%   14.8
Shares created
   12,950,000   300,000 
Shares redeemed
   13,253,332   265,000 
Per share NAV beginning of period
  $69.48  $790.70 
Per share NAV end of period
  $54.00  $1064.40 
Percentage change in per share NAV
   (22.3)%   34.6
Percentage change in benchmark
   (9.2)%   25.3
Benchmark annualized volatility
   39.6  76.6
During the three months ended September 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 Natural Gas Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 16,421,876 outstanding Shares at June 30, 2023 to 16,118,544 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 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 (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 236,876 outstanding Shares at June 30, 2022 to 271,876 outstanding Shares at September 30, 2022.
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For the three months ended September 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 47.5%22.3% for the three months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 63.0%34.6% for the three months ended September 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 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 $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%9.2% for the three months ended September 30, 2017,2023, as compared to the benchmark’s declinerise of 36.8%25.3% for the three months ended September 30, 2016,2022, can be attributed to a lesser declinedecrease in pricesthe value of the near-term futures contracts on the VIX futures curveHenry Hub Natural Gas during the three monthsperiod ended September 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 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

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $6,034,053   $104,679 
Management fee
   2,303,082    658,525 
Brokerage commission
   629,541    97,589 
Futures account fees
   131,828    43,620 
Non-recurring
fees and expenses
   —      4,791 
Net realized gain (loss)
   237,080,036    (5,893,297
Change in net unrealized appreciation (depreciation)
   (410,472,245   97,221,527 
Net Income (loss)
  $ (167,358,156  $ 91,432,909 
The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended September 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.
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 7,535,435  $9,415,626 
NAV end of period
  $6,523,481  $ 13,869,371 
Percentage change in NAV
   (13.4)%   47.3
Shares outstanding beginning of period
   650,000   850,000 
Shares outstanding end of period
   600,000   1,450,000 
Percentage change in shares outstanding
   (7.7)%   70.6
Shares created
   —     700,000 
Shares redeemed
   50,000   100,000 
Per share NAV beginning of period
  $11.59  $11.08 
Per share NAV end of period
  $10.87  $9.57 
Percentage change in per share NAV
   (6.2)%   (13.7)% 
Percentage change in benchmark
   (3.1)%   (6.0)% 
Benchmark annualized volatility
   6.7  10.5
During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at June 30, 2023 to 600,000 outstanding Shares at September 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 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 September 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 6.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 3.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $63,747   $5,288 
Management fee
   16,999    31,331 
Non-recurring
fees and expenses
   —      237 
Net realized gain (loss)
   (22,385   (1,618,381
Change in net unrealized appreciation (depreciation)
   (462,400   (95,012
Net Income (loss)
  $ (421,038  $ (1,708,105
The Fund’s net income increased for the three months ended September 30, 2017,2023 as compared to the three months ended September 30, 2016,2022, primarily due to a lesser declinedecrease in the pricesvalue of the euro versus the U.S. dollar during the three months ended September 30, 2023.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 180,916,531  $ 239,938,853 
NAV end of period
  $147,696,557  $160,022,292 
Percentage change in NAV
   (18.4)%   (33.3)% 
Shares outstanding beginning of period
   3,100,000   4,250,000 
Shares outstanding end of period
   2,800,000   3,400,000 
Percentage change in shares outstanding
   (9.7)%   (20.0)% 
Shares created
   50,000   50,000 
Shares redeemed
   350,000   900,000 
Per share NAV beginning of period
  $58.36  $56.46 
Per share NAV end of period
  $52.75  $47.07 
Percentage change in per share NAV
   (9.6)%   (16.6)% 
Percentage change in benchmark
   (3.9)%   (7.9)% 
Benchmark annualized volatility
   9.5  
13.4

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,100,000 outstanding Shares at June 30, 2023 to 2,800,000 outstanding Shares at September 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 (2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended September 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 Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2022 to 3,400,000 outstanding Shares September 30, 2022.
For the three months ended September 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 9.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 3.9% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 7.9% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $1,415,082   $191,709 
Management fee
   417,418    475,457 
Brokerage commission
   5,346    8,176 
Non-recurring
fees and expenses
   —      2,940 
Net realized gain (loss)
   (16,875,865   (39,826,294
Change in net unrealized appreciation (depreciation)
   (540,686   2,222,833 
Net Income (loss)
  $ (16,001,469  $ (37,411,752
The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2023.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 356,791,659  $ 355,577,515 
NAV end of period
  $327,996,075  $323,970,863 
Percentage change in NAV
   (8.1)%   (8.9)% 
Shares outstanding beginning of period
   13,196,526   14,346,526 
Shares outstanding end of period
   13,246,526   15,546,526 
Percentage change in shares outstanding
   0.4  8.4
Shares created
   1,500,000   2,450,000 
Shares redeemed
   1,450,000   1,250,000 
Per share NAV beginning of period
  $27.04  $24.78 
Per share NAV end of period
  $24.76  $20.84 
Percentage change in per share NAV
   (8.4)%   (15.9)% 
Percentage change in benchmark
   (2.6)%   (6.5)% 
Benchmark annualized volatility
   23.4  31.8
During the three months ended September 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 was offset by an increase from 13,196,526 outstanding Shares at June 30, 2023 to 13,246,526 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 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 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2022.
For the three months ended September 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 8.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
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The benchmark’s decline of 2.6% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $2,424,022   $(15,349
Management fee
   892,009    798,802 
Brokerage commission
   27,874    34,796 
Non-recurring
fees and expenses
   —      5,922 
Net realized gain (loss)
   (30,251,410   (147,391,314
Change in net unrealized appreciation (depreciation)
   218,274    91,477,472 
Net Income (loss)
  $ (27,609,114  $ (55,929,191
The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2023.
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, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 387,764,059  $ 975,683,533 
NAV end of period
  $283,050,691  $995,489,778 
Percentage change in NAV
   (27.0)%   2.0
Shares outstanding beginning of period
   20,977,842   6,722,842 
Shares outstanding end of period
   17,474,459   7,732,842 
Percentage change in shares outstanding
   (16.7)%   15.0
Shares created
   13,400,000   9,340,000 
Shares redeemed
   16,903,383   8,330,000 
Per share NAV beginning of period
  $18.48  $145.13 
Per share NAV end of period
  $16.20  $128.74 
Percentage change in per share NAV
   (12.4)%   (11.3)% 
Percentage change in benchmark
   (6.1)%   (5.7)% 
Benchmark annualized volatility
   52.0  51.0
During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,977,842 outstanding Shares at June 30, 2023 to 17,474,459 outstanding Shares at September 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 one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,722,842 outstanding Shares at June 30, 2022 to 7,732,842 outstanding Shares at September 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 one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
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For the three months ended September 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 12.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 6.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 5.7% for the three months ended September 30, 2022, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017.

2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $1,830,246   $(402,633
Management fee
   803,793    2,831,005 
Brokerage commission
   517,699    1,276,819 
Futures account fees
   103,793    219,828 
Non-recurring
fees and expenses
   —      20,117 
Net realized gain (loss)
   (142,584,256   (289,873,754
Change in net unrealized appreciation (depreciation)
   108,851,219    161,745,283 
Net Income (loss)
  $ (31,902,791  $ (128,531,104
The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a greater decrease in the value of futures prices, in conjunction with a significant decrease in average shares outstanding, during the three months ended September 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 splitssplit for the ProShares Ultra VIX Short-Term Futures ETF.

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ProShares UltraShort Bloomberg Crude Oil*

Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 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

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 12,330,974  $5,024,773 
NAV end of period
  $17,508,248  $ 10,159,189 
Percentage change in NAV
   42.0  102.2
Shares outstanding beginning of period
   449,970   149,970 
Shares outstanding end of period
   699,970   349,970 
Percentage change in shares outstanding
   55.6  133.4
Shares created
   300,000   250,000 
Shares redeemed
   50,000   50,000 
Per share NAV beginning of period
  $27.40  $33.51 
Per share NAV end of period
  $25.01  $29.03 
Percentage change in per share NAV
   (8.7)%   (13.3)% 
Percentage change in benchmark
   (3.4)%   (6.5)% 
Benchmark annualized volatility
   8.9  11.2
During the three months ended September 30, 2017,2023, the increase in the Fund’s NAV resulted primarily from an increase from 2,789,884449,970 outstanding Shares at June 30, 20172023 to 7,089,884699,970 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 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 September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 149,970 outstanding Shares at June 30, 2022 to 349,970 outstanding Shares at September 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 September 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 8.7% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 3.4% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 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 September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $138,386   $3,923 
Management fee
   35,968    21,245 
Non-recurring
fees and expenses
   —      194 
Net realized gain (loss)
   (1,854,770   (1,652,590
Change in net unrealized appreciation (depreciation)
   277,206    (14,681
Net Income (loss)
  $ (1,439,178  $ (1,663,348
The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 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 September 30, 2023.
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ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 112,854,952  $ 501,157,304 
NAV end of period
  $296,776,466  $368,791,089 
Percentage change in NAV
   163.0  (26.4)% 
Shares outstanding beginning of period
   4,405,220   21,755,220 
Shares outstanding end of period
   17,605,220   12,155,220 
Percentage change in shares outstanding
   299.6  (44.1)% 
Shares created
   17,250,000   11,050,000 
Shares redeemed
   4,050,000   20,650,000 
Per share NAV beginning of period
  $25.62  $23.04 
Per share NAV end of period
  $16.86  $30.34 
Percentage change in per share NAV
   (34.2)%   31.7
Percentage change in benchmark
   22.1  (18.6)% 
Benchmark annualized volatility
   18.4  42.8
During the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 4,405,220 outstanding Shares at June 30, 2023 to 17,605,220 outstanding Shares at September 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 the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil SubindexIndex
SM
. By comparison, during the three months ended September 30, 2016,2022, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 4,039,88421,755,220 outstanding Shares at June 30, 20162022 to 4,739,88412,155,220 outstanding Shares at September 30, 2016.2022. The increasedecrease in the Fund’s NAV also resulted in part fromwas offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil SubindexIndex
SM
.

For the three months ended September 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%34.2% for the three months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 2.4%31.7% for the three months ended September 30, 2016,2022, was primarily due to a greater depreciation in the value of the assets ofheld 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 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%22.1% for the three months ended September 30, 2017,2023, as compared to the benchmark’s decline of 5.0%18.6% for the three months ended September 30, 2016,2022, can be attributed to an increase in the pricevalue of WTI Crude Oil during the three monthsperiod ended September 30, 2017.

2023.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 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

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $2,006,197   $392,570 
Management fee
   548,671    1,160,746 
Brokerage commission
   54,549    148,121 
Futures account fees
   —     39,563 
Non-recurring
fees and expenses
   —     7,548 
Net realized gain (loss)
   (47,764,760   66,444,885 
Change in net unrealized appreciation (depreciation)
   (38,018,359   76,987,949 
Net Income (loss)
  $ (83,776,922  $ 143,825,404 
The Fund’s net income decreased for the three months ended September 30, 2017,2023 as compared to the three months ended September 30, 2016,2022, primarily due to an increase in the pricevalue of WTI Crude Oil 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 UltraShort Bloomberg Crude Oil.

2023.

ProShares UltraPro 3x Short Crude Oil ETF

UltraShort Bloomberg Natural Gas

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended September 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

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $ 141,324,963  $ 211,823,446 
NAV end of period
  $111,663,062  $242,389,998 
Percentage change in NAV
   (21.0)%   14.4
Shares outstanding beginning of period
   2,566,856   4,966,856 
Shares outstanding end of period
   1,816,856   13,966,856 
Percentage change in shares outstanding
   (29.2)%   181.2
Shares created
   5,500,000   58,900,000 
Shares redeemed
   6,250,000   49,900,000 
Per share NAV beginning of period
  $55.06  $42.65 
Per share NAV end of period
  $61.46  $17.35 
Percentage change in per share NAV
   11.6  (59.3)% 
Percentage change in benchmark
   (9.2)%   25.3
Benchmark annualized volatility
   39.6  76.6
During the three months ended September 30, 2017,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,566,856 outstanding Shares at June 30, 2023 to 1,816,856 outstanding Shares at September 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 Natural Gas Subindex
SM
. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 200,0084,966,856 outstanding Shares at June 30, 20172022 to 900,00813,966,856 outstanding Shares at September 30, 2017.2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 3x oftwo times the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $29.47 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:

   Three Months Ended
September 30, 2017
 

Net investment income (loss)

  $(34,013

Brokerage commissions

   9,395 

Offering costs

   37,405 

Limitation by Sponsor

   (12,787

Net realized gain (loss)

   (1,540,337

Change in net unrealized appreciation/depreciation

   (2,178,096

Net income (loss)

  $(3,752,446

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :

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

NAV beginning of period

  $7,455,967  $2,550,965 

NAV end of period

  $5,921,434  $6,349,132 

Percentage change in NAV

   (20.6)%   148.9

Shares outstanding beginning of period

   224,832   74,832 

Shares outstanding end of period

   174,832   174,832 

Percentage change in shares outstanding

   (22.2)%   133.6

Shares created

   150,000   400,000 

Shares redeemed

   200,000   300,000 

Per share NAV beginning of period

  $33.16  $34.09 

Per share NAV end of period

  $33.87  $36.32 

Percentage change in per share NAV

   2.1  6.5

Percentage change in benchmark

   (4.1)%   (8.0)% 

Benchmark annualized volatility

   29.6  36.5

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 224,832 outstanding Shares at June 30, 2017 to 174,832 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse

(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 74,832 outstanding Shares at June 30, 2016 to 174,832 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 Natural Gas SubindexSM.

For the three months ended September 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%11.6% for the three months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV increasedecrease of 6.5%59.3% for the three months ended September 30, 2016,2022, was primarily due to a lesseran appreciation in the value of the assets ofheld 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 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.

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The benchmark’s decline of 4.1%9.2% for the three months ended September 30, 2017,2023, as compared to the benchmark’s declinerise of 8.0%25.3% for the three months ended September 30, 2016,2022, can be attributed to a lesser decrease in the pricevalue of Henry Hub Natural Gas during the three monthsperiod ended September 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 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

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $1,013,760   $(5,144
Management fee
   304,567    730,949 
Brokerage commission
   133,782    173,386 
Futures account fees
   23,941    48,485 
Non-recurring
fees and expenses
   —     5,374 
Net realized gain (loss)
   (10,798,625   8,115,767 
Change in net unrealized appreciation (depreciation)
   44,086,822    (23,467,384
Net Income (loss)
  $34,301,957   $(15,356,761
The Fund’s net income decreasedincreased for the three months ended September 30, 2017,2023 as compared to the three months ended September 30, 2016,2022, primarily due to a lesser decrease in the pricevalue of Henry Hub Natural Gas, during the three months ended September 30, 2017.

2023.

ProShares UltraShort Gold

Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 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

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $50,931,301  $62,270,097 
NAV end of period
  $44,004,408  $90,584,278 
Percentage change in NAV
   (13.6)%   45.5
Shares outstanding beginning of period
   1,750,000   2,050,000 
Shares outstanding end of period
   1,400,000   2,600,000 
Percentage change in shares outstanding
   (20.0)%   26.8
Shares created
   —    1,100,000 
Shares redeemed
   350,000   550,000 
Per share NAV beginning of period
  $29.10  $30.38 
Per share NAV end of period
  $31.43  $34.84 
Percentage change in per share NAV
   8.0  14.7
Percentage change in benchmark
   (3.1)%   (6.5)% 
Benchmark annualized volatility
   6.7  11.2
143

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During the three months ended September 30, 2017,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,750,000 outstanding Shares at June 30, 2023 to 1,400,000 outstanding Shares at September 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 spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 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 spot price of the euro versus the U.S. dollar.
For the three months ended September 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 8.0% for the three months ended September 30, 2023, as measuredcompared to the Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 3.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar p.m. LBMAduring the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $412,212   $25,953 
Management fee
   111,472    203,036 
Non-recurring
fees and expenses
   —     1,835 
Net realized gain (loss)
   (122,866   11,086,708 
Change in net unrealized appreciation (depreciation)
   3,207,102    (292,818
Net Income (loss)
  $3,496,448   $10,819,843 
The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2023.
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ProShares UltraShort Gold Price.
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $15,809,378  $34,611,284 
NAV end of period
  $14,365,869  $29,634,725 
Percentage change in NAV
   (9.1)%   (14.4)% 
Shares outstanding beginning of period
   546,977   1,096,977 
Shares outstanding end of period
   446,977   796,977 
Percentage change in shares outstanding
   (18.3)%   (27.3)% 
Shares created
   100,000   350,000 
Shares redeemed
   200,000   650,000 
Per share NAV beginning of period
  $28.90  $31.55 
Per share NAV end of period
  $32.14  $37.18 
Percentage change in per share NAV
   11.2  17.9
Percentage change in benchmark
   (3.9)%   (7.9)% 
Benchmark annualized volatility
   9.5  13.4
During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 546,977 outstanding Shares at June 30, 2023 to 446,977 outstanding Shares at September 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 Gold Subindex
SM
. By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 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 the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
.
For the three months ended September 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 11.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 3.9% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 7.9% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $108,638   $(8,595
Management fee
   32,970    76,652 
Brokerage commission
   1,099    3,565 
Non-recurring
fees and expenses
   —     639 
Net realized gain (loss)
   1,436,424    4,988,228 
Change in net unrealized appreciation (depreciation)
   (251,606   841,546 
Net Income (loss)
  $1,293,456   $5,821,179 
The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of the futures prices during the three months ended September 30, 2023.
145

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ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $19,290,473  $33,052,840 
NAV end of period
  $16,967,517  $33,763,052 
Percentage change in NAV
   (12.0)%   2.1
Shares outstanding beginning of period
   941,329   1,041,329 
Shares outstanding end of period
   791,329   991,329 
Percentage change in shares outstanding
   (15.9)%   (4.8)% 
Shares created
   2,950,000   1,000,000 
Shares redeemed
   3,100,000   1,050,000 
Per share NAV beginning of period
  $20.49  $31.74 
Per share NAV end of period
  $21.44  $34.06 
Percentage change in per share NAV
   4.6  7.3
Percentage change in benchmark
   (2.6)%   (6.5)% 
Benchmark annualized volatility
   23.4  31.8
During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 941,329 outstanding Shares at June 30, 2023 to 791,329 outstanding Shares at September 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 Silver Subindex
SM
. By comparison, during the three months ended September 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 Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022.
For the three months ended September 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 2.6% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $245,155   $(13,304
Management fee
   78,166    67,215 
Brokerage commission
   13,775    8,699 
Non-recurring
fees and expenses
   —     612 
Net realized gain (loss)
   6,921,431    6,215,407 
Change in net unrealized appreciation (depreciation)
   61,770    (4,075,524
Net Income (loss)
  $7,228,356   $2,126,579 
The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2023.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $27,077,656  $45,568,882 
NAV end of period
  $26,172,191  $51,937,338 
Percentage change in NAV
   (3.3)%   14.0
Shares outstanding beginning of period
   398,580   798,580 
Shares outstanding end of period
   348,580   798,580 
Percentage change in shares outstanding
   (12.5)%   
Shares created
   —    250,000 
Shares redeemed
   50,000   250,000 
Per share NAV beginning of period
  $67.94  $57.06 
Per share NAV end of period
  $75.08  $65.04 
Percentage change in per share NAV
   10.5  14.0
Percentage change in benchmark
   (3.4)%   (6.5)% 
Benchmark annualized volatility
   8.9  11.2
During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 398,580 outstanding Shares at June 30, 2023 to 348,580 outstanding Shares at September 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 spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 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 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, 20172022 to September 30, 2017. By comparison,2022.
For the three months ended September 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 10.5% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2016,2023.
The benchmark’s decline of 3.4% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 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 September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $215,363   $7,640 
Management fee
   58,762    106,598 
Non-recurring
fees and expenses
   —     953 
Net realized gain (loss)
   3,079,208    5,879,873 
Change in net unrealized appreciation (depreciation)
   (1,059,246   (523,871
Net Income (loss)
  $2,235,325   $5,363,642 
The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 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 September 30, 2023.
ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $49,421,413  $95,721,271 
NAV end of period
  $59,968,024  $110,420,574 
Percentage change in NAV
   21.3  15.4
Shares outstanding beginning of period
   2,412,403   2,712,403 
Shares outstanding end of period
   3,087,403   3,112,403 
Percentage change in shares outstanding
   28.0  14.7
Shares created
   850,000   850,000 
Shares redeemed
   175,000   450,000 
Per share NAV beginning of period
  $20.49  $35.29 
Per share NAV end of period
  $19.42  $35.48 
Percentage change in per share NAV
   (5.2)%   0.6
Percentage change in benchmark
   (4.6)%   1.1
Benchmark annualized volatility
   23.8  22.1
During the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 796,9782,412,403 outstanding Shares at June 30, 20162023 to 1,096,9783,087,403 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 2xthe daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,712,403 outstanding Shares at June 30, 2022 to 3,112,403 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index.
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For the three months ended September 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 5.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 4.6% for the three months ended September 30, 2023, as compared to the benchmark’s rise of 1.1% for the three months ended September 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 September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $461,209   $(1,269
Management fee
   117,018    201,508 
Brokerage commission
   8,822    17,922 
Futures account fees
   9,991    —  
Non-recurring
fees and expenses
   —     2,050 
Net realized gain (loss)
   (12,244,511   (1,349,272
Change in net unrealized appreciation (depreciation)
   8,934,542    3,368,209 
Net Income (loss)
  $(2,848,760  $2,017,668 
The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a decrease in the value of the futures prices during the three months ended September 30, 2023.
ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
  
Three Months Ended

September 30, 2022
 
NAV beginning of period
  $230,227,830  $341,714,316 
NAV end of period
  $211,604,428  $437,536,628 
Percentage change in NAV
   (8.2)%   28.0
Shares outstanding beginning of period
   9,226,565   3,751,565 
Shares outstanding end of period
   9,075,947   5,116,565 
Percentage change in shares outstanding
   (1.6)%   36.4
Shares created
   2,475,000   3,555,000 
Shares redeemed
   2,625,618   2,190,000 
Per share NAV beginning of period
  $24.95  $91.09 
Per share NAV end of period
  $23.31  $85.51 
Percentage change in per share NAV
   (6.6)%   (6.1)% 
Percentage change in benchmark
   (6.1)%   (5.7)% 
Benchmark annualized volatility
   52.0  51.0
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During the three months ended September 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 Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,226,565 outstanding Shares at June 30, 2023 to 9,075,947 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,751,565 outstanding Shares at June 30, 2022 to 5,116,565 outstanding Shares at September 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 the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 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 6.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2022, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.
The benchmark’s decline of 6.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 5.7% for the three months ended September 30, 2022, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2023 and 2022:
   
Three Months Ended

September 30, 2023
   
Three Months Ended

September 30, 2022
 
Net investment income (loss)
  $1,721,249   $259,392 
Management fee
   447,560    874,070 
Brokerage commission
   58,426    203,095 
Futures account fees
   44,110    54,944 
Non-recurring
fees and expenses
   —     8,700 
Net realized gain (loss)
   (54,950,042   (45,457,319
Change in net unrealized appreciation (depreciation)
   41,841,191    51,698,947 
Net Income (loss)
  $(11,387,602  $6,501,020 
The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a greater decrease in the value of the futures prices, during the three months ended September 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.
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Results of Operations for the Nine Months Ended September 30, 2023 Compared to the Nine Months Ended September 30, 2022
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, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $339,591,638  $423,812,594 
NAV end of period
  $261,698,747  $321,831,051 
Percentage change in NAV
   (22.9)%   (24.1)% 
Shares outstanding beginning of period
   5,784,307   6,884,307 
Shares outstanding end of period
   3,034,307   6,634,307 
Percentage change in shares outstanding
   (47.5)%   (3.6)% 
Shares created
   3,650,000   5,050,000 
Shares redeemed
   6,400,000   5,300,000 
Per share NAV beginning of period
  $58.71  $61.56 
Per share NAV end of period
  $86.25  $48.51 
Percentage change in per share NAV
   46.9  (21.2)% 
Percentage change in benchmark
   (58.4)%   14.7
Benchmark annualized volatility
   56.0  86.1
During the nine months ended September 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 3,034,307 outstanding Shares at September 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 nine months ended September 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
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 also resulted in part from a decrease from 6,884,307 outstanding Shares at December 31, 2021 to 6,634,307 outstanding Shares at September 30, 2022.
For the nine months ended September 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 gold bullion as measured byits benchmark. The Fund’s per Share NAV increase of 46.9% for the U.S. dollar p.m. LBMA Gold Price.

For the threenine months ended September 30, 20172023, as compared to the Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 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 September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2016,2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $4,964,960   $(2,481,226
Management fee
   1,817,684    2,934,952 
Brokerage commission
   387,868    517,911 
Futures account fees
   —     348,217 
Non-recurring
fees and expenses
   —     6,122 
Net realized gain (loss)
   125,091,802    (26,521,746
Change in net unrealized appreciation (depreciation)
   (13,488,869   (47,680,063
Net Income (loss)
  $116,567,893   $(76,683,035
The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2023.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $859,094,274  $1,103,783,570 
NAV end of period
  $604,124,332  $724,595,262 
Percentage change in NAV
   (29.7)%   (34.4)% 
Shares outstanding beginning of period
   28,393,096   51,243,096 
Shares outstanding end of period
   17,143,096   27,643,096 
Percentage change in shares outstanding
   (39.6)%   (46.1)% 
Shares created
   34,650,000   20,700,000 
Shares redeemed
   45,900,000   44,300,000 
Per share NAV beginning of period
  $30.26  $21.54 
Per share NAV end of period
  $35.24  $26.21 
Percentage change in per share NAV
   16.5  21.7
Percentage change in benchmark
   10.5  18.7
Benchmark annualized volatility
   28.0  45.6
During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 28,393,096 outstanding Shares at December 31, 2022 to 17,143,096 outstanding Shares at September 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 Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 27,643,096 outstanding Shares at September 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 Commodity Balanced WTI Crude Oil Index
SM
.
For the nine months ended September 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 16.5% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
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The benchmark’s rise of 10.5% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 18.7% for the nine months ended September 30, 2022, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $11,737,266   $(5,154,872
Management fee
   5,249,353    8,301,804 
Brokerage commission
   239,809    421,657 
Futures account fees
   —     381,754 
Non-recurring
fees and expenses
   —     13,739 
Net realized gain (loss)
   253,915,875    818,132,441 
Change in net unrealized appreciation (depreciation)
   (64,494,313   (339,456,270
Net Income (loss)
  $201,158,828   $473,521,299 
The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a lesser increase in the value of WTI Crude Oil during the nine months ended September 30, 2023.
ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $586,151,113  $193,892,178 
NAV end of period
  $870,339,281  $289,386,097 
Percentage change in NAV
   48.5  49.3
Shares outstanding beginning of period
   1,614,376   379,376 
Shares outstanding end of period
   16,118,544   271,876 
Percentage change in shares outstanding
   898.4  (28.3)% 
Shares created
   45,715,000   755,000 
Shares redeemed
   31,210,832   862,500 
Per share NAV beginning of period
  $363.08  $511.08 
Per share NAV end of period
  $54.00  $1064.40 
Percentage change in per share NAV
   (85.1)%   108.3
Percentage change in benchmark
   (54.0)%   86.6
Benchmark annualized volatility
   60.8  71.7
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During the nine months ended September 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 16,118,544 outstanding Shares at September 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 nine months ended September 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 (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 379,376 outstanding Shares at December 31, 2021 to 271,876 outstanding Shares at September 30, 2022.
For the nine months ended September 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 85.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
The benchmark’s decline of 54.0% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 86.6% for the nine months ended September 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $16,444,672   $(977,992
Management fee
   7,220,063    1,589,759 
Brokerage commission
   2,727,691    300,747 
Futures account fees
   531,306    177,950 
Non-recurring
fees and expenses
   —     4,791 
Net realized gain (loss)
   (1,441,441,743   235,314,633 
Change in net unrealized appreciation (depreciation)
   194,575,089    (89,199,198
Net Income (loss)
  $(1,230,421,982  $145,137,443 
The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the nine months ended September 30, 2023.
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $10,704,662  $8,659,095 
NAV end of period
  $6,523,481  $13,869,371 
Percentage change in NAV
   (39.1)%   60.2
Shares outstanding beginning of period
   950,000   650,000 
Shares outstanding end of period
   600,000   1,450,000 
Percentage change in shares outstanding
   (36.8)%   123.1
Shares created
   200,000   1,250,000 
Shares redeemed
   550,000   450,000 
Per share NAV beginning of period
  $11.27  $13.32 
Per share NAV end of period
  $10.87  $9.57 
Percentage change in per share NAV
   (3.5)%   (28.2)% 
Percentage change in benchmark
   (1.2)%   (13.2)% 
Benchmark annualized volatility
   7.6  9.4
During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 600,000 outstanding Shares at September 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 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 nine months ended September 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 3.5% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
The benchmark’s decline of 1.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 13.2% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $205,069   $(18,918
Management fee
   61,096    66,646 
Non-recurring
fees and expenses
   —     237 
Net realized gain (loss)
   336,185    (2,511,725
Change in net unrealized appreciation (depreciation)
   (638,368   (514,727
Net Income (loss)
  $(97,114  $(3,045,370
The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a lesser decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2023.
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ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $173,524,136  $232,780,534 
NAV end of period
  $147,696,557  $160,022,292 
Percentage change in NAV
   (14.9)%   (31.3)% 
Shares outstanding beginning of period
   3,150,000   3,900,000 
Shares outstanding end of period
   2,800,000   3,400,000 
Percentage change in shares outstanding
   (11.1)%   (12.8)% 
Shares created
   500,000   1,650,000 
Shares redeemed
   850,000   2,150,000 
Per share NAV beginning of period
  $55.09  $59.69 
Per share NAV end of period
  $52.75  $47.07 
Percentage change in per share NAV
   (4.3)%   (21.1)% 
Percentage change in benchmark
   1.3  (9.3)% 
Benchmark annualized volatility
   12.9  17.4
During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 2,800,000 outstanding Shares at September 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 (2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the nine months ended September 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 Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 to 3,400,000 outstanding Shares at September 30, 2022.
For the nine months ended September 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 4.3% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
The benchmark’s rise of 1.3% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 9.3% for the nine months ended September 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $4,130,377   $(845,479
Management fee
   1,318,793    1,863,020 
Brokerage commission
   20,886    43,899 
Futures account fees
   —     28,169 
Non-recurring
fees and expenses
   —     2,940 
Net realized gain (loss)
   11,092,138    (39,908,781
Change in net unrealized appreciation (depreciation)
   (22,707,149   (17,626,635
Net Income (loss)
  $(7,484,634  $(58,380,895
The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to an increase in average net assets, which was offset by an increase in futures prices, during the nine months ended September 30, 2023.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $414,285,878  $515,453,594 
NAV end of period
  $327,996,075  $323,970,863 
Percentage change in NAV
   (20.8)%   (37.1)% 
Shares outstanding beginning of period
   13,046,526   14,796,526 
Shares outstanding end of period
   13,246,526   15,546,526 
Percentage change in shares outstanding
   1.5  5.1
Shares created
   4,100,000   4,250,000 
Shares redeemed
   3,900,000   3,500,000 
Per share NAV beginning of period
  $31.75  $34.84 
Per share NAV end of period
  $24.76  $20.84 
Percentage change in per share NAV
   (22.0)%   (40.2)% 
Percentage change in benchmark
   (6.9)%   (19.0)% 
Benchmark annualized volatility
   25.0  31.7
During the nine months ended September 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 was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,246,526 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 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 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2022.
For the nine months ended September 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 22.0% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
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The benchmark’s decline of 6.9% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 19.0% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $7,577,899   $(1,839,301
Management fee
   2,740,073    3,098,741 
Brokerage commission
   101,511    94,079 
Futures account fees
   —     26,693 
Non-recurring
fees and expenses
   —     5,922 
Net realized gain (loss)
   5,620,169    (186,949,626
Change in net unrealized appreciation (depreciation)
   (96,446,948   (16,694,572
Net Income (loss)
  $(83,248,880  $(205,483,499
The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a lesser decrease in the value of futures prices during the nine months ended September 30, 2023.
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, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $639,318,362  $816,679,636 
NAV end of period
  $283,050,691  $995,489,778 
Percentage change in NAV
   (55.7)%   21.9
Shares outstanding beginning of period
   9,307,842   6,582,842 
Shares outstanding end of period
   17,474,459   7,732,842 
Percentage change in shares outstanding
   87.7  17.5
Shares created
   34,710,000   23,490,000 
Shares redeemed
   26,543,383   22,340,000 
Per share NAV beginning of period
  $68.69  $124.06 
Per share NAV end of period
  $16.20  $128.74 
Percentage change in per share NAV
   (76.4)%   3.7
Percentage change in benchmark
   (58.4)%   14.7
Benchmark annualized volatility
   56.0  86.1
During the nine months ended September 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 17,474,459 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,582,842 outstanding Shares at December 31, 2021 to 7,732,842 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
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For the nine months ended September 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 76.4% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 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 September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $6,553,073   $(7,265,397
Management fee
   3,507,644    7,085,920 
Brokerage commission
   2,007,911    3,183,788 
Futures account fees
   354,153    1,446,639 
Non-recurring
fees and expenses
   —     20,117 
Net realized gain (loss)
   (751,125,820   81,807,278 
Change in net unrealized appreciation (depreciation)
   65,573,569    323,479,748 
Net Income (loss)
  $(678,999,178  $398,021,629 
The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of futures prices during the nine months ended September 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.
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $13,814,796  $2,362,849 
NAV end of period
  $17,508,248  $10,159,189 
Percentage change in NAV
   26.7  330.0
Shares outstanding beginning of period
   399,970   49,970 
Shares outstanding end of period
   699,970   349,970 
Percentage change in shares outstanding
   75.0  600.4
Shares created
   500,000   350,000 
Shares redeemed
   200,000   50,000 
Per share NAV beginning of period
  $34.54  $47.29 
Per share NAV end of period
  $25.01  $29.03 
Percentage change in per share NAV
   (27.6)%   (38.6)% 
Percentage change in benchmark
   (12.2)%   (20.3)% 
Benchmark annualized volatility
   10.2  10.1
During the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 399,970 outstanding Shares at December 31, 2022 to 699,970 outstanding Shares at September 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 nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 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 nine months ended September 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 27.6% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
The benchmark’s decline of 12.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 20.3% for the nine months ended September 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 September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $317,594   $(5,605
Management fee
   91,858    34,710 
Non-recurring
fees and expenses
   —     194 
Net realized gain (loss)
   (2,923,720   (2,531,291
Change in net unrealized appreciation (depreciation)
   (1,564,970   (3,861
Net Income (loss)
  $(4,171,096  $(2,540,757
The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 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 nine months ended September 30, 2023.
ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $222,697,337  $114,167,602 
NAV end of period
  $296,776,466  $368,791,089 
Percentage change in NAV
   33.3  223.0
Shares outstanding beginning of period
   9,305,220   1,776,760 
Shares outstanding end of period
   17,605,220   12,155,220 
Percentage change in shares outstanding
   89.2  584.1
Shares created
   28,800,000   38,940,000 
Shares redeemed
   20,500,000   28,561,540 
Per share NAV beginning of period
  $23.93  $64.26 
Per share NAV end of period
  $16.86  $30.34 
Percentage change in per share NAV
   (29.6)%   (52.8)% 
Percentage change in benchmark
   10.5  18.7
Benchmark annualized volatility
   28.0  45.6
During the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 9,305,220 outstanding Shares at December 31, 2022 to 17,605,220 outstanding Shares at September 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 the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the nine months ended September 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 12,155,220 outstanding Shares at September 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 nine months ended September 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 decrease of 6.6%29.6% for the threenine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decrease of 1.0%52.8% for the threenine months ended September 30, 2016,2022, was primarily due to a greaterlesser depreciation in the value of the assets ofheld by the Fund during the threenine months ended September 30, 2017.

During2023.

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The benchmark’s rise of 10.5% for the threenine 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.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017,2023, as compared to the benchmark’s rise of 0.1%18.7% for the threenine months ended September 30, 2016,2022, can be attributed to a greaterlesser increase in the pricevalue of spot gold in U.S. dollar termsWTI Crude Oil during the three monthsperiod ended September 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the threenine months ended September 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:

   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $4,599,541   $(1,043,095
Management fee
   1,392,728    2,599,503 
Brokerage commission
   180,385    332,256 
Futures account fees
   —     195,542 
Non-recurring
fees and expenses
   —     7,548 
Net realized gain (loss)
   7,884,531    (142,631,216
Change in net unrealized appreciation (depreciation)
   (35,278,737   113,674,105 
Net Income (loss)
  $(22,794,665  $(30,000,206
The Fund’s net income decreasedincreased for the threenine months ended September 30, 2017,2023 as compared to the threenine months ended September 30, 2016,2022, primarily due to a greaterlesser increase in the pricevalue of spot goldWTI Crude Oil, in U.S. dollar termsconjunction with the timing of shareholder activity, during the threenine months ended September 30, 2017.

2023.

ProShares UltraShort Silver

Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the threenine months ended September 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:

   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $134,109,520  $242,145,130 
NAV end of period
  $111,663,062  $242,389,998 
Percentage change in NAV
   (16.7)%   0.1
Shares outstanding beginning of period
   4,966,856   978,742 
Shares outstanding end of period
   1,816,856   13,966,856 
Percentage change in shares outstanding
   (63.4)%   1,327.0
Shares created
   19,350,000   82,240,000 
Shares redeemed
   22,500,000   69,251,886 
Per share NAV beginning of period
  $27.00  $247.40 
Per share NAV end of period
  $61.46  $17.35 
Percentage change in per share NAV
   127.7  (93.0)% 
Percentage change in benchmark
   (54.0)%   86.6
Benchmark annualized volatility
   60.8  71.7
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During the threenine months ended September 30, 2017,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 1,816,856 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of 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.Bloomberg Natural Gas Subindex
SM
. By comparison, during the threenine months ended September 30, 2016,2022, the increase in the Fund’s NAV resulted primarily from an increase from 966,976978,742 outstanding Shares at June 30, 2016December 31, 2021 to 1,416,97613,966,856 outstanding Shares at September 30, 2016.2022. 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 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 inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.7% 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 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

(-2x)
of the daily performance of the spot price ofBloomberg Natural Gas Subindex
SM
.
For the euro versus the U.S. dollar. By comparison, during the threenine 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 fees2023 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 three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(3,071  $(29,155

Management fee

   21,606    36,752 

Brokerage commissions

   330    580 

Net realized gain (loss)

   (599,589   327,210 

Change in net unrealized appreciation/depreciation

   292,113    (487,210

Net income (loss)

  $(310,547  $(189,155

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $11,974,974  $18,713,405 

NAV end of period

  $9,125,205  $17,389,549 

Percentage change in NAV

   (23.8)%   (7.1)% 

Shares outstanding beginning of period

   250,000   350,000 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (20.0)%   0.0

Shares created

   —     —   

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $47.90  $53.47 

Per share NAV end of period

  $45.63  $49.68 

Percentage change in per share NAV

   (4.7)%   (7.1)% 

Percentage change in benchmark

   2.1  2.7

Benchmark annualized volatility

   7.3  9.7

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. 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 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. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted 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 (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 three 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 0.3%127.7% for the threenine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decrease of 4.5%93.0% for the threenine months ended September 30, 2016,2022, was primarily due to an appreciation in the value of the assets held by the Fund during the threenine months ended September 30, 2017.

During2023.

The benchmark’s decline of 54.0% for the threenine 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.

The benchmark’s decline of 0.03% for the three months ended September 30, 2017,2023, as compared to the benchmark’s rise of 1.8%86.6% for the threenine months ended September 30, 2016,2022, can be attributed to a declinedecrease in the value of the Japanese yen versus the U.S. dollarHenry Hub Natural Gas during the three monthsperiod ended September 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the threenine months ended September 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:

   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $2,446,610   $(1,452,942
Management fee
   903,703    1,784,017 
Brokerage commission
   577,070    539,244 
Futures account fees
   80,308    255,370 
Non-recurring
fees and expenses
   —     5,374 
Net realized gain (loss)
   221,345,184    (389,255,425
Change in net unrealized appreciation (depreciation)
   (62,123,076   116,824,672 
Net Income (loss)
  $161,668,718   $(273,883,695
The Fund’s net income increased for the threenine months ended September 30, 2017,2023 as compared to the threenine months ended September 30, 2016,2022, primarily due to a declinedecrease in the value of the Japanese yen versus the U.S. dollarHenry Hub Natural Gas during the threenine months ended September 30, 2017.

2023.

163

Table of Contents
ProShares Ultra Bloomberg Crude Oil*

UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the threenine months ended September 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:

   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $75,113,179  $54,263,045 
NAV end of period
  $44,004,408  $90,584,278 
Percentage change in NAV
   (41.4)%   66.9
Shares outstanding beginning of period
   2,550,000   2,100,000 
Shares outstanding end of period
   1,400,000   2,600,000 
Percentage change in shares outstanding
   (45.1)%   23.8
Shares created
   100,000   1,650,000 
Shares redeemed
   1,250,000   1,150,000 
Per share NAV beginning of period
  $29.46  $25.84 
Per share NAV end of period
  $31.43  $34.84 
Percentage change in per share NAV
   6.7  34.8
Percentage change in benchmark
   (1.2)%   (13.2)% 
Benchmark annualized volatility
   7.6  9.4
During the threenine months ended September 30, 2017,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 64,761,3172,550,000 outstanding Shares at June 30, 2017December 31, 2022 to 34,761,3171,400,000 outstanding Shares at September 30, 2017.2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2016, 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 (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 18, 2017 at $9.98 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share.

The benchmark’s decline of 4.1% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(42,774  $(93,432

Management fee

   110,894    85,894 

Brokerage commissions

   24,919    25,652 

Net realized gain (loss)

   (2,015,002   1,964,675 

Change in net unrealized appreciation/depreciation

   (1,076,819   (8,407,770

Net income (loss)

  $(3,134,595  $(6,536,527

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $88,717,834  $100,789,893 

NAV end of period

  $89,587,943  $99,949,269 

Percentage change in NAV

   1.0  (0.8)% 

Shares outstanding beginning of period

   2,350,000   2,250,000 

Shares outstanding end of period

   2,250,000   2,250,000 

Percentage change in shares outstanding

   (4.3)%   0.0

Shares created

   50,000   50,000 

Shares redeemed

   150,000   50,000 

Per share NAV beginning of period

  $37.75  $44.80 

Per share NAV end of period

  $39.82  $44.42 

Percentage change in per share NAV

   5.5  (0.8)% 

Percentage change in benchmark

   3.3  0.1

Benchmark annualized volatility

   10.6  10.8

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at June 30, 2017 to 2,250,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2016 was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on July 11, 2017 at $35.83 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, can be attributed to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $7,054   $(172,490

Management fee

   224,583    245,192 

Brokerage commissions

   10    8 

Net realized gain (loss)

   5,462,857    12,630,084 

Change in net unrealized appreciation/depreciation

   (546,321   (13,422,965

Net income (loss)

  $4,923,590   $(965,371

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $245,798,564  $386,838,399 

NAV end of period

  $244,805,182  $372,251,128 

Percentage change in NAV

   (0.4)%   (3.8)% 

Shares outstanding beginning of period

   7,396,526   8,496,526 

Shares outstanding end of period

   7,196,526   7,596,526 

Percentage change in shares outstanding

   (2.7)%   (10.6)% 

Shares created

   300,000   150,000 

Shares redeemed

   500,000   1,050,000 

Per share NAV beginning of period

  $33.23  $45.53 

Per share NAV end of period

  $34.02  $49.00 

Percentage change in per share NAV

   2.4  7.6

Percentage change in benchmark

   2.4  5.4

Benchmark annualized volatility

   23.7  30.1

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 7,396,526 outstanding Shares at June 30, 2017 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.4% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $39.85 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share.

The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $543   $(701,202

Management fee

  ��612,285    978,671 

Brokerage commissions

   10    9 

Net realized gain (loss)

   1,063,548    119,372,702 

Change in net unrealized appreciation/depreciation

   7,164,374    (88,236,402

Net income (loss)

  $8,228,465   $30,435,098 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $12,928,079  $9,532,904 

NAV end of period

  $13,705,608  $9,678,714 

Percentage change in NAV

   6.0  1.5

Shares outstanding beginning of period

   800,000   600,000 

Shares outstanding end of period

   800,000   600,000 

Percentage change in shares outstanding

   0.0  0.0

Shares created

   450,000   —   

Shares redeemed

   450,000   —   

Per share NAV beginning of period

  $16.16  $15.89 

Per share NAV end of period

  $17.13  $16.13 

Percentage change in per share NAV

   6.0  1.5

Percentage change in benchmark

   3.5  1.2

Benchmark annualized volatility

   7.3  5.9

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x

(-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 threenine months ended September 30, 2016,2022, 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 2x two times the inverse
(-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 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share.

The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(4,166  $(12,886

Management fee

   14,387    17,545 

Net realized gain (loss)

   (4,545   955,119 

Change in net unrealized appreciation/depreciation

   (52,772   (763,768

Net income (loss)

  $(61,483  $178,465 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

Results of Operations for the Nine Months Ended September 30, 2017 Compared to the Nine Months Ended September 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $174,160,146  $105,272,823 

NAV end of period

  $191,364,819  $227,819,218 

Percentage change in NAV

   9.9  116.4

Shares outstanding beginning of period

   2,052,363   397,491 

Shares outstanding end of period

   5,876,317   1,996,113 

Percentage change in shares outstanding

   186.3  402.2

Shares created

   6,125,000   2,497,500 

Shares redeemed

   2,301,046   898,878 

Per share NAV beginning of period

  $84.86  $264.84 

Per share NAV end of period

  $32.57  $114.13 

Percentage change in per share NAV

   (61.6)%   (56.9)% 

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 61.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $391.88 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 61.5% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(356,273  $(1,116,018

Management fee

   1,004,091    1,210,844 

Brokerage commission

   138,487    229,993 

Net realized gain (loss)

   (126,203,648   (134,339,691

Change in net unrealized appreciation/depreciation

   (17,854,285   (8,439,809

Net income (loss)

  $(144,414,206  $(143,895,518

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIXMid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $45,818,914  $27,650,638 

NAV end of period

  $45,047,423  $58,894,811 

Percentage change in NAV

   (1.7)%   113.0

Shares outstanding beginning of period

   1,087,403   512,404 

Shares outstanding end of period

   1,787,403   1,287,403 

Percentage change in shares outstanding

   64.4  151.2

Shares created

   850,000   950,000 

Shares redeemed

   150,000   175,001 

Per share NAV beginning of period

  $42.14  $53.96 

Per share NAV end of period

  $25.20  $45.75 

Percentage change in per share NAV

   (40.2)%   (15.2)% 

Percentage change in benchmark

   (39.7)%   (14.5)% 

Benchmark annualized volatility

   21.3  36.6

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,087,403 outstanding Shares at December 31, 2016 to 1,787,403 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.2% for the nine months ended September 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $40.96 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 39.7% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 14.5% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(83,495  $(210,903

Management fee

   235,818    251,163 

Brokerage commission

   11,815    23,544 

Net realized gain (loss)

   (19,180,662   (5,248,593

Change in net unrealized appreciation/depreciation

   (651,228   (1,908,048

Net income (loss)

  $(19,915,385  $(7,367,544

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $228,075,387  $642,811,361 

NAV end of period

  $1,039,873,910  $504,798,665 

Percentage change in NAV

   355.9  (21.5)% 

Shares outstanding beginning of period

   5,000,000   25,300,080 

Shares outstanding end of period

   11,100,000   13,900,000 

Percentage change in shares outstanding

   122.0  (45.1)% 

Shares created

   46,750,000   88,100,000 

Shares redeemed

   40,650,000   99,500,080 

Per share NAV beginning of period

  $45.62  $25.41 

Per share NAV end of period

  $93.68  $36.32 

Percentage change in per share NAV

   105.3  42.9

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000 outstanding Shares at December 31, 2016 to 11,100,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resultedan increase from a decrease from 25,300,0802,100,000 outstanding Shares at December 31, 20152021 to 13,900,0002,600,000 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

2022.

For the nine months ended September 30, 20172023 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%6.7% for the nine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 39.9%34.8% for the nine months ended September 30, 2016,2022, was primarily due to ana lesser appreciation in the value of the assets ofheld 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 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%1.2% for the nine months ended September 30, 2017,2023, as compared to the benchmark’s decline of 0.3%13.2% for the nine months ended September 30, 2016,2022, can be attributed to a greaterlesser decrease in the pricevalue of WTI Crude Oilthe euro versus the U.S. dollar during the nine monthsperiod ended September 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 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:

   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $1,360,409   $(184,021
Management fee
   404,141    467,426 
Non-recurring
fees and expenses
   —     1,835 
Net realized gain (loss)
   (2,576,119   16,904,945 
Change in net unrealized appreciation (depreciation)
   3,904,782    3,015,661 
Net Income (loss)
  $2,689,072   $19,736,585 
164

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The Fund’s net income increaseddecreased for the nine months ended September 30, 2017,2023 as compared to the nine months ended September 30, 2016,2022, primarily due to a greaterlesser decrease in the pricevalue of WTI Crude Oilthe euro versus the U.S. dollar 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 UltraShort Bloomberg Crude Oil.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

  $200 

NAV end of period

  $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

2023.

ProShares UltraShort Bloomberg Natural Gas

Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 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:

   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $15,456,037  $26,859,844 
NAV end of period
  $14,365,869  $29,634,725 
Percentage change in NAV
   (7.1)%   10.3
Shares outstanding beginning of period
   496,977   846,977 
Shares outstanding end of period
   446,977   796,977 
Percentage change in shares outstanding
   (10.1)%   (5.9)% 
Shares created
   700,000   1,500,000 
Shares redeemed
   750,000   1,550,000 
Per share NAV beginning of period
  $31.10  $31.71 
Per share NAV end of period
  $32.14  $37.18 
Percentage change in per share NAV
   3.4  17.3
Percentage change in benchmark
   1.3  (9.3)% 
Benchmark annualized volatility
   12.9  17.4
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 30, 2016,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856496,977 outstanding Shares at December 31, 20152022 to 174,832446,977 outstanding Shares at September 30, 2016.2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the Bloomberg Natural GasGold Subindex
SM
.

By comparison, during the nine months ended September 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 Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 to 796,977 outstanding Shares at September 30, 2022.
For the nine months ended September 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%3.4% for the nine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV decreaseincrease of 21.9%17.3% for the nine months ended September 30, 2016,2022, was primarily due to ana lesser appreciation in the value of the assets ofheld by 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.

2023.

The benchmark’s declinerise of 27.9%1.3% for the nine months ended September 30, 2017,2023, as compared to the benchmark’s decline of 5.9%9.3% for the nine months ended September 30, 2016,2022, can be attributed to a greater decreasean increase in the pricevalue of Henry Hub Natural Gasgold futures contracts during the nine monthsperiod ended September 30, 2017.

2023.

165

Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172023 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 

2022:

   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $343,044   $(128,991
Management fee
   112,212    218,466 
Brokerage commission
   4,065    9,361 
Futures account fees
   —     2,446 
Non-recurring
fees and expenses
   —     639 
Net realized gain (loss)
   (1,147,608   3,237,429 
Change in net unrealized appreciation (depreciation)
   1,851,613    3,160,276 
Net Income (loss)
  $1,047,049   $6,268,714 
The Fund’s net income decreased for the nine months ended September 30, 2017,2023 as compared to the nine months ended September 30, 2016,2022, primarily due to a greater decreasean increase in the pricevalue of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstandingthe futures prices during the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016.

2023.

ProShares UltraShort Gold

Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 20172023 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

2022:

   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $31,932,799  $26,537,000 
NAV end of period
  $16,967,517  $33,763,052 
Percentage change in NAV
   (46.9)%   27.2
Shares outstanding beginning of period
   1,641,329   991,329 
Shares outstanding end of period
   791,329   991,329 
Percentage change in shares outstanding
   (51.8)%   
Shares created
   6,050,000   2,800,000 
Shares redeemed
   6,900,000   2,800,000 
Per share NAV beginning of period
  $19.46  $26.77 
Per share NAV end of period
  $21.44  $34.06 
Percentage change in per share NAV
   10.2  27.2
Percentage change in benchmark
   (6.9)%   (19.0)% 
Benchmark annualized volatility
   25.0  31.7
During the nine months ended September 30, 2017,2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,9781,641,329 outstanding Shares at December 31, 20162022 to 496,978791,329 outstanding Shares at September 30, 2017.2023. 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 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, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

Bloomberg Silver Subindex

SM
. By comparison, during the nine months ended September 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 Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to September 30, 2022.
For the nine months ended September 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 22.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $90.53 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(66,015  $(350,865

Management fee

   268,125    469,612 

Brokerage commission

   39    33 

Net realized gain (loss)

   (10,940,120   (29,965,948

Change in net unrealized appreciation/depreciation

   (99,988   (225,049

Net income (loss)

  $(11,106,123  $(30,541,862

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $23,017,656  $55,987,938 

NAV end of period

  $22,933,677  $39,589,348 

Percentage change in NAV

   (0.4)%   (29.3)% 

Shares outstanding beginning of period

   616,976   866,978 

Shares outstanding end of period

   716,976   1,416,976 

Percentage change in shares outstanding

   16.2  63.4

Shares created

   700,000   1,600,000 

Shares redeemed

   600,000   1,050,002 

Per share NAV beginning of period

  $37.31  $64.58 

Per share NAV end of period

  $31.99  $27.94 

Percentage change in per share NAV

   (14.3)%   (56.7)% 

Percentage change in benchmark

   3.8  40.0

Benchmark annualized volatility

   19.6  27.1

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 616,976 outstanding Shares at December 31, 2016 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 1,416,976 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(40,264  $(210,102

Management fee

   143,542    281,605 

Brokerage commission

   39    33 

Net realized gain (loss)

   (2,693,510   (26,657,499

Change in net unrealized appreciation/depreciation

   745,784    (4,263,685

Net income (loss)

  $(1,987,990  $(31,131,286

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $15,770,088  $17,510,898 

NAV end of period

  $8,093,438  $14,775,779 

Percentage change in NAV

   (48.7)%   (15.6)% 

Shares outstanding beginning of period

   350,000   400,005 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (42.9)%   (12.5)% 

Shares created

   —     50,000 

Shares redeemed

   150,000   100,005 

Per share NAV beginning of period

  $45.06  $43.78 

Per share NAV end of period

  $40.47  $42.22 

Percentage change in per share NAV

   (10.2)%   (3.6)% 

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(36,347  $(95,407

Management fee

   92,259    116,244 

Brokerage commission

   1,433    2,009 

Net realized gain (loss)

   (1,335,372   (199,557

Change in net unrealized appreciation/depreciation

   (26,290   (268,792

Net income (loss)

  $(1,398,009  $(563,756

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar and a higher asset base during the nine months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $16,613,473  $20,460,679 

NAV end of period

  $9,125,205  $17,389,549 

Percentage change in NAV

   (45.1)%   (15.0)% 

Shares outstanding beginning of period

   300,000   350,005 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (33.3)%   —^ 

Shares created

   —     —   

Shares redeemed

   100,000   5 

Per share NAV beginning of period

  $55.38  $58.46 

Per share NAV end of period

  $45.63  $49.68 

Percentage change in per share NAV

   (17.6)%   (15.0)% 

Percentage change in benchmark

   8.7  5.1

Benchmark annualized volatility

   7.7  12.1
   

^Amount represents less than 0.05%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.

The benchmark’s rise of 8.7%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 5.1% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(42,311  $(115,076

Management fee

   94,837    136,306 

Brokerage commission

   6,088    11,011 

Net realized gain (loss)

   (1,920,783   (2,462,114

Change in net unrealized appreciation/depreciation

   (802,007   (493,626

Net income (loss)

  $(2,765,101  $(3,070,816

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar, in conjunction with a significant decline in shares outstanding, during the nine months ended September 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $349,392,650  $522,306,518 

NAV end of period

  $226,620,904  $370,915,586 

Percentage change in NAV

   (35.1)%   (29.0)% 

Shares outstanding beginning of period

   12,900,000   20,450,014 

Shares outstanding end of period

   10,450,000   15,600,000 

Percentage change in shares outstanding

   (19.0)%   (23.7)% 

Shares created

   1,800,000   650,000 

Shares redeemed

   4,250,000   5,500,014 

Per share NAV beginning of period

  $27.08  $25.54 

Per share NAV end of period

  $21.69  $23.78 

Percentage change in per share NAV

   (19.9)%   (6.9)% 

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,450,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(461,825  $(2,129,104

Management fee

   1,914,770    2,894,802 

Net realized gain (loss)

   (45,338,431   (60,591,510

Change in net unrealized appreciation/depreciation

   (12,255,062   30,468,759 

Net income (loss)

  $(58,055,318  $(32,251,855

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $276,781,747  $237,372,900 

NAV end of period

  $148,459,101  $263,899,544 

Percentage change in NAV

   (46.4)%   11.2

Shares outstanding beginning of period

   3,449,290   2,699,294 

Shares outstanding end of period

   1,999,290   4,349,290 

Percentage change in shares outstanding

   (42.0)%   61.1

Shares created

   900,000   2,100,000 

Shares redeemed

   2,350,000   450,004 

Per share NAV beginning of period

  $80.24  $87.94 

Per share NAV end of period

  $74.26  $60.68 

Percentage change in per share NAV

   (7.5)%   (31.0)% 

Percentage change in benchmark

   3.9  18.5

Benchmark annualized volatility

   8.7  13.0

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.5% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.0% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the 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.

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

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

  $200 

NAV end of period

  $7,581,464 

Percentage change in NAV

   NM 

Shares outstanding beginning of period

   8 

Shares outstanding end of period

   300,008 

Percentage change in shares outstanding

   NM 

Shares created

   1,400,008 

Shares redeemed

   1,100,000 

Per share NAV beginning of period

  $25.00 

Per share NAV end of period

  $25.27 

Percentage change in per share NAV

   1.1

Percentage change in benchmark

   (4.8)% 

Benchmark annualized volatility

   26.1

NM – Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark.

During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

Net investment income (loss)

  $(99,140

Brokerage commission

   24,374 

Offering costs

   77,250 

Limitation by Sponsor

   (2,484

Net realized gain (loss)

   3,137,907 

Change in net unrealized appreciation/depreciation

   1,272,779 

Net income (loss)

  $4,311,546 

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $43,203,386  $38,851,184 

NAV end of period

  $51,059,617  $31,750,207 

Percentage change in NAV

   18.2  (18.3)% 

Shares outstanding beginning of period

   2,292,169   2,092,170 

Shares outstanding end of period

   5,842,169   2,192,169 

Percentage change in shares outstanding

   154.9  4.8

Shares created

   6,600,000   2,200,000 

Shares redeemed

   3,050,000   2,100,001 

Per share NAV beginning of period

  $18.85  $18.57 

Per share NAV end of period

  $8.74  $14.48 

Percentage change in per share NAV

   (53.6)%   (22.0)% 

Percentage change in benchmark

   (27.9)%   (5.9)% 

Benchmark annualized volatility

   34.6  39.6

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 5,842,169 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 53.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 17, 2017 at $15.76 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share.

The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

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

Net investment income (loss)

  $(190,949  $(282,519

Management fee

   318,839    229,760 

Brokerage commission

   71,984    98,016 

Net realized gain (loss)

   (21,041,439   6,591,292 

Change in net unrealized appreciation/depreciation

   (3,507,126   (7,750,780

Net income (loss)

  $(24,739,514  $(1,442,007

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

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

NAV beginning of period

  $92,127,200  $69,864,815 

NAV end of period

  $89,587,943  $99,949,269 

Percentage change in NAV

   (2.8)%   43.1

Shares outstanding beginning of period

   2,800,000   2,350,014 

Shares outstanding end of period

   2,250,000   2,250,000 

Percentage change in shares outstanding

   (19.6)%   (4.3)% 

Shares created

   400,000   150,000 

Shares redeemed

   950,000   250,014 

Per share NAV beginning of period

  $32.90  $29.73 

Per share NAV end of period

  $39.82  $44.42 

Percentage change in per share NAV

   21.0  49.4

Percentage change in benchmark

   12.0  24.8

Benchmark annualized volatility

   11.6  17.0

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,250,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.0% for the nine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV increase of 49.4%27.2% for the nine months ended September 30, 20162022, 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.

2023.

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The benchmark’s risedecline of 12.3%6.9% for the nine months ended September 30, 2017,2023, as compared to the benchmark’s risedecline of 3.4%19.0% for the nine months ended September 30, 2016,2022, can be attributed to a greater riselesser decrease in the value of the euro versus the U.S. dollarsilver futures contracts during the nine monthsperiod ended September 30, 2017.

2023.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172023 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 

2022:

   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $611,721   $(125,396
Management fee
   220,751    190,549 
Brokerage commission
   28,436    20,677 
Futures account fees
   —     4,443 
Non-recurring
fees and expenses
   —     612 
Net realized gain (loss)
   10,747,744    8,252,703 
Change in net unrealized appreciation (depreciation)
   4,528,828    1,567,440 
Net Income (loss)
  $15,888,293   $9,694,747 
The Fund’s net income increased for the nine months ended September 30, 2017,2023 as compared to the nine months ended September 30, 2016,2022, primarily due to a greater riselesser decrease in the value of futures prices in conjunction with the euro versus the U.S. dollartiming of shareholder activity, during the nine months ended September 30, 2017.

2023.

ProShares UltraUltraShort Yen

Fund Performance

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

2022:

   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $21,397,736  $24,840,784 
NAV end of period
  $26,172,191  $51,937,338 
Percentage change in NAV
   22.3  109.1
Shares outstanding beginning of period
   398,580   598,580 
Shares outstanding end of period
   348,580   798,580 
Percentage change in shares outstanding
   (12.5)%   33.4
Shares created
   450,000   1,100,000 
Shares redeemed
   500,000   900,000 
Per share NAV beginning of period
  $53.68  $41.50 
Per share NAV end of period
  $75.08  $65.04 
Percentage change in per share NAV
   39.9  56.7
Percentage change in benchmark
   (12.2)%   (20.3)% 
Benchmark annualized volatility
   10.2  10.1
During the nine months ended September 30, 2017,2023, 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 2x oftwo times 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 inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 99,974398,580 outstanding Shares at December 31, 20152022 to 99,970348,580 outstanding Shares at September 30, 2016.

2023. By comparison, during the nine months ended September 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 spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at September 30, 2022.
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For the nine months ended September 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 4.8%39.9% for the nine months ended September 30, 2017,2023, as compared to the Fund’s per Share NAV increase of 36.0%56.7% for the nine months ended September 30, 2016,2022, 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.

2023.

The benchmark’s risedecline of 3.9%12.2% for the nine months ended September 30, 2017,2023, as compared to the benchmark’s risedecline of 18.5%20.3% for the nine months ended September 30, 2016,2022, can be attributed to a lesser risedecrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $565,926   $(109,049
Management fee
   167,753    259,599 
Non-recurring
fees and expenses
   —     953 
Net realized gain (loss)
   3,422,003    14,980,187 
Change in net unrealized appreciation (depreciation)
   3,945,278    (453,336
Net Income (loss)
  $7,933,207   $14,417,802 
The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

2023.

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ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $84,014,959  $112,875,680 
NAV end of period
  $59,968,024  $110,420,574 
Percentage change in NAV
   (28.6)%   (2.2)% 
Shares outstanding beginning of period
   2,762,403   3,687,403 
Shares outstanding end of period
   3,087,403   3,112,403 
Percentage change in shares outstanding
   11.8  (15.6)% 
Shares created
   1,700,000   1,850,000 
Shares redeemed
   1,375,000   2,425,000 
Per share NAV beginning of period
  $30.41  $30.61 
Per share NAV end of period
  $19.42  $35.48 
Percentage change in per share NAV
   (36.1)%   15.9
Percentage change in benchmark
   (35.0)%   17.8
Benchmark annualized volatility
   28.2  32.5
During the nine months ended September 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 was offset by an increase from 2,762,403 outstanding Shares at December 31, 2022 to 3,087,403 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at September 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 nine months ended September 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 36.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
The benchmark’s decline of 35.0% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 17.8% for the nine months ended September 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 September 30, 2023.
Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172023 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 

2022:

   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $1,430,860   $(437,530
Management fee
   401,207    627,755 
Brokerage commission
   30,191    58,291 
Futures account fees
   33,287    46,394 
Non-recurring
fees and expenses
   —     2,050 
Net realized gain (loss)
   (35,008,564   11,304,277 
Change in net unrealized appreciation (depreciation)
   3,841,900    6,887,044 
Net Income (loss)
  $(29,735,804  $17,753,791 
The Fund’s net income decreased for the nine months ended September 30, 2017,2023 as compared to the nine months ended September 30, 2016,2022, primarily due to a lesser risedecrease in the value of the Japanese yen versus the U.S. dollarfutures prices during the nine months ended September 30, 2017.

2023.

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ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
  
Nine Months Ended

September 30, 2022
 
NAV beginning of period
  $266,580,320  $269,703,164 
NAV end of period
  $211,604,428  $437,536,628 
Percentage change in NAV
   (20.6)%   62.2
Shares outstanding beginning of period
   4,676,565   3,566,565 
Shares outstanding end of period
   9,075,947   5,116,565 
Percentage change in shares outstanding
   94.1  43.5
Shares created
   9,235,000   7,180,000 
Shares redeemed
   4,835,618   5,630,000 
Per share NAV beginning of period
  $57.00  $75.62 
Per share NAV end of period
  $23.31  $85.51 
Percentage change in per share NAV
   (59.1)%   13.1
Percentage change in benchmark
   (58.4)%   14.7
Benchmark annualized volatility
   56.0  86.1
During the nine months ended September 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 Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 4,676,565 outstanding Shares at December 31, 2022 to 9,075,947 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,566,565 outstanding Shares at December 31, 2021 to 5,116,565 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 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 59.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.
The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 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 September 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2023 and 2022:
   
Nine Months Ended

September 30, 2023
   
Nine Months Ended

September 30, 2022
 
Net investment income (loss)
  $4,942,508   $(1,545,500
Management fee
   1,495,874    2,353,478 
Brokerage commission
   250,314    490,751 
Futures account fees
   143,501    371,384 
Non-recurring
fees and expenses
       8,700 
Net realized gain (loss)
   (228,286,648   31,935,690 
Change in net unrealized appreciation (depreciation)
   21,667,964    84,851,343 
Net Income (loss)
  $(201,676,176  $115,241,533 
The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2023.
*
See Note 1 of the Notes to Financial Statements in Item 3.
Quantitative and Qualitative Disclosures About Market Risk.1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity,

and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The 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 September 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 September 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 September 30, 20172023 and 2016,2022, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2017    51,224   $11.68    1,000   $(598,040,200

VIX Futures (CBOE)

   Short    November 2017    34,126    13.03    1,000    (444,491,150

Futures Positions as of September 30, 2016

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2016    18,688   $15.78    1,000   $(294,803,200

VIX Futures (CBOE)

   Short    November 2016    12,445    16.95    1,000    (210,942,750

Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  October 2023   4,373   $17.77    1,000   $(77,713,457
VIX Futures (Cboe)
  Short  November 2023   2,906    18.25    1,000    (53,023,748
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Short   October 2022   3,083   $31.52    1,000   $(97,163,828
VIX Futures (Cboe)
   Short   November 2022   2,052    31.07    1,000    (63,759,128
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 Form
10-K
for additional information regarding performance for periods longer than a single day.

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Table of Contents
ProShares Ultra VIX Short-Term Futures ETF:

Bloomberg Crude Oil:

As of September 30, 20172023 and 2016,2022, 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 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 Commodity Balanced WTI Crude Oil SubindexIndex

SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 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)

  Short   November 2017    1,894   $51.67    1,000   $(97,862,980

Swap Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Short  $76.1424   $(149,040,494

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Short   76.1424    (109,832,549

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Short   76.1424    (12,927,229

Bloomberg WTI Crude Oil Subindex

  UBS AG  Short   76.1424    (106,765,884

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2016    2,093   $48.24    1,000   $(100,966,320

Swap Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Short  $79.0094   $(110,835,497

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Short   79.0094    (78,877,241

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Short   79.0094    (8,278,478

Bloomberg WTI Crude Oil Subindex

  UBS AG  Short   79.0094    (80,182,717

Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Long  December 2023   879   $88.80    1,000   $78,055,200 
WTI Crude Oil (NYMEX)
  Long  June 2024   920    81.12    1,000    74,630,400 
WTI Crude Oil (NYMEX)
  Long  December 2024   956    77.86    1,000    74,434,160 
Swap Agreements as of September 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  $93.5651   $210,901,349 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   93.5651    262,218,064 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
  Long   93.5651    151,363,911 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   93.5651    199,041,224 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   93.5651    157,428,427 
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Long  December 2022   1,450   $78.72    1,000   $114,144,000 
WTI Crude Oil (NYMEX)
  Long  June 2023   1,535    73.00    1,000    112,055,000 
WTI Crude Oil (NYMEX)
  Long  December 2023   1,610    69.66    1,000    112,152,600 
Swap Agreements as of September 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  $77.9524   $175,709,387 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   77.9524    218,463,160 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
  Long   77.9524    304,335,914 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   77.9524    165,828,296 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   77.9524    246,871,587 
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Table of Contents
The September 30, 20172023 and 2016 short2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20172023 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:

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2017 and 2016, 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 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)

  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 

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 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 Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s 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 September 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 September 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 September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Long  November
2023
   50,182   $2.93    10,000   $1,469,830,780 
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Natural Gas Subindex
  Citibank, N.A.  Long  $0.0799   $132,651,213 
Bloomberg Natural Gas Subindex
  Goldman Sachs International  Long   0.0799    90,634,449 
Bloomberg Natural Gas Subindex
  Societe General  Long   0.0799    47,221,373 
Bloomberg Natural Gas Subindex
  UBS AG  Long   0.0799    725,704 
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Long  November
2022
   8,556   $6.77    10,000   $578,898,960 
The September 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 September 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 Form
10-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 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. CounterpartySwap 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 segregated
tri-party
accounts at the Fund’s custodian bank.

third-party custodian.

ProShares Ultra Silver:

Euro:

As of September 30, 20172023 and 2016, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

  Long  December 2017   2   $16.68    5,000   $166,760 

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Long  $16.8646   $161,967,618 

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Long   16.8644    131,471,490 

0.999 Fine Troy Ounce Silver

  Societe Generale  Long   16.8645    63,815,268 

0.999 Fine Troy Ounce Silver

  UBS AG  Long   16.8644    132,149,438 

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    December 2016    2   $19.21    5,000   $192,140 

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Long  $19.3535   $216,797,907 

0.999 Fine Troy Ounce Silver

  Deutsche Bank AG  Long   19.3551    110,726,656 

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Long   19.3535    188,634,694 

0.999 Fine Troy Ounce Silver

  Societe Generale  Long   19.3537    67,428,291 

0.999 Fine Troy Ounce Silver

  UBS AG  Long   19.3535    160,692,111 

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of September 30, 2017 and 2016,2022, 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 September 30, 20172023 and 2016,2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as

174

Table of September 30, 2017

Reference

Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International   Long    10/06/17    11,961,025   1.1821   $14,138,996 

Euro

  UBS AG   Long    10/06/17    17,574,000   1.1821    20,774,032 

Euro

  Goldman Sachs International   Short    10/06/17    (1,663,500  1.1821    (1,966,405

Euro

  UBS AG   Short    10/06/17    (4,680,700  1.1821    (5,533,004

Foreign Currency Forward Contracts as of September 30, 2016

Reference

Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International   Long    10/07/16    9,020,825   1.1236   $10,135,383 

Euro

  UBS AG   Long    10/07/16    8,385,200   1.1236    9,421,224 

Euro

  UBS AG   Short    10/07/16    (169,500  1.1236    (190,442

Contents

Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market
Value USD
 
Euro
  Goldman Sachs International  Long   10/06/23    7,691,921   1.0752   $8,270,353 
Euro
  UBS AG  Long   10/06/23    4,954,502   1.0752    5,327,055 
Euro
  UBS AG  Short   10/06/23    (323,000  1.0602    (342,445
Foreign Currency Forward Contracts as of September 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/07/22    12,276,921   0.9964   $12,232,264 
Euro
  UBS AG  Long   10/07/22    17,572,502   0.9940    17,466,744 
Euro
  UBS AG  Short   10/07/22    (1,566,000  0.9801    (1,534,866
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 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 custodian bank.

third-party custodian.

ProShares Ultra Yen:

Gold:

As of September 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 September 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2023   264   $1,866.10    100   $49,265,040 
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $190.8900   $105,703,033 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   190.8900    50,205,597 
Bloomberg Gold Subindex
  UBS AG  Long   190.8900    90,264,166 
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2022   409   $1,672.00    100   $68,384,800 
Swap Agreements as of September 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $180.7152   $100,068,860 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   180.7152    47,529,603 
Bloomberg Gold Subindex
  UBS AG  Long   180.7152    104,098,025 
175

Table of Contents
The September 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 September 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 September 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 September 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  December 2023   1,756   $22.45    5,000   $197,111,000 
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $190.6601   $159,867,323 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   190.6601    21,119,991 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Long   190.6601    143,290,980 
Bloomberg Silver Subindex
  UBS AG  Long   190.6601    134,864,794 
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  December 2022   2,163   $19.04    5,000   $205,906,785 
Swap Agreements as of September 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $169.7456   $142,330,643 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   169.7456    18,803,260 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Long   169.7456    156,302,767 
Bloomberg Silver Subindex
  UBS AG  Long   169.7456    124,719,934 
The September 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 September 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.
176

Table of Contents
ProShares Ultra VIX Short-Term Futures ETF
As of September 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 September 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2023   14,181   $17.77    1,000   $252,013,387 
VIX Futures (Cboe)
  Long  November 2023   9,464    18.25    1,000    172,682,983 
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2022   28,597   $31.52    1,000   $901,263,052 
VIX Futures (Cboe)
  Long  November 2022   19,065    31.07    1,000    592,381,961 
The September 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
for additional information regarding performance for periods longer than a single day.
ProShares Ultra Yen:
As of September 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 September 30, 20172023 and 2016,2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as

177

Table of September 30, 2017

Reference Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Yen  Forward
Rate
   Market Value
USD
 

Yen

  Goldman Sachs International   Long    10/06/17    735,730,100   0.008888   $6,539,365 

Yen

  UBS AG   Long    10/06/17    652,357,100   0.008888    5,798,323 

Yen

  Goldman Sachs International   Short    10/06/17    (23,286,700  0.008888    (206,978

Yen

  UBS AG   Short    10/06/17    (57,172,300  0.008888    (508,163

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Yen  Forward
Rate
   Market Value
USD
 

Yen

  Goldman Sachs International   Long    10/07/16    1,029,857,000   0.009863   $10,157,661 

Yen

  UBS AG   Long    10/07/16    524,705,100   0.009863    5,175,259 

Yen

  Goldman Sachs International   Short    10/07/16    (34,119,100  0.009863    (336,523

Yen

  UBS AG   Short    10/07/16    (11,065,500  0.009863    (109,141

Contents

Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
   
Forward
Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/06/23    2,355,724,056    0.006813   $16,049,086 
Yen
  UBS AG  Long   10/06/23    2,976,699,856    0.006807    20,261,769 
Yen
  UBS AG  Short   10/06/23    (97,972,000   0.006790    (665,202
Foreign Currency Forward Contracts as of September 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
   
Forward
Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/07/22    1,186,245,517    0.006949   $8,243,617 
Yen
  UBS AG  Long   10/07/22    1,919,545,856    0.006945    13,331,165 
Yen
  Goldman Sachs International  Short   10/07/22    (33,368,000   0.006974    (232,706
Yen
  UBS AG  Short   10/07/22    (133,030,000   0.006945    (923,831
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 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 custodian bank.

Qualitative Disclosure

third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:
As described aboveof September 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 September 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Short  December 2023   2,296   $88.80    1,000   $(203,884,800
WTI Crude Oil (NYMEX)
  Short  June 2024   2,404    81.12    1,000    (195,012,480
WTI Crude Oil (NYMEX)
  Short  December 2024   2,500    77.86    1,000    (194,650,000
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Short  December 2022   3,174   $78.72    1,000   $(249,857,280
WTI Crude Oil (NYMEX)
  Short  June 2023   3,344    73.00    1,000    (244,112,000
WTI Crude Oil (NYMEX)
  Short  December 2023   3,500    69.66    1,000    (243,810,000
178

Table of Contents
The September 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. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Natural Gas:
As of September 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 September 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Short  November
2023
   7,624   $2.93    10,000   $(223,306,960
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Short  November
2022
   7,167   $6.77    10,000   $(484,919,220
The September 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.
ProShares UltraShort Euro:
As of September 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 September 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/06/23    486,000   1.0694   $519,743 
Euro
  UBS AG  Long   10/06/23    10,804,000   1.0696    11,556,452 
Euro
  Goldman Sachs International  Short   10/06/23    (43,752,263  1.0751    (47,038,130
Euro
  UBS AG  Short   10/06/23    (50,970,199  1.0735    (54,717,780
179

Table of Contents
Foreign Currency Forward Contracts as of September 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  UBS AG  Long  10/07/22   38,000,000   0.9876   $37,528,206 
Euro
  Goldman Sachs International  Short  10/07/22   (78,612,263  0.9970    (78,374,875
Euro
  UBS AG  Short  10/07/22   (144,189,199  0.9931    (143,198,834
The September 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 September 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 September 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Short  December 2023   71   $1,866.10    100   $(13,249,310
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $190.8900   $(3,588,216
Bloomberg Gold Subindex
  Goldman Sachs International  Short   190.8900    (4,702,766
Bloomberg Gold Subindex
  UBS AG  Short   190.8900    (7,273,894
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Short  December 2022   157   $1,672.00    100   $(26,250,400
Swap Agreements as of September 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $180.7152   $(13,547,911
Bloomberg Gold Subindex
  Goldman Sachs International  Short   180.7152    (8,863,141
Bloomberg Gold Subindex
  UBS AG  Short   180.7152    (10,598,433
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The September 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 September 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 September 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 September 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2023   109   $22.45    5,000   $(12,235,250
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $190.6601   $(2,570,998
Bloomberg Silver Subindex
  Goldman Sachs International  Short   190.6601    (9,365,796
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Short   190.6601    (7,405,429
Bloomberg Silver Subindex
  UBS AG  Short   190.6601    (2,368,019
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2022   506   $19.04    5,000   $(48,168,670
Swap Agreements as of September 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $169.7456   $(2,288,972
Bloomberg Silver Subindex
  Goldman Sachs International  Short   169.7456    (8,338,415
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Short   169.7456    (6,593,089
Bloomberg Silver Subindex
  UBS AG  Short   169.7456    (2,108,259
The September 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 September 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
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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 September 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 September 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  UBS AG  Long  10/06/23   428,237,000   0.006813   $2,917,500 
Yen
  Goldman Sachs International  Short  10/06/23   (3,330,184,165  0.006821    (22,714,958
Yen
  UBS AG  Short  10/06/23   (4,908,633,574  0.006814    (33,445,689
Foreign Currency Forward Contracts as of September 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long  10/07/22   513,732,000   0.007033   $3,613,292 
Yen
  UBS AG  Long  10/07/22   1,169,990,000   0.006995    8,183,497 
Yen
  Goldman Sachs International  Short  10/07/22   (4,358,922,165  0.006949    (30,291,833
Yen
  UBS AG  Short  10/07/22   (12,349,528,574  0.006949    (85,811,526
The September 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 September 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 September 30, 2023 and 2022, which were sensitive to equity market volatility risk.
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Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  January 2024   617   $19.10    1,000   $11,784,515 
VIX Futures (Cboe)
  Long  February 2024   1,028    19.30    1,000    19,841,839 
VIX Futures (Cboe)
  Long  March 2024   1,028    19.60    1,000    20,146,847 
VIX Futures (Cboe)
  Long  April 2024   411    19.90    1,000    8,178,119 
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  January 2023   728   $30.70    1,000   $22,351,129 
VIX Futures (Cboe)
  Long  February 2023   1,214    30.31    1,000    36,796,340 
VIX Futures (Cboe)
  Long  March 2023   1,214    30.18    1,000    36,638,520 
VIX Futures (Cboe)
  Long  April 2023   486    30.25    1,000    14,700,868 
The September 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.
ProShares VIX Short-Term Futures ETF
As of September 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 September 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2023   7,067   $17.77    1,000   $125,589,070 
VIX Futures (Cboe)
  Long  November
2023
   4,719    18.25    1,000    86,104,290 
Futures Positions as of September 30, 2022
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2022   8,381   $31.52    1,000   $264,135,596 
VIX Futures (Cboe)
  Long  November
2022
   5,587    31.07    1,000    173,597,588 
The September 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.
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Qualitative Disclosure
As described in Item 7 in the Annual Report on Form
10-K,
it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, 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 Form
10-K
for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated investment objectives both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and directlong exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its
sub-indexes
are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading 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 Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-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 Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect
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the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective
(-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 portfolio
re-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).

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)
and
15d-15(e)
under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2016,September 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.

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Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 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 Form
10-Q,
apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

186

Part IIII. OTHER INFORMATION

Item 1. Legal Proceedings.

None

As of September 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 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 Form10-Kthe 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 year ended December 31, 2016, filedextent of any such outbreak’s disruption to important global, regional and local supply chains and economic markets, and the impact of such outbreak on March 1, 2017.

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.
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, the markets for gold, silver, oil, natural gas and other commodities, and the price of Financial Instruments based on such commodities, and other markets. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in the 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 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.
187

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 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) Not applicable.
c) The Trust initially registered Shares ondoes not purchase shares directly from 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.shareholders. The Trust terminated these two offerings beforefollowing table summarizes the sale of all registered Shares and reallocated the remaining amount 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 Statementredemptions 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 withduring 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 throughthree months ended September 30, 2017, the number2023:

188

Table 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
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
      
  07/01/23 to 07/31/23   450,000   $88.08 
  08/01/23 to 08/31/23   450,000   $86.17 
  09/01/23 to 09/30/23   50,000   $92.61 
ProShares Ultra Bloomberg Crude Oil
                 
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   7,950,000   $  26.87 
  08/01/23 to 08/31/23   1,950,000   $30.67 
  09/01/23 to 09/30/23   4,050,000   $35.16 
ProShares Ultra Bloomberg Natural Gas
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   3,353,332   $63.97 
  08/01/23 to 08/31/23   6,000,000   $66.70 
  09/01/23 to 09/30/23   3,900,000   $55.93 
ProShares Ultra Euro
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   50,000   $11.82 
  08/01/23 to 08/31/23   —    $—  
  09/01/23 to 09/30/23   —    $—  
ProShares Ultra Gold
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   100,000   $58.94 
  08/01/23 to 08/31/23   100,000   $57.47 
  09/01/23 to 09/30/23   150,000   $57.69 
ProShares Ultra Silver
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   600,000   $30.85 
  08/01/23 to 08/31/23   600,000   $29.62 
  09/01/23 to 09/30/23   250,000   $27.58 
ProShares Ultra VIX Short-Term Futures ETF
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   2,353,383   $18.57 
  08/01/23 to 08/31/23   5,050,000   $18.29 
  09/01/23 to 09/30/23   9,500,000   $16.29 
ProShares Ultra Yen
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   50,000   $28.94 
  08/01/23 to 08/31/23   —    $—  
  09/01/23 to 09/30/23   —    $—  
ProShares UltraShort Bloomberg Crude Oil
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   1,000,000   $21.53 
  08/01/23 to 08/31/23   1,650,000   $19.97 
  09/01/23 to 09/30/23   1,400,000   $16.73 
ProShares UltraShort Bloomberg Natural Gas
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   1,750,000   $60.64 
  08/01/23 to 08/31/23   3,050,000   $54.57 
  09/01/23 to 09/30/23   1,450,000   $62.25 
ProShares UltraShort Euro
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   100,000   $29.02 
  08/01/23 to 08/31/23   100,000   $29.31 
  09/01/23 to 09/30/23   150,000   $30.60 
ProShares UltraShort Gold
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   50,000   $27.73 
  08/01/23 to 08/31/23   150,000   $29.27 
  09/01/23 to 09/30/23   —    $—  
ProShares UltraShort Silver
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   50,000   $20.33 
  08/01/23 to 08/31/23   2,750,000   $19.57 
  09/01/23 to 09/30/23   300,000   $20.32 
ProShares UltraShort Yen
      
Common Units of Beneficial Interest
                 
  07/01/23 to 07/31/23   50,000   $62.82 
  08/01/23 to 08/31/23   —    $—  
  09/01/23 to 09/30/23   —    $—  
ProShares VIX
Mid-Term
Futures ETF
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   100,000   $20.17 
  08/01/23 to 08/31/23   75,000   $19.32 
  09/01/23 to 09/30/23   —    $—  
ProShares VIX Short-Term Futures ETF
      
Common Units of Beneficial Interest
      
  07/01/23 to 07/31/23   125,618   $25.62 
  08/01/23 to 08/31/23   2,025,000   $24.51 
  09/01/23 to 09/30/23   475,000   $  23.28 
189

Table of 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 September 30, 2023.
190

Item 6. Exhibits.

Exhibit
No.

  

Description of Document

31.1  Certification by Principal Executive Officer of the Trust Pursuant to Rule13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2  Certification by Principal Financial Officer of the Trust Pursuant to Rule13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
32.132.1*  Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.232.2*  Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS  XBRL Instance Document (1)
101.SCH  XBRL Taxonomy Extension Schema (1)
101.CAL  XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF  XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB  XBRL Taxonomy Extension Label Linkbase (1)
101.PRE  XBRL Taxonomy Extension Presentation Linkbase (1)
104.1Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags 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.
191

Table of Contents
Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

PROSHARES TRUST II

/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 9, 20176, 2023
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 9, 20176, 2023

237

192