0001415311 ck0001415311:ProsharesVixMidTermFuturesEtfMember us-gaap:USGovernmentAgenciesShorttermDebtSecuritiesMember ck0001415311:ProsharesUltraShortBloombergCrudeOilMember 2019-07-01 2019-09-302020-07-01 2020-09-30
Table of Contents
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM
10-Q
 
☒
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
for the quarterly period ended September 30, 2021.
for the quarterly period ended September 30, 2020.
or
or
☐
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
for the transition period from
                    
to
                    
.
Commission file number:
001-34200
 
 
PROSHARES TRUST II
(Exact name of registrant as specified in its charter)
 
Delaware
 
87-6284802
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
c/o ProShare Capital Management LLC
75017272 Wisconsin Avenue, Suite 1000Ave, 21st Floor
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip Code)
(240)
497-6400
(Registrant’s telephone number, including area code)
 
Securities registered pursuant to Section 12(b) of the Act:
 
Title of each class
 
Trading
Symbol(s)
 
Name of each exchange
on which registered
ProShares Short Euro
 
EUFX
 
NYSE Arca
ProShares Short VIX Short-Term Futures ETF
 
SVXY
 
NYSE ArcaCboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil
 
UCO
 
NYSE Arca
ProShares Ultra Bloomberg Natural Gas
 
BOIL
 
NYSE Arca
ProShares Ultra Euro
 
ULE
 
NYSE Arca
ProShares Ultra Gold
 
UGL
 
NYSE Arca
ProShares Ultra Silver
 
AGQ
 
NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF
 
UVXY
 
NYSE ArcaCboe BZX Exchange
ProShares Ultra Yen
 
YCL
 
NYSE Arca
ProShares UltraShort Australian Dollar
 
CROC
 
NYSE Arca
ProShares UltraShort Bloomberg Crude Oil
 
SCO
 
NYSE Arca
ProShares UltraShort Bloomberg Natural Gas
 
KOLD
 
NYSE Arca
ProShares UltraShort Euro
 
EUO
 
NYSE Arca
ProShares UltraShort Gold
 
GLL
 
NYSE Arca
ProShares UltraShort Silver
 
ZSL
 
NYSE Arca
ProShares UltraShort Yen
 
YCS
 
NYSE Arca
ProShares VIX
Mid-Term
Futures ETF
 
VIXM
 
NYSE ArcaCboe BZX Exchange
ProShares VIX Short-Term Futures ETF
 
VIXY
 
NYSE ArcaCboe BZX Exchange
Securities registered pursuant to Section 12(g) of the Act: None
 
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    ☒  Yes    ☐   No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation
S-T
(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    ☒  Yes     ☐  No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated
filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule
12b-2
of the Exchange Act.
Large Accelerated Filer ☒  Accelerated Filer ☐
Non-Accelerated
Filer		 ☐  Smaller Reporting Company ☐
Emerging Growth Company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule
12b-2
of the Exchange Act.).    ☐  Yes    ☒  No
Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court.    ☒  Yes     ☐  No
As of October 30, 2020,26, 2021, the registrant had 180,226,695
165,148,980 shares of common stock, $0 par value per share, outstanding.
 
 
 
Table of Contents
PROSHARES TRUST II
Table of Contents
   
Page
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements.
1 
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
139
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
195
Item 4. Controls and Procedures.
210
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
211
Item 1A. Risk Factors.
211
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
214
Item 3. Defaults Upon Senior Securities.
216
Item 4. Mine Safety Disclosures.
216
Item 5. Other Information.
216
Item 6. Exhibits.
217
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements
3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
138
Item 3. Quantitative and Qualitative Disclosures About Market Risk
204
Item 4. Controls and Procedures
219
Part II. OTHER INFORMATION
Item 1. Legal Proceedings
221
Item 1A. Risk Factors
221
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
223
Item 3. Defaults Upon Senior Securities
225
Item 4. Mine Safety Disclosures
225
Item 5. Other Information
225
Item 6. Exhibits
226
2
Table of Contents
Part
I. FINANCIAL INFORMATION
Item 1. Financial Statements.
Item 1.
Financial Statements.
Index
Documents
  
Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
ProShares Short Euro
4
ProShares Short VIX Short-Term Futures ETF
9
ProShares Ultra Bloomberg Crude Oil
14
ProShares Ultra Bloomberg Natural Gas
19
ProShares Ultra Euro
24
ProShares Ultra Gold
29
ProShares Ultra Silver
34
ProShares Ultra VIX Short-Term Futures ETF
39
ProShares Ultra Yen
44
ProShares UltraShort Australian Dollar
49
ProShares UltraShort Bloomberg Crude Oil
54
ProShares UltraShort Bloomberg Natural Gas
59
ProShares UltraShort Euro
64
ProShares UltraShort Gold
69
ProShares UltraShort Silver
74
ProShares UltraShort Yen
79
ProShares VIX Mid-Term Futures ETF
84
ProShares VIX Short-Term Futures ETF
89
ProShares Trust II
94
Notes to Financial Statements
98 
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
3
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires December 2021   15   $2,175,000   $46,781 
See accompanying notes to financial statements.
5
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $269  $127  $1,175  $7,776 
                  
Expenses
                 
Management fee   5,193   5,247   19,278   16,266 
Brokerage commissions   79   82   339   272 
Non-recurring
fees and expenses
   —     65   —     65 
                  
Total expenses   5,272   5,394   19,617   16,603 
                  
Net investment income (loss)   (5,003)   (5,267)   (18,442)   (8,827) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   57,489   (77,567)   88,710   (116,225) 
                  
Net realized gain (loss)   57,489   (77,567)   88,710   (116,225) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (4,770)   (14,989)   91,407   31,531 
Short-term U.S. government and agency obligations   0     —     —     (30) 
                  
Change in net unrealized appreciation (depreciation)   (4,770)   (14,989)   91,407   31,501 
                  
Net realized and unrealized gain (loss)   52,719   (92,556)   180,117   (84,724) 
                  
Net income (loss)
  $47,716  $(97,823)  $161,675  $(93,551) 
                  
See accompanying notes to financial statements.
6
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,159,102  $2,286,467  $4,191,955  $2,282,195 
                  
Redemption of –, –, 50,000 and – shares, respectively   —     —     (2,146,812)   —   
                  
Net addition (redemption) of –, –, (50,000) and – shares, respectively   —     —     (2,146,812)   —   
                  
Net investment income (loss)   (5,003)   (5,267)   (18,442)   (8,827) 
Net realized gain (loss)   57,489   (77,567)   88,710   (116,225) 
Change in net unrealized appreciation (depreciation)   (4,770)   (14,989)   91,407   31,501 
                  
Net income (loss)   47,716   (97,823)   161,675   (93,551) 
                  
Shareholders’ equity, end of period
  $2,206,818  $2,188,644  $2,206,818  $2,188,644 
                  
See accompanying notes to financial statements.
7
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $161,675  $(93,551) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (1,999,562)   —   
Proceeds from sales or maturities of short-term U.S. government and agency obligations   2,000,000   747,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (438)   (1,225) 
Change in unrealized appreciation (depreciation) on investments   —     30 
Decrease (Increase) in receivable on futures contracts   17,532   (3,844) 
Decrease (Increase) in interest receivable   88   2,347 
Increase (Decrease) in payable to Sponsor   (1,696)   (167) 
Increase (Decrease) in payable on futures contracts   281   (5,100) 
          
Net cash provided by (used in) operating activities   177,880   645,490 
          
Cash flow from financing activities
         
Payment on shares redeemed   (2,146,812)   —   
          
Net cash provided by (used in) financing activities   (2,146,812)   —   
          
Net increase (decrease) in cash
   (1,968,932)   645,490 
Cash, beginning of period   4,174,091   1,540,916 
          
Cash, end of period  $2,205,159  $2,186,406 
          
See accompanying notes to financial statements.
8
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   4,341   $99,269,120   $(2,399,545) 
VIX Futures - Cboe, expires November 2021   4,001    94,767,286    (3,782,433) 
         
      $(6,181,978) 
         
^^Rates shown represent discount rate at the time of purchase.
ProShares Short Euro
See accompanying notes to financial statements.
10
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $8,152  $53,301  $75,729  $909,185 
                  
Expenses
                 
Management fee   1,055,823   1,116,999   3,415,545   3,592,232 
Brokerage commissions   208,885   167,648   638,744   585,356 
Futures account fees   209,717   291,350   795,836   752,869 
Non-recurring
fees and expenses
   —     22,038   —     22,038 
                  
Total expenses   1,474,425   1,598,035   4,850,125   4,952,495 
                  
Net investment income (loss)   (1,466,273)   (1,544,734)   (4,774,396)   (4,043,310) 
                  
Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on
                 
Futures contracts   34,573,906   60,593,315   168,120,340   (129,091,526) 
Short-term U.S. government and agency obligations   (1,303)   (10)   (1,303)   (768) 
                  
Net realized gain (loss)   34,572,603   60,593,305   168,119,037   (129,092,294) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (43,362,244)   (1,463,210)   (14,530,761)   (2,706,204) 
Short-term U.S. government and agency obligations   12,400   (189)   (2,095)   (2,866) 
                  
Change in net unrealized appreciation (depreciation)   (43,349,844)   (1,463,399)   (14,532,856)   (2,709,070) 
                  
Net realized and unrealized gain (loss)   (8,777,241)   59,129,906   153,586,181   (131,801,364) 
                  
Net income (loss)
  $(10,243,514)  $57,585,172  $148,811,785  $(135,844,674) 
                  
See accompanying notes to financial statements.
11
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $588,615,946  $509,811,853  $409,371,468  $284,437,179 
                  
Addition of 550,000, –, 3,400,000 and 25,850,000 shares, respectively   30,777,084   —     150,390,026   914,411,669 
Redemption of 4,000,000, 6,750,000, 6,150,000 and 20,700,000 shares, respectively   (220,625,671)   (231,931,959)   (320,049,434)   (727,539,108) 
                  
Net addition (redemption) of (3,450,000), (6,750,000), (2,750,000) and 5,150,000 shares, respectively   (189,848,587)   (231,931,959)   (169,659,408)   186,872,561 
                  
Net investment income (loss)   (1,466,273)   (1,544,734)   (4,774,396)   (4,043,310) 
Net realized gain (loss)   34,572,603   60,593,305   168,119,037   (129,092,294) 
Change in net unrealized appreciation (depreciation)   (43,349,844)   (1,463,399)   (14,532,856)   (2,709,070) 
                  
Net income (loss)   (10,243,514)   57,585,172   148,811,785   (135,844,674) 
                  
Shareholders’ equity, end of period
  $388,523,845  $335,465,066  $388,523,845  $335,465,066 
                  
See accompanying notes to financial statements.
12
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $148,811,785  $(135,844,674) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (411,950,977)   (509,581,499) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   351,997,423   446,998,196 
Net amortization and accretion on short-term U.S. government and agency obligations   (42,672)   (466,825) 
Net realized gain (loss) on investments   1,303   768 
Change in unrealized appreciation (depreciation) on investments   2,095   2,866 
Decrease (Increase) in receivable on futures contracts   3,053,471   (38,580,764) 
Decrease (Increase) in interest receivable   2,611   120,515 
Increase (Decrease) in payable to Sponsor   (22,522)   86,957 
Increase (Decrease) in brokerage commissions and futures account fees payable   (28,666)   92,881 
Increase (Decrease) in payable on futures contracts   (996,159)   1,344,400 
          
Net cash provided by (used in) operating activities   90,827,692   (235,827,179) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   150,390,026   914,411,669 
Payment on shares redeemed   (320,049,434)   (697,482,198) 
          
Net cash provided by (used in) financing activities   (169,659,408)   216,929,471 
          
Net increase (decrease) in cash
   (78,831,716)   (18,897,708) 
Cash, beginning of period   266,579,220   167,544,087 
          
Cash, end of period  $187,747,504  $148,646,379 
          
See accompanying notes to financial statements.
13
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2021   5,657   $422,577,900   $158,475,710 
WTI Crude Oil - NYMEX, expires June 2022   5,843    415,729,450    89,351,620 
WTI Crude Oil - NYMEX, expires December 2022   6,063    410,465,100    20,176,983 
         
      $268,004,313 
         
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35%   10/06/21   $143,554,545   $10,910,833 
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/21    203,094,978    15,436,191 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/21    248,642,399    18,898,011 
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.25  10/06/21    135,481,695    10,305,144 
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.30  10/06/21    201,694,052    15,335,583 
          
      

Total
Unrealized
Appreciation
 
 
 
  $70,885,762 
          
2
ProShares Short VIX Short-Term Futures ETF
7
ProShares Ultra Bloomberg Crude Oil
12
ProShares Ultra Bloomberg Natural Gas
17
ProShares Ultra Euro
22
ProShares Ultra Gold
27
ProShares Ultra Silver
32
ProShares Ultra VIX Short-Term Futures ETF
37
ProShares Ultra Yen
42
ProShares UltraShort Australian Dollar
47
ProShares UltraShort Bloomberg Crude Oil
52
ProShares UltraShort Bloomberg Natural Gas
57
ProShares UltraShort Euro
62
ProShares UltraShort Gold
67
ProShares UltraShort Silver
72
ProShares UltraShort Yen
77
ProShares VIX Mid-Term Futures ETF
82
ProShares VIX Short-Term Futures ETF
87
ProShares Trust II
92
Notes to Financial Statements
96
†All or partial amount pledged as collateral for swap agreements.
1
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $0 and $745,775, respectively)
  $—     $745,805 
Cash
   2,145,156    1,509,236 
Segregated cash balances with brokers for futures contracts
   41,250    31,680 
Receivable on open futures contracts
   3,844    —   
Interest receivable
   87    2,434 
  
 
 
   
 
 
 
Total assets
   2,190,337    2,289,155 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   —      5,100 
Payable to Sponsor
   1,693    1,860 
  
 
 
   
 
 
 
Total liabilities
   1,693    6,960 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   2,188,644    2,282,195 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,190,337   $2,289,155 
  
 
 
   
 
 
 
Shares outstanding
   50,000    50,000 
  
 
 
   
 
 
 
Net asset value per share
  $43.77   $45.64 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $43.28   $45.69 
  
 
 
   
 
 
 
See accompanying notes
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to financial statements.
2
PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBERchange. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2020
(unaudited)
Futures Contracts Sold
             
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires December 2020
   15   $2,200,406   $17,531 
See accompanying notes2021, on the notional amount of the swap agreement paid to financial statements.
3
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $127  $107,143  $7,776  $297,766 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   5,247   46,129   16,266   125,906 
Brokerage commissions
   82   763   272   2,118 
Non-recurring
fees and expenses
   65   —     65   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   5,394   46,892   16,603   128,024 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,267)   60,251   (8,827)   169,742 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (77,567)   625,576   (116,225)   849,200 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (77,567)   625,576   (116,225)   849,200 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (14,989)   342,293   31,531   306,572 
Short-term U.S. government and agency obligations
   —     (4,588)   (30)   585 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (14,989)   337,705   31,501   307,157 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (92,556)   963,281   (84,724)   1,156,357 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(97,823)  $1,023,532  $(93,551)  $1,326,099 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
4
PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
   
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $2,286,467  $22,127,403  $2,282,195  $8,619,686 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, –, – and 300,000 shares, respectively
   —     —     —     13,205,150 
Redemption of –, 100,000, – and 100,000 shares, respectively
   —     (4,499,868)   —     (4,499,868) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, (100,000), – and 200,000 shares, respectively
   —     (4,499,868)   —     8,705,282 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,267)   60,251   (8,827)   169,742 
Net realized gain (loss)
   (77,567)   625,576   (116,225)   849,200 
Change in net unrealized appreciation (depreciation)
   (14,989)   337,705   31,501   307,157 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (97,823)   1,023,532   (93,551)   1,326,099 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,188,644  $18,651,067  $2,188,644  $18,651,067 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(93,551)  $1,326,099 
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
   0     (410,432,905) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   747,000   404,250,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,225)   (197,441) 
Change in unrealized appreciation (depreciation) on investments
   30   (585) 
Decrease (Increase) in receivable on futures contracts
   (3,844)   (64,969) 
Decrease (Increase) in interest receivable
   2,347   (9,679) 
Increase (Decrease) in payable to Sponsor
   (167)   7,403 
Increase (Decrease) in payable on futures contracts
   (5,100)   (5,250) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   645,490   (5,127,327) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   0     13,205,150 
Payment on shares redeemed
   0     (4,499,868) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   0     8,705,282 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   645,490   3,577,955 
Cash, beginning of period
   1,540,916   8,024,856 
  
 
 
  
 
 
 
Cash, end of period
  $2,186,406  $11,602,811 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
6
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $119,976,110 and $56,926,750, respectively)
  $119,975,930   $56,929,436 
Cash
   58,180,317    113,044,890 
Segregated cash balances with brokers for futures contracts
   90,466,062    54,499,197 
Receivable on open futures contracts
   98,633,089    60,052,325 
Interest receivable
   2,699    123,214 
  
 
 
   
 
 
 
Total assets
   367,258,097    284,649,062 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   30,056,910    —   
Payable on open futures contracts
   1,344,400    —   
Brokerage commissions and fees payable
   92,881    —   
Payable to Sponsor
   298,840    211,883 
  
 
 
   
 
 
 
Total liabilities
   31,793,031    211,883 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   335,465,066    284,437,179 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $367,258,097   $284,649,062 
  
 
 
   
 
 
 
Shares outstanding
   9,484,307    4,334,307 
  
 
 
   
 
 
 
Net asset value per share
  $35.37   $65.62 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $35.50   $65.23 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
7
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(36% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
  $25,000,000   $24,999,223 
0.110% due 12/10/20
   25,000,000    24,995,140 
0.090% due 01/07/21
   60,000,000    59,984,484 
0.110% due 01/14/21
   10,000,000    9,997,083 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $119,976,110)
    $119,975,930 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2020
   2,972   $90,274,500   $9,432,893 
VIX Futures - Cboe, expires November 2020
   2,335    76,763,125    (1,884,225) 
      
 
 
 
      $7,548,668 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
8
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $53,301  $1,291,477  $909,185  $4,759,836 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   1,116,999   757,124   3,592,232   2,647,947 
Brokerage commissions
   167,648   166,779   585,356   574,800 
Brokerage fees
   291,350   1,541   752,869   1,565 
Non-recurring
fees and expenses
   22,038   —     22,038   398,550 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,598,035   925,444   4,952,495   3,622,862 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,544,734)   366,033   (4,043,310)   1,136,974 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   60,593,315   1,173,763   (129,091,526)   71,706,713 
Short-term U.S. government and agency obligations
   (10)   1,969   (768)   1,961 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   60,593,305   1,175,732   (129,092,294)   71,708,674 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (1,463,210)   (5,428,459)   (2,706,204)   21,686,704 
Short-term U.S. government and agency obligations
   (189)   1,894   (2,866)   26,677 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (1,463,399)   (5,426,565)   (2,709,070)   21,713,381 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   59,129,906   (4,250,833)   (131,801,364)   93,422,055 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $57,585,172  $(3,884,800)  $(135,844,674)  $94,559,029 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
9
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $509,811,853  $337,102,327  $284,437,179  $344,596,263 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 850,000, 25,850,000 and 1,150,000 shares, respectively
   —     47,223,413   914,411,669   62,093,409 
Redemption of 6,750,000, 750,000, 20,700,000 and 3,000,000 shares, respectively
   (231,931,959)   (41,544,815)   (727,539,108)   (162,352,576) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (6,750,000), 100,000, 5,150,000 and (1,850,000) shares, respectively
   (231,931,959)   5,678,598   186,872,561   (100,259,167) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,544,734)   366,033   (4,043,310)   1,136,974 
Net realized gain (loss)
   60,593,305   1,175,732   (129,092,294)   71,708,674 
Change in net unrealized appreciation (depreciation)
   (1,463,399)   (5,426,565)   (2,709,070)   21,713,381 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   57,585,172   (3,884,800)   (135,844,674)   94,559,029 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $335,465,066  $338,896,125  $335,465,066  $338,896,125 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
10
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(135,844,674)  $94,559,029 
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
   (509,581,499)   (5,048,486,139) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   446,998,196   4,882,476,021 
Net amortization and accretion on short-term U.S. government and agency obligations
   (466,825)   (1,671,445) 
Net realized gain (loss) on investments
   768   (1,961) 
Change in unrealized appreciation (depreciation) on investments
   2,866   (26,677) 
Decrease (Increase) in receivable on futures contracts
   (38,580,764)   391,705 
Decrease (Increase) in interest receivable
   120,515   39,943 
Increase (Decrease) in payable to Sponsor
   86,957   (44,429) 
Increase (Decrease) in brokerage commissions and fees payable
   92,881   0   
Increase (Decrease) in payable on futures contracts
   1,344,400   (13,657,531) 
Increase (Decrease) in
non-recurring
fees and expenses payable
   0     45,949 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (235,827,179)   (86,375,535) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   914,411,669   59,395,856 
Payment on shares redeemed
   (697,482,198)   (162,352,576) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   216,929,471   (102,956,720) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (18,897,708)   (189,332,255) 
Cash, beginning of period
   167,544,087   296,898,455 
  
 
 
  
 
 
 
Cash, end of period
  $148,646,379  $107,566,200 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
11
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $199,954,811 and $200,101,525, respectively)
  $199,948,280   $200,115,463 
Cash
   590,495,821    86,168,083 
Segregated cash balances with brokers for futures contracts
   355,567,921    2,147,480 
Unrealized appreciation on swap agreements
   —      21,814,590 
Receivable from capital shares sold
   7,185,021    —   
Receivable on open futures contracts
   43,615,866    —   
Interest receivable
   30,193    123,221 
  
 
 
   
 
 
 
Total assets
   1,196,843,102    310,368,837 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   —      266,056 
Payable to Sponsor
   958,046    258,199 
  
 
 
   
 
 
 
Total liabilities
   958,046    524,255 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   1,195,885,056    309,844,582 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $1,196,843,102   $310,368,837 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   41,610,774    608,453 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $28.74   $509.23 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $28.45   $511.50 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
12
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(17% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.085% due 01/07/21
  $200,000,000   $199,948,280 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $199,954,811)
    $199,948,280 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2020
   19,296   $780,909,120   $134,030,779 
WTI Crude Oil - NYMEX, expires June 2021
   18,635    787,887,800    5,114,971 
WTI Crude Oil - NYMEX, expires December 2021
   18,385    792,761,200    (10,418,217) 
      
 
 
 
      $128,727,533 
      
 
 
 
the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements
^ payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
15
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2021   4,944   $290,064,480   $42,185,730 
 
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Societe Generale based on Bloomberg
Commodity Balanced
WTI Crude Oil Subindex
   0.35%   10/06/20   $30,255,607   $0   
       
 
 
 
      Total Unrealized
Appreciation
 
 		  $0   
       
 
 
 
^^  Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
20
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $70,213,227  $50,599,783  $169,800,371  $45,160,205 
                  
Addition of 1,150,000, 4,350,000, 5,200,000 and 5,835,000 shares, respectively   79,122,213   139,174,605   169,309,627   193,426,833 
Redemption of 1,400,000, 3,250,000, 11,550,000 and 3,485,288 shares, respectively   (63,145,980)   (126,648,412)   (309,321,303)   (136,823,861) 
                  
Net addition (redemption) of (250,000), 1,100,000, (6,350,000) and 2,349,712 shares, respectively   15,976,233   12,526,193   (140,011,676)   56,602,972 
                  
Net investment income (loss)   (212,510)   (323,543)   (845,018)   (447,190) 
Net realized gain (loss)   33,925,723   41,156,156   80,409,947   2,226,367 
Change in net unrealized appreciation (depreciation)   25,135,708   (4,754,827)   35,684,757   (4,338,592) 
                  
Net income (loss)   58,848,921   36,077,786   115,249,686   (2,559,415) 
                  
Shareholders’ equity, end of period
  $145,038,381  $99,203,762  $145,038,381  $99,203,762 
                  
See accompanying notes to financial statements.
22
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively)  $999,916   $—   
Cash   2,644,602    4,045,092 
Segregated cash balances with brokers for foreign currency forward contracts   —      607,000 
Unrealized appreciation on foreign currency forward contracts   2,136    89,103 
Interest receivable   100    162 
           
Total assets   3,646,754    4,741,357 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   2,813    3,625 
Unrealized depreciation on foreign currency forward contracts   164,822    367 
Non-recurring
fees and expenses payable
   15    15 
           
Total liabilities   167,650    4,007 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   3,479,104    4,737,350 
           
Total liabilities and shareholders’ equity  $3,646,754   $4,741,357 
           
Shares outstanding   250,000    300,000 
           
Net asset value per share  $13.92   $15.79 
           
Market value per share (Note 2)  $13.92   $15.81 
           
See accompanying notes to financial statements.
24
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PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(29% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.043% due 12/16/21
†
  $1,000,000   $999,916 
           
Total short-term U.S. government and agency obligations
(cost $999,912)		       $999,916 
           
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                  
Euro with Goldman Sachs International   10/08/21    3,388,921  $3,925,672  $(90,545) 
Euro with UBS AG   10/08/21    2,801,502   3,245,215   (74,277) 
                   
             Total Unrealized
Depreciation		 
 		 $(164,822) 
                   
Contracts to Sell
                  
Euro with Goldman Sachs International   10/08/21    (93,000)  $(107,730)  $941 
Euro with UBS AG   10/08/21    (84,000)   (97,304)   1,195 
                   
             Total Unrealized
Appreciation
   $2,136 
                   
 
†
All or partial amount pledged as collateral for foreign currency forwards.
^
The positions and counterparties herein are as of September 30, 2020.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
25
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2021   856   $150,399,200   $(3,936,408) 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25%   10/06/21   $107,235,945   $(2,550,199) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.25  10/06/21    92,669,240    (2,203,785) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25  10/06/21    111,553,685    (2,652,880) 
          
      

Total
Unrealized
Depreciation		 
 
 		  $(7,406,864) 
          
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
30
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2021   1,213   $133,715,055   $(5,439,801) 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25%   10/06/21   $219,572,067   $(28,588,785) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.30   10/06/21    219,657,055    (23,220,141) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   10/06/21    204,665,509    (21,635,372) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   10/06/21    182,787,599    (19,316,271) 
          
      
 		Total
Unrealized
Depreciation		 
 
 		  $(92,760,569) 
          
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
35
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   32,595   $745,375,941   $62,929,777 
VIX Futures - Cboe, expires November 2021   30,104    713,040,334    27,089,105 
         
      $90,018,882 
         
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Goldman Sachs International based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index   0.94%   10/06/21   $73,401,625   $7,933,765 
          
      

Total
Unrealized
Appreciation		 
 
 		  $7,933,765 
          
†All or partial amount pledged as collateral for futures contracts.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
40
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/ Value
 
Contracts to Purchase
                  
Yen with Goldman Sachs International   10/08/21    327,930,517  $2,946,301  $(34,305) 
Yen with UBS AG   10/08/21    253,562,756   2,278,140   (25,718) 
                   
             

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

Total
Unrealized
Appreciation		 
 
 		 $757 
                   
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2020,
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires December 2021   136   $9,838,240   $182,163 
See accompanying notes to financial statements.
50
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2021   848   $63,345,600   $(10,110,286) 
WTI Crude Oil - NYMEX, expires June 2022   876    62,327,400    (7,616,511) 
WTI Crude Oil - NYMEX, expires December 2022   909    61,539,300    (2,739,363) 
         
      $(20,466,160) 
         
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
55
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $79,400,059  $117,821,898  $96,839,233  $125,451,681 
                  
Addition of 3,350,000, 1,075,000, 7,237,500 and 6,662,500 shares, respectively (Note 1)   56,590,239   69,006,205   164,074,678   737,435,154 
Redemption of 1,550,000, 1,475,000, 3,138,672 and 8,025,000 shares, respectively (Note 1)   (29,202,905)   (95,618,902)   (74,119,819)   (816,970,482) 
                  
Net addition (redemption) of 1,800,000, (400,000), 4,098,828 and (1,362,500) shares, respectively (Note 1)   27,387,334   (26,612,697)   89,954,859   (79,535,328) 
                  
Net investment income (loss)   (241,725)   (342,320)   (751,650)   (1,155,759) 
Net realized gain (loss)   (11,449,562)   (16,296,829)   (86,637,748)   28,429,826 
Change in net unrealized appreciation (depreciation)   (1,520,893)   5,848,114   (5,829,481)   7,227,746 
                  
Net income (loss)   (13,212,180)   (10,791,035)   (93,218,879)   34,501,813 
                  
Shareholders’ equity, end of period
  $93,575,213  $80,418,166  $93,575,213  $80,418,166 
                  
See accompanying notes to financial statements.
57
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(93,218,879)  $34,501,813 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (117,984,270)   (32,897,274) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   85,000,000   95,246,647 
Net amortization and accretion on short-term U.S. government and agency obligations   (12,980)   (153,272) 
Net realized gain (loss) on investments   —     20 
Change in unrealized appreciation (depreciation) on investments   134   (4,030,769) 
Decrease (Increase) in receivable on futures contracts   60,902   281,879 
Decrease (Increase) in interest receivable   1,916   51,970 
Increase (Decrease) in payable to Sponsor   (13,396)   (20,975) 
Increase (Decrease) in brokerage commissions and futures account fees payable   12,910   —   
Increase (Decrease) in payable on futures contracts   (113,895)   3,316,805 
          
Net cash provided by (used in) operating activities   (126,267,558)   96,296,844 
          
Cash flow from financing activities
         
Proceeds from addition of shares   164,074,678   741,702,169 
Payment on shares redeemed   (74,119,819)   (816,970,482) 
          
Net cash provided by (used in) financing activities   89,954,859   (75,268,313) 
          
Net increase (decrease) in cash
   (36,312,699)   21,028,531 
Cash, beginning of period   97,113,373   61,909,177 
          
Cash, end of period  $60,800,674  $82,937,708 
          
See accompanying notes to financial statements.
58
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

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

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2021   4,720   $276,922,400   $(35,288,843) 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
60
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

September 30,
 
   
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(148,877,790)  $(11,416,527) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (144,983,115)   (54,978,482) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   98,000,000   28,159,767 
Net amortization and accretion on short-term U.S. government and agency obligations   (12,252)   (21,483) 
Net realized gain (loss) on investments   —     531 
Change in unrealized appreciation (depreciation) on investments   2,080   (108) 
Decrease (Increase) in receivable on futures contracts   —     (1,269,994) 
Decrease (Increase) in interest receivable   (2,114)   5,726 
Increase (Decrease) in payable to Sponsor   85,465   40,651 
Increase (Decrease) in brokerage commissions and futures account fees payable   27,103   —   
Increase (Decrease) in payable on futures contracts   14,455,099   (6,826) 
          
Net cash provided by (used in) operating activities   (181,305,524)   (39,486,745) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   446,153,207   198,730,524 
Payment on shares redeemed   (170,017,033)   (130,442,926) 
          
Net cash provided by (used in) financing activities   276,136,174   68,287,598 
          
Net increase (decrease) in cash
   94,830,650   28,800,853 
Cash, beginning of period   19,147,382   7,370,891 
          
Cash, end of period  $113,978,032  $36,171,744 
          
See accompanying notes to financial statements.
63
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

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

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/Value
 
Contracts to Purchase
      
Euro with UBS AG   10/08/21    5,650,000  $6,544,869  $(157,203) 
         
      


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


Total
Unrealized
Appreciation
 
 
 
 $2,284,006 
         
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
65
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $5,008  $18,939  $17,814  $486,623 
                  
Expenses
                 
Management fee   116,733   161,145   355,451   638,218 
Non-recurring
fees and expenses
   —     2,622   —     2,622 
                  
Total expenses   116,733   163,767   355,451   640,840 
                  
Net investment income (loss)   (111,725)   (144,828)   (337,637)   (154,217) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   2,974,466   (7,511,153)   2,249,236   (8,749,738) 
Short-term U.S. government and agency obligations   —     (14)   —     (14) 
                  
Net realized gain (loss)   2,974,466   (7,511,167)   2,249,236   (8,749,752) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   (618,447)   1,523,931   3,263,507   3,449,397 
Short-term U.S. government and agency obligations   489   1,860   (398)   (3,038) 
                  
Change in net unrealized appreciation (depreciation)   (617,958)   1,525,791   3,263,109   3,446,359 
                  
Net realized and unrealized gain (loss)   2,356,508   (5,985,376)   5,512,345   (5,303,393) 
                  
Net income (loss)
  $2,244,783  $(6,130,204)  $5,174,708  $(5,457,610) 
                  
See accompanying notes to financial statements.
66
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $5,174,708  $(5,457,610) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (89,988,404)   (198,751,004) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   65,000,000   220,684,953 
Net amortization and accretion on short-term U.S. government and agency obligations   (9,950)   (338,406) 
Net realized gain (loss) on investments   —     14 
Change in unrealized appreciation (depreciation) on investments   (3,263,109)   (3,446,359) 
Decrease (Increase) in interest receivable   1,752   59,976 
Increase (Decrease) in payable to Sponsor   (7,152)   (47,737) 
          
Net cash provided by (used in) operating activities   (23,092,155)   12,703,827 
          
Cash flow from financing activities
         
Proceeds from addition of shares   7,000,386   34,244,548 
Payment on shares redeemed   (16,487,616)   (78,341,410) 
          
Net cash provided by (used in) financing activities   (9,487,230)   (44,096,862) 
          
Net increase (decrease) in cash
   (32,579,385)   (31,393,035) 
Cash, beginning of period   44,132,228   44,280,278 
          
Cash, end of period  $11,552,843  $12,887,243 
          
See accompanying notes to financial statements.
68
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PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $17,999,022 and $–, respectively)  $17,998,972   $—   
Cash   8,368,137    16,935,121 
Segregated cash balances with brokers for futures contracts   860,625    1,503,750 
Segregated cash balances with brokers for swap agreements   —      2,194,500 
Unrealized appreciation on swap agreements   830,123    —   
Receivable on open futures contracts   —      1,317 
Interest receivable   299    742 
           
Total assets   28,058,156    20,635,430 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   306,991    12,410 
Brokerage commissions and futures account fees payable   211    —   
Payable to Sponsor   19,851    16,835 
Unrealized depreciation on swap agreements   —      268,728 
Non-recurring
fees and expenses payable
   81    81 
           
Total liabilities   327,134    298,054 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   27,731,022    20,337,376 
           
Total liabilities and shareholders’ equity  $28,058,156   $20,635,430 
           
Shares outstanding   796,977    646,977 
           
Net asset value per share  $34.80   $31.43 
           
Market value per share (Note 2)  $34.82   $31.14 
           
See accompanying notes to financial statements.
69
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PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(65% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21  $5,000,000   $4,999,955 
0.039% due 10/21/21
†
   3,000,000    2,999,867 
0.043% due 11/18/21
†
   5,000,000    4,999,767 
0.037% due 01/20/22   5,000,000    4,999,383 
       
Total short-term U.S. government and agency obligations
(cost $17,999,022)		    $17,998,972 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2021   114   $20,029,800   $432,050 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25%   10/06/21   $(14,518,233)  $340,577 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.20   10/06/21    (9,497,933)   223,115 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25   10/06/21    (11,357,509)   266,431 
         
      

Total
Unrealized
Appreciation		 
 
 		 $830,123 
         
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
13
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $50,356  $1,881,595  $1,817,563  $6,185,775 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   3,210,517   864,705   6,887,044   2,788,455 
Brokerage commissions
   600,233   52,522   1,744,115   105,841 
Brokerage fees
   635,311   —     1,172,060   —   
Non-recurring
fees and expenses
   24,637   —     24,637   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   4,470,698   917,227   9,827,856   2,894,296 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (4,420,342)   964,368   (8,010,293)   3,291,479 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   294,310,497   (746,696)   174,272,485   13,852,719 
Swap agreements
   (8,356,234)   62,998,998   (1,065,452,045)   99,011,264 
Short-term U.S. government and agency obligations
   —     3,639   159,318   7,512 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   285,954,263   62,255,941   (891,020,242)   112,871,495 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (222,585,432)   (4,683,633)   127,961,958   16,085,288 
Swap agreements
   (10,038,323)   (101,884,815)   (21,814,590)   34,837,810 
Short-term U.S. government and agency obligations
   (6,531)   (29,379)   (20,469)   39,630 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (232,630,286)   (106,597,827)   106,126,899   50,962,728 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   53,323,977   (44,341,886)   (784,893,343)   163,834,223 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $48,903,635  $(43,377,518)  $(792,903,636)  $167,125,702 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
14
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $1,508,661,459  $381,980,628  $309,844,582  $368,399,654 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 21,500,000, 610,000, 109,662,000 and 1,026,000 shares, respectively (Note 1)
   659,253,641   251,894,456   3,612,784,316   437,596,722 
Redemption of 32,650,000, 624,000, 68,659,679 and 1,390,000 shares, respectively (Note 1)
   (1,020,933,679)   (283,269,567)   (1,933,840,206)   (665,894,079) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (11,150,000), (14,000), 41,002,321 and (364,000) shares, respectively (Note 1)
   (361,680,038)   (31,375,111)   1,678,944,110   (228,297,357) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (4,420,342)   964,368   (8,010,293)   3,291,479 
Net realized gain (loss)
   285,954,263   62,255,941   (891,020,242)   112,871,495 
Change in net unrealized appreciation (depreciation)
   (232,630,286)   (106,597,827)   106,126,899   50,962,728 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   48,903,635   (43,377,518)   (792,903,636)   167,125,702 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $1,195,885,056  $307,227,999  $1,195,885,056  $307,227,999 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
15
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(792,903,636)  $167,125,702 
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
   (609,752,656)   (3,649,367,114) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   611,325,151   3,638,063,893 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,266,463)   (5,582,535) 
Net realized gain (loss) on investments
   (159,318)��  (7,512) 
Change in unrealized appreciation (depreciation) on investments
   21,835,059   (34,877,440) 
Decrease (Increase) in receivable on futures contracts
   (43,615,866)   190,440 
Decrease (Increase) in interest receivable
   93,028   3,816 
Increase (Decrease) in payable to Sponsor
   699,847   (18,346) 
Increase (Decrease) in payable on futures contracts
   (266,056)   2,039,266 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (814,010,910)   117,570,170 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   3,605,599,295   441,521,629 
Payment on shares redeemed
   (1,933,840,206)   (665,894,079) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,671,759,089   (224,372,450) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   857,748,179   (106,802,280) 
Cash, beginning of period
   88,315,563   148,018,312 
  
 
 
  
 
 
 
Cash, end of period
  $946,063,742  $41,216,032 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
16
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $59,991,933 and $27,528,924, respectively)
  $59,991,309   $27,530,314 
Cash
   13,682,503    7,072,257 
Segregated cash balances with brokers for futures contracts
   27,987,756    10,546,805 
Receivable on open futures contracts
   —      37,024 
Interest receivable
   833    10,591 
  
 
 
   
 
 
 
Total assets
   101,662,401    45,196,991 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   2,392,727    —   
Payable to Sponsor
   65,912    36,786 
  
 
 
   
 
 
 
Total liabilities
   2,458,639    36,786 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   99,203,762    45,160,205 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $101,662,401   $45,196,991 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   2,887,527    537,815 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $34.36   $83.97 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $34.63   $83.40 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
17
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(60% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
  $30,000,000   $29,999,067 
0.085% due 01/07/21
   30,000,000    29,992,242 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $59,991,933)
    $59,991,309 
    
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2020
   7,854   $198,470,580   $(6,988,806) 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
18
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $15,347  $174,945  $191,160  $431,788 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   199,772   81,234   378,784   196,929 
Brokerage commissions
   106,449   29,366   214,255   76,585 
Brokerage fees
   31,540   —     44,182   —   
Non-recurring
fees and expenses
   1,129   —     1,129   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   338,890   110,600   638,350   273,514 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (323,543)   64,345   (447,190)   158,274 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   41,156,156   (1,826,717)   2,225,390   (23,104,608) 
Short-term U.S. government and agency obligations
   —     (48)   977   (23) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   41,156,156   (1,826,765)   2,226,367   (23,104,631) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (4,754,372)   3,329,755   (4,336,578)   13,003,545 
Short-term U.S. government and agency obligations
   (455)   1,331   (2,014)   1,846 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (4,754,827)   3,331,086   (4,338,592)   13,005,391 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   36,401,329   1,504,321   (2,112,225)   (10,099,240) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $36,077,786  $1,568,666  $(2,559,415)  $(9,940,966) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
19
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $50,599,783  $33,637,758  $45,160,205  $14,617,440 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 4,350,000, 80,000, 5,835,000 and 365,000 shares, respectively (Note 1)
   139,174,605   9,839,170   193,426,833   65,142,814 
Redemption of 3,250,000, 130,000, 3,485,288 and 230,000 shares, respectively (Note 1)
   (126,648,412)   (20,224,963)   (136,823,861)   (44,998,657) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,100,000, (50,000), 2,349,712 and 135,000 shares, respectively (Note 1)
   12,526,193   (10,385,793)   56,602,972   20,144,157 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (323,543)   64,345   (447,190)   158,274 
Net realized gain (loss)
   41,156,156   (1,826,765)   2,226,367   (23,104,631) 
Change in net unrealized appreciation (depreciation)
   (4,754,827)   3,331,086   (4,338,592)   13,005,391 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   36,077,786   1,568,666   (2,559,415)   (9,940,966) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $99,203,762  $24,820,631  $99,203,762  $24,820,631 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
20
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(2,559,415)  $(9,940,966) 
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
   (115,881,108)   (374,214,906) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   83,563,843   369,840,579 
Net amortization and accretion on short-term U.S. government and agency obligations
   (144,767)   (217,142) 
Net realized gain (loss) on investments
   (977)   23 
Change in unrealized appreciation (depreciation) on investments
   2,014   (1,846) 
Decrease (Increase) in receivable on futures contracts
   37,024   0   
Decrease (Increase) in interest receivable
   9,758   (20,838) 
Increase (Decrease) in payable to Sponsor
   29,126   3,774 
Increase (Decrease) in payable on futures contracts
   2,392,727   (1,835,830) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (32,551,775)   (16,387,152) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   193,426,833   67,671,571 
Payment on shares redeemed
   (136,823,861)   (44,998,657) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   56,602,972   22,672,914 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   24,051,197   6,285,762 
Cash, beginning of period
   17,619,062   7,030,602 
  
 
 
  
 
 
 
Cash, end of period
  $41,670,259  $13,316,364 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
21
PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31,
2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $0 and $3,970,204, respectively)
  $—     $3,970,412 
Cash
   3,892,817    1,206,437 
Segregated cash balances with brokers for foreign currency forward contracts
   607,000    921,000 
Unrealized appreciation on foreign currency forward contracts
   20,636    109,997 
Interest receivable
   192    1,496 
  
 
 
   
 
 
 
Total assets
   4,520,645    6,209,342 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   4,088    4,918 
Unrealized depreciation on foreign currency forward contracts
   118,882    —   
  
 
 
   
 
 
 
Total liabilities
   122,970    4,918 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   4,397,675    6,204,424 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $4,520,645   $6,209,342 
  
 
 
   
 
 
 
Shares outstanding
   300,000    450,000 
  
 
 
   
 
 
 
Net asset value per share
  $14.66   $13.79 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $14.64   $13.77 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
22
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(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
  10/09/20   3,440,921  $4,034,867  $(37,463) 
Euro with UBS AG
  10/09/20   6,830,302   8,009,296   (81,419) 
      
 
 
 
      
 		Total
Unrealized
Depreciation		 
 
 		 $(118,882) 
      
 
 
 
Contracts to Sell
      
Euro with UBS AG
  10/09/20   (2,760,000)  $(3,236,411)  $20,636 
      
 
 
 
      
 		Total
Unrealized
Appreciation		 
 
 		 $20,636 
      
 
 
 
^
The positions and counterparties herein are as of September 30, 2020. 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.
23
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $357  $25,543  $16,350  $100,510 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   12,404   13,210   33,852   48,425 
Non-recurring
fees and expenses
   108   —     108   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   12,512   13,210   33,960   48,425 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (12,155)   12,333   (17,610)   52,085 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
   441,714   (396,315)   369,811   (756,187) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   441,714   (396,315)   369,811   (756,187) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
   (84,317)   (150,573)   (208,243)   (167,488) 
Short-term U.S. government and agency obligations
   —     268   (208)   275 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (84,317)   (150,305)   (208,451)   (167,213) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   357,397   (546,620)   161,360   (923,400) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $345,242  $(534,287)  $143,750  $(871,315) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
24
PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $4,067,686  $5,801,170  $6,204,424  $7,544,569 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 100,000, –, 200,000 and 50,000 shares, respectively
   1,470,669   —     2,838,707   744,567 
Redemption of 100,000, –, 350,000 and 150,000 shares, respectively
   (1,485,922)   —     (4,789,206)   (2,150,938) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, –, (150,000) and (100,000) shares, respectively
   (15,253)   —     (1,950,499)   (1,406,371) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (12,155)   12,333   (17,610)   52,085 
Net realized gain (loss)
   441,714   (396,315)   369,811   (756,187) 
Change in net unrealized appreciation (depreciation)
   (84,317)   (150,305)   (208,451)   (167,213) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   345,242   (534,287)   143,750   (871,315) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $4,397,675  $5,266,883  $4,397,675  $5,266,883 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
25
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $143,750  $(871,315) 
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
   (1,395,795)   (64,626,095) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   5,375,000   65,150,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (9,001)   (25,209) 
Change in unrealized appreciation (depreciation) on investments
   208,451   167,213 
Decrease (Increase) in interest receivable
   1,304   424 
Increase (Decrease) in payable to Sponsor
   (830)   (1,809) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   4,322,879   (206,791) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   2,838,707   744,567 
Payment on shares redeemed
   (4,789,206)   (2,150,938) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (1,950,499)   (1,406,371) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   2,372,380   (1,613,162) 
Cash, beginning of period
   2,127,437   5,989,270 
  
 
 
  
 
 
 
Cash, end of period
  $4,499,817  $4,376,108 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
26
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $244,959,430 and $66,174,584, respectively)
  $244,961,119   $66,177,998 
Cash
   18,903,105    36,455,823 
Segregated cash balances with brokers for futures contracts
   12,362,025    2,070,900 
Segregated cash balances with brokers for swap agreements
   8,649,000    —   
Unrealized appreciation on swap agreements
   —      5,890,260 
Receivable on open futures contracts
   —      170,073 
Interest receivable
   1,693    45,921 
  
 
 
   
 
 
 
Total assets
   284,876,942    110,810,975 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   746,800    —   
Payable to Sponsor
   226,017    84,943 
Unrealized depreciation on swap agreements
   8,453,519    —   
  
 
 
   
 
 
 
Total liabilities
   9,426,336    84,943 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   275,450,606    110,726,032 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $284,876,942   $110,810,975 
  
 
 
   
 
 
 
Shares outstanding
   4,000,000    2,250,000 
  
 
 
   
 
 
 
Net asset value per share
  $68.86   $49.21 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $68.58   $49.05 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
27
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(89% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
†
  $40,000,000   $39,998,756 
0.096% due 11/12/20
†
   80,000,000    79,991,600 
0.109% due 12/03/20
   25,000,000    24,995,845 
0.110% due 12/10/20
   25,000,000    24,995,140 
0.091% due 01/07/21
   50,000,000    49,987,070 
0.110% due 01/14/21
†
   25,000,000    24,992,708 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $244,959,430)
    $244,961,119 
    
 
 
 
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2020
   1,114   $211,158,700   $5,335,079 
Total Return Swap Agreements
^ payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
70
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $32,835,014  $15,851,043  $20,337,376  $21,047,560 
                  
Addition of 650,000, 750,000, 1,700,000 and 1,100,000 shares, respectively   21,916,482   23,162,997   59,279,388   38,594,844 
Redemption of 800,000, 350,000, 1,550,000 and 650,000 shares, respectively   (26,267,390)   (10,494,112)   (51,637,752)   (23,114,658) 
                  
Net addition (redemption) of (150,000), 400,000, 150,000 and 450,000 shares, respectively   (4,350,908)   12,668,885   7,641,636   15,480,186 
                  
Net investment income (loss)   (68,386)   (47,471)   (208,304)   (73,179) 
Net realized gain (loss)   1,213,721   (4,021,537)   (1,767,467)   (12,041,690) 
Change in net unrealized appreciation (depreciation)   (1,898,419)   2,689,061   1,727,781   2,727,104 
                  
Net income (loss)   (753,084)   (1,379,947)   (247,990)   (9,387,765) 
                  
Shareholders’ equity, end of period
  $27,731,022  $27,139,981  $27,731,022  $27,139,981 
                  
See accompanying notes to financial statements.
72
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(247,990)  $(9,387,765) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (40,994,386)   (19,981,048) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   22,999,935   27,371,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,402)   (34,425) 
Net realized gain (loss) on investments   (169)   —   
Change in unrealized appreciation (depreciation) on investments   (1,098,801)   (1,834,052) 
Decrease (Increase) in receivable on futures contracts   1,317   (55,281) 
Decrease (Increase) in interest receivable   443   11,119 
Increase (Decrease) in payable to Sponsor   3,016   472 
Increase (Decrease) in brokerage commissions and futures account fees payable   211   —   
Increase (Decrease) in payable on futures contracts   294,581   (25,211) 
          
Net cash provided by (used in) operating activities   (19,046,245)   (3,935,191) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   59,279,388   38,594,844 
Payment on shares redeemed   (51,637,752)   (23,114,658) 
          
Net cash provided by (used in) financing activities   7,641,636   15,480,186 
          
Net increase (decrease) in cash
   (11,404,609)   11,544,995 
Cash, beginning of period   20,633,371   9,895,915 
          
Cash, end of period  $9,228,762  $21,440,910 
          
See accompanying notes to financial statements.
73
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $21,999,135 and $–, respectively)  $21,998,799   $—   
Cash   11,285,816    18,919,314 
Segregated cash balances with brokers for futures contracts   4,768,750    1,503,250 
Segregated cash balances with brokers for swap agreements   —      11,732,485 
Unrealized appreciation on swap agreements   4,090,510    —   
Receivable from capital shares sold   1,563,293    —   
Receivable on open futures contracts   —      39,445 
Interest receivable   479    814 
           
Total assets   43,707,647    32,195,308 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   3,126,586    —   
Payable on open futures contracts   176,667    86,282 
Brokerage commissions and futures account fees payable   1,471    —   
Payable to Sponsor   28,913    25,557 
Unrealized depreciation on swap agreements   —      3,197,561 
Non-recurring
fees and expenses payable
   133    133 
           
Total liabilities   3,333,770    3,309,533 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   40,373,877    28,885,775 
           
Total liabilities and shareholders’ equity  $43,707,647   $32,195,308 
           
Shares outstanding (Note 1)   1,291,329    1,041,744 
           
Net asset value per share (Note 1)  $31.27   $27.73 
           
Market value per share (Note 1)(Note 2)  $30.97   $27.40 
           
See accompanying notes to financial statements.
74
Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(54% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21
†
  $5,000,000   $4,999,955 
0.013% due 10/21/21
†
   9,000,000    8,999,600 
0.043% due 11/18/21
†
   3,000,000    2,999,860 
0.037% due 01/20/22   5,000,000    4,999,384 
       
Total short-term U.S. government and agency obligations
(cost $21,999,135)		    $21,998,799 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2021   380   $41,889,300   $2,955,976 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25%   10/06/21   $(7,432,206)  $782,817 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.25   10/06/21    (9,839,512)   1,036,372 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   10/06/21    (7,779,988)   819,178 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   10/06/21    (13,786,912)   1,452,143 
         
      
 		Total
Unrealized
Appreciation		 
 
 		 $4,090,510 
         
 
   
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%   10/06/20   $116,941,808   $(2,960,904) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25   10/06/20    101,056,679    (2,558,700) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25   10/06/20    121,650,344    (2,933,915) 
       
 
 
 
      Total Unrealized
Depreciation
 
 
  $(8,453,519) 
       
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2020,
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
28
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $59,354  $508,770  $543,895  $1,333,779 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   640,992   250,296   1,269,866   630,646 
Brokerage commissions
   12,115   3,838   28,599   7,625 
Brokerage fees
   20,487   —     30,683   —   
Non-recurring
fees and expenses
   3,751   —     3,751   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   677,345   254,134   1,332,899   638,271 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (617,991)   254,636   (789,004)   695,508 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   2,752,270   2,270,709   5,806,708   1,898,731 
Swap agreements
   22,990,026   14,454,316   45,798,972   17,616,231 
Forward agreements
   —     —     —     4,790,603 
Short-term U.S. government and agency obligations
   —     —     —     402 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   25,742,296   16,725,025   51,605,680   24,305,967 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   1,046,895   (1,507,796)   3,086,565   1,252,162 
Swap agreements
   (19,104,511)   (10,285,583)   (14,343,779)   (3,921,350) 
Forward agreements
   —     —     —     (4,253,301) 
Short-term U.S. government and agency obligations
   3,025   5,560   (1,725)   18,960 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (18,054,591)   (11,787,819)   (11,258,939)   (6,903,529) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   7,687,705   4,937,206   40,346,741   17,402,438 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $7,069,714  $5,191,842  $39,557,737  $18,097,946 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
29
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $165,689,050  $85,377,335  $110,726,032  $83,523,294 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,700,000, 450,000, 3,150,000 and 850,000 shares, respectively
   120,448,172   21,152,973   204,437,233   36,017,830 
Redemption of 250,000, 50,000, 1,400,000 and 750,000 shares, respectively
   (17,756,330)   (2,368,290)   (79,270,396)   (28,285,210) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,450,000, 400,000, 1,750,000 and 100,000 shares, respectively
   102,691,842   18,784,683   125,166,837   7,732,620 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (617,991)   254,636   (789,004)   695,508 
Net realized gain (loss)
   25,742,296   16,725,025   51,605,680   24,305,967 
Change in net unrealized appreciation (depreciation)
   (18,054,591)   (11,787,819)   (11,258,939)   (6,903,529) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   7,069,714   5,191,842   39,557,737   18,097,946 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $275,450,606  $109,353,860  $275,450,606  $109,353,860 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
30
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended

September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $39,557,737  $18,097,946 
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
   (491,677,717)   (819,101,339) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   313,257,000   763,380,072 
Net amortization and accretion on short-term U.S. government and agency obligations
   (364,129)   (1,127,912) 
Net realized gain (loss) on investments
   0     (402) 
Change in unrealized appreciation (depreciation) on investments
   14,345,504   8,155,691 
Decrease (Increase) in receivable on futures contracts
   170,073   0   
Decrease (Increase) in interest receivable
   44,228   (12,096) 
Increase (Decrease) in payable to Sponsor
   141,074   26,193 
Increase (Decrease) in payable on futures contracts
   746,800   1,492,092 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (123,779,430)   (29,089,755) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   204,437,233   36,017,830 
Payment on shares redeemed
   (79,270,396)   (31,997,864) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   125,166,837   4,019,966 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   1,387,407   (25,069,789) 
Cash, beginning of period
   38,526,723   41,098,043 
  
 
 
  
 
 
 
Cash, end of period
  $39,914,130  $16,028,254 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
31
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020

(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $544,884,342 and $135,537,081, respectively)
  $544,890,608   $135,544,101 
Cash
   66,954,087    71,876,942 
Segregated cash balances with brokers for futures contracts
   51,878,717    7,181,720 
Segregated cash balances with brokers for swap agreements
   108,754,000    —   
Unrealized appreciation on swap agreements
   —      25,135,898 
Interest receivable
   7,413    91,720 
  
 
 
   
 
 
 
Total assets
   772,484,825    239,830,381 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   4,224,716    —   
Payable on open futures contracts
   9,727,663    398,936 
Payable to Sponsor
   567,724    176,603 
Unrealized depreciation on swap agreements
   137,081,566    —   
  
 
 
   
 
 
 
Total liabilities
   151,601,669    575,539 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   620,883,156    239,254,842 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $772,484,825   $239,830,381 
  
 
 
   
 
 
 
Shares outstanding
   14,696,526    7,546,526 
  
 
 
   
 
 
 
Net asset value per share
  $42.25   $31.70 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $41.77   $31.65 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
32
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(88% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
†
  $50,000,000   $49,998,445 
0.096% due 11/12/20
†
   150,000,000    149,984,250 
0.109% due 12/03/20
†
   50,000,000    49,991,690 
0.110% due 12/10/20
   50,000,000    49,990,280 
0.094% due 01/07/21
   95,000,000    94,975,433 
0.110% due 01/14/21
†
   50,000,000    49,985,415 
0.113% due 01/28/21
†
   50,000,000    49,983,470 
0.112% due 02/04/21
†
   50,000,000    49,981,625 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $544,884,342)
    $544,890,608 
    
 
 
 
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2020
   3,288   $386,241,359   $(47,130,776) 
Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
75
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively)  $16,998,447   $—   
Cash   5,846,465    21,470,564 
Segregated cash balances with brokers for foreign currency forward contracts   —      2,804,000 
Unrealized appreciation on foreign currency forward contracts   549,354    7,008 
Interest receivable   361    914 
           
Total assets   23,394,627    24,282,486 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   17,831    19,348 
Unrealized depreciation on foreign currency forward contracts   47,780    571,974 
Non-recurring
fees and expenses payable
   94    94 
           
Total liabilities   65,705    591,416 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   23,328,922    23,691,070 
           
Total liabilities and shareholders’ equity  $23,394,627   $24,282,486 
           
Shares outstanding   299,290    349,290 
           
Net asset value per share  $77.95   $67.83 
           
Market value per share (Note 2)  $77.96   $67.81 
           
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(73% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21
†
  $3,000,000   $2,999,867 
0.043% due 11/18/21   4,000,000    3,999,813 
0.037% due 01/20/22   10,000,000    9,998,767 
       
Total short-term U.S. government and agency obligations
(cost $16,998,654)		    $16,998,447 
       
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
      
Yen with Goldman Sachs International   10/08/21    32,600,000  $292,895  $(5,286) 
Yen with UBS AG   10/08/21    373,110,000   3,352,216   (42,494) 
         
      
Total Unrealized
Depreciation		 
 		 $(47,780) 
         
Contracts to Sell
      
Yen with Goldman Sachs International   10/08/21    (1,558,854,165)  $(14,005,562)  $143,685 
Yen with UBS AG   10/08/21    (4,049,118,875)   (36,379,405)   405,669 
         
      
Total Unrealized
Appreciation		 
 		 $549,354 
         
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   8,245   $188,545,011   $15,851,921 
VIX Futures - Cboe, expires November 2021   7,617    180,415,500    5,515,175 
                
             $21,367,096 
                
^^
Rates shown represent discount rate at the time of purchase.
   
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%   10/06/20   $257,181,535   $(43,662,292) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.30   10/06/20    223,086,085    (33,251,913) 
Swap agreement with Morgan Stanley
& Co. International PLC
based on Bloomberg Silver Subindex
   0.30   10/06/20    205,360,117    (28,524,197) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   10/06/20    169,907,857    (31,643,164) 
       
 
 
 
      Total Unrealized
Depreciation		 
 		  $(137,081,566) 
       
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2020, 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.
33
PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $103,976  $1,032,102  $1,018,578  $2,867,840 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   1,462,400   528,976   2,369,293   1,393,382 
Brokerage commissions
   54,812   13,720   99,986   27,422 
Brokerage fees
   80,036   —     100,982   3 
Non-recurring
fees and expenses
   3,943   —     3,943   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,601,191   542,696   2,574,204   1,420,807 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,497,215)   489,406   (1,555,626)   1,447,033 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   97,830,248   8,767,983   107,671,815   7,021,085 
Swap agreements
   192,408,549   60,466,029   190,255,641   35,132,591 
Forward agreements
   —     —     —     32,366,374 
Short-term U.S. government and agency obligations
   —     18   —     150 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   290,238,797   69,234,030   297,927,456   74,520,200 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (53,237,345)   (3,576,772)   (52,855,325)   (2,839,282) 
Swap agreements
   (146,084,199)   (32,597,679)   (162,217,464)   (25,446,936) 
Forward agreements
   —     —     —     (26,301,717) 
Short-term U.S. government and agency obligations
   7,772   11,550   (754)   36,097 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (199,313,772)   (36,162,901)   (215,073,543)   (54,551,838) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   90,925,025   33,071,129   82,853,913   19,968,362 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $89,427,810  $33,560,535  $81,298,287  $21,415,395 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
34
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $249,671,968  $178,444,838  $239,254,842  $201,824,376 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 8,050,000, 750,000, 10,300,000 and 2,050,000 shares, respectively
   383,530,355   23,886,106   439,990,085   55,464,494 
Redemption of 1,800,000, 600,000, 3,150,000 and 2,300,000 shares, respectively
   (101,746,977)   (19,832,736)   (139,660,058)   (62,645,522) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 6,250,000, 150,000, 7,150,000 and (250,000) shares, respectively
   281,783,378   4,053,370   300,330,027   (7,181,028) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,497,215)   489,406   (1,555,626)   1,447,033 
Net realized gain (loss)
   290,238,797   69,234,030   297,927,456   74,520,200 
Change in net unrealized appreciation (depreciation)
   (199,313,772)   (36,162,901)   (215,073,543)   (54,551,838) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   89,427,810   33,560,535   81,298,287   21,415,395 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $620,883,156  $216,058,743  $620,883,156  $216,058,743 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
35
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
   
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $81,298,287  $21,415,395 
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
   (874,359,830)   (1,528,443,758) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   465,705,000   1,426,099,204 
Net amortization and accretion on short-term U.S. government and agency obligations
   (692,431)   (2,391,508) 
Net realized gain (loss) on investments
   0     (150) 
Change in unrealized appreciation (depreciation) on investments
   162,218,218   51,712,556 
Decrease (Increase) in interest receivable
   84,307   (63,635) 
Increase (Decrease) in payable to Sponsor
   391,121   42,077 
Increase (Decrease) in payable on futures contracts
   9,328,727   2,944,371 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (156,026,601)   (28,685,448) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   439,990,085   55,464,494 
Payment on shares redeemed
   (135,435,342)   (62,645,522) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   304,554,743   (7,181,028) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   148,528,142   (35,866,476) 
Cash, beginning of period
   79,058,662   51,907,742 
  
 
 
  
 
 
 
Cash, end of period
  $227,586,804  $16,041,266 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
36
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020

(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $444,907,512 and $179,736,532, respectively)
  $444,907,768   $179,749,262 
Cash
   71,116,310    179,318,928 
Segregated cash balances with brokers for futures contracts
   659,560,508    175,258,401 
Segregated cash balances with brokers for swap agreements
   12,088,000    6,984,000 
Receivable from capital shares sold
   28,224,026    87,500 
Securities sold receivable
   246,192    —   
Receivable on open futures contracts
   92,924,129    20,666,579 
Interest receivable
   8,915    212,666 
  
 
 
   
 
 
 
Total assets
   1,309,075,848    562,277,336 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   —      34,019,820 
Brokerage commissions and fees payable
   419,056    —   
Payable to Sponsor
   1,045,271    411,729 
Unrealized depreciation on swap agreements
   —      209,784 
  
 
 
   
 
 
 
Total liabilities
   1,464,327    34,641,333 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   1,307,611,521    527,636,003 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $1,309,075,848   $562,277,336 
  
 
 
   
 
 
 
Shares outstanding
   64,880,912    41,630,912 
  
 
 
   
 
 
 
Net asset value per share
  $20.15   $12.67 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $19.92   $12.89 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
37
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(34% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
  $50,000,000   $49,998,445 
0.096% due 11/12/20
   100,000,000    99,989,500 
0.110% due 12/10/20
   50,000,000    49,990,280 
0.088% due 01/07/21
   145,000,000    144,962,503 
0.110% due 01/14/21
   50,000,000    49,985,415 
0.112% due 02/04/21
   50,000,000    49,981,625 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $444,907,512)
    $444,907,768 
    
 
 
 
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2020
   34,258   $1,040,586,750   $579,013 
VIX Futures - Cboe, expires November 2020
   26,919    884,962,125    19,146,059 
      
 
 
 
      $19,725,072 
      
 
 
 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
   1.02%   10/28/20   $38,626,764   $ 0   
       
 
 
 
      Total Unrealized
Depreciation		 
 		  $0   
       
 
 
 
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2020, 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.
38
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $88,621  $2,018,561  $1,601,884  $6,119,714 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   2,969,740   1,166,670   5,646,893   3,488,439 
Brokerage commissions
   1,102,235   723,766   2,282,095   2,119,082 
Brokerage fees
   1,143,160   —     1,614,431   64 
Non-recurring
fees and expenses
   10,480   —     10,480   27,508 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   5,225,615   1,890,436   9,553,899   5,635,093 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,136,994)   128,125   (7,952,015)   484,621 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (541,559,555)   (49,855,031)   43,875,522   (266,921,725) 
Swap agreements
   (17,978,295)   (5,472,509)   14,791,068   (38,604,974) 
Short-term U.S. government and agency obligations
   —     11,791   —     11,441 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (559,537,850)   (55,315,749)   58,666,590   (305,515,258) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   11,342,353   43,186,841   66,121,853   (34,582,911) 
Swap agreements
   3,959,662   2,019,086   209,784   1,135,722 
Short-term U.S. government and agency obligations
   1,112   1,358   (12,474)   33,399 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   15,303,127   45,207,285   66,319,163   (33,413,790) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (544,234,723)   (10,108,464)   124,985,753   (338,929,048) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(549,371,717)  $(9,980,339)  $117,033,738  $(338,444,427) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
39
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $992,156,607  $529,341,464  $527,636,003  $214,304,871 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 42,800,000, 23,650,000, 77,550,000 and 55,850,000 shares, respectively
   1,066,976,088   634,964,519   2,276,625,957   1,949,376,975 
Redemption of 8,050,000, 17,550,000, 54,300,000 and 34,950,000 shares, respectively
   (202,149,457)   (557,219,594)   (1,613,684,177)   (1,228,131,369) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 34,750,000, 6,100,000, 23,250,000 and 20,900,000 shares, respectively
   864,826,631   77,744,925   662,941,780   721,245,606 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,136,994)   128,125   (7,952,015)   484,621 
Net realized gain (loss)
   (559,537,850)   (55,315,749)   58,666,590   (305,515,258) 
Change in net unrealized appreciation (depreciation)
   15,303,127   45,207,285   66,319,163   (33,413,790) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (549,371,717)   (9,980,339)   117,033,738   (338,444,427) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $1,307,611,521  $597,106,050  $1,307,611,521  $597,106,050 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
40
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
   
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $117,033,738  $(338,444,427) 
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
   (965,269,478)   (4,819,237,640) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   701,000,000   4,611,774,764 
Net amortization and accretion on short-term U.S. government and agency obligations
   (901,502)   (2,153,373) 
Net realized gain (loss) on investments
   0     (11,441) 
Change in unrealized appreciation (depreciation) on investments
   (197,310)   (1,169,121) 
Decrease (Increase) in securities sold receivable
   (246,192)   0   
Decrease (Increase) in receivable on futures contracts
   (72,257,550)   (15,657,867) 
Decrease (Increase) in interest receivable
   203,751   (180,227) 
Increase (Decrease) in payable to Sponsor
   633,542   188,287 
Increase (Decrease) in brokerage commissions and fees payable
   419,056   0   
Increase (Decrease) in payable on futures contracts
   (34,019,820)   11,805,615 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (253,601,765)   (553,085,430) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   2,248,489,431   1,957,526,924 
Payment on shares redeemed
   (1,613,684,177)   (1,228,131,369) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   634,805,254   729,395,555 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   381,203,489   176,310,125 
Cash, beginning of period
   361,561,329   202,920,595 
  
 
 
  
 
 
 
Cash, end of period
  $742,764,818  $379,230,720 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
41
PROSHARES ULTRA YEN
STATEMENTS
OF FINANCIAL
CONDITION
   
September 30, 2020

(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $0 and $1,808,030, respectively)
  $—     $1,808,104 
Cash
   2,545,241    3,283,138 
Segregated cash balances with brokers for foreign currency forward contracts
   302,000    500,000 
Unrealized appreciation on foreign currency forward contracts
   37,575    —   
Interest receivable
   104    4,726 
  
 
 
   
 
 
 
Total assets
   2,884,920    5,595,968 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   2,240    4,475 
Unrealized depreciation on foreign currency forward contracts
   —      10,529 
  
 
 
   
 
 
 
Total liabilities
   2,240    15,004 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   2,882,680    5,580,964 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $2,884,920   $5,595,968 
  
 
 
   
 
 
 
Shares outstanding
   49,970    99,970 
  
 
 
   
 
 
 
Net asset value per share
  $57.69   $55.83 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $57.69   $55.83 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
42
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(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 Goldman Sachs International
   10/09/20    332,532,517  $3,153,308  $21,379 
Yen with UBS AG
   10/09/20    278,602,756   2,641,907   16,181 
      
 
 
 
      Total Unrealized
Appreciation		 
 		 $37,560 
      
 
 
 
Contracts to Sell
      
Yen with UBS AG
   10/09/20    (2,680,000)  $(25,414)  $15 
      
 
 
 
      Total Unrealized
Appreciation
 
 
 $15 
      
 
 
 
 
90
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
Table of Contents
See accompanying notes to financial statements.
43
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $171  $16,771  $9,100  $62,655 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   6,813   8,325   20,655   29,970 
Non-recurring
fees and expenses
   78   —     78   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   6,891   8,325   20,733   29,970 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (6,720)   8,446   (11,633)   32,685 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
   126,569   37,748   11,333   131,724 
Short-term U.S. government and agency obligations
   —     (162)   —     (162) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   126,569   37,586   11,333   131,562 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
   (1,524)   (76,553)   48,104   (205,249) 
Short-term U.S. government and agency obligations
   —     352   (74)   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (1,524)   (76,201)   48,030   (205,249) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   125,045   (38,615)   59,363   (73,687) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $118,325  $(30,169)  $47,730  $(41,002) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
44
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $2,764,355  $5,807,397  $5,580,964  $5,751,716 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, –, – and 100,000 shares, respectively
   —     —     —     5,758,562 
Redemption of –, 50,000, 50,000 and 150,000 shares, respectively
   —     (2,925,841)   (2,746,014)   (8,617,889) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, (50,000), (50,000) and (50,000) shares, respectively
   —     (2,925,841)   (2,746,014)   (2,859,327) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (6,720)   8,446   (11,633)   32,685 
Net realized gain (loss)
   126,569   37,586   11,333   131,562 
Change in net unrealized appreciation (depreciation)
   (1,524)   (76,201)   48,030   (205,249) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   118,325   (30,169)   47,730   (41,002) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,882,680  $2,851,387  $2,882,680  $2,851,387 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
45
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $47,730  $(41,002) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (99,700)   (40,320,918) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,911,000   40,338,736 
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,270)   (17,980) 
Net realized gain (loss) on investments
   0     162 
Change in unrealized appreciation (depreciation) on investments
   (48,030)   205,249 
Decrease (Increase) in interest receivable
   4,622   783 
Increase (Decrease) in payable to Sponsor
   (2,235)   (184) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   1,810,117   164,846 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   0     8,605,138 
Payment on shares redeemed
   (2,746,014)   (8,617,889) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (2,746,014)   (12,751) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (935,897)   152,095 
Cash, beginning of period
   3,783,138   2,726,531 
  
 
 
  
 
 
 
Cash, end of period
  $2,847,241  $2,878,626 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
46
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF
FINANCIAL
CONDITION
   
September 30, 2020

(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $0 and $3,931,268, respectively)
  $—     $3,931,474 
Cash
   4,934,884    1,506,673 
Segregated cash balances with brokers for futures contracts
   287,100    211,200 
Interest receivable
   197    1,707 
  
 
 
   
 
 
 
Total assets
   5,222,181    5,651,054 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   44,555    37,725 
Payable to Sponsor
   3,958    4,717 
  
 
 
   
 
 
 
Total liabilities
   48,513    42,442 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   5,173,668    5,608,612 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $5,222,181   $5,651,054 
  
 
 
   
 
 
 
Shares outstanding
   100,000    100,000 
  
 
 
   
 
 
 
Net asset value per share
  $51.74   $56.09 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $51.67   $55.88 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
47
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires December 2020
   145   $10,386,350   $166,370 
See accompanying notes to financial statements.
48
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $289  $38,466  $20,385  $134,230 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   12,478   17,005   42,496   57,983 
Brokerage commissions
   928   1,508   3,766   4,610 
Non-recurring
fees and expenses
   177   —     177   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   13,583   18,513   46,439   62,593 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,294)   19,953   (26,054)   71,637 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (432,100)   312,374   (799,054)   825,235 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (432,100)   312,374   (799,054)   825,235 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   5,020   351,366   390,370   (300,635) 
Short-term U.S. government and agency obligations
   —     (193)   (206)   11 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   5,020   351,173   390,164   (300,624) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (427,080)   663,547   (408,890)   524,611 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(440,374)  $683,500  $(434,944)  $596,248 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
49
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $5,614,042  $8,364,065  $5,608,612  $11,060,333 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 50,000, – and 50,000 shares, respectively
   —     3,004,977   —     3,004,977 
Redemption of –, 50,000, – and 100,000 shares, respectively
   —     (2,976,743)   —     (5,585,759) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, –, – and (50,000) shares, respectively
   —     28,234   —     (2,580,782) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,294)   19,953   (26,054)   71,637 
Net realized gain (loss)
   (432,100)   312,374   (799,054)   825,235 
Change in net unrealized appreciation (depreciation)
   5,020   351,173   390,164   (300,624) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (440,374)   683,500   (434,944)   596,248 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $5,173,668  $9,075,799  $5,173,668  $9,075,799 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
50
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(434,944)  $596,248 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (498,498)   (127,013,643) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   4,436,000   127,350,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (6,234)   (36,809) 
Change in unrealized appreciation (depreciation) on investments
   206   (11) 
Decrease (Increase) in receivable on futures contracts
   0     (17,820) 
Decrease (Increase) in interest receivable
   1,510   181 
Increase (Decrease) in payable to Sponsor
   (759)   (3,165) 
Increase (Decrease) in payable on futures contracts
   6,830   0   
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   3,504,111   874,981 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   0     3,004,977 
Payment on shares redeemed
   0     (5,585,759) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   0     (2,580,782) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   3,504,111   (1,705,801) 
Cash, beginning of period
   1,717,873   10,754,381 
  
 
 
  
 
 
 
Cash, end of period
  $5,221,984  $9,048,580 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
51
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS
OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $0 and $62,196,121, respectively)
  $—     $62,199,283 
Cash
   55,467,727    50,856,757 
Segregated cash balances with brokers for futures contracts
   27,281,981    7,239,420 
Segregated cash balances with brokers for swap agreements
   188,000    3,813,000 
Receivable from capital shares sold
   —      4,267,015 
Receivable on open futures contracts
   862,525    1,144,404 
Interest receivable
   2,195    54,165 
  
 
 
   
 
 
 
Total assets
   83,802,428    129,574,044 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   3,316,805    —   
Payable to Sponsor
   67,457    88,432 
Unrealized depreciation on swap agreements
   —      4,033,931 
  
 
 
   
 
 
 
Total liabilities
   3,384,262    4,122,363 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   80,418,166    125,451,681 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $83,802,428   $129,574,044 
  
 
 
   
 
 
 
Shares outstanding
   4,839,884    10,289,884 
  
 
 
   
 
 
 
Net asset value per share
  $16.62   $12.19 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $16.77   $12.15 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
52
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized

Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2020
   1,314   $53,177,580   $627,760 
WTI Crude Oil - NYMEX, expires June 2021
   1,269    53,653,320    (1,070,006) 
WTI Crude Oil - NYMEX, expires December 2021
   1,252    53,986,240    520,534 
      
 
 
 
      $78,288 
      
 
 
 
See accompanying notes to financial statements.
53
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $4,832  $418,817  $259,750  $1,205,353 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   238,038   192,976   789,307   549,398 
Brokerage commissions
   64,657   25,558   488,442   54,060 
Brokerage fees
   39,565   —     132,868   —   
Non-recurring
fees and expenses
   4,892   —     4,892   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   347,152   218,534   1,415,509   603,458 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (342,320)   200,283   (1,155,759)   601,895 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (12,932,125)   (2,990,011)   (13,146,261)   (8,173,917) 
Swap agreements
   (3,364,704)   (9,243,269)   41,576,107   (3,091,400) 
Short-term U.S. government and agency obligations
   —     —     (20)   1,200 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (16,296,829)   (12,233,280)   28,429,826   (11,264,117) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   3,752,436   2,788,436   3,196,977   (2,034,212) 
Swap agreements
   2,095,678   20,406,491   4,033,931   (10,239,687) 
Short-term U.S. government and agency obligations
   —     4,208   (3,162)   11,306 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   5,848,114   23,199,135   7,227,746   (12,262,593) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (10,448,715)   10,965,855   35,657,572   (23,526,710) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(10,791,035)  $11,166,138  $34,501,813  $(22,924,815) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
54
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $117,821,898  $68,096,767  $125,451,681  $114,377,311 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 4,300,000, 8,450,000, 26,650,000 and 16,700,000 shares, respectively
   69,006,205   127,731,733   737,435,154   270,984,807 
Redemption of 5,900,000, 6,850,000, 32,100,000 and 14,900,000 shares, respectively
   (95,618,902)   (114,523,365)   (816,970,482)   (269,966,030) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (1,600,000), 1,600,000, (5,450,000) and 1,800,000 shares, respectively
   (26,612,697)   13,208,368   (79,535,328)   1,018,777 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (342,320)   200,283   (1,155,759)   601,895 
Net realized gain (loss)
   (16,296,829)   (12,233,280)   28,429,826   (11,264,117) 
Change in net unrealized appreciation (depreciation)
   5,848,114   23,199,135   7,227,746   (12,262,593) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (10,791,035)   11,166,138   34,501,813   (22,924,815) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $80,418,166  $92,471,273  $80,418,166  $92,471,273 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
55
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $34,501,813  $(22,924,815) 
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
   (32,897,274)   (1,337,379,641) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   95,246,647   1,291,301,091 
Net amortization and accretion on short-term U.S. government and agency obligations
   (153,272)   (808,322) 
Net realized gain (loss) on investments
   20   (1,200) 
Change in unrealized appreciation (depreciation) on investments
   (4,030,769)   10,228,381 
Decrease (Increase) in receivable on futures contracts
   281,879   (60,224) 
Decrease (Increase) in interest receivable
   51,970   (16,634) 
Increase (Decrease) in payable to Sponsor
   (20,975)   (14,088) 
Increase (Decrease) in payable on futures contracts
   3,316,805   902,983 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   96,296,844   (58,772,469) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   741,702,169   296,443,692 
Payment on shares redeemed
   (816,970,482)   (264,430,559) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (75,268,313)   32,013,133 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   21,028,531   (26,759,336) 
Cash, beginning of period
   61,909,177   39,972,133 
  
 
 
  
 
 
 
Cash, end of period
  $82,937,708  $13,212,797 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
56
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $31,994,270 and $5,154,603, respectively)
  $31,994,651   $5,154,876 
Cash
   23,006,245    4,438,331 
Segregated cash balances with brokers for futures contracts
   13,165,499    2,932,560 
Receivable on open futures contracts
   1,269,994    —   
Interest receivable
   796    6,522 
  
 
 
   
 
 
 
Total assets
   69,437,185    12,532,289 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   22,448,688    —   
Payable on open futures contracts
   —      6,826 
Payable to Sponsor
   50,511    9,860 
  
 
 
   
 
 
 
Total liabilities
   22,499,199    16,686 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   46,937,986    12,515,603 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $69,437,185   $12,532,289 
  
 
 
   
 
 
 
Shares outstanding
   1,224,832    324,832 
  
 
 
   
 
 
 
Net asset value per share
  $38.32   $38.53 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $38.01   $38.82 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
57
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(68% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.096% due 11/12/20
  $20,000,000   $19,997,900 
0.109% due 12/03/20
   2,000,000    1,999,668 
0.110% due 01/14/21
   10,000,000    9,997,083 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $31,994,270)
    $31,994,651 
    
 
 
 
Futures Contracts Sold
             
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2020
   3,715   $93,878,050   $10,202,330 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
58
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $8,136 ��$25,657  $51,939  $133,810 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   138,507   12,382   207,544   61,451 
Brokerage commissions
   98,416   8,619   177,159   36,500 
Brokerage fees
   20,454   —     25,803   —   
Non-recurring
fees and expenses
   345   —     345   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   257,722   21,001   410,851   97,951 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (249,586)   4,656   (358,912)   35,859 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (31,450,011)   (68,026)   (20,587,193)   14,701,140 
Short-term U.S. government and agency obligations
   19   —     (531)   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (31,449,992)   (68,026)   (20,587,724)   14,701,140 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   8,968,702   790,889   9,530,001   (10,072,024) 
Short-term U.S. government and agency obligations
   435   422   108   539 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   8,969,137   791,311   9,530,109   (10,071,485) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (22,480,855)   723,285   (11,057,615)   4,629,655 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(22,730,441)  $727,941  $(11,416,527)  $4,665,514 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
59
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $28,552,210  $3,838,842  $12,515,603  $17,825,441 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 3,200,000, 300,000, 4,400,000 and 800,000 shares, respectively
   130,455,301   7,960,389   198,730,524   18,993,016 
Redemption of 2,400,000, 150,000, 3,500,000 and 1,350,000 shares, respectively
   (89,339,084)   (4,440,948)   (152,891,614)   (33,397,747) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 800,000, 150,000, 900,000 and (550,000) shares, respectively
   41,116,217   3,519,441   45,838,910   (14,404,731) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (249,586)   4,656   (358,912)   35,859 
Net realized gain (loss)
   (31,449,992)   (68,026)   (20,587,724)   14,701,140 
Change in net unrealized appreciation (depreciation)
   8,969,137   791,311   9,530,109   (10,071,485) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (22,730,441)   727,941   (11,416,527)   4,665,514 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $46,937,986  $8,086,224  $46,937,986  $8,086,224 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
60
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(11,416,527)  $4,665,514 
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
   (54,978,482)   (196,007,876) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   28,159,767   194,350,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (21,483)   (38,346) 
Net realized gain (loss) on investments
   531   0   
Change in unrealized appreciation (depreciation) on investments
   (108)   (539) 
Decrease (Increase) in receivable on futures contracts
   (1,269,994)   2,759,002 
Decrease (Increase) in interest receivable
   5,726   8,273 
Increase (Decrease) in payable to Sponsor
   40,651   (13,060) 
Increase (Decrease) in payable on futures contracts
   (6,826)   0   
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (39,486,745)   5,722,968 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   198,730,524   18,993,016 
Payment on shares redeemed
   (130,442,926)   (37,719,335) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   68,287,598   (18,726,319) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   28,800,853   (13,003,351) 
Cash, beginning of period
   7,370,891   18,756,222 
  
 
 
  
 
 
 
Cash, end of period
  $36,171,744  $5,752,871 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
61
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $56,990,516 and $78,586,073, respectively)
  $56,991,505   $78,590,100 
Cash
   12,887,243    44,280,278 
Unrealized appreciation on foreign currency forward contracts
   1,240,172    115,751 
Interest receivable
   747    60,723 
  
 
 
   
 
 
 
Total assets
   71,119,667    123,046,852 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   2,449,168    —   
Payable to Sponsor
   51,771    99,508 
Unrealized depreciation on foreign currency forward contracts
   41,195    2,366,171 
  
 
 
   
 
 
 
Total liabilities
   2,542,134    2,465,679 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   68,577,533    120,581,173 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $71,119,667   $123,046,852 
  
 
 
   
 
 
 
Shares outstanding
   2,800,000    4,500,000 
  
 
 
   
 
 
 
Net asset value per share
  $24.49   $26.80 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $24.49   $26.80 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
62
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(83% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
†
  $12,000,000   $11,999,627 
0.096% due 11/12/20
†
   10,000,000    9,998,950 
0.109% due 12/03/20
   25,000,000    24,995,845 
0.110% due 01/14/21
   10,000,000    9,997,083 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $56,990,516)
    $56,991,505 
    
 
 
 
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
   10/09/20    3,698,000  $4,336,321  $(213) 
Euro with UBS AG
   10/09/20    6,700,000   7,856,503   (40,982) 
      
 
 
 
      
 		Total
Unrealized
Depreciation		 
 
 		 $(41,195) 
      
 
 
 
Contracts to Sell
      
Euro with Goldman Sachs International
   10/09/20    (41,689,263)  $(48,885,350)  $453,892 
Euro with UBS AG
   10/09/20    (85,627,199)   (100,407,525)   786,280 
      
 
 
 
      
 		Total
Unrealized
Appreciation		 
 
 		 $1,240,172 
      
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
63
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $18,939  $689,247  $486,623  $2,269,169 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   161,145   317,568   638,218   991,761 
Non-recurring
fees and expenses
   2,622   —     2,622   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   163,767   317,568   640,840   991,761 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (144,828)   371,679   (154,217)   1,277,408 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
   (7,511,153)   9,363,923   (8,749,738)   14,640,542 
Short-term U.S. government and agency obligations
   (14)   1,917   (14)   1,910 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (7,511,167)   9,365,840   (8,749,752)   14,642,452 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
   1,523,931   3,612,397   3,449,397   4,167,992 
Short-term U.S. government and agency obligations
   1,860   (900)   (3,038)   24,569 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   1,525,791   3,611,497   3,446,359   4,192,561 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (5,985,376)   12,977,337   (5,303,393)   18,835,013 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(6,130,204)  $13,349,016  $(5,457,610)  $20,112,421 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
64
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $78,848,965  $134,573,471  $120,581,173  $154,120,159 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,000,000, 100,000, 1,350,000 and 450,000 shares, respectively
   24,186,298   2,628,221   34,244,548   11,462,917 
Redemption of 1,150,000, 550,000, 3,050,000 and 1,950,000 shares, respectively
   (28,327,526)   (14,630,520)   (80,790,578)   (49,775,309) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (150,000), (450,000), (1,700,000) and (1,500,000) shares, respectively
   (4,141,228)   (12,002,299)   (46,546,030)   (38,312,392) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (144,828)   371,679   (154,217)   1,277,408 
Net realized gain (loss)
   (7,511,167)   9,365,840   (8,749,752)   14,642,452 
Change in net unrealized appreciation (depreciation)
   1,525,791   3,611,497   3,446,359   4,192,561 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (6,130,204)   13,349,016   (5,457,610)   20,112,421 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $68,577,533  $135,920,188  $68,577,533  $135,920,188 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
65
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(5,457,610)  $20,112,421 
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
   (198,751,004)   (1,359,993,207) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   220,684,953   1,362,077,959 
Net amortization and accretion on short-term U.S. government and agency obligations
   (338,406)   (2,036,277) 
Net realized gain (loss) on investments
   14   (1,910) 
Change in unrealized appreciation (depreciation) on investments
   (3,446,359)   (4,192,561) 
Decrease (Increase) in interest receivable
   59,976   (21,898) 
Increase (Decrease) in payable to Sponsor
   (47,737)   (24,769) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   12,703,827   15,919,758 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   34,244,548   11,462,917 
Payment on shares redeemed
   (78,341,410)   (52,202,329) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (44,096,862)   (40,739,412) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (31,393,035)   (24,819,654) 
Cash, beginning of period
   44,280,278   36,353,995 
  
 
 
  
 
 
 
Cash, end of period
  $12,887,243  $11,534,341 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
66
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $4,999,055 and $12,354,582, respectively)
  $4,999,169   $12,355,192 
Cash
   16,023,735    8,993,715 
Segregated cash balances with brokers for futures contracts
   1,206,675    358,200 
Segregated cash balances with brokers for swap agreements
   4,210,500    544,000 
Unrealized appreciation on swap agreements
   661,739    —   
Receivable on open futures contracts
   55,281    —   
Interest receivable
   572    11,691 
  
 
 
   
 
 
 
Total assets
   27,157,671    22,262,798 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   —      25,211 
Payable to Sponsor
   17,690    17,218 
Unrealized depreciation on swap agreements
   —      1,172,809 
  
 
 
   
 
 
 
Total liabilities
   17,690    1,215,238 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   27,139,981    21,047,560 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $27,157,671   $22,262,798 
  
 
 
   
 
 
 
Shares outstanding
   846,977    396,977 
  
 
 
   
 
 
 
Net asset value per share
  $32.04   $53.02 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $32.19   $53.21 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
67
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(18% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.109% due 12/03/20
  $5,000,000   $4,999,169 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $4,999,055)
    $4,999,169 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2020
   111   $21,040,050   $501,482 
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%   10/06/20   $(10,138,690)  $253,573 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20  10/06/20    (8,325,763)   208,488 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  10/06/20    (14,773,987)   199,678 
      
 
 
 
      
 		Total
Unrealized
Appreciation		 
 
 		 $661,739 
      
 
 
 
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2020, 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.
68
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $1,831  $97,539  $65,111  $295,028 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   45,591   42,251   129,451   137,269 
Brokerage commissions
   1,980   1,607   5,743   4,025 
Brokerage fees
   1,232   —     2,597   —   
Non-recurring
fees and expenses
   499   —     499   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   49,302   43,858   138,290   141,294 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (47,471)   53,681   (73,179)   153,734 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (1,305,687)   (944,994)   (5,001,545)   (1,622,936) 
Swap agreements
   (2,715,850)   (2,527,694)   (7,040,145)   (3,801,579) 
Forward agreements
   —     —     —     (1,118,149) 
Short-term U.S. government and agency obligations
   —     355   —     692 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (4,021,537)   (3,472,333)   (12,041,690)   (6,541,972) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   782,022   859,992   893,052   572,144 
Swap agreements
   1,906,708   1,846,133   1,834,548   662,229 
Forward agreements
   —     —     —     990,786 
Short-term U.S. government and agency obligations
   331   (1,082)   (496)   898 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   2,689,061   2,705,043   2,727,104   2,226,057 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (1,332,476)   (767,290)   (9,314,586)   (4,315,915) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(1,379,947)  $(713,609)  $(9,387,765)  $(4,162,181) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
69
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $15,851,043  $18,158,403  $21,047,560  $18,098,997 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 750,000, 150,000, 1,100,000 and 550,000 shares, respectively
   23,162,997   8,009,298   38,594,844   36,655,009 
Redemption of 350,000, 50,000, 650,000 and 400,001 shares, respectively
   (10,494,112)   (3,000,569)   (23,114,658)   (28,138,302) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 400,000, 100,000, 450,000 and 149,999 shares, respectively
   12,668,885   5,008,729   15,480,186   8,516,707 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (47,471)   53,681   (73,179)   153,734 
Net realized gain (loss)
   (4,021,537)   (3,472,333)   (12,041,690)   (6,541,972) 
Change in net unrealized appreciation (depreciation)
   2,689,061   2,705,043   2,727,104   2,226,057 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (1,379,947)   (713,609)   (9,387,765)   (4,162,181) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $27,139,981  $22,453,523  $27,139,981  $22,453,523 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
70
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(9,387,765)  $(4,162,181) 
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
   (19,981,048)   (329,807,586) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   27,371,000   325,976,425 
Net amortization and accretion on short-term U.S. government and agency obligations
   (34,425)   (160,367) 
Net realized gain (loss) on investments
   0     (692) 
Change in unrealized appreciation (depreciation) on investments
   (1,834,052)   (1,653,913) 
Decrease (Increase) in receivable on futures contracts
   (55,281)   (271,102) 
Decrease (Increase) in interest receivable
   11,119   (8,632) 
Increase (Decrease) in payable to Sponsor
   472   (327) 
Increase (Decrease) in payable on futures contracts
   (25,211)   0   
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (3,935,191)   (10,088,375) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   38,594,844   36,655,009 
Payment on shares redeemed
   (23,114,658)   (28,138,302) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   15,480,186   8,516,707 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   11,544,995   (1,571,668) 
Cash, beginning of period
   9,895,915   15,103,332 
  
 
 
  
 
 
 
Cash, end of period
  $21,440,910  $13,531,664 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
71
PROSHARES ULTRASHORT SILVER
STATEMENTS
OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $14,998,337 and $9,162,163, respectively)
  $14,998,425   $9,162,867 
Cash
   15,626,677    5,300,012 
Segregated cash balances with brokers for futures contracts
   4,448,687    148,200 
Segregated cash balances with brokers for swap agreements
   10,233,380    1,198,000 
Unrealized appreciation on swap agreements
   6,071,035    —   
Receivable on open futures contracts
   504,030    4,800 
Interest receivable
   586    4,326 
  
 
 
   
 
 
 
Total assets
   51,882,820    15,818,205 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   792,830    18,516 
Payable to Sponsor
   34,315    11,622 
Unrealized depreciation on swap agreements
   —      1,953,904 
  
 
 
   
 
 
 
Total liabilities
   827,145    1,984,042 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   51,055,675    13,834,163 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $51,882,820   $15,818,205 
  
 
 
   
 
 
 
Shares outstanding
   5,266,976    516,976 
  
 
 
   
 
 
 
Net asset value per share
  $9.69   $26.76 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $9.81   $26.80 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
72
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(29% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.096% due 11/12/20
†
  $15,000,000   $14,998,425 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $14,998,337)
    $14,998,425 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2020
   296   $34,771,120   $4,459,615 
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%   10/06/20   $(26,820,589)  $2,389,480 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25   10/06/20    (22,073,190)   1,577,673 
Swap agreement with Morgan Stanley
& Co. International PLC
based on Bloomberg Silver Subindex
   0.30   10/06/20    (4,366,690)   649,059 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   10/06/20    (14,081,291)   1,454,823 
      
 
 
 
      Total Unrealized
Appreciation		 
 		 $6,071,035 
      
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2020, 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.
73
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $3,192  $72,984  $48,379  $229,545 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   84,377   30,418   147,262   109,073 
Brokerage commissions
   8,539   1,895   16,460   6,070 
Brokerage fees
   4,945   —     6,620   —   
Non-recurring
fees and expenses
   321   —     321   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   98,182   32,313   170,663   115,143 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (94,990)   40,671   (122,284)   114,402 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (6,023,570)   (1,034,054)   (5,016,408)   (887,545) 
Swap agreements
   (9,873,250)   (4,483,605)   (13,915,911)   (3,406,305) 
Forward agreements
   —     —     —     (2,144,498) 
Short-term U.S. government and agency obligations
   —     148   —     226 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (15,896,820)   (5,517,511)   (18,932,319)   (6,438,122) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   4,674,780   998,892   4,541,796   979,498 
Swap agreements
   6,454,866   1,682,380   8,024,939   975,827 
Forward agreements
   —     —     —     1,793,011 
Short-term U.S. government and agency obligations
   88   (691)   (616)   1,423 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   11,129,734   2,680,581   12,566,119   3,749,759 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (4,767,086)   (2,836,930)   (6,366,200)   (2,688,363) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(4,862,076)  $(2,796,259)  $(6,488,484)  $(2,573,961) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
74
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $10,145,625  $14,026,041  $13,834,163  $11,768,863 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 11,300,000, 300,000, 12,100,000 and 850,000 shares, respectively
   102,544,682   8,840,384   122,851,884   30,574,755 
Redemption of 6,550,000, 150,000, 7,350,000 and 650,000 shares, respectively
   (56,772,556)   (4,629,073)   (79,141,888)   (24,328,564) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 4,750,000, 150,000, 4,750,000 and 200,000 shares, respectively
   45,772,126   4,211,311   43,709,996   6,246,191 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (94,990)   40,671   (122,284)   114,402 
Net realized gain (loss)
   (15,896,820)   (5,517,511)   (18,932,319)   (6,438,122) 
Change in net unrealized appreciation (depreciation)
   11,129,734   2,680,581   12,566,119   3,749,759 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (4,862,076)   (2,796,259)   (6,488,484)   (2,573,961) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $51,055,675  $15,441,093  $51,055,675  $15,441,093 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
75
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(6,488,484)  $(2,573,961) 
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
   (19,382,698)   (248,501,449) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   13,574,000   245,938,061 
Net amortization and accretion on short-term U.S. government and agency obligations
   (27,476)   (130,933) 
Net realized gain (loss) on investments
   0     (226) 
Change in unrealized appreciation (depreciation) on investments
   (8,024,323)   (2,770,261) 
Decrease (Increase) in receivable on futures contracts
   (499,230)   (441,102) 
Decrease (Increase) in interest receivable
   3,740   (4,553) 
Increase (Decrease) in payable to Sponsor
   22,693   (928) 
Increase (Decrease) in payable on futures contracts
   774,314   (5,720) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (20,047,464)   (8,491,072) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   122,851,884   30,574,755 
Payment on shares redeemed
   (79,141,888)   (24,328,564) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   43,709,996   6,246,191 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   23,662,532   (2,244,881) 
Cash, beginning of period
   6,646,212   10,276,096 
  
 
 
  
 
 
 
Cash, end of period
  $30,308,744  $8,031,215 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
76
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31,
2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $12,999,004 and $25,541,523, respectively)
  $12,999,191   $25,542,823 
Cash
   10,046,571    12,507,112 
Segregated cash balances with brokers for foreign currency forward contracts
   2,086,000    —   
Unrealized appreciation on foreign currency forward contracts
   —      95,899 
Interest receivable
   433    19,330 
  
 
 
   
 
 
 
Total assets
   25,132,195    38,165,164 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   19,357    32,844 
Unrealized depreciation on foreign currency forward contracts
   332,075    —   
  
 
 
   
 
 
 
Total liabilities
   351,432    32,844 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   24,780,763    38,132,320 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $25,132,195   $38,165,164 
  
 
 
   
 
 
 
Shares outstanding
   349,290    499,290 
  
 
 
   
 
 
 
Net asset value per share
  $70.95   $76.37 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $70.93   $76.35 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
77
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(52% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
†
  $10,000,000   $9,999,690 
0.109% due 12/03/20
†
   3,000,000    2,999,501 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $12,999,004)
    $12,999,191 
    
 
 
 
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
      
Yen with Goldman Sachs International
   10/09/20    23,643,000  $224,200  $(7) 
Yen with UBS AG
   10/09/20    223,810,000   2,122,323   (5,299) 
      
 
 
 
      Total Unrealized
Depreciation		 
 		 $(5,306) 
      
 
 
 
Contracts to Sell
      
Yen with Goldman Sachs International
   10/09/20    (2,032,728,165)  $(19,275,757)  $(130,684) 
Yen with UBS AG
   10/09/20    (3,439,162,875)   (32,612,559)   (196,085) 
      
 
 
 
      Total Unrealized
Depreciation		 
 		 $(326,769) 
      
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of September 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
78
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $5,085  $242,826  $136,411  $833,627 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   60,238   105,189   209,105   352,973 
Non-recurring
fees and expenses
   717   —     717   —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   60,955   105,189   209,822   352,973 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (55,870)   137,637   (73,411)   480,654 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
   (1,451,651)   (177,933)   (1,847,423)   (3,121,903) 
Short-term U.S. government and agency obligations
   —     (467)   —     (539) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (1,451,651)   (178,400)   (1,847,423)   (3,122,442) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
   200,915   792,522   (427,974)   3,499,463 
Short-term U.S. government and agency obligations
   606   (9,100)   (1,113)   1,321 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   201,521   783,422   (429,087)   3,500,784 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (1,250,130)   605,022   (2,276,510)   378,342 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(1,306,000)  $742,659  $(2,349,921)  $858,996 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
79
PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $29,787,034  $47,695,345  $38,132,320  $55,363,675 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, –, 100,000 and 450,000 shares, respectively
   —     —     7,806,745   34,403,213 
Redemption of 50,000, 100,000, 250,000 and 650,000 shares, respectively
   (3,700,271)   (7,391,304)   (18,808,381)   (49,579,184) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (50,000), (100,000), (150,000) and (200,000) shares, respectively
   (3,700,271)   (7,391,304)   (11,001,636)   (15,175,971) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (55,870)   137,637   (73,411)   480,654 
Net realized gain (loss)
   (1,451,651)   (178,400)   (1,847,423)   (3,122,442) 
Change in net unrealized appreciation (depreciation)
   201,521   783,422   (429,087)   3,500,784 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (1,306,000)   742,659   (2,349,921)   858,996 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $24,780,763  $41,046,700  $24,780,763  $41,046,700 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
80
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(2,349,921)  $858,996 
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
   (46,753,062)   (632,231,535) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   59,374,000   638,904,665 
Net amortization and accretion on short-term U.S. government and agency obligations
   (78,419)   (652,182) 
Net realized gain (loss) on investments
   0     539 
Change in unrealized appreciation (depreciation) on investments
   429,087   (3,500,784) 
Decrease (Increase) in interest receivable
   18,897   (19,859) 
Increase (Decrease) in payable to Sponsor
   (13,487)   (16,896) 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   10,627,095   3,342,944 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   7,806,745   34,403,213 
Payment on shares redeemed
   (18,808,381)   (49,579,184) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (11,001,636)   (15,175,971) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (374,541)   (11,833,027) 
Cash, beginning of period
   12,507,112   23,570,254 
  
 
 
  
 
 
 
Cash, end of period
  $12,132,571  $11,737,227 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
81
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $59,987,414 and $13,979,509, respectively)
  $59,987,566   $13,980,559 
Cash
   24,381,896    27,654,022 
Segregated cash balances with brokers for futures contracts
   16,580,400    5,476,631 
Receivable on open futures contracts
   1,087,170    —   
Interest receivable
   2,015    34,527 
  
 
 
   
 
 
 
Total assets
   102,039,047    47,145,739 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   —      1,129,877 
Brokerage commissions and fees payable
   12,012    —   
Payable to Sponsor
   69,515    29,278 
  
 
 
   
 
 
 
Total liabilities
   81,527    1,159,155 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   101,957,520    45,986,584 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $102,039,047   $47,145,739 
  
 
 
   
 
 
 
Shares outstanding
   2,487,403    2,162,403 
  
 
 
   
 
 
 
Net asset value per share
  $40.99   $21.27 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $40.68   $21.29 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
82
PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(59% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
  $15,000,000   $14,999,534 
0.094% due 01/07/21
   35,000,000    34,990,949 
0.110% due 01/14/21
   10,000,000    9,997,083 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $59,987,414)
    $59,987,566 
    
 
 
 
Futures Contracts Purchased
            
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2021
   652   $19,478,500   $827,415 
VIX Futures - Cboe, expires February 2021
   1,165    34,251,000    1,351,280 
VIX Futures - Cboe, expires March 2021
   1,165    33,697,625    1,050,715 
VIX Futures - Cboe, expires April 2021
   512    14,528,000    (87,920) 
      
 
 
 
      $3,141,490 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
83
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $13,590  $227,815  $199,491  $718,946 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   172,587   90,860   391,147   279,430 
Brokerage commissions
   19,350   5,777   51,973   25,466 
Brokerage fees
   26,113   1,681   46,624   1,681 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   218,050   98,318   489,744   306,577 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (204,460)   129,497   (290,253)   412,369 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   755,845   1,477,618   21,708,785   (5,577,673) 
Short-term U.S. government and agency obligations
   —     —     —     8 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   755,845   1,477,618   21,708,785   (5,577,665) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   1,751,675   2,654,603   5,422,315   (1,777,185) 
Short-term U.S. government and agency obligations
   405   (4,586)   (898)   1,878 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   1,752,080   2,650,017   5,421,417   (1,775,307) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   2,507,925   4,127,635   27,130,202   (7,352,972) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $2,303,465  $4,257,132  $26,839,949  $(6,940,603) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
84
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $59,085,470  $37,756,409  $45,986,584  $56,299,121 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,150,000, 350,000, 2,250,000 and 1,125,000 shares, respectively
   45,600,053   7,593,407   85,866,144   24,946,172 
Redemption of 125,000, 200,000, 1,925,000 and 1,325,000 shares, respectively
   (5,031,468)   (4,673,884)   (56,735,157)   (29,371,626) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,025,000, 150,000, 325,000 and (200,000) shares, respectively
   40,568,585   2,919,523   29,130,987   (4,425,454) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (204,460)   129,497   (290,253)   412,369 
Net realized gain (loss)
   755,845   1,477,618   21,708,785   (5,577,665) 
Change in net unrealized appreciation (depreciation)
   1,752,080   2,650,017   5,421,417   (1,775,307) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   2,303,465   4,257,132   26,839,949   (6,940,603) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $101,957,520  $44,933,064  $101,957,520  $44,933,064 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
85
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $26,839,949  $(6,940,603) 
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
   (116,503,878)   (1,149,234,856) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   70,600,000   1,129,579,598 
Net amortization and accretion on short-term U.S. government and agency obligations
   (104,027)   (313,922) 
Net realized gain (loss) on investments
   0     (8) 
Change in unrealized appreciation (depreciation) on investments
   898   (1,878) 
Decrease (Increase) in receivable on futures contracts
   (1,087,170)   0   
Decrease (Increase) in interest receivable
   32,512   (18,031) 
Increase (Decrease) in payable to Sponsor
   40,237   (4,295) 
Increase (Decrease) in brokerage commissions and fees payable
   12,012   0   
Increase (Decrease) in payable on futures contracts
   (1,129,877)   244,782 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (21,299,344)   (26,689,213) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   85,866,144   24,946,172 
Payment on shares redeemed
   (56,735,157)   (30,046,458) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   29,130,987   (5,100,286) 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   7,831,643   (31,789,499) 
Cash, beginning of period
   33,130,653   57,542,424 
  
 
 
  
 
 
 
Cash, end of period
  $40,962,296  $25,752,925 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
86
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $139,971,158 and $96,862,355, respectively)
  $139,971,895   $96,868,817 
Cash
   29,944,232    87,829,341 
Segregated cash balances with brokers for futures contracts
   102,248,330    107,106,000 
Receivable on open futures contracts
   7,340,400    909,042 
Interest receivable
   2,758    123,538 
  
 
 
   
 
 
 
Total assets
   279,507,615    292,836,738 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable on open futures contracts
   —      12,920,593 
Brokerage commissions and fees payable
   59,366    —   
Payable to Sponsor
   175,952    123,642 
  
 
 
   
 
 
 
Total liabilities
   235,318    13,044,235 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   279,272,297    279,792,503 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $279,507,615   $292,836,738 
  
 
 
   
 
 
 
Shares outstanding
   13,601,317    22,751,317 
  
 
 
   
 
 
 
Net asset value per share
  $20.53   $12.30 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $20.41   $12.43 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
87
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(50% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.113% due 10/15/20
  $30,000,000   $29,999,067 
0.110% due 12/10/20
   25,000,000    24,995,140 
0.096% due 01/07/21
   75,000,000    74,980,605 
0.110% due 01/14/21
   10,000,000    9,997,083 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $139,971,158)
    $139,971,895 
    
 
 
 
Futures Contracts Purchased
            
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2020
   4,979   $151,237,125   $(1,642,412) 
VIX Futures - Cboe, expires November 2020
   3,912    128,607,000    2,843,866 
      
 
 
 
      $1,201,454 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
88
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
                 
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $34,770  $1,278,488  $1,117,617  $3,414,854 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   560,301   561,431   1,584,861   1,409,677 
Brokerage commissions
   66,969   96,608   311,826   179,790 
Brokerage fees
   165,725   5,028   278,752   8,662 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   792,995   663,067   2,175,439   1,598,129 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (758,225)   615,421   (1,057,822)   1,816,725 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (75,120,135)   (15,928,298)   249,771,936   (82,123,131) 
Short-term U.S. government and agency obligations
   —     6,251   —     7,980 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (75,120,135)   (15,922,047)   249,771,936   (82,115,151) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   555,267   13,428,427   16,595,465   (19,684,760) 
Short-term U.S. government and agency obligations
   1,199   (3,031)   (5,725)   29,624 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   556,466   13,425,396   16,589,740   (19,655,136) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (74,563,669)   (2,496,651)   266,361,676   (101,770,287) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(75,321,894)  $(1,881,230)  $265,303,854  $(99,953,562) 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
89
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $221,343,175  $240,473,128  $279,792,503  $149,547,115 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 6,650,000, 8,875,000, 17,325,000 and 21,000,000 shares, respectively
   156,332,956   169,898,748   342,792,630   473,318,044 
Redemption of 975,000, 4,800,000, 26,475,000 and 9,275,000 shares, respectively
   (23,081,940)   (109,080,764)   (608,616,690)   (223,501,715) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 5,675,000, 4,075,000, (9,150,000) and 11,725,000 shares, respectively
   133,251,016   60,817,984   (265,824,060)   249,816,329 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (758,225)   615,421   (1,057,822)   1,816,725 
Net realized gain (loss)
   (75,120,135)   (15,922,047)   249,771,936   (82,115,151) 
Change in net unrealized appreciation (depreciation)
   556,466   13,425,396   16,589,740   (19,655,136) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (75,321,894)   (1,881,230)   265,303,854   (99,953,562) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $279,272,297  $299,409,882  $279,272,297  $299,409,882 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
90
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $265,303,854  $(99,953,562) 
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
   (390,519,095)   (1,532,412,598) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   348,000,000   1,457,989,132 
Net amortization and accretion on short-term U.S. government and agency obligations
   (589,708)   (2,465,103) 
Net realized gain (loss) on investments
   0     (7,980) 
Change in unrealized appreciation (depreciation) on investments
   5,725   (29,624) 
Decrease (Increase) in receivable on futures contracts
   (6,431,358)   (1,949,697) 
Decrease (Increase) in interest receivable
   120,780   (84,827) 
Increase (Decrease) in payable to Sponsor
   52,310   71,718 
Increase (Decrease) in brokerage commissions and fees payable
   59,366   0   
Increase (Decrease) in payable on futures contracts
   (12,920,593)   6,939,465 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   203,081,281   (171,903,076) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   342,792,630   473,318,044 
Payment on shares redeemed
   (608,616,690)   (211,945,707) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (265,824,060)   261,372,337 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (62,742,779)   89,469,261 
Cash, beginning of period
   194,935,341   39,393,419 
  
 
 
  
 
 
 
Cash, end of period
  $132,192,562  $128,862,680 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
91
PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL
CONDITION
   
September 30, 2020
(unaudited)
   
December 31, 2019
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $1,936,613,892 and $1,084,860,512, respectively)
  $1,936,617,416   $1,084,925,128 
Cash
   1,020,234,567    770,114,050 
Segregated cash balances with brokers for futures contracts
   1,363,082,911    406,121,155 
Segregated cash balances with brokers for foreign currency forward contracts
   2,995,000    1,421,000 
Segregated cash balances with brokers for swap agreements
   144,122,880    12,539,000 
Unrealized appreciation on swap agreements
   6,732,774    52,840,748 
Unrealized appreciation on foreign currency forward contracts
   1,298,383    321,647 
Receivable from capital shares sold
   35,409,047    4,354,515 
Securities sold receivable
   246,192    3,883 
Receivable on open futures contracts
   246,296,328    85,104,325 
Interest receivable
   62,428    978,751 
  
 
 
   
 
 
 
Total assets
   4,757,097,926    2,418,724,202 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   59,179,482    —   
Payable on open futures contracts
   18,365,780    50,904,424 
Brokerage commissions and fees payable
   583,315    —   
Payable to Sponsor
   3,660,357    1,747,549 
Unrealized depreciation on swap agreements
   145,535,085    7,370,428 
Unrealized depreciation on foreign currency forward contracts
   492,152    2,376,700 
  
 
 
   
 
 
 
Total liabilities
   227,816,171    62,399,101 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   4,529,281,755    2,356,325,101 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $4,757,097,926   $2,418,724,202 
  
 
 
   
 
 
 
Shares outstanding
   169,476,695    110,924,568 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
92
PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS*
(unaudited)
   
Three Months Ended
  
Nine Months Ended
 
   
September 30,
  
September 30,
 
   
2020
  
2019
  
2020
  
2019
 
Investment Income
     
Interest
  $462,274  $10,780,563  $8,985,252  $33,442,044 
Expenses
     
Management fee
   11,098,146   5,402,289   24,755,322   16,267,543 
Brokerage commissions
   2,304,413   1,246,155   6,308,753   3,525,847 
Brokerage fees
��  2,459,918   8,250   4,208,471   11,975 
Non-recurring
fees and expenses
   75,802   —     75,802   426,058 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   15,938,279   6,656,694   35,348,348   20,231,423 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (15,476,005)   4,123,869   (26,363,096)   13,210,621 
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (171,502,419)   (54,371,935)   110,215,750   (248,070,329) 
Swap agreements
   173,110,242   116,192,266   (794,321,232)   102,855,828 
Options
   —     —     (9,707,000)   —   
Forward agreements
   —     —     —     33,894,330 
Foreign currency forward contracts
   (8,394,521)   8,827,423   (10,216,017)   10,894,176 
Short-term U.S. government and agency obligations
   (5)   29,682   296,893   38,616 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (6,786,703)   70,677,436   (703,731,606)   (100,387,379) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (249,176,198)   46,337,452   178,965,282   15,749,674 
Swap agreements
   (160,810,119)   (118,813,987)   (184,272,631)   (1,996,385) 
Forward agreements
   —     —     —     (27,771,221) 
Foreign currency forward contracts
   1,639,005   4,177,793   2,861,284   7,294,718 
Short-term U.S. government and agency obligations
   9,658   (25,398)   (61,092)   243,724 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (408,337,654)   (68,324,140)   (2,507,157)   (6,479,490) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (415,124,357)   2,353,296   (706,238,763)   (106,866,869) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(430,600,362)  $6,477,165  $(732,601,859)  $(93,656,248) 
  
 
 
  
 
 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
See accompanying notes to financial statements.
93
PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY*
(unaudited)
   
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  
2020
  
2019
  
2020
  
2019
 
Shareholders’ equity, beginning of period
  $4,052,758,690  $2,282,898,916  $2,356,325,101  $1,943,975,025 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 106,850,000, 59,465,000, 485,272,000 and 122,566,000 shares, respectively
   2,922,142,022   1,551,679,782   9,686,341,059   3,849,113,475 
Redemption of 70,350,000, 43,604,000, 426,719,873 and 90,020,001 shares, respectively
   (2,015,018,595)   (1,398,901,396)   (6,780,782,546)   (3,257,277,785) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 36,500,000, 15,861,000, 58,552,127 and 32,545,999 shares, respectively
   907,123,427   152,778,386   2,905,558,513   591,835,690 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (15,476,005)   4,123,869   (26,363,096)   13,210,621 
Net realized gain (loss)
   (6,786,703)   70,677,436   (703,731,606)   (100,387,379) 
Change in net unrealized appreciation (depreciation)
   (408,337,654)   (68,324,140)   (2,507,157)   (6,479,490) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (430,600,362)   6,477,165   (732,601,859)   (93,656,248) 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $4,529,281,755  $2,442,154,467  $4,529,281,755  $2,442,154,467 
  
 
 
  
 
 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
See accompanying notes to financial statements.
94
PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS*
(unaudited)
   
Nine Months Ended
September 30,
 
  
2020
  
2019
 
Cash flow from operating activities
   
Net income (loss)
  $(732,601,859)  $(93,656,248) 
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
   (4,582,922,901)   (25,820,665,998) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   3,736,919,081   25,060,211,654 
Net amortization and accretion on short-term U.S. government and agency obligations
   (5,453,567)   (21,414,813) 
Net realized gain (loss) on investments
   (296,893)   (38,616) 
Change in unrealized appreciation (depreciation) on investments
   181,472,439   22,229,164 
Decrease (Increase) in securities sold receivable
   (242,309)   0   
Decrease (Increase) in receivable on futures contracts
   (161,192,003)   (20,012,102) 
Decrease (Increase) in interest receivable
   916,323   (423,654) 
Increase (Decrease) in payable to Sponsor
   1,913,708   231,643 
Increase (Decrease) in brokerage commissions and fees payable
   583,315   0   
Increase (Decrease) in payable on futures contracts
   (32,538,644)   19,983,442 
Increase (Decrease) in payable to Broker
   0     0   
Increase (Decrease) in
non-recurring
fees and expenses payable
   0     45,949 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,593,443,310)   (853,509,579) 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   9,655,286,527   3,884,214,490 
Payment on shares redeemed
   (6,721,603,064)   (3,246,214,488) 
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   2,933,683,463   638,000,002 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   1,340,240,153   (215,509,577) 
Cash, beginning of period
   1,190,195,205   1,098,678,257 
  
 
 
  
 
 
 
Cash, end of period
  $2,530,435,358  $883,168,680 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
See accompanying notes to financial statements.
95
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
September 30, 2020
(unaudited)
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

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

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(279,639,849)  $265,303,854 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (425,941,319)   (390,519,095) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   383,000,000   348,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (50,698)   (589,708) 
Change in unrealized appreciation (depreciation) on investments   1,396   5,725 
Decrease (Increase) in receivable on futures contracts   834,150   (6,431,358) 
Decrease (Increase) in interest receivable   (1,076)   120,780 
Increase (Decrease) in payable to Sponsor   17,527   52,310 
Increase (Decrease) in brokerage commissions and futures account fees payable   (28,852)   59,366 
Increase (Decrease) in payable on futures contracts   1,181,913   (12,920,593) 
          
Net cash provided by (used in) operating activities   (320,626,808)   203,081,281 
          
Cash flow from financing activities
         
Proceeds from addition of shares   593,853,539   342,792,630 
Payment on shares redeemed   (238,826,906)   (608,616,690) 
          
Net cash provided by (used in) financing activities   355,026,633   (265,824,060) 
          
Net increase (decrease) in cash
   34,399,825   (62,742,779) 
Cash, beginning of period   206,562,147   194,935,341 
          
Cash, end of period  $240,961,972  $132,192,562 
          
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively)  $2,327,838,468   $1,034,986,384 
Cash   778,499,094    1,651,161,384 
Segregated cash balances with brokers for futures contracts   1,069,584,913    1,491,618,088 
Segregated cash balances with brokers for foreign currency forward contracts   —      5,716,000 
Segregated cash balances with brokers for swap agreements   —      107,967,985 
Unrealized appreciation on swap agreements   83,740,160    80,135,841 
Unrealized appreciation on foreign currency forward contracts   2,836,253    169,051 
Receivable from capital shares sold   14,084,428    49,086,388 
Receivable on open futures contracts   155,985,619    108,851,000 
Interest receivable   40,866    66,871 
           
Total assets   4,432,609,801    4,529,758,992 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   66,045,047    18,280,444 
Payable on open futures contracts   24,303,801    27,874,393 
Brokerage commissions and futures account fees payable   470,680    691,005 
Payable to Sponsor   3,159,235    3,407,672 
Unrealized depreciation on swap agreements   100,167,433    3,491,096 
Unrealized depreciation on foreign currency forward contracts   429,828    1,714,898 
Non-recurring
fees and expenses payable
   75,570    48,070 
           
Total liabilities   194,651,594    55,507,578 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   4,237,958,207    4,474,251,414 
           
Total liabilities and shareholders’ equity  $4,432,609,801   $4,529,758,992 
           
Shares outstanding (Note 1)   133,773,980    228,676,695 
           
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Investment Income
                 
Interest  $225,068  $462,274  $1,311,362  $8,985,252 
                  
Expenses
                 
Management fee   9,892,153   11,098,146   32,386,686   24,755,322 
Brokerage commissions   1,808,557   2,304,413   6,704,455   6,308,753 
Futures account fees   1,447,030   2,459,918   5,996,930   4,208,471 
Non-recurring
fees and expenses
   27,500   75,802   27,500   75,802 
                  
Total expenses   13,175,240   15,938,279   45,115,571   35,348,348 
                  
Net investment income (loss)   (12,950,172)   (15,476,005)   (43,804,209)   (26,363,096) 
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (240,784,887)   (171,502,419)   (1,427,934,171)   110,215,750 
Swap agreements   (160,769,089)   173,110,242   50,628,405   (794,321,232) 
Options   —     —     —     (9,707,000) 
Foreign currency forward contracts   2,892,137   (8,394,521)   4,813,162   (10,216,017) 
Short-term U.S. government and agency obligations   (10,753)   (5)   11,145   296,893 
                  
Net realized gain (loss)   (398,672,592)   (6,786,703)   (1,372,481,459)   (703,731,606) 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   158,443,180   (249,176,198)   230,326,477   178,965,282 
Swap agreements   38,179,426   (160,810,119)   (93,072,018)   (184,272,631) 
Foreign currency forward contracts   (724,910)   1,639,005   3,952,272   2,861,284 
Short-term U.S. government and agency obligations   88,814   9,658   (38,045)   (61,092) 
                  
Change in net unrealized appreciation (depreciation)   195,986,510   (408,337,654)   141,168,686   (2,507,157) 
                  
Net realized and unrealized gain (loss)   (202,686,082)   (415,124,357)   (1,231,312,773)   (706,238,763) 
                  
Net income (loss)
  $(215,636,254)  $(430,600,362)  $(1,275,116,982)  $(732,601,859) 
                  
*The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020*
  
2021
  
2020*
 
Shareholders’ equity, beginning of period
  $4,404,846,864  $4,052,758,690  $4,474,251,414  $2,356,325,101 
                  
Addition of 74,900,000, 51,642,500, 149,503,750 and 373,420,750 shares, respectively (Note 1)   1,649,296,999   2,922,142,022   5,597,393,110   9,686,341,059 
Redemption of 47,625,000, 53,036,250, 104,613,761 and 328,406,123 shares, respectively (Note 1)   (1,600,549,402)   (2,015,018,595)   (4,558,569,335)   (6,780,782,546) 
                  
Net addition (redemption) of 27,275,000, (1,393,750), 44,889,989 and 45,014,627 shares, respectively
(Note 1)		   48,747,597   907,123,427   1,038,823,775   2,905,558,513 
                  
Net investment income (loss)   (12,950,172)   (15,476,005)   (43,804,209)   (26,363,096) 
Net realized gain (loss)   (398,672,592)   (6,786,703)   (1,372,481,459)   (703,731,606) 
Change in net unrealized appreciation (depreciation)   195,986,510   (408,337,654)   141,168,686   (2,507,157) 
                  
Net income (loss)   (215,636,254)   (430,600,362)   (1,275,116,982)   (732,601,859) 
                  
Shareholders’ equity, end of period
  $4,237,958,207  $4,529,281,755  $4,237,958,207  $4,529,281,755 
                  
*The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020*
 
Cash flow from operating activities
         
Net income (loss)  $(1,275,116,982)  $(732,601,859) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (6,612,113,856)   (4,582,922,901) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   5,319,975,559   3,736,919,081 
Net amortization and accretion on short-term U.S. government and agency obligations   (740,687)   (5,453,567) 
Net realized gain (loss) on investments   (11,145)   (296,893) 
Change in unrealized appreciation (depreciation) on investments   89,157,791   181,472,439 
Decrease (Increase) in securities sold receivable   —     (242,309) 
Decrease (Increase) in receivable on futures contracts   (47,134,619)   (161,192,003) 
Decrease (Increase) in interest receivable   26,005   916,323 
Increase (Decrease) in payable to Sponsor   (248,437)   1,913,708 
Increase (Decrease) in brokerage commissions and futures account fees payable   (220,325)   583,315 
Increase (Decrease) in payable on futures contracts   (3,570,592)   (32,538,644) 
Increase (Decrease) in
non-recurring
fees and expenses payable
   27,500   —   
          
Net cash provided by (used in) operating activities   (2,529,969,788)   (1,593,443,310) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   5,632,395,070   9,655,286,527 
Payment on shares redeemed   (4,510,804,732)   (6,721,603,064) 
          
Net cash provided by (used in) financing activities   1,121,590,338   2,933,683,463 
          
Net increase (decrease) in cash
   (1,408,379,450)   1,340,240,153 
Cash, beginning of period   3,256,463,457   1,190,195,205 
          
Cash, end of period  $1,848,084,007  $2,530,435,358 
          
*The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares 3x UltraPro Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
See accompanying notes to financial statements.
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PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
September 30, 2021
(unaudited)
NOTE 1 - ORGANIZATION
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2020,2021, the following 18 series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.
On March 15, 2020, ProSharesProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of 14 Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” “UltraPro Short Funds,”or “Ultra Funds” or “UltraPro Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “UltraPro Short” Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse
(-3x)
of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each “UltraPro” Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.
The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g.,
-0.5x,
-1x,
-2x,
-3x,
1.5x, 2x or 3x)2x) of the period return of the corresponding benchmark and will likely differ significantly.
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Share Splits and Reverse Share Splits
The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2019 and during the nine months ended September 30, 2021, and during the year ended December 31, 2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on 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
Ultra
Bloomberg Crude Oil
  April 20, 2020  
1-for-25 reverse Share split
  April 21, 2020
 
ProShares Ultra Bloomberg Natural Gas
  April 20, 2020  
1-for-10 reverse Share split
  April 21, 2020
 
ProShares Ultra VIX Short-Term Futures ETFMay 25, 2021
1-for-10 reverse Share split
May 26, 2021
ProShares UltraShort Bloomberg Crude OilMay 25, 2021
1-for-4 reverse Share split
May 26, 2021
ProShares UltraShort SilverMay 25, 2021
1-for-4 reverse Share split
May 26, 2021
ProShares VIX Short-Term Futures ETFMay 25, 2021
1-for-4 reverse Share split
May 26, 2021
The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.
NOTE 2 –- SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies. “” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form
10-Q
and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form
10-K
for the year ended December 31, 2019,2020, as filed with the SEC on February 28, 2020.19, 2021.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.
Basis of Presentation
Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.
99
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StatementStatements of Cash Flows
The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the StatementStatements of Financial Condition dated September 30, 20202021 and 2019,2020, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements segregated cash with brokers for forward 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, 20202021 were typically as follows. All times are Eastern Standard Time:
Fund
  
Create/Redeem

NAV Calculation
NAV
Fund
Cut-off*
  
NAV Calculation

Time
  
NAV

Calculation Date
Ultra Silver and UltraShort Silver Ultra Silver
  1:00 p.m.  1:25 p.m.  September 30, 20202021
 
Ultra Gold and UltraShort Gold Ultra Gold
  1:00 p.m.  1:30 p.m.  September 30, 20202021
 
Ultra Bloomberg Crude Oil,  
  
  
 
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and      
Ultra Bloomberg Crude Oil,
UltraShort Bloomberg Natural Gas
Ultra Bloomberg Natural Gas
  2:00 p.m.  2:30 p.m.  September 30, 20202021
 
Short Euro,  
  
  
 
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,      
ShortUltraShort Euro
and		      
UltraShort Euro,
Ultra Euro,
UltraShort Yen
Ultra Yen
  3:00 p.m.  4:00 p.m.  September 30, 20202021
 
Short VIX Short-Term Futures ETF**,  
  
  
 
VIX Short-Term Futures ETF,
Ultra VIX Short-Term Futures ETF,
ETF**,		      
VIX
Short Mid-Term
Futures ETF** and
VIX Short-Term Futures ETF,
VIX
Mid-Term
Futures ETF
ETF**		  2:00 p.m.  4:1500 p.m.**  September 30, 2020
2021
*
Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2020.
2021.
**
EffectiveOn Monday, October 26, 2020 each Fund will changechanged its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00p.m.00 p.m. (Eastern Time). Please see Note 9
Please see Note 8 in these Notes to Financial Statements for more information.
Market value per Share is determined at the close of the NYSE Arcaapplicable primary listing exchange and may be later than when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2020.2021.
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Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
98
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using
independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
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Table of Contents
The following table summarizes the valuation of investments at September 30, 2021 using the fair value hierarchy:
 
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short Euro  $—     $46,781  $—    $—    $46,781 
ProShares Short VIX Short-Term Fut
u
res ETF
   129,992,467    (6,181,978)   —     —     123,810,489 
ProShares Ultra Bloomberg Crude Oil   834,942,326    268,004,313   —     70,885,762   1,173,832,401 
ProShares Ultra Bloomberg Natural Gas   32,997,127    42,185,730   —     —     75,182,857 
ProShares Ultra Euro   999,916    —     (162,686)   —     837,230 
ProShares Ultra Gold   185,985,614    (3,936,408)   —     (7,406,864)   174,642,342 
ProShares Ultra Silver   494,966,819    (5,439,801)   —     (92,760,569)   396,766,449 
ProShares Ultra VIX Short-Term Futures ETF   274,984,707    90,018,882   —     7,933,765   372,937,354 
ProShares Ultra Yen   999,953    —     (59,266)   —     940,687 
ProShares UltraShort Australian Dollar   —      182,163   —     —     182,163 
ProShares UltraShort Bloomberg Crude Oil   32,997,116    (20,466,160)   —     —     12,530,956 
ProShares UltraShort Bloomberg Natural Gas   56,993,148    (35,288,843)   —     —     21,704,305 
ProShares UltraShort Euro   34,997,817    —     2,126,803   —     37,124,620 
ProShares UltraShort Gold   17,998,972    432,050   —     830,123   19,261,145 
ProShares UltraShort Silver   21,998,799    2,955,976   —     4,090,510   29,045,285 
ProShares UltraShort Yen   16,998,447    —     501,574   —     17,500,021 
ProShares VIX
Mid-Term
Futures ETF
   61,995,036    4,816,848   —     —     66,811,884 
ProShares VIX Short-Term Futures ETF   127,990,204    21,367,096   —     —     149,357,300 
                       
Total Trust
  
$
2,327,838,468
 
  
$
358,696,649
 
 
$
2,406,425
 
 
$
(16,427,273
) 
 
$
2,672,514,269
 
99
The following table summarizes the valuation of investments at September 30, 2020 using the fair value hierarchy:
 
   
Level I - Quoted Prices
  
Level II -
Other Significant

Observable Inputs
    
Fund
  
Short-Term U.S.
Government and
Agencies
   
Futures
Contracts
*
  
Foreign
Currency
Forward
Contracts
  
Swap
Agreements
  
Total
 
ProShares Short Euro
  $—     $17,531  $—    $—    $17,531 
ProShares Short VIX Short-Term Futures ETF
   119,975,930    7,548,668   —     —     127,524,598 
ProShares Ultra Bloomberg Crude Oil
   199,948,280    128,727,533   —     —     328,675,813 
ProShares Ultra Bloomberg Natural Gas
   59,991,309    (6,988,806)   —     —     53,002,503 
ProShares Ultra Euro
   —      —     (98,246)   —     (98,246) 
ProShares Ultra Gold
   244,961,119    5,335,079   —     (8,453,519)   241,842,679 
ProShares Ultra Silver
   544,890,608    (47,130,776)   —     (137,081,566)   360,678,266 
ProShares Ultra VIX Short-Term Futures ETF
   444,907,768    19,725,072   —     —     464,632,840 
ProShares Ultra Yen
   —      —     37,575   —     37,575 
ProShares UltraShort Australian Dollar
   —      166,370   —     —     166,370 
ProShares UltraShort Bloomberg Crude Oil
   —      78,288   —     —     78,288 
ProShares UltraShort Bloomberg Natural Gas
   31,994,651    10,202,330   —     —     42,196,981 
ProShares UltraShort Euro
   56,991,505    —     1,198,977   —     58,190,482 
ProShares UltraShort Gold
   4,999,169    501,482   —     661,739   6,162,390 
ProShares UltraShort Silver
   14,998,425    4,459,615   —     6,071,035   25,529,075 
ProShares UltraShort Yen
   12,999,191    —     (332,075)   —     12,667,116 
ProShares VIX
Mid-Term
Futures ETF
   59,987,566    3,141,490   —     —     63,129,056 
ProShares VIX Short-Term Futures ETF
   139,971,895    1,201,454   —     —     141,173,349 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total Trust
  
$
1,936,617,416
 
  
$
126,985,330
 
 
$
806,231
 
 
$
(138,802,311
) 
 
$
1,925,606,666
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the valuation of investments at December 31, 2019 using the fair value hierarchy:
 
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.
Government and
Agencies
   
Futures
Contracts
*
  
Foreign
Currency
Forward
Contracts
  
Swap
Agreements
  
Total
 
ProShares Short Euro
  $745,805   $(14,000)  $—    $—    $731,805 
ProShares Short VIX Short-Term Futures ETF
   56,929,436    10,254,872   —     —     67,184,308 
ProShares Ultra Bloomberg Crude Oil
   200,115,463    765,575   —     21,814,590   222,695,628 
ProShares Ultra Bloomberg Natural Gas
   27,530,314    (2,652,228)   —     —     24,878,086 
ProShares Ultra Euro
   3,970,412    —     109,997   —     4,080,409 
ProShares Ultra Gold
   66,177,998    2,248,514   —     5,890,260   74,316,772 
ProShares Ultra Silver
   135,544,101    5,724,549   —     25,135,898   166,404,548 
ProShares Ultra VIX Short-Term Futures ETF
   179,749,262    (46,396,781)   —     (209,784)   133,142,697 
ProShares Ultra Yen
   1,808,104    —     (10,529)   —     1,797,575 
ProShares UltraPro 3x Crude Oil ETF
   47,193,110    7,266,550   —     —     54,459,660 
ProShares UltraPro 3x Short Crude Oil ETF
   57,375,132    (8,358,056)   —     —     49,017,076 
ProShares UltraShort Australian Dollar
   3,931,474    (224,000)   —     —     3,707,474 
ProShares UltraShort Bloomberg Crude Oil
   62,199,283    (3,118,689)   —     (4,033,931)   55,046,663 
ProShares UltraShort Bloomberg Natural Gas
   5,154,876    672,329   —     —     5,827,205 
ProShares UltraShort Euro
   78,590,100    —     (2,250,420)   —     76,339,680 
ProShares UltraShort Gold
   12,355,192    (391,570)   —     (1,172,809)   10,790,813 
ProShares UltraShort Silver
   9,162,867    (82,181)   —     (1,953,904)   7,126,782 
ProShares UltraShort Yen
   25,542,823    —     95,899   —     25,638,722 
ProShares VIX
Mid-Term
Futures ETF
   13,980,559    (2,280,825)   —     —     11,699,734 
ProShares VIX Short-Term Futures ETF
   96,868,817    (15,394,011)   —     —     81,474,806 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total Trust
  
$
1,084,925,128
 
  
$
(51,979,952
) 
 
$
(2,055,053
) 
 
$
45,470,320
 
 
$
1,076,360,443
 
The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy:
 
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short Euro  $—     $(44,626)  $—    $—    $(44,626) 
ProShares Short VIX Short-Term Futures ETF   69,999,639    8,348,783   —     —     78,348,422 
ProShares Ultra Bloomberg Crude Oil   219,998,394    144,564,039   —     18,242,195   382,804,628 
ProShares Ultra Bloomberg Natural Gas   29,999,889    6,500,721   —     —     36,500,610 
ProShares Ultra Euro   —      —     88,736   —     88,736 
ProShares Ultra Gold   74,999,467    2,646,874   —     5,140,980   82,787,321 
ProShares Ultra Silver   244,993,989    37,190,212   —     56,752,666   338,936,867 
ProShares Ultra VIX Short-Term Futures ETF   244,995,969    (48,524,666)   —     (24,807)   196,446,496 
ProShares Ultra Yen   —      —     67,087   —     67,087 
ProShares UltraShort Australian Dollar   —      (138,950)   —     —     (138,950) 
ProShares UltraShort Bloomberg Crude Oil   —      (14,636,813)   —     —     (14,636,813) 
ProShares UltraShort Bloomberg Natural Gas   9,999,861    379,310   —     —     10,379,171 
ProShares UltraShort Euro   9,999,861    —     (1,136,704)   —     8,863,157 
ProShares UltraShort Gold   —      (196,930)   —     (268,728)   (465,658) 
ProShares UltraShort Silver   —      (220,076)   —     (3,197,561)   (3,417,637) 
ProShares UltraShort Yen   —      —     (564,966)   —     (564,966) 
ProShares VIX
Mid-Term
Futures ETF
   44,999,732    (1,133,616)   —     —     43,866,116 
ProShares VIX Short-Term Futures ETF   84,999,583    (6,364,090)   —     —     78,635,493 
                       
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
) 
 
$
76,644,745
 
 
$
1,238,455,454
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
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Table of Contents
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those
securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.
Brokerage Commissions and Futures Account Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,
give-up
fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that 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., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,
on-going
analysis of tax law, regulation, and interpretations thereof.
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New Accounting Pronouncement
In March 2020, the FASB issued Accounting Standards Update
No. 2020-04
(“ASU
2020-04”),
“Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU
2020-04
provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU
2020-04
allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.
 
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Table of Contents
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 to until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
 
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Swap Agreements
Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are
two-party
contracts that have traditionally been entered into primarily with institutional investors in
over-the-counter
(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.
Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund anor Ultra Fund, or an UltraPro Fund, the Matching VIX Fund Ultra Fund, or UltraProUltra 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 an UltraShort Fund, or an UltraPro ShortUltraShort Fund, the Short Fund UltraShort Fund, or UltraPro ShortUltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.
The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.
Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 20202021
contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.
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The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC
104
derivative transactions is held for the benefit of the counterparty in a segregated
tri-party
account at the Custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2020,2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the 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, 2020,2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
105
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their​​​​​​​
their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
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A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
The following tables indicate the location of derivative related items on the StatementStatements of Financial Condition as well as the effect of derivative instruments on the StatementStatements of Operations during the reporting period.
Fair Value of Derivative Instruments as of September 30, 20202021
               
      
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted
for as Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts     Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements     
   ProShares Short VIX Short-Term Futures ETF     $—       $6,181,978* 
   ProShares Ultra VIX Short-Term Futures ETF      97,952,647*      —   
   ProShares VIX
Mid-Term
Futures ETF		      4,816,848*      —   
   ProShares VIX Short-Term Futures ETF      21,367,096*      —   
Commodities Contracts     Receivables on open futures contracts and/or unrealized appreciation on swap agreements      Payable on open futures contracts and/or unrealized depreciation on swap agreements     
   ProShares Ultra Bloomberg Crude Oil      338,890,075*      —   
   ProShares Ultra Bloomberg Natural Gas      42,185,730*      —   
   ProShares Ultra Gold      —        11,343,272* 
   ProShares Ultra Silver      —        98,200,370* 
   ProShares UltraShort Bloomberg Crude Oil      —        20,466,160* 
   ProShares UltraShort Bloomberg Natural Gas      —        35,288,843* 
   ProShares UltraShort Gold      1,262,173*      —   
   ProShares UltraShort Silver      7,046,486*      —   
Foreign Exchange Contracts     Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts      Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts     
   ProShares Short Euro      46,781*      –   
   ProShares Ultra Euro      2,136      164,822 
   ProShares Ultra Yen      757      60,023 
   ProShares UltraShort Australian Dollar      182,163*      –   
   ProShares UltraShort Euro      2,284,006      157,203 
   ProShares UltraShort Yen      549,354      47,780 
                   
      
Total Trust
  
$
516,586,252
*
 
    
$
171,910,451
*
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on
open
futures.
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Fair Value of Derivative Instruments as of December 31, 2020
          
     
Asset Derivatives
   
Liability Derivatives
      
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
   
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
 
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts
    Receivables on open futures contracts, unrealized appreciation on swap agreements    Payable on open futures contracts, unrealized depreciation on swap agreements       Receivables on open futures contracts, unrealized appreciation on swap agreements   Payable on open futures contracts, unrealized depreciation on swap agreements   
  ProShares Short VIX Short-Term Futures ETF    $9,432,893*     $1,884,225*   ProShares Short VIX Short-Term Futures ETF     $8,348,783*    $—   
  ProShares Ultra VIX Short-Term Futures ETF     19,725,072*      —     ProShares Ultra VIX Short-Term Futures ETF      —       48,549,473* 
  ProShares VIX
Mid-Term
Futures ETF		     3,229,410*      87,920*   ProShares VIX
Mid-Term
Futures ETF		      147,915*     1,281,531* 
  ProShares VIX Short-Term Futures ETF     2,843,866*      1,642,412*   ProShares VIX Short-Term Futures ETF      —       6,364,090* 
Commodities Contracts
    Receivables on open futures contracts and/or unrealized appreciation on swap agreements    Payable on open futures contracts and/or unrealized depreciation on swap agreements       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     139,145,750*      10,418,217*   ProShares Ultra Bloomberg Crude Oil      162,806,234*     —   
  ProShares Ultra Bloomberg Natural Gas     —        6,988,806*   ProShares Ultra Bloomberg Natural Gas      6,500,721*     —   
  ProShares Ultra Gold     5,335,079*      8,453,519*   ProShares Ultra Gold      7,787,854*     —   
  ProShares Ultra Silver     —        184,212,342*   ProShares Ultra Silver      93,942,878*     —   
  ProShares UltraShort Bloomberg Crude Oil     1,148,294*      1,070,006*   ProShares UltraShort Bloomberg Crude Oil      —       14,636,813* 
  ProShares UltraShort Bloomberg Natural Gas     10,202,330*      —     ProShares UltraShort Bloomberg Natural Gas      379,310*     —   
  ProShares UltraShort Gold     1,163,221*      —     ProShares UltraShort Gold      —       465,658* 
  ProShares UltraShort Silver     10,530,650*      —     ProShares UltraShort Silver      —       3,417,637* 
Foreign Exchange Contracts     Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts   Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts   
  ProShares Short Euro      —       44,626* 
  ProShares Ultra Euro      89,103     367 
  ProShares Ultra Yen      67,235     148 
  ProShares UltraShort Australian Dollar      —       138,950* 
  ProShares UltraShort Euro      5,705     1,142,409 
  ProShares UltraShort Yen      7,008     571,974 
               
     
Total Trust
  
$
280,082,746
*
 
   
$
76,613,676
*
 
 
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Foreign Exchange Contracts    Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts    Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts  
  ProShares Short Euro    $17,531*     $—   
  ProShares Ultra Euro     20,636      118,882 
  ProShares Ultra Yen     37,575      —   
  ProShares UltraShort Australian Dollar     166,370*      —   
  ProShares UltraShort Euro     1,240,172      41,195 
  ProShares UltraShort Yen     —        332,075 
      
 
 
     
 
 
 
    
Total Trust
  
$
204,238,849
*
 
    
$
215,249,599
*
 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2021
             
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $34,573,906  $(43,362,244) 
      ProShares Ultra VIX Short-Term Futures ETF   (198,380,990)   186,737,241 
      
ProShares VIX
Mid-Term
Futures ETF
   (4,024,133)   10,651,835 
      ProShares VIX Short-Term Futures ETF   (51,868,433)   42,164,263 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   106,330,563   (16,910,039) 
      ProShares Ultra Bloomberg Natural Gas   33,925,711   25,134,988 
      ProShares Ultra Gold   (21,858,089)   15,564,318 
      ProShares Ultra Silver   (201,315,310)   (6,040,776) 
      ProShares UltraShort Bloomberg Crude Oil   (11,449,562)   (1,521,543) 
      ProShares UltraShort Bloomberg Natural Gas   (95,609,878)   (17,870,697) 
      ProShares UltraShort Gold   1,213,721   (1,898,585) 
      ProShares UltraShort Silver   6,662,145   3,921,845 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   57,489   (4,770) 
      ProShares Ultra Euro   (254,219)   72,810 
      ProShares Ultra Yen   (25,554)   10,988 
      ProShares UltraShort Australian Dollar   188,884   56,770 
      ProShares UltraShort Euro   2,974,466   (618,447) 
      ProShares UltraShort Yen   197,444   (190,261) 
                
      
Total Trust
  
$
(398,661,839
) 
 
$
195,897,696
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
Fair Value
110
Table of Derivative Instruments as of December 31, 2019Contents
      
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts    Receivables on open futures contracts, unrealized appreciation on swap agreements    Payable on open futures contracts, unrealized depreciation on swap agreements  
  ProShares Short VIX Short-Term Futures ETF    $10,424,889*     $170,017* 
  ProShares Ultra VIX Short-Term Futures ETF     —        46,606,565* 
  ProShares VIX
Mid-Term
Futures ETF		     6,130*      2,286,955* 
  ProShares VIX Short-Term Futures ETF     —        15,394,011* 
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     22,580,165*      —   
  ProShares Ultra Bloomberg Natural Gas     —        2,652,228* 
  ProShares Ultra Gold     8,138,774*      —   
  ProShares Ultra Silver     30,860,447*      —   
  ProShares UltraPro 3x Crude Oil ETF     7,266,550*      —   
  ProShares UltraPro 3x Short Crude Oil ETF     —        8,358,056* 
  ProShares UltraShort Bloomberg Crude Oil     —        7,152,620* 
  ProShares UltraShort Bloomberg Natural Gas     672,329*      —   
  ProShares UltraShort Gold     —        1,564,379* 
  ProShares UltraShort Silver     —        2,036,085* 
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Foreign Exchange Contracts    Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts    Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts  
  ProShares Short Euro    $—       $14,000* 
  ProShares Ultra Euro     109,997      —   
  ProShares Ultra Yen     —        10,529 
  ProShares UltraShort Australian Dollar     —        224,000* 
  ProShares UltraShort Euro     115,751      2,366,171 
  ProShares UltraShort Yen     95,899      —   
      
 
 
     
 
 
 
    
Total Trust
  
$
80,270,931
*
 
    
$
88,835,616
*
 
The Effect of Derivative Instruments on the Statement of Operations
For the threenine months ended September 30, 20202021
             
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $168,120,340  $(14,530,761) 
      ProShares Ultra VIX Short-Term Futures ETF   (1,757,428,075)   146,502,120 
      
ProShares VIX
Mid-Term
Futures ETF
   (14,890,359)   5,950,464 
      ProShares VIX Short-Term Futures ETF   (304,349,667)   27,731,186 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   761,187,450   176,083,841 
      ProShares Ultra Bloomberg Natural Gas   80,409,384   35,685,009 
      ProShares Ultra Gold   (27,599,854)   (19,131,126) 
      ProShares Ultra Silver   (80,034,280)   (192,143,248) 
      ProShares UltraShort Bloomberg Crude Oil   (86,637,748)   (5,829,347) 
      ProShares UltraShort Bloomberg Natural Gas   (112,274,576)   (35,668,153) 
      ProShares UltraShort Gold   (1,767,636)   1,727,831 
      ProShares UltraShort Silver   (2,146,662)   10,464,123 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   88,710   91,407 
      ProShares Ultra Euro   (186,149)   (251,422) 
      ProShares Ultra Yen   (305,028)   (126,353) 
      ProShares UltraShort Australian Dollar   17,207   321,113 
      ProShares UltraShort Euro   2,249,236   3,263,507 
      ProShares UltraShort Yen   3,055,103   1,066,540 
                
      
Total Trust
  
$
(1,372,492,604
) 
 
$
141,206,731
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
     
    
ProShares Short VIX Short-Term Futures ETF
  $60,593,315  $(1,463,210) 
    
ProShares Ultra VIX Short-Term Futures ETF
   (559,537,850)   15,302,015 
    
ProShares VIX
Mid-Term
Futures ETF
   755,845   1,751,675 
    
ProShares VIX Short-Term Futures ETF
   (75,120,135)   555,267 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
     
    
ProShares Ultra Bloomberg Crude Oil
  285,954,263  (232,623,755) 
    
ProShares Ultra Bloomberg Natural Gas
   41,156,156   (4,754,372) 
    
ProShares Ultra Gold
   25,742,296   (18,057,616) 
    
ProShares Ultra Silver
   290,238,797   (199,321,544) 
111
108
Table of Contents
    
ProShares UltraShort Bloomberg Crude Oil
  $(16,296,829)  $5,848,114 
    
ProShares UltraShort Bloomberg
Natural Gas
   (31,450,011)   8,968,702 
    
ProShares UltraShort Gold
   (4,021,537)   2,688,730 
    
ProShares UltraShort Silver
   (15,896,820)   11,129,646 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
     
    
ProShares Short Euro
  (77,567)  (14,989) 
    
ProShares Ultra Euro
   441,714   (84,317) 
    
ProShares Ultra Yen
   126,569   (1,524) 
    
ProShares UltraShort Australian Dollar
   (432,100)   5,020 
    
ProShares UltraShort Euro
   (7,511,153)   1,523,931 
    
ProShares UltraShort Yen
   (1,451,651)   200,915 
      
 
 
  
 
 
 
    
Total Trust
  
$
(6,786,698
) 
 
$
(408,347,312
) 
The Effect of Derivative Instruments on the Statement of Operations
For the ninethree months ended September 30, 2020
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $60,593,315  $(1,463,210) 
      ProShares Ultra VIX Short-Term Futures ETF   (559,537,850)   15,302,015 
      
ProShares VIX
Mid-Term
Futures ETF
   755,845   1,751,675 
      ProShares VIX Short-Term Futures ETF   (75,120,135)   555,267 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   285,954,263   (232,623,755) 
      ProShares Ultra Bloomberg Natural Gas   41,156,156   (4,754,372) 
      ProShares Ultra Gold   25,742,296   (18,057,616) 
      ProShares Ultra Silver   290,238,797   (199,321,544) 
      ProShares UltraShort Bloomberg Crude Oil   (16,296,829)   5,848,114 
      ProShares UltraShort Bloomberg Natural Gas   (31,450,011)   8,968,702 
      ProShares UltraShort Gold   (4,021,537)   2,688,730 
      ProShares UltraShort Silver   (15,896,820)   11,129,646 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   (77,567)   (14,989) 
      ProShares Ultra Euro   441,714   (84,317) 
      ProShares Ultra Yen   126,569   (1,524) 
      ProShares UltraShort Australian Dollar   (432,100)   5,020 
      ProShares UltraShort Euro   (7,511,153)   1,523,931 
      ProShares UltraShort Yen   (1,451,651)   200,915 
                
      
Total Trust
  
$
(6,786,698
) 
 
$
(408,347,312
) 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
     
    
ProShares Short VIX Short-Term Futures ETF
  $(129,091,526)  $(2,706,204) 
    
ProShares Ultra VIX Short-Term Futures ETF
   58,666,590   66,331,637 
    
ProShares VIX
Mid-Term
Futures ETF
   21,708,785   5,422,315 
    
ProShares VIX Short-Term Futures ETF
   249,771,936   16,595,465 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
     
    
ProShares Ultra Bloomberg Crude Oil
   (891,179,560)   106,147,368 
112
109
Table of Contents
    
ProShares Ultra Bloomberg Natural Gas
  $2,225,390  $(4,336,578) 
    
ProShares Ultra Gold
   51,605,680   (11,257,214) 
    
ProShares Ultra Silver
   297,927,456   (215,072,789) 
    
ProShares UltraShort Bloomberg Crude Oil
   28,429,846   7,230,908 
    
ProShares UltraShort Bloomberg Natural Gas
   (20,587,193)   9,530,001 
    
ProShares UltraShort Gold
   (12,041,690)   2,727,600 
    
ProShares UltraShort Silver
   (18,932,319)   12,566,735 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
     
    
ProShares Short Euro
   (116,225)   31,531 
    
ProShares Ultra Euro
   369,811   (208,243) 
    
ProShares Ultra Yen
   11,333   48,104 
    
ProShares UltraShort Australian Dollar
   (799,054)   390,370 
    
ProShares UltraShort Euro
   (8,749,738)   3,449,397 
    
ProShares UltraShort Yen
   (1,847,423)   (427,974) 
      
 
 
  
 
 
 
    
Total Trust
  
$
(372,627,901
) 
 
$
(3,537,571
) 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2019
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
  $1,173,763  $(5,428,459) 
    
ProShares Ultra VIX Short-Term Futures ETF
   (55,327,540)   45,205,927 
    
ProShares VIX
Mid-Term
Futures ETF
   1,477,618   2,654,603 
    
ProShares VIX Short-Term Futures ETF
   (15,928,298)   13,428,427 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
     
110
    
ProShares Ultra Bloomberg Crude Oil
  $62,252,302  $(106,568,448) 
    
ProShares Ultra Bloomberg Natural Gas
   (1,826,717)   3,329,755 
    
ProShares Ultra Gold
   16,725,025   (11,793,379) 
    
ProShares Ultra Silver
   69,234,012   (36,174,451) 
    
PrProShares UltraPro 3x Crude Oil ETF
   4,691,349   (24,831,963) 
    
ProShares UltraPro 3x Short Crude Oil ETF
   (297,480)   17,634,581 
    
ProShares UltraShort Bloomberg Crude Oil
   (12,233,280)   23,194,927 
    
ProShares UltraShort Bloomberg Natural Gas
   (68,026)   790,889 
    
ProShares UltraShort Gold
   (3,472,688)   2,706,125 
    
ProShares UltraShort Silver
   (5,517,659)   2,681,272 
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
  625,576  342,293 
    
ProShares Ultra Euro
   (396,315)   (150,573) 
    
ProShares Ultra Yen
   37,748   (76,553) 
    
ProShares UltraShort Australian Dollar
   312,374   351,366 
    
ProShares UltraShort Euro
   9,363,923   3,612,397 
    
ProShares UltraShort Yen
   (177,933)   792,522 
      
 
 
  
 
 
 
    
Total Trust
  
$
70,647,754
 
 
$
(68,298,742
) 
The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 30, 2019
2020
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $(129,091,526)  $(2,706,204) 
      ProShares Ultra VIX Short-Term Futures ETF   58,666,590   66,331,637 
      
ProShares VIX
Mid-Term
Futures ETF
   21,708,785   5,422,315 
      ProShares VIX Short-Term Futures ETF   249,771,936   16,595,465 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   (891,179,560)   106,147,368 
      ProShares Ultra Bloomberg Natural Gas   2,225,390   (4,336,578) 
      ProShares Ultra Gold   51,605,680   (11,257,214) 
      ProShares Ultra Silver   297,927,456   (215,072,789) 
      ProShares UltraShort Bloomberg Crude Oil   28,429,846   7,230,908 
      ProShares UltraShort Bloomberg Natural Gas   (20,587,193)   9,530,001 
      ProShares UltraShort Gold   (12,041,690)   2,727,600 
      ProShares UltraShort Silver   (18,932,319)   12,566,735 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   (116,225)   31,531 
      ProShares Ultra Euro   369,811   (208,243) 
      ProShares Ultra Yen   11,333   48,104 
      ProShares UltraShort Australian Dollar   (799,054)   390,370 
      ProShares UltraShort Euro   (8,749,738)   3,449,397 
      ProShares UltraShort Yen   (1,847,423)   (427,974) 
                
      
Total Trust
  
$
(372,627,901
) 
 
$
(3,537,571
) 
 
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
  $71,706,713  $21,686,704 
    
ProShares Ultra VIX Short-Term Futures ETF
   (305,526,699)   (33,447,189) 
    
ProShares VIX
Mid-Term
Futures ETF
   (5,577,673)   (1,777,185) 
    
ProShares VIX Short-Term Futures ETF
   (82,123,131)   (19,684,760) 
111
113
Table of Contents
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
  $112,863,983  $50,923,098 
    
ProShares Ultra Bloomberg Natural Gas
   (23,104,608)   13,003,545 
    
ProShares Ultra Gold
   24,305,565   (6,922,489) 
    
ProShares Ultra Silver
   74,520,050   (54,587,935) 
    
ProShares UltraPro 3x Crude Oil ETF
   30,865,755   26,092,772 
    
ProShares UltraPro 3x Short Crude Oil ETF
   (1,379,372)   7,061,998 
    
ProShares UltraShort Bloomberg Crude Oil
   (11,265,317)   (12,273,899) 
    
ProShares UltraShort Bloomberg Natural Gas
   14,701,140   (10,072,024) 
    
ProShares UltraShort Gold
   (6,542,664)   2,225,159 
    
ProShares UltraShort Silver
   (6,438,348)   3,748,336 
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
   849,200   306,572 
    
ProShares Ultra Euro
   (756,187)   (167,488) 
    
ProShares Ultra Yen
   131,724   (205,249) 
    
ProShares UltraShort Australian Dollar
   825,235   (300,635) 
    
ProShares UltraShort Euro
   14,640,542   4,167,992 
    
ProShares UltraShort Yen
   (3,121,903)   3,499,463 
      
 
 
  
 
 
 
    
Total Trust
  
$
(100,425,995
) 
 
$
(6,723,214
) 
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, 2020.2021.
 
112
Fair Values of Derivative Instruments as of September 30, 2020
 
Fair Values of Derivative Instruments as of September 30, 2021
Fair Values of Derivative Instruments as of September 30, 2021
 
  
Assets
   
Liabilities
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts

of Recognized

Assets presented

in the

Statements of

Financial

Condition
   
Gross Amounts

Offset in the

Statements of

Financial

Condition
   
Net Amounts of

Assets presented

in the

Statements of

Financial

Condition
   
Gross Amounts

of Recognized

Liabilities

presented in the

Statements of

Financial

Condition
   
Gross Amounts

Offset in the

Statements of

Financial

Condition
   
Net Amounts of

Liabilities

presented in the

Statements of

Financial

Condition
   
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil                  
Swap agreements  $70,885,762   $0     $70,885,762   $0     $0     $0   
ProShares Ultra Euro
                              
Foreign currency forward contracts
  $20,636   $0     $20,636   $118,882   $0     $118,882    2,136    0      2,136    164,822    0      164,822 
ProShares Ultra Gold
                              
Swap agreements
   0      0      0      8,453,519    0      8,453,519    0      0      0      7,406,864    0      7,406,864 
ProShares Ultra Silver
                              
Swap agreements   0      0      0      92,760,569    0      92,760,569 
ProShares Ultra VIX Short-Term Futures ETF                  
Swap agreements
   0      0      0      137,081,566    0      137,081,566    7,933,765    0      7,933,765    0      0      0   
ProShares Ultra Yen
                              
Foreign currency forward contracts
   37,575    0      37,575    0      0      0      757    0      757    60,023    0      60,023 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   1,240,172    0      1,240,172    41,195    0      41,195    2,284,006    0      2,284,006    157,203    0      157,203 
ProShares UltraShort Gold
                              
Swap agreements
   661,739    0      661,739    0      0      0      830,123    0      830,123    0      0      0   
ProShares UltraShort Silver
                              
Swap agreements
   6,071,035    0      6,071,035    0      0      0      4,090,510    0      4,090,510    0      0      0   
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   0      0      0      332,075    0      332,075    549,354    0      549,354    47,780    0      47,780 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2020.2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for
Derivative
Instruments”.
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2020
 
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 Euro
      
Goldman Sachs International
  $ (37,463)  $ —     $ 37,463  $—   
UBS AG
   (60,783)   —      60,783   —   
ProShares Ultra Gold
      
Citibank, N.A.
   (2,960,904)   1,907,904    1,053,000   —   
Goldman Sachs International
   (2,558,700)   —      2,558,700   —   
UBS AG
   (2,933,915)   2,933,915    0     —   
ProShares Ultra Silver
      
Citibank, N.A.
   (43,662,292)   42,341,292    1,321,000   —   
Goldman Sachs International
   (33,251,913)   4,490,913    28,761,000   —   
Morgan Stanley & Co. International PLC
   (28,524,197)   —      28,524,197   —   
UBS AG
   (31,643,164)   31,643,164    —     —   
113
ProShares Ultra Yen
     
Goldman Sachs International
   21,379   —     —     21,379 
UBS AG
   16,196   —     —     16,196 
ProShares UltraShort Euro
     
Goldman Sachs International
   453,679   (453,679)   —     —   
UBS AG
   745,298   (614,956)   —     130,342 
ProShares UltraShort Gold
     
Citibank, N.A.
   253,573   —     (253,573)   —   
Goldman Sachs International
   208,488   (208,488)   —     —   
UBS AG
   199,678   (141,791)   —     57,887 
ProShares UltraShort Silver
     
Citibank, N.A.
   2,389,480   —     (1,310,000)   1,079,480 
Goldman Sachs International
   1,577,673   (719,442)   —     858,231 
 
Morgan Stanley & Co. International PLC
  
 
649,059
 
 
 
—  
 
 
 
—  
 
 
 
649,059
 
UBS AG
   1,454,823   (899,754)   —     555,069 
ProShares UltraShort Yen
     
Goldman Sachs International
   (130,691)   —     130,691   —   
UBS AG
   (201,384)   —     201,384   —   
114
Table of Contents
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2021
 
Fund
  
Amounts of Recognized Assets /
(Liabilities) presented in the
Statements of Financial Condition
  
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
  
Cash Collateral
for the Benefit
of (the Funds) / the
Counterparties
  
Net
Amount
 
ProShares Ultra Bloomberg Crude Oil                 
Citibank, N.A.  $10,910,833  $0    $(10,820,000)  $90,833 
Goldman Sachs International   15,436,191   (15,436,191)   0     0   
Morgan Stanley & Co. International PLC   18,898,011   0     (18,898,011)   0   
Societe Generale   10,305,144   (10,302,497)   (2,648)  0   
UBS AG   15,335,583   0     (15,200,000)   135,583 
ProShares Ultra Euro                 
Goldman Sachs International   (89,604)   89,604   0     0   
UBS AG   (73,082)   73,082   0     0   
ProShares Ultra Gold                 
Citibank, N.A.   (2,550,199)   2,550,199   0     0   
Goldman Sachs International   (2,203,785)   2,203,785   0     0   
UBS AG   (2,652,880)   2,652,880   0     0   
ProShares Ultra Silver                 
Citibank, N.A.   (28,588,785)   28,588,785   0     0   
Goldman Sachs International   (23,220,141)   23,220,141   0     0   
Morgan Stanley & Co. International PLC   (21,635,372)   21,635,372   0     0   
UBS AG   (19,316,271)   19,316,271   0     0   
ProShares Ultra VIX Short-Term Futures ETF                 
Goldman Sachs & Co.   7,933,765   (7,933,765)   0     0   
ProShares Ultra Yen                 
Goldman Sachs International   (34,487)   34,487   0     0   
UBS AG   (24,779)   24,779   0     0   
ProShares UltraShort Euro                 
Goldman Sachs International   1,000,511   (970,612)   0     29,899 
UBS AG   1,126,292   0     (1,070,000)   56,292 
ProShares UltraShort Gold                 
Citibank, N.A.   340,577   0     (340,577)   0   
Goldman Sachs International   223,115   (223,115)   0     0   
UBS AG   266,431   0     (266,431)   0   
ProShares UltraShort Silver                 
Citibank, N.A.   782,817   0     (782,817)   0   
Goldman Sachs International   1,036,372   (1,036,372)   0     0   
Morgan Stanley & Co. International PLC   819,178   0     (819,178)   0   
UBS AG   1,452,143   0     (1,452,143)   0   
ProShares UltraShort Yen                 
Goldman Sachs International   138,399   0     0     138,399 
UBS AG   363,175   0     (363,175)   0   
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The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting
agreement and the related collateral received or pledged by the Funds as of December 31, 2019:2020:
 
Fair Values of Derivative Instruments as of December 31, 2019
   
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
  $21,814,590   $0     $21,814,590   $0     $0     $0   
ProShares Ultra Euro
            
Foreign currency forward contracts
   109,997    0      109,997    0      0      0   
ProShares Ultra Gold
            
Swap agreements
   5,890,260    0      5,890,260    0      0      0   
ProShares Ultra Silver
            
Swap agreements
   25,135,898    0      25,135,898    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF
            
Swap agreements
   0      0      0      209,784    0      209,784 
ProShares Ultra Yen
            
Foreign currency forward contracts
   0      0      0      10,529    0      10,529 
ProShares UltraShort Bloomberg Crude Oil
            
Swap agreements
   0      0      0      4,033,931    0      4,033,931 
ProShares UltraShort Euro
            
Foreign currency forward contracts
   115,751    0      115,751    2,366,171    0      2,366,171 
ProShares UltraShort Gold
            
Swap agreements
   0      0      0      1,172,809    0      1,172,809 
ProShares UltraShort Silver
            
Swap agreements
   0      0      0      1,953,904    0      1,953,904 
ProShares UltraShort Yen
            
Foreign currency forward contracts
   95,899    0      95,899    0      0      0   
Fair Values of Derivative Instruments as of December 31, 2020
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts

of Recognized

Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts
Offset in the
Statements of
Financial

Condition
   
Net Amounts of
Assets
presented

in the

Statements of
Financial

Condition
   
Gross Amounts

of Recognized
Liabilities

presented in
the Statements
of Financial

Condition
   
Gross Amounts
Offset in the
Statements of
Financial

Condition
   
Net Amounts of
Liabilities

presented in
the Statements
of Financial

Condition
 
ProShares Ultra Bloomberg Crude Oil Swap agreements  $18,242,195   $0     $18,242,195   $0     $0     $0   
ProShares Ultra Euro Foreign currency forward contracts   89,103    0      89,103    367    0      367 
ProShares Ultra Gold Swap agreements   5,140,980    0      5,140,980    0      0      0   
ProShares Ultra Silver Swap agreements   56,752,666    0      56,752,666    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF Swap agreements   0      0      0      24,807    0      24,807 
ProShares Ultra Yen Foreign currency forward contracts   67,235    0      67,235    148    0      148 
ProShares UltraShort Euro Foreign currency forward contracts   5,705    0      5,705    1,142,409    0      1,142,409 
ProShares UltraShort Gold Swap agreements   0      0      0      268,728    0      268,728 
ProShares UltraShort Silver Swap agreements   0      0      0      3,197,561    0      3,197,561 
ProShares UltraShort Yen Foreign currency forward contracts   7,008    0      7,008    571,974    0      571,974 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2019.2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of 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, 2019
 
   
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.
  $6,039,121   $—    $(6,039,121)  $—   
Goldman Sachs International
   4,393,163    (4,393,163)   —     —   
Royal Bank of Canada
   4,210,281    —     (4,210,281)   —   
Societe Generale
   2,253,037    (2,253,037)   —     —   
UBS AG
   4,918,988    (4,918,988)   —     —   
ProShares Ultra Euro
      
Goldman Sachs International
   54,679    —     —     54,679 
UBS AG
   55,318    —     —     55,318 
ProShares Ultra Gold
      
Citibank, N.A.
   2,300,665    —     (1,960,000)   340,665 
Goldman Sachs International
   1,681,492    (1,489,073)   —     192,419 
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UBS AG
  $1,908,103  $(1,638,362)  $—    $269,741 
ProShares Ultra Silver
     
Citibank, N.A.
   10,329,244   —     (10,329,244)   —   
Goldman Sachs International
   5,925,755   (5,925,755)   —     —   
UBS AG
   8,880,899   (8,880,899)   —     —   
ProShares Ultra VIX Short-Term Futures ETF
     
Goldman Sachs & Co.
   (209,784)   —     209,784   —   
ProShares Ultra Yen
     
Goldman Sachs International
   (2,404)   —     2,404   —   
UBS AG
   (8,125)   —     8,125   —   
ProShares UltraShort Bloomberg Crude Oil
     
Citibank, N.A.
   (1,401,797)   1,401,797   —     —   
Goldman Sachs International
   (793,395)   793,395   —     —   
Royal Bank of Canada
   (815,341)   815,341   —     —   
Societe Generale
   (325,459)   —     325,459   —   
UBS AG
   (697,939)   —     697,939   —   
ProShares UltraShort Euro
     
Goldman Sachs International
   (1,134,162)   1,134,162   —     —   
UBS AG
   (1,116,258)   1,116,258   —     —   
ProShares UltraShort Gold
     
Citibank, N.A.
   (534,714)   534,714   —     —   
Goldman Sachs International
   (263,870)   263,870   —     —   
UBS AG
   (374,225)   —     374,225   —   
ProShares UltraShort Silver
     
Citibank, N.A.
   (788,313)   788,313   —     —   
Goldman Sachs International
   (401,324)   —     401,324   —   
UBS AG
   (764,267)   764,267   —     —   
ProShares UltraShort Yen
     
Goldman Sachs International
   32,828   (32,828)   —     —   
UBS AG
   63,071   (63,071)   —     —   
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
 
   
Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
  
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
  
Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil                 
Goldman Sachs International  $1,377,243  $(1,281,309)  $0    $95,934 
Morgan Stanley & Co. Internatio
n
al PLC
   10,959,227   0     (10,629,000)   330,227 
Societe Generale   1,679,334   (1,679,334)   0     0   
UBS AG   4,226,391   (4,151,442)   (6,270)   68,679 
ProShares Ultra Euro                 
Goldman Sachs International   22,950   0     0     22,950 
UBS AG   65,786   0     0     65,786 
ProShares Ultra Gold                 
Citibank, N.A.   1,770,050   0     (1,670,000)   100,050 
Goldman Sachs International   1,529,612   (1,497,203)   0     32,409 
UBS AG   1,841,318   0     0     1,841,318 
ProShares Ultra Silver                 
Citibank, N.A.   18,010,776   0     (18,010,776)   0   
Goldman Sachs International   12,930,574   (12,930,574)   0     0   
Morgan Stanley & Co. International PLC   12,353,706   0     (12,353,706)   0   
UBS AG   13,457,610   (4,126,610)   (9,331,000)   0   
ProShares Ultra VIX Short-Term Futures ETF                 
Goldman Sachs & Co.   (24,807)   0     24,807   0   
ProShares Ultra Yen                 
Goldman Sachs International   34,265   0     0     34,265 
UBS AG   32,822   0     0     32,822 
ProShares UltraShort Euro                 
Goldman Sachs International   (388,233)   0     388,233   0   
UBS AG   (748,471)   748,471   0     0   
ProShares UltraShort Gold                 
Citibank, N.A.   (80,068)   0     80,068   0   
Goldman Sachs International   (82,645)   0     82,645   0   
UBS AG   (106,015)   0     106,015   0   
ProShares UltraShort Silver                 
Citibank, N.A.   (1,208,988)   0     1,208,988   0   
Goldman Sachs International   (927,829)   0     927,829   0   
Morgan Stanley & Co. International PLC   (579,421)   0     579,421   0   
UBS AG   (481,323)   0     481,323   0   
ProShares UltraShort Yen                 
Goldman Sachs International   (207,021)   0     207,021   0   
UBS AG   (357,945)   0     357,945   0   
NOTE 4 –—  AGREEMENTS
Management Fee
Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.
The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule
K-1
preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.
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Non-Recurring
Fees and Expenses
Each Fund pays all its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
The Custodian
BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – OFFERING COSTS
Offering costs will be amortized by the Funds over a
twelve month
period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each
Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
117
Transaction Fees on Creation and Redemption Transactions
The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.
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Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
Transaction fees for the three and nine months ended September 30, 20202021 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
Fund
  
Three Months Ended
September 30, 2021
   
Nine Months Ended
September 30, 2021
 
ProShares Short Euro  $0     $0   
ProShares Short VIX Short-Term Futures ETF   75,629    139,978 
ProShares Ultra Bloomberg Crude Oil   0      0   
ProShares Ultra Bloomberg Natural Gas   0      0   
ProShares Ultra Euro   0      0   
ProShares Ultra Gold   0      0   
ProShares Ultra Silver   0      0   
ProShares Ultra VIX Short-Term Futures ETF   908,895    2,277,545 
ProShares Ultra Yen   0      0   
ProShares UltraShort Australian Dollar   0      0   
ProShares UltraShort Bloomberg Crude Oil   0      0   
ProShares UltraShort Bloomberg Natural Gas   0      0   
ProShares UltraShort Euro   0      0   
ProShares UltraShort Gold   0      0   
ProShares UltraShort Silver   0      0   
ProShares UltraShort Yen   0      0   
ProShares VIX
Mid-Term
Futures ETF
   13,723    32,535 
ProShares VIX Short-Term Futures ETF   81,985    314,310 
           
Total Trust
  $1,080,232   $2,764,368 
   
Three Months Ended
   
Nine Months Ended
 
Fund
  
September 30, 2020
   
September 30, 2020
 
ProShares Short Euro
  $—     $—   
ProShares Short VIX Short-Term Futures ETF
   70,162    784,097 
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
   386,026    1,575,613 
ProShares Ultra Yen
   —      —   
ProShares UltraPro 3x Crude Oil ETF*
   0      0   
ProShares UltraPro 3x Short Crude Oil ETF*
   0      0   
ProShares UltraShort Australian Dollar
   —      —   
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
   15,288    42,768 
ProShares VIX Short-Term Futures ETF
   53,786    274,537 
  
 
 
   
 
 
 
Total Trust
  
$
525,262
 
  
$
2,677,015
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
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NOTE 7 – FINANCIAL HIGHLIGHTS
Selected data is for a Share outstanding throughout the three months ended September 30, 2020
2021
For the Three Months Ended September 30, 20202021 (unaudited)
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at June 30, 2021  $43.18  $55.61  $78.24  $35.33  $14.67  $57.28 
Net investment income (loss)   (0.10)   (0.19)   (0.20)   (0.14)   (0.03)   (0.14) 
Net realized and unrealized gain (loss)#   1.06   (0.96)   6.43   48.28   (0.72)   (1.50) 
Change in net asset value from operations   0.96   (1.15)   6.23   48.14   (0.75)   (1.64) 
Net asset value, at September 30, 2021  $44.14  $54.46  $84.47  $83.47  $13.92  $55.64 
Market value per share, at June 30, 2021
†
  $43.14  $55.55  $78.23  $37.17  $14.66  $57.22 
Market value per share, at September 30, 2021
†
  $44.16  $54.39  $84.22  $82.30  $13.92  $55.59 
Total Return, at net asset value^
   2.3%   (2.1)%   8.0%   136.3%   (5.1)%   (2.9)% 
Total Return, at market value^
   2.4%   (2.1)%   7.7%   121.4%   (5.1)%   (2.9)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.96%   1.33%   1.10%   1.30%   0.95%   1.00% 
Net investment income gain (loss)   (0.92)%   (1.32)%   (1.07)%   (1.25)%   (0.91)%   (0.97)% 
 
Per Share Operating
Performance             
  
Short Euro
  
Short VIX

Short-Term

Futures ETF
  
Ultra

Bloomberg

Crude Oil
  
Ultra

Bloomberg

Natural Gas
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at June 30, 2020
  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Net investment income (loss)
   (0.11)   (0.11)   (0.10)   (0.14)   (0.03)   (0.17) 
Net realized and unrealized gain (loss)#
   (1.85)   4.08   0.25   6.19   1.13   4.05 
Change in net asset value from operations
   (1.96)   3.97   0.15   6.05   1.10   3.88 
Net asset value, at September 30, 2020
  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at June 30, 2020
†
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Market value per share, at September 30, 2020
†
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   (4.3)%   12.6%   0.5%   21.4%   8.1%   6.0% 
Total Return, at market value^
   (3.5)%   12.7%   (0.8)%   22.1%   7.9%   5.8% 
Ratios to Average Net Assets**
       
Expense ratio^^
   0.98%   1.36%   1.32%   1.61%   0.96%   1.00% 
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
   0.95%   0.95%   0.95%   0.95%   0.95%   0.95% 
Net investment income gain (loss)
   (0.95)%   (1.31)%   (1.31)%   (1.54)%   (0.93)%   (0.92)% 
*
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 NYSE Arca,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, 2020.
2021.
^^
ExpenseThe expense ratio excludingwould be
non-recurring0.95
fees and expense is 0.96%%, 1.34%0.95%, 1.32%0.95%, 1.61%0.95%, 0.95% and 1.00%0.95%, respectively.respectively, if brokerage commissions and futures account fees were excluded.
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119Table of Contents
For the Three Months Ended September 30, 20202021 (unaudited)
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
                    
Net asset value, at June 30, 2021  $45.97  $27.91  $51.24  $46.09  $18.11  $21.55 
Net investment income (loss)   (0.10)   (0.11)   (0.12)   (0.12)   (0.05)   (0.05) 
Net realized and unrealized gain (loss)#   (14.16)   (3.37)   (0.29)   3.17   (2.93)   (14.48) 
Change in net asset value from operations   (14.26)   (3.48)   (0.41)   3.05   (2.98)   (14.53) 
Net asset value, at September 30, 2021  $31.71  $24.43  $50.83  $49.14  $15.13  $7.02 
Market value per share, at June 30, 2021
†
  $46.12  $27.98  $51.26  $45.96  $18.11  $20.44 
Market value per share, at September 30, 2021
†
  $31.99  $24.55  $50.82  $49.16  $15.18  $7.12 
Total Return, at net asset value^
   (31.0)%   (12.5)%   (0.8)%   6.6%   (16.5)%   (67.4)% 
Total Return, at market value^
   (30.6)%   (12.3)%   (0.9)%   7.0%   (16.2)%   (65.2)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.00%   1.71%   0.95%   1.05%   1.17%   1.35% 
Net investment income gain (loss)   (0.97)%   (1.71)%   (0.91)%   (1.01)%   (1.14)%   (1.32)% 
 
Per Share Operating
Performance             
  
Ultra Silver
  
Ultra VIX

Short-Term

Futures ETF
  
Ultra Yen
  
UltraShort

Australian

Dollar
  
UltraShort

Bloomberg

Crude Oil
  
UltraShort

Bloomberg

Natural Gas
 
Net asset value, at June 30, 2020
  $29.56  $32.93  $55.32  $56.14  $18.30  $67.21 
Net investment income (loss)
   (0.12)   (0.10)   (0.13)   (0.13)   (0.06)   (0.16) 
Net realized and unrealized gain (loss)#
   12.81   (12.68)   2.50   (4.27)   (1.62)   (28.73) 
Change in net asset value from operations
   12.69   (12.78)   2.37   (4.40)   (1.68)   (28.89) 
Net asset value, at September 30, 2020
  $42.25  $20.15  $57.69  $51.74  $16.62  $38.32 
Market value per share, at June 30, 2020
†
  $29.33  $32.77  $55.31  $56.06  $18.25  $67.21 
Market value per share, at September 30, 2020
†
  $41.77  $19.92  $57.69  $51.67  $16.77  $38.01 
Total Return, at net asset value^
   42.9%   (38.8)%   4.3%   (7.8)%   (9.2)%   (43.0)% 
Total Return, at market value^
   42.4%   (39.2)%   4.3%   (7.8)%   (8.1)%   (43.5)% 
Ratios to Average Net Assets**
       
Expense ratio^^
   1.04%   1.67%   0.96%   1.03%   1.39%   1.77% 
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees
   0.95%   0.95%   0.95%   0.95%   0.95%   0.95% 
Net investment income gain (loss)
   (0.97)%   (1.64)%   (0.94)%   (1.01)%   (1.37)%   (1.71)% 
*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 NYSE Arca,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, 2020.
2021.
^^
ExpenseThe expense ratio excluding
non-recurring
fees and expense is 1.04%, 1.67%would be 0.95%, 0.95%, 1.02%0.95%, 1.37%0.95%, 0.95% and 1.77%0.95%, respectively.
respectively, if brokerage commissions and futures account fees were excluded.
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Table of Contents
For the Three Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
 
              
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
 
Silver
 
UltraShort
 
Yen
 
VIX Mid-
 
Term Futures
 
ETF
 
VIX Short-
 
Term Futures
 
ETF
 
Net asset value, at June 30, 2020
  $26.73  $35.46  $19.62  $74.60  $40.40  $27.93 
Net asset value, at June 30, 2021  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Net investment income (loss)
   (0.05)  (0.08)  (0.02)  (0.16)  (0.10)  (0.07)    (0.06)   (0.08)   (0.07)   (0.17)   (0.08)   (0.07) 
Net realized and unrealized gain (loss)#
   (2.19)  (3.34)  (9.91)  (3.49)  0.69  (7.33)    1.19   0.21   7.97   0.16   1.79   (1.34) 
Change in net asset value from operations
   (2.24)  (3.42)  (9.93)  (3.65)  0.59  (7.40)    1.13   0.13   7.90   (0.01)   1.71   (1.41) 
Net asset value, at September 30, 2020
  $24.49  $32.04  $9.69  $70.95  $40.99  $20.53 
Market value per share, at June 30, 2020
†
  $26.73  $35.57  $19.77  $74.58  $40.24  $27.76 
Market value per share, at September 30, 2020
†
  $24.49  $32.19  $9.81  $70.93  $40.68  $20.41 
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at June 30, 2021
†
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Market value per share, at September 30, 2021
†
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Total Return, at net asset value^
   (8.4)%  (9.7)%  (50.6)%  (4.9)%  1.5%  (26.5)%    4.8%   0.4%   33.8%   (0.0)%
@
 		  5.6%   (5.8)% 
Total Return, at market value^
   (8.4)%  (9.5)%  (50.4)%  (4.9)%  1.1%  (26.5)%    4.7%   0.4%   33.0%   (0.0)%
@
 		  5.8%   (5.3)% 
Ratios to Average Net Assets**
                    
Expense ratio^^
   0.97%  1.03%  1.11%  0.96%  1.07%  1.20%    0.95%   1.02%   1.10%   0.95%   1.04%   1.17% 
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees
   0.95%  0.95%  0.95%  0.95%  0.85%  0.85% 
Net investment income gain (loss)
   (0.85)%  (0.99)%  (1.07)%  (0.88)%  (1.01)%  (1.15)%    (0.91)%   (0.98)%   (1.07)%   (0.91)%   (1.01)%   (1.16)% 
 
*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 NYSE Arca,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, 2020.
2021.
^^
ExpenseThe expense ratio excluding
non-recurring
fees and expense iswould be 0.95%, 1.02%, 1.10%, 0.95%, 1.07%0.95%, 0.95%, 0.85% and 1.20%0.85%, respectively.
respectively, if brokerage commissions and futures account fees were excluded.
@Amount represents greater than (0.05)%.
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Table of Contents
Selected data for a Share outstanding throughout the three months ended September 30, 20192020
For the Three Months Ended September 30, 20192020 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
 
Short VIX
Short-Term

Futures ETF
 
Ultra
Bloomberg
Crude Oil
 
Ultra
Bloomberg
Natural Gas
 
Ultra Euro
 
Ultra Gold
 
              
Per Share Operating
Performance
  
Short Euro
 
Short VIX

Short-Term

Futures ETF
 
Ultra

Bloomberg

Crude Oil
*
 
Ultra

Bloomberg

Natural Gas
*
 
Ultra Euro
 
Ultra Gold
 
Net asset value, at June 30, 2019
  $44.25  $54.51  $490.69  $138.53  $14.50  $43.78 
Net asset value, at June 30, 2020  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Net investment income (loss)
   0.14  0.06  1.19  0.26  0.03  0.12    (0.11)   (0.11)   (0.10)   (0.14)   (0.03)   (0.17) 
Net realized and unrealized gain (loss)#
   2.24  (0.64)  (89.99)  (10.06)  (1.36)  2.63    (1.85)   4.08   0.25   6.19   1.13   4.05 
Change in net asset value from operations
   2.38  (0.58)  (88.80)  (9.80)  (1.33)  2.75    (1.96)   3.97   0.15   6.05   1.10   3.88 
Net asset value, at September 30, 2019
  $46.63  $53.93  $401.89  $128.73  $13.17  $46.53 
Market value per share, at June 30, 2019
†
  $44.26  $53.87  $483.00  $139.20  $14.51  $43.80 
Market value per share, at September 30, 2019
†
  $46.73  $53.41  $405.50  $128.70  $13.17  $46.94 
Net asset value, at September 30, 2020  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at June 30, 2020
†
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Market value per share, at September 30, 2020
†
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   5.4%  (1.1)%  (18.1)%  (7.1)%  (9.2)%  6.3%    (4.3)%   12.6%   0.5%   21.4%   8.1%   6.0% 
Total Return, at market
value^
   5.6%  (0.9)%  (16.1)%  (7.5)%  (9.2)%  7.2%    (3.5)%   12.7%   (0.8)%   22.1%   7.9%   5.8% 
Ratios to Average Net Assets**
                    
Expense ratio
   0.97%  1.16%  1.01%  1.29%  0.95%  0.96% 
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees
   0.95%  0.95%  0.95%  0.95%  0.95%  0.95% 
Expense ratio^^   0.98%   1.36%   1.32%   1.61%   0.96%   1.00% 
Net investment income gain (loss)
   1.24%  0.46%  1.06%  0.75%  0.89%  0.97%    (0.95)%   (1.31)%   (1.31)%   (1.54)%   (0.93)%   (0.92)% 
 
*
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 NYSE Arca,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, 2019.
2020.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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Table of Contents
For the Three Months Ended September 30, 20192020 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
 
Ultra VIX
Short-Term

Futures ETF
*
 
Ultra Yen
 
UltraShort
Australian
Dollar
 
UltraShort
Bloomberg
Crude Oil
*
 
UltraShort
Bloomberg
Natural Gas
 
              
Per Share Operating
Performance
  
Ultra Silver
 
Ultra VIX

Short-Term

Futures ETF
 
Ultra Yen
 
UltraPro 3x

Crude Oil

ETF
 
UltraPro 3x

Short Crude

Oil ETF
*
 
UltraShort

Australian

Dollar
 
Net asset value, at June 30, 2019
  $24.62  $30.37  $58.09  $22.54  $19.80  $55.76 
Net asset value, at June 30, 2020  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Net investment income (loss)
   0.07  0.01  0.14  0.03  0.02  0.16    (0.12)   (0.97)   (0.13)   (0.13)   (0.22)   (0.16) 
Net realized and unrealized gain (loss)#
   4.52  (5.00)  (1.17)  (7.15)  (2.79)  4.59    12.81   (126.77)   2.50   (4.27)   (6.50)   (28.73) 
Change in net asset value from operations
   4.59  (4.99)  (1.03)  (7.12)  (2.77)  4.75    12.69   (127.74)   2.37   (4.40)   (6.72)   (28.89) 
Net asset value, at September 30, 2019
  $29.21  $25.38  $57.06  $15.42  $17.03  $60.51 
Market value per share, at June 30, 2019
†
  $24.65  $31.49  $58.09  $22.00  $20.28  $55.76 
Market value per share, at September 30, 2019
†
  $29.48  $26.04  $57.08  $15.62  $16.80  $60.42 
Net asset value, at September 30, 2020  $42.25  $201.54  $57.69  $51.74  $66.46  $38.32 
Market value per share, at June 30, 2020
†
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Market value per share, at September 30, 2020
†
  $41.77  $199.20  $57.69  $51.67  $67.08  $38.01 
Total Return, at net asset value^
   18.6%  (16.4)%  (1.8)%  (31.6)%  (14.0)%  8.5%    42.9%   (38.8)%   4.3%   (7.8)%   (9.2)%   (43.0)% 
Total Return, at market value^
   19.6%  (17.3)%  (1.7)%  (29.0)%  (17.2)%  8.4%    42.4%   (39.2)%   4.3%   (7.8)%   (8.1)%   (43.5)% 
Ratios to Average Net Assets**
                    
Expense ratio
   0.97%  1.54%  0.95%  1.26%  1.39%  1.03% 
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees
   0.95%  0.95%  0.95%  0.95%  0.95%  0.95% 
Expense ratio^^   1.04%   1.67%   0.96%   1.03%   1.39%   1.77% 
Net investment income gain (loss)
   0.88%  0.10%  0.96%  0.66%  0.45%  1.11%    (0.97)%   (1.64)%   (0.94)%   (1.01)%   (1.37)%   (1.71)% 
 
*
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 NYSE Arca,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, 2019.
2020.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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Table of Contents
For the Three Months Ended September 30, 20192020 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
 
              
Per Share Operating
Performance
  
UltraShort

Bloomberg

Crude Oil
 
UltraShort

Bloomberg

Natural Gas
 
UltraShort

Euro
 
UltraShort

Gold
 
UltraShort

Silver
 
UltraShort

Yen
 
Net asset value, at June 30, 2019
  $16.86  $30.75  $25.39  $61.14  $38.22  $73.46 
Net asset value, at June 30, 2020  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Net investment income (loss)
   0.04  0.03  0.07  0.17  0.10  0.23    (0.05)   (0.08)   (0.09)   (0.16)   (0.10)   (0.26) 
Net realized and unrealized gain (loss)#
   (0.50)  (1.36)  2.56  (4.75)  (8.45)  1.04    (2.19)   (3.34)   (39.64)   (3.49)   0.69 �� (29.31) 
Change in net asset value from operations
   (0.46)  (1.33)  2.63  (4.58)  (8.35)  1.27    (2.24)   (3.42)   (39.73)   (3.65)   0.59   (29.57) 
Net asset value, at September 30, 2019
  $16.40  $29.42  $28.02  $56.56  $29.87  $74.73 
Market value per share, at June 30, 2019
†
  $17.12  $30.58  $25.34  $61.10  $38.18  $73.46 
Market value per share, at September 30, 2019
†
  $16.24  $29.47  $28.03  $56.01  $29.60  $74.69 
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at June 30, 2020
†
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Market value per share, at September 30, 2020
†
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Total Return, at net asset value^
   (2.7)%  (4.3)%  10.4%  (7.5)%  (21.9)%  1.7%    (8.4)%   (9.7)%   (50.6)%   (4.9)%   1.5%   (26.5)% 
Total Return, at market value^
   (5.1)%  (3.6)%  10.6%  (8.3)%  (22.5)%  1.7%    (8.4)%   (9.5)%   (50.4)%   (4.9)%   1.1%   (26.5)% 
Ratios to Average Net Assets**
                    
Expense ratio
   1.08%  1.61%  0.95%  0.99%  1.01%  0.95% 
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
   0.95%  0.95%  0.95%  0.95%  0.95%  0.95% 
Expense ratio^^   0.97%   1.03%   1.11%   0.96%   1.07%   1.20% 
Net investment income gain (loss)
   0.99%  0.36%  1.11%  1.21%  1.27%  1.24%    (0.85)%   (0.99)%   (1.07)%   (0.88)%   (1.01)%   (1.15)% 
 
*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 NYSE Arca,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, 2019.
2020.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
124
125
Table of Contents
Selected data for a Share outstanding throughout the nine months ended September 30, 2021
For the ThreeNine Months Ended September 30, 20192021 (unaudited)
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at December 31, 2020  $41.92  $41.42  $36.38  $21.00  $15.79  $67.57 
Net investment income (loss)   (0.29)   (0.49)   (0.49)   (0.29)   (0.10)   (0.43) 
Net realized and unrealized gain (loss)#   2.51   13.53   48.58   62.76   (1.77)   (11.50) 
Change in net asset value from operations   2.22   13.04   48.09   62.47   (1.87)   (11.93) 
Net asset value, at September 30, 2021  $44.14  $54.46  $84.47  $83.47  $13.92  $55.64 
Market value per share, at December 31, 2020
†
  $41.35  $41.44  $36.27  $21.07  $15.81  $68.20 
Market value per share, at September 30, 2021
†
  $44.16  $54.39  $84.22  $82.30  $13.92  $55.59 
Total Return, at net asset value^
   5.2%   31.5%   132.2%   297.6%   (11.9)%   (17.7)% 
Total Return, at market value^
   6.8%   31.3%   132.2%   290.7%   (11.9)%   (18.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97%   1.35%   1.11%   1.47%   0.95%   1.00% 
Net investment income gain (loss)   (0.91)%   (1.33)%   (1.07)%   (1.41)%   (0.90)%   (0.97)% 
 
Per Share Operating
Performance             
  
VIX Mid-

Term Futures

ETF
  
VIX Short-

Term Futures

ETF
 
Net asset value, at June 30, 2019
  $21.42  $20.86 
Net investment income (loss)
   0.07   0.05 
Net realized and unrealized gain (loss)#
   2.01   (1.72) 
Change in net asset value from operations
   2.08   (1.67) 
Net asset value, at September 30, 2019
  $23.50  $19.19 
Market value per share, at June 30, 2019
†
  $21.63  $21.40 
Market value per share, at September 30, 2019
†
  $23.67  $19.52 
Total Return, at net asset value^
   9.7%   (8.0)% 
Total Return, at market value^
   9.4%   (8.8)% 
Ratios to Average Net Assets**
   
Expense ratio
   0.92%   1.00% 
Expense ratio, excluding non- recurring fees and expenses, and brokerage commissions and fees
   0.85%   0.85% 
Net investment income gain (loss)
   1.21%   0.93% 
**
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 NYSE Arca,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, 2019.
2021.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
125
126
Table of Contents
Selected data for a Share outstanding throughout the nine months ended September 30, 2020
For the Nine Months Ended September 30, 20202021 (unaudited)
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

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

Short-Term

Futures ETF
  
Ultra

Bloomberg

Crude Oil
*
  
Ultra

Bloomberg

Natural Gas
*
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at December 31, 2019
  $45.64  $65.62  $509.23  $83.97  $13.79  $49.21 
Net investment income (loss)
   (0.18)   (0.28)   (0.25)   (0.35)   (0.05)   (0.28) 
Net realized and unrealized gain (loss)#
   (1.69)   (29.97)   (480.24)   (49.26)   0.92   19.93 
Change in net asset value from operations
   (1.87)   (30.25)   (480.49)   (49.61)   0.87   19.65 
Net asset value, at September 30, 2020
  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at December 31, 2019
†
  $45.69  $65.23  $511.50  $83.40  $13.77  $49.05 
Market value per share, at September 30, 2020
†
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   (4.1)%   (46.1)%   (94.4)%   (59.1)%   6.3%   39.9% 
Total Return, at market value^
   (5.3)%   (45.6)%   (94.4)%   (58.5)%   6.3%   39.8% 
Ratios to Average Net Assets**
       
Expense ratio^^
   0.97%   1.31%   1.35%   1.60%   0.95%   1.00% 
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
   0.95%   0.95%   0.95%   0.95%   0.95%   0.95% 
Net investment income gain (loss)
   (0.52)%   (1.07)%   (1.10)%   (1.12)%   (0.49)%   (0.59)% 
*
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 NYSE Arca,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, 2020.
2021.
^^
ExpenseThe expense ratio excluding
non-recurring
fees and expense is 0.97%would be 0.95%, 1.30%0.95%, 1.35%0.95%, 1.60%0.95%, 0.95% and 0.99%0.95%, respectively.
respectively, if brokerage commissions and futures account fees were excluded.
126
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Table of Contents
For the Nine Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
 
              
Per Share Operating
Performance
  
Ultra Silver
 
Ultra VIX

Short-Term

Futures ETF
 
Ultra Yen
 
UltraShort

Australian

Dollar
 
UltraShort

Bloomberg

Crude Oil
 
UltraShort

Bloomberg

Natural Gas
 
Net asset value, at December 31, 2019
  $31.70  $12.67  $55.83  $56.09  $12.19  $38.53 
Net asset value, at December 31, 2020  $22.53  $31.43  $27.73  $67.83  $36.73  $55.03 
Net investment income (loss)
   (0.17)  (0.24)  (0.22)  (0.26)  (0.21)  (0.52)    (0.16)   (0.25)   (0.20)   (0.50)   (0.25)   (0.28) 
Net realized and unrealized gain (loss)#
   10.72  7.72  2.08  (4.09)  4.64  0.31    2.57   3.62   3.74   10.62   (4.26)   (32.07) 
Change in net asset value from operations
   10.55  7.48  1.86  (4.35)  4.43  (0.21)    2.41   3.37   3.54   10.12   (4.51)   (32.35) 
Net asset value, at September 30, 2020
  $42.25  $20.15  $57.69  $51.74  $16.62  $38.32 
Market value per share, at December 31, 2019
†
  $31.65  $12.89  $55.83  $55.88  $12.15  $38.82 
Market value per share, at September 30, 2020
†
  $41.77  $19.92  $57.69  $51.67  $16.77  $38.01 
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at December 31, 2020
†
  $22.52  $31.14  $27.40  $67.81  $36.70  $54.96 
Market value per share, at September 30, 2021
†
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Total Return, at net asset value^
   33.3%  59.0%  3.3%  (7.8)%  36.3%  (0.5)%    10.7%   10.7%   12.8%   14.9%   (12.3)%   (58.8)% 
Total Return, at market value^
   32.0%  54.5%  3.3%  (7.5)%  38.0%  (2.1)%    10.7%   11.8%   13.0%   15.0%   (12.0)%   (58.5)% 
Ratios to Average Net Assets**
                    
Expense ratio^^
   1.03%  1.61%  0.95%  1.04%  1.70%  1.88%    0.95%   1.03%   1.10%   0.95%   1.05%   1.23% 
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
   0.95%  0.95%  0.95%  0.95%  0.95%  0.95% 
Net investment income gain (loss)
   (0.62)%  (1.34)%  (0.54)%  (0.58)%  (1.39)%  (1.64)%    (0.90)%   (0.99)%   (1.07)%   (0.90)%   (1.01)%   (1.19)% 
 
*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 NYSE Arca,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, 2020.
2021.
^^
ExpenseThe expense ratio excluding
non-recurring
fees and expense is 1.03%, 1.61%would be 0.95%, 0.95%, 1.03%0.95%, 1.69%0.95%, 0.85% and 1.88%0.85%, respectively.
respectively, if brokerage commissions and futures account fees were excluded.
128
127Table of Contents
Selected data for a Share outstanding throughout the nine months ended September 30, 2020
For the Nine Months Ended September 30, 2020 (unaudited)
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at December 31, 2019  $45.64  $65.62  $509.23  $83.97  $13.79  $49.21 
Net investment income (loss)   (0.18)   (0.28)   (0.25)   (0.35)   (0.05)   (0.28) 
Net realized and unrealized gain (loss)#   (1.69)   (29.97)   (480.24)   (49.26)   0.92   19.93 
Change in net asset value from operations   (1.87)   (30.25)   (480.49)   (49.61)   0.87   19.65 
Net asset value, at September 30, 2020  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at December 31, 2019
†
  $45.69  $65.23  $511.50  $83.40  $13.77  $49.05 
Market value per share, at September 30, 2020
†
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   (4.1)%   (46.1)%   (94.4)%   (59.1)%   6.3%   39.9% 
Total Return, at market value^
   (5.3)%   (45.6)%   (94.4)%   (58.5)%   6.3%   39.8% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97%   1.31%   1.35%   1.60%   0.95%   1.00% 
Net investment income gain (loss)   (0.52)%   (1.07)%   (1.10)%   (1.12)%   (0.49)%   (0.59)% 
 
Per Share Operating
Performance             
  
UltraShort

Euro
  
UltraShort

Gold
  
UltraShort

Silver
  
UltraShort

Yen
  
VIX Mid-

Term Futures

ETF
  
VIX Short-

Term Futures
ETF
 
Net asset value, at December 31, 2019
  $26.80  $53.02  $26.76  $76.37  $21.27  $12.30 
Net investment income (loss)
   (0.05)   (0.15)   (0.07)   (0.19)   (0.16)   (0.09) 
Net realized and unrealized gain (loss)#
   (2.26)   (20.83)   (17.00)   (5.23)   19.88   8.32 
Change in net asset value from operations
   (2.31)   (20.98)   (17.07)   (5.42)   19.72   8.23 
Net asset value, at September 30, 2020
  $24.49  $32.04  $9.69  $70.95  $40.99  $20.53 
Market value per share, at December 31, 2019
†
  $26.80  $53.21  $26.80  $76.35  $21.29  $12.43 
Market value per share, at September 30, 2020
†
  $24.49  $32.19  $9.81  $70.93  $40.68  $20.41 
Total Return, at net asset value^
   (8.6)%   (39.6)%   (63.8)%   (7.1)%   92.8%   67.0% 
Total Return, at market value^
   (8.6)%   (39.5)%   (63.4)%   (7.1)%   91.1%   64.2% 
Ratios to Average Net Assets**
       
Expense ratio^^
   0.95%   1.02%   1.10%   0.95%   1.06%   1.17% 
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
   0.95%   0.95%   0.95%   0.95%   0.85%   0.85% 
Net investment income gain (loss)
   (0.23)%   (0.54)%   (0.79)%   (0.33)%   (0.63)%   (0.57)% 
**
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 NYSE Arca,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, 2020.
^^
ExpenseThe expense ratio excluding
non-recurring
fees and expense iswould be 0.95%, 1.01%, 1.10%, 0.95%, 1.06%
0.95%, 0.95%, 0.95% and
1.17
% 0.95%, respectively,
.
if brokerage commissions and futures account fees were excluded.
128
129
Table of Contents
Selected data for a Share outstanding throughout the nine months ended September 30, 2019
For the Nine Months Ended September 30, 20192020 (unaudited)
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
                    
Net asset value, at December 31, 2019  $31.70  $126.74  $55.83  $56.09  $48.77  $38.53 
Net investment income (loss)   (0.17)   (2.43)   (0.22)   (0.26)   (0.86)   (0.52) 
Net realized and unrealized gain (loss)#   10.72   77.23   2.08   (4.09)   18.55   0.31 
Change in net asset value from operations   10.55   74.80   1.86   (4.35)   17.69   (0.21) 
Net asset value, at September 30, 2020  $42.25  $201.54  $57.69  $51.74  $66.46  $38.32 
Market value per share, at December 31, 2019
†
  $31.65  $128.90  $55.83  $55.88  $48.60  $38.82 
Market value per share, at September 30, 2020
†
  $41.77  $199.20  $57.69  $51.67  $67.08  $38.01 
Total Return, at net asset value^
   33.3%   59.0%   3.3%   (7.8)%   36.3%   (0.5)% 
Total Return, at market value^
   32.0%   54.5%   3.3%   (7.5)%   38.0%   (2.1)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.03%   1.61%   0.95%   1.04%   1.70%   1.88% 
Net investment income gain (loss)   (0.62)%   (1.34)%   (0.54)%   (0.58)%   (1.39)%   (1.64)% 
 
Per Share Operating
Performance             
  
Short Euro
  
Short VIX

Short-Term

Futures ETF
  
Ultra

Bloomberg

Crude Oil
*
  
Ultra

Bloomberg

Natural Gas
*
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at December 31, 2018
  $43.10  $42.36  $326.46  $252.83  $15.09  $37.12 
Net investment income (loss)
   0.43   0.16   3.96   0.95   0.11   0.32 
Net realized and unrealized gain (loss)#
   3.10   11.41   71.47   (125.05)   (2.03)   9.09 
Change in net asset value from operations
   3.53   11.57   75.43   (124.10)   (1.92)   9.41 
Net asset value, at September 30, 2019
  $46.63  $53.93  $401.89  $128.73  $13.17  $46.53 
Market value per share, at December 31, 2018
†
  $43.08  $42.30  $332.50  $258.20  $15.12  $37.41 
Market value per share, at September 30, 2019
†
  $46.73  $53.41  $405.50  $128.70  $13.17  $46.94 
Total Return, at net asset value^
   8.2%   27.3%   23.1%   (49.1)%   (12.7)%   25.3% 
Total Return, at market value^
   8.5%   26.3%   22.0%   (50.2)%   (12.9)%   25.5% 
Ratios to Average Net Assets**
         
Expense ratio
   0.97%   1.30%^^   0.99%   1.32%   0.95%   0.96% 
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
   0.95%   0.95%   0.95%   0.95%   0.95%   0.95% 
Net investment income gain (loss)
   1.28%   0.41%   1.12%   0.76%   1.02%   1.05% 
*
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 NYSE Arca,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, 2019.
2020.
^^
ExpenseThe expense ratio excluding
non-recurring
would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees and expense is 1.16%.
were excluded.
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For the Nine Months Ended September 30, 20192020 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
 
              
Per Share Operating
Performance
  
Ultra Silver
 
Ultra VIX

Short-Term

Futures ETF
 
Ultra Yen
 
UltraPro 3x

Crude Oil

ETF
 
UltraPro 3x

Short Crude

Oil ETF
*
 
UltraShort

Australian

Dollar
 
Net asset value, at December 31, 2018
  $26.39  $81.46  $57.53  $13.08  $49.79  $55.30 
Net asset value, at December 31, 2019  $26.80  $53.02  $107.04  $76.37  $21.27  $49.19 
Net investment income (loss)
   0.20  0.03  0.44  0.13  0.09  0.49    (0.05)   (0.15)   (0.29)   (0.19)   (0.16)   (0.34) 
Net realized and unrealized gain (loss)#
   2.62  (56.11)  (0.91)  2.21  (32.85)  4.72    (2.26)   (20.83)   (67.98)   (5.23)   19.88   33.28 
Change in net asset value from operations
   2.82  (56.08)  (0.47)  2.34  (32.76)  5.21    (2.31)   (20.98)   (68.27)   (5.42)   19.72   32.94 
Net asset value, at September 30, 2019
  $29.21  $25.38  $57.06  $15.42  $17.03  $60.51 
Market value per share, at December 31, 2018
†
  $26.37  $81.73  $57.55  $13.47  $48.43  $54.92 
Market value per share, at September 30, 2019
†
  $29.48  $26.04  $57.08  $15.62  $16.80  $60.42 
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at December 31, 2019
†
  $26.80  $53.21  $107.20  $76.35  $21.29  $49.72 
Market value per share, at September 30, 2020
†
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Total Return, at net asset value^
   10.7%  (68.8)%  (0.8)%  17.9%  (65.8)%  9.4%    (8.6)%   (39.6)%   (63.8)%   (7.1)%   92.8%   67.0% 
Total Return, at market value^
   11.8%  (68.1)%  (0.8)%  16.0%  (65.3)%  10.0%    (8.6)%   (39.5)%   (63.4)%   (7.1)%   91.1%   64.2% 
Ratios to Average Net Assets**
                    
Expense ratio
   0.97%  1.53%^^  0.95%  1.22%  1.38%  1.03% 
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
   0.95%  0.95%  0.95%  0.95%  0.95%  0.95% 
Expense ratio^^   0.95%   1.02%   1.10%   0.95%   1.06%   1.17% 
Net investment income gain (loss)
   0.99%  0.13%  1.04%  0.80%  0.59%  1.17%    (0.23)%   (0.54)%   (0.79)%   (0.33)%   (0.63)%   (0.57)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the NYSE Arca,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, 2019.
2020.
^^
ExpenseThe expense ratio excluding
non-recurring
would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees and expense is 1.53%.
were excluded.
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For the Nine Months Ended September 30, 2019 (unaudited)
Per Share Operating
Performance             
  
UltraShort

Bloomberg

Crude Oil
  
UltraShort

Bloomberg

Natural Gas
  
UltraShort

Euro
  
UltraShort

Gold
  
UltraShort

Silver
  
UltraShort

Yen
 
Net asset value, at December 31, 2018
  $29.79  $21.61  $24.27  $73.28  $37.13  $73.89 
Net investment income (loss)
   0.14   0.10   0.24   0.52   0.27   0.72 
Net realized and unrealized gain (loss)#
   (13.53)   7.71   3.51   (17.24)   (7.53)   0.12 
Change in net asset value from operations
   (13.39)   7.81   3.75   (16.72)   (7.26)   0.84 
Net asset value, at September 30, 2019
  $16.40  $29.42  $28.02  $56.56  $29.87  $74.73 
Market value per share, at December 31, 2018
†
  $29.28  $21.22  $24.25  $72.84  $37.10  $73.86 
Market value per share, at September 30, 2019
†
  $16.24  $29.47  $28.03  $56.01  $29.60  $74.69 
Total Return, at net asset value^
   (44.9)%   36.1%   15.5%   (22.8)%   (19.6)%   1.1% 
Total Return, at market value^
   (44.5)%   38.9%   15.6%   (23.1)%   (20.2)%   1.1% 
Ratios to Average Net Assets**
       
Expense ratio
   1.04%   1.51%   0.95%   0.98%   1.00%   0.95% 
Expense ratio, excluding brokerage commissions and fees
   0.95%   0.95%   0.95%   0.95%   0.95%   0.95% 
Net investment income gain (loss)
   1.04%   0.55%   1.22%   1.06%   0.99%   1.29% 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2019.
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For the Nine Months Ended September 30, 2019 (unaudited)
Per Share Operating
Performance             
  
VIX Mid-

Term Futures

ETF
  
VIX Short-

Term Futures

ETF
 
Net asset value, at December 31, 2018
  $26.65  $38.58 
Net investment income (loss)
   0.21   0.19 
Net realized and unrealized gain (loss)#
   (3.36)   (19.58) 
Change in net asset value from operations
   (3.15)   (19.39) 
Net asset value, at September 30, 2019
  $23.50  $19.19 
Market value per share, at December 31, 2018
†
  $26.74  $38.61 
Market value per share, at September 30, 2019
†
  $23.67  $19.52 
Total Return, at net asset value^
   (11.8)%   (50.3)% 
Total Return, at market value^
   (11.5)%   (49.4)% 
Ratios to Average Net Assets**
   
Expense ratio
   0.93%   0.96% 
Expense ratio, excluding brokerage commissions and fees
   0.85%   0.85% 
Net investment income gain (loss)
   1.25%   1.10% 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2019.
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NOTE 8 – RISK
Correlation and Compounding Risk
The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from
one-half
the inverse
(-0.5x),
the inverse
(-1x),
two times the inverse
(-2x), three times the inverse (-3x),
one and
one-half
times (1.5x) the return or two times (2x) of the return or three times of the return (3x) 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 UltraShort and UltraPro Short Funds)or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.
Each Ultra UltraShort, UltraPro and UltraPro ShortUltraShort 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 or UltraPro Fund with a 1.5x or 2x or 3x multiple should be approximately one and
one-half
or two or three times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort or UltraPro Short Fund is designed to return two times the inverse
(-2x) of
or three times the inverse
(-3x)
of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The 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. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.
While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;
(3) bid-ask
spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being
133
equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,
-0.5x,
-1x,
-2x,
-3x,
1.5x, 2x, or 3x2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of “thethe Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.
Counterparty Credit Risk
The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.
OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of
134
the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the
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agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.
Leverage Risk
The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and
one-half
times multiplier) include a two times the inverse
(-2x),
or a two times (2x) multiplier, a
single-day
movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. For the UltraPro Fund and UltraPro Short Fund, because the Funds include a three times (3x) or three times the inverse
(-3x)
multiplier, a single day movement in the benchmark approaching 33% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if the 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 and UltraPro Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund and UltraPro Short Fund, even if the underlying benchmark maintains a level greater than zero at all times.
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Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
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“Contango” and “Backwardation” Risk
In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund an UltraPro Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund an UltraShort Fund or an UltraPro ShortUltraShort 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 UltraShort Funds, and UltraPro ShortUltraShort Funds, and positively affect the Ultra Funds UltraPro Funds and Matching VIX Funds.
Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.
Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.
In April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause significant losses.
Change to Investment Strategies
In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.
•
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
 
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
 
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Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse
(-2x),
as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to a longer-dated WTI crude oil futures contract (e.g., October, November and December 2020 instead of September 2020),contracts or other Financial Instruments, the performance of the Fund mayshould be expected to deviate to a greater extent from the “spot” price of WTI crude oil (which the Fund does not seek to track) than if the Fund had exposure to a shorter-dated futures contract. WTI crude oil futures contracts (and thus each Fund) typicallyor Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the “spot”spot price of WTI crude oil. The performance of each Fund therefore will very likely differ in amount,oil and possibly even direction, from the performance ofmay underperform investments that are linked to the “spot” price of WTI crude oil.
There can be no guarantee that each Oil Fund will be able to implement the strategies described above or in its Prospectus, continue to use such strategies, or that such strategies will be beneficial. Recent global developments affecting crude oil markets and the markets for crude oil futures contracts have dramatically increased volatility and increased the likelihood of investors suffering significant or total loss from crude
oil-related
investments, including an investment in a Fund.
Change to the Oil Funds Benchmark Index
Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex
SM
to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse
(-2x),
as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.
In order to have exposure to the WTI crude oil futures contracts included in the New Benchmark in a manner designed to achieve its respective investment objective by the beginning of business on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020.
Description of the New Benchmark
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.
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Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus
COVID-19),
have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these
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circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the
COVID-19
pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.
NOTE 9 – SUBSEQUENT EVENTS
Change to the VIX Funds Benchmark IndiciesIndices
Change to VIX Futures Contracts Settlement Time \ Index Methodology.
EffectiveOn Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15p.m.15 p.m. (Eastern Time) to 4:00p.m.00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX
Mid-Term
Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, and the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time effective Monday, October 26, 2020.time.
Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, effectiveon Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00p.m.00 p.m. (Eastern Time). Additional information
about the calculation of NAV is included in each Fund’s Prospectus.
Change to the VIX Funds Exchange Listing.
On December 16, 2020, each of the Matching VIX Funds and Geared VIX Funds transferred its listing from the NYSE Arca to the Cboe BZX Exchange.
NOTE 9 – SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.
 
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Item 2.Table of Contents
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form
10-Q.
The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
Introduction
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2020,2021, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.”
On March 15, 2020 ProSharesProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
On April 3, 2020, the Trust announced a
1-for-25
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a
1-for-10
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resultedresulting in a proportionate increase in the price per share and per share information of these funds .Therefore,funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On May 11, 2021, the Trust announced a
1-for-10
reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a
1-for-4
reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a
1-for-4
reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a
1-for-4
reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
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The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.
139
Groups of Funds are collectively referred to in this Quarterly Report on Form
10-Q
in several different ways. References to “Short Funds,” “UltraShort Funds,” “UltraPro Short Funds,” ��Ultra Funds” or “UltraPro“Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “UltraPro Short” Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each “UltraPro” Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.
Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from
-0.5x,
-1x,
-2x,
-3x, 1.5x, 2x or 3x2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.
Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX
Mid-Term
Futures Index (the
“Mid-Term
VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).
ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
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
140
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.
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The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 20202021 and 2019,2020, each of the Funds earned interest income as follows:
 
Fund
  
Interest Income

Three Months

Ended

September 30, 2020
*
   
Interest Income

Three Months

Ended

September 30, 2019
*
   
Interest Income

Nine Months

Ended

September 30, 2020
*
   
Interest Income

Nine Months

Ended

September 30, 2019
*
   
Interest Income

Three Months

Ended

September 30, 2021
   
Interest Income

Three Months

Ended

September 30, 2020
   
Interest Income

Nine Months

Ended

September 30, 2021
   
Interest Income

Nine Months

Ended

September 30, 2020
 
                
ProShares Short Euro
  $127   $107,143   $7,776   $297,766   $269   $127   $1,175   $7,776 
ProShares Short VIX Short-Term Futures ETF
   53,301    1,291,477    909,185    4,759,836    8,152    53,301    75,729    909,185 
ProShares Ultra Bloomberg Crude Oil
   50,356    1,881,595    1,817,563    6,185,775    86,370    50,356    365,778    1,817,563 
ProShares Ultra Bloomberg Natural Gas
   15,347    174,945    191,160    431,788    7,355    15,347    32,714    191,160 
ProShares Ultra Euro
   357    25,543    16,350    100,510    393    357    1,415    16,350 
ProShares Ultra Gold
   59,354    508,770    543,895    1,333,779    14,338    59,354    70,259    543,895 
ProShares Ultra Silver
   103,976    1,032,102    1,018,578    2,867,840    44,511    103,976    208,169    1,018,578 
ProShares Ultra VIX Short-Term Futures ETF
   88,621    2,018,561    1,601,884    6,119,714    11,979    88,621    328,504    1,601,884 
ProShares Ultra Yen
   171    16,771    9,100    62,655    260    171    923    9,100 
ProShares UltraPro 3x Crude Oil ETF
   —      484,215    346,326    1,723,210 
ProShares UltraPro 3x Short Crude Oil ETF
   —      147,602    166,789    324,609 
ProShares UltraPro 3x Crude Oil ETF*
   —      —      —      346,326 
ProShares UltraPro 3x Short Crude Oil ETF*
   —      —      —      166,789 
ProShares UltraShort Australian Dollar
   289    38,466    20,385    134,230    443    289    961    20,385 
ProShares UltraShort Bloomberg Crude Oil
   4,832    418,817    259,750    1,205,353    6,891    4,832    36,069    259,750 
ProShares UltraShort Bloomberg Natural Gas
   8,136    25,657    51,939    133,810    9,879    8,136    25,512    51,939 
ProShares UltraShort Euro
   18,939    689,247    486,623    2,269,169    5,008    18,939    17,814    486,623 
ProShares UltraShort Gold
   1,831    97,539    65,111    295,028    3,075    1,831    9,213    65,111 
ProShares UltraShort Silver
   3,192    72,984    48,379    229,545    3,100    3,192    8,895    48,379 
ProShares UltraShort Yen
   5,085    242,826    136,411    833,627    2,392    5,085    9,558    136,411 
ProShares VIX
Mid-Term
Futures ETF
   13,590    227,815    199,491    718,946    8,914    13,590    27,487    199,491 
ProShares VIX Short-Term Futures ETF
   34,770    1,278,488    1,117,617    3,414,854    11,739    34,770    91,187    1,117,617 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
 
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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of
illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed
“off-exchange”
between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on
Form 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
tri-party
accounts at the Fund’s custodian bank.
 
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Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
 
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
 
limiting the outstanding amounts due from counterparties to the Funds;
 
not posting margin directly with a counterparty;
 
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
 
limiting the amount of margin or premium posted at a FCM; and
 
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance
Sheet Arrangements and Contractual Obligations
As of 
October 30
, 2020,November 5, 2021, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate
off-balance
sheet financing arrangements and have no loan guarantee arrangements or
off-balance
sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2020.2021.
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver,
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Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is
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determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.
Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit 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 in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
 
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Results of Operations for the Three Months Ended September 30, 20202021 Compared to the Three Months Ended September 30, 20192020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,286,467  $22,127,403   $2,159,102  $2,286,467 
NAV end of period
  $2,188,644  $18,651,067   $2,206,818  $2,188,644 
Percentage change in NAV
   (4.3)%  (15.7)%    2.2%   (4.3)% 
Shares outstanding beginning of period
   50,000  500,000    50,000   50,000 
Shares outstanding end of period
   50,000  400,000    50,000   50,000 
Percentage change in shares outstanding
   —  %  (20.0)%    —  %   —  % 
Shares created
   —     —      —     —   
Shares redeemed
   —    100,000    —     —   
Per share NAV beginning of period
  $45.73  $44.25   $43.18  $45.73 
Per share NAV end of period
  $43.77  $46.63   $44.14  $43.77 
Percentage change in per share NAV
   (4.3)%  5.4%    2.3%   (4.3)% 
Percentage change in benchmark
   4.4%  (4.1)%    (2.3)%   4.4% 
Benchmark annualized volatility
   6.3%  5.2%    4.5%   6.3% 
During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020. By comparison, during the three months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 500,000 outstanding Shares at June 30, 2019 to 400,000 outstanding Shares at September 30, 2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.3% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.3% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 5.4% for the three months ended September 30, 2019, was primarily due to depreciationappreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.2021.
The benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 4.1% for the three months ended September 30, 2019, can be attributed to an increasea decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2020.
2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(5,267)   $60,251   $(5,003)   $(5,267) 
Management fee
   5,247    46,129    5,193    5,247 
Brokerage commission
   82    763    79    82 
Non-recurring
fees and expenses
   65    —      —      65 
Net realized gain (loss)
   (77,567)    625,576    57,489    (77,567) 
Change in net unrealized appreciation (depreciation)
   (14,989)    337,705    (4,770)    (14,989) 
Net Income (loss)
  $(97,823)   $1,023,532   $47,716   $(97,823) 
The Fund’s net income decreasedincreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to 
an
increasea decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2020.2021.
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $509,811,853  $337,102,327   $588,615,946  $509,811,853 
NAV end of period
  $335,465,066  $338,896,125   $388,523,845  $335,465,066 
Percentage change in NAV
   (34.2)%  0.5%    (34.0)%   (34.2)% 
Shares outstanding beginning of period
   16,234,307  6,184,307    10,584,307   16,234,307 
Shares outstanding end of period
   9,484,307  6,284,307    7,134,307   9,484,307 
Percentage change in shares outstanding
   (41.6)%  1.6%    (32.6)%   (41.6)% 
Shares created
   —    850,000    550,000   —   
Shares redeemed
   6,750,000  750,000    4,000,000   6,750,000 
Per share NAV beginning of period
  $31.40  $54.51   $55.61  $31.40 
Per share NAV end of period
  $35.37  $53.93   $54.46  $35.37 
Percentage change in per share NAV
   12.6%  (1.1)%    (2.1)%   12.6% 
Percentage change in benchmark
   (26.3)%  (7.8)%    (5,6)%   (26.3)% 
Benchmark annualized volatility
   56.2%  76.4%    69.6%   56.2% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,234,307 outstanding Shares at June 30, 2020 to 9,484,307 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 6,184,307 outstanding Shares at June 30, 2019 to 6,284,307 outstanding Shares at September 30, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
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For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to
one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 12.6% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 1.1% for the three months ended September 30, 2019, was primarily due to appreciationdepreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.2021.
The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 7.8% for the three months ended September 30, 2019, can be attributed to a greaterlesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2020.
2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,544,734)   $366,033   $(1,466,273)   $(1,544,734) 
Management fee
   1,116,999    757,124    1,055,823    1,116,999 
Brokerage commission
   167,648    166,779    208,885    167,648 
Non-recurring
fees and expenses
   22,038    —      —      22,038 
Net realized gain (loss)
   60,593,305    1,175,732    34,572,603    60,593,305 
Change in net unrealized appreciation (depreciation)
   (1,463,399)    (5,426,565)    (43,349,844)    (1,463,399) 
Net Income (loss)
  $57,585,172   $(3,884,800)   $(10,243,514)   $57,585,172 
The Fund’s net income increaseddecreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to a greaterlesser decrease in the value of futures prices during the three months ended September 30, 2020.
2021.
 
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ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $1,508,661,459  $381,980,628   $1,303,530,902  $1,508,661,459 
NAV end of period
  $1,195,885,056  $307,227,999   $1,090,613,716  $1,195,885,056 
Percentage change in NAV
   (20.7)%  (19.6)%    (16.3)%   (20.7)% 
Shares outstanding beginning of period
   52,760,774  778,453    16,660,774   52,760,774 
Shares outstanding end of period
   41,610,774  764,453    12,910,774   41,610,774 
Percentage change in shares outstanding
   (21.1)%  (1.8)%    (22.5)%   (21.1)% 
Shares created
   21,500,000  610,000    950,000   21,500,000 
Shares redeemed
   32,650,000  624,000    4,700,000   32,650,000 
Per share NAV beginning of period
  $28.59  $490.69   $78.24  $28.59 
Per share NAV end of period
  $28.74  $401.89   $84.47  $28.74 
Percentage change in per share NAV
   0.5%  (18.1)%    8.0%   0.5% 
Percentage change in benchmark
   2.6%  (6.6)%    5.4%   2.6% 
Benchmark annualized volatility
   26.3%  47.5%    30.9%   26.3% 
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,660,774 outstanding Shares at June 30, 2021 to 12,910,774 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
DuringSM
. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 52,760,774 outstanding Shares at June 30, 2020 to 41,610,774 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 0.5% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
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The benchmark’s rise of 5.4% for the decreasethree months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

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

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $70,213,227  $50,599,783 
NAV end of period
  $145,038,381  $99,203,762 
Percentage change in NAV
   106.6%   96.1% 
Shares outstanding beginning of period
   1,987,527   1,787,527 
Shares outstanding end of period
   1,737,527   2,887,527 
Percentage change in shares outstanding
   (12.6)%   61.5% 
Shares created
   1,150,000   4,350,000 
Shares redeemed
   1,400,000   3,250,000 
Per share NAV beginning of period
  $35.33  $28.31 
Per share NAV end of period
  $83.47  $34.36 
Percentage change in per share NAV
   136.3%   21.4% 
Percentage change in benchmark
   58.6%   15.0% 
Benchmark annualized volatility
   48.6%   58.7% 
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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
. The decreaseincrease in the Fund’s NAV also resulted in part fromwas offset by a decrease from 778,4531,987,527 outstanding Shares at June 30, 20192021 to 764,4531,737,527 outstanding Shares at September 30, 2019.
For the three months ended September 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.5% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 18.1% for the three months ended September 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund2021. By comparison, during the three months ended September 30, 2020.
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The new benchmark’s rise of 2.6% for the three months ended September 30, 2020, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s decline of 6.6% for the three months ended September 30, 2019, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(4,420,342)   $964,368 
Management fee
   3,210,517    864,705 
Brokerage commission
   600,233    52,522 
Non-recurring
fees and expenses
   24,637    —   
Net realized gain (loss)
   285,954,263    62,255,941 
Change in net unrealized appreciation (depreciation)
   (232,630,286)    (106,597,827) 
Net Income (loss)
  $48,903,635   $(43,377,518) 
The Fund’s net income increased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to an increase in the value of WTI Crude Oil during the three months ended September 30, 2020.
*
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 the ProShares Ultra Bloomberg Crude Oil.
ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $50,599,783  $33,637,758 
NAV end of period
  $99,203,762  $24,820,631 
Percentage change in NAV
   96.1%   (26.2)% 
Shares outstanding beginning of period
   1,787,527   242,815 
Shares outstanding end of period
   2,887,527   192,815 
Percentage change in shares outstanding
   61.5%   (20.6)% 
Shares created
   4,350,000   80,000 
Shares redeemed
   3,250,000   130,000 
Per share NAV beginning of period
  $28.31  $138.53 
Per share NAV end of period
  $34.36  $128.73 
Percentage change in per share NAV
   21.4%   (7.1)% 
Percentage change in benchmark
   15.0%   (1.7)% 
Benchmark annualized volatility
   58.7%   34.4% 
149
During the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,787,527 outstanding Shares at June 30, 2020 to 2,887,527 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the 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,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 136.3% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 21.4% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(212,510)   $(323,543) 
Management fee
   161,130    199,772 
Brokerage commission
   40,472    106,449 
Non-recurring
fees and expenses
   —      1,129 
Net realized gain (loss)
   33,925,723    41,156,156 
Change in net unrealized appreciation (depreciation)
   25,135,708    (4,754,827) 
Net Income (loss)
  $58,848,921   $36,077,786 
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $3,668,741  $4,067,686 
NAV end of period
  $3,479,104  $4,397,675 
Percentage change in NAV
   (5.2)%   8.1% 
Shares outstanding beginning of period
   250,000   300,000 
Shares outstanding end of period
   250,000   300,000 
Percentage change in shares outstanding
   —  %   —  % 
Shares created
   —     100,000 
Shares redeemed
   —     100,000 
Per share NAV beginning of period
  $14.67  $13.56 
Per share NAV end of period
  $13.92  $14.66 
Percentage change in per share NAV
   (5.1)%   8.1% 
Percentage change in benchmark
   (2.3)%   4.4% 
Benchmark annualized volatility
   4.5%   6.3% 
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 242,815 outstanding Shares at June 30, 2019 to 192,815 outstanding Shares at September 30, 2019. 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 Natural Gas Subindex
SM
.
Forspot price of the three months endedeuro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2020 and 2019, 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 21.4% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund2021. By comparison, during the three months ended September 30, 2020.
The benchmark’s rise of 15.0% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 1.7% for the three months ended September 30, 2019, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(323,543)   $64,345 
Management fee
   199,772    81,234 
Brokerage commission
   106,449    29,366 
Non-recurring
fees and expenses
   1,129    —   
Net realized gain (loss)
   41,156,156    (1,826,765) 
Change in net unrealized appreciation (depreciation)
   (4,754,827)    3,331,086 
Net Income (loss)
  $36,077,786   $1,568,666 
The Fund’s net income increased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2020.
*
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 the ProShares Ultra Bloomberg Natural Gas.
150
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $4,067,686  $5,801,170 
NAV end of period
  $4,397,675  $5,266,883 
Percentage change in NAV
   8.1%   (9.2)% 
Shares outstanding beginning of period
   300,000   400,000 
Shares outstanding end of period
   300,000   400,000 
Percentage change in shares outstanding
   —  %   —  % 
Shares created
   100,000   —   
Shares redeemed
   100,000   —   
Per share NAV beginning of period
  $13.56  $14.50 
Per share NAV end of period
  $14.66  $13.17 
Percentage change in per share NAV
   8.1%   (9.2)% 
Percentage change in benchmark
   4.4%   (4.1)% 
Benchmark annualized volatility
   6.3%   5.2% 
During the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020. By comparison,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

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

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $243,456,703  $165,689,050 
NAV end of period
  $230,917,847  $275,450,606 
Percentage change in NAV
   (5.2)%   66.2% 
Shares outstanding beginning of period
   4,250,000   2,550,000 
Shares outstanding end of period
   4,150,000   4,000,000 
Percentage change in shares outstanding
   (2.4)%   56.9% 
Shares created
   250,000   1,700,000 
Shares redeemed
   350,000   250,000 
Per share NAV beginning of period
  $57.28  $64.98 
Per share NAV end of period
  $55.64  $68.86 
Percentage change in per share NAV
   (2.9)%   6.0% 
Percentage change in benchmark
   (1.0)%   3.6% 
Benchmark annualized volatility
   13.8%   25.4% 
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net changeBloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares fromat June 30, 20192021 to 4,150,000 outstanding Shares at September 30, 2019.
For the three months ended September 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 9.2% for the three months ended September 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund2021. By comparison, during the three months ended September 30, 2020.
The benchmark’s rise of 4.4% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 4.1% for the three months ended September 30, 2019, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(12,155)   $12,333 
Management fee
   12,404    13,210 
Non-recurring
fees and expenses
   108    —   
Net realized gain (loss)
   441,714    (396,315) 
Change in net unrealized appreciation (depreciation)
   (84,317)    (150,305) 
Net Income (loss)
  $345,242   $(534,287) 
151
The Fund’s net income increased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2020.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $165,689,050  $85,377,335 
NAV end of period
  $275,450,606  $109,353,860 
Percentage change in NAV
   66.2%   28.1% 
Shares outstanding beginning of period
   2,550,000   1,950,000 
Shares outstanding end of period
   4,000,000   2,350,000 
Percentage change in shares outstanding
   56.9%   20.5% 
Shares created
   1,700,000   450,000 
Shares redeemed
   250,000   50,000 
Per share NAV beginning of period
  $64.98  $43.78 
Per share NAV end of period
  $68.86  $46.53 
Percentage change in per share NAV
   6.0%   6.3% 
Percentage change in benchmark
   3.6%   3.8% 
Benchmark annualized volatility
   25.4%   14.3% 
During the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,550,000 outstanding Shares at June 30, 2020 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s decline of 1.0% for the increasethree months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(596,194)   $(617,991) 
Management fee
   582,103    640,992 
Brokerage commission
   9,421    12,115 
Non-recurring
fees and expenses
   —      3,751 
Net realized gain (loss)
   (21,858,089)    25,742,296 
Change in net unrealized appreciation (depreciation)
   15,574,284    (18,054,591) 
Net Income (loss)
  $(6,879,999)   $7,069,714 
The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the three months ended September 30, 2021.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $661,778,727  $249,671,968 
NAV end of period
  $480,309,476  $620,883,156 
Percentage change in NAV
   (27.4)%   148.7% 
Shares outstanding beginning of period
   14,396,526   8,446,526 
Shares outstanding end of period
   15,146,526   14,696,526 
Percentage change in shares outstanding
   5.2%   74.0% 
Shares created
   1,050,000   8,050,000 
Shares redeemed
   300,000   1,800,000 
Per share NAV beginning of period
  $45.97  $29.56 
Per share NAV end of period
  $31.71  $42.25 
Percentage change in per share NAV
   (31.0)%   42.9% 
Percentage change in benchmark
   (16.0)%   25.1% 
Benchmark annualized volatility
   26.7%   33.8% 
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from an increase from 1,950,000 outstanding Shares at June 30, 2019 to 2,350,000 outstanding Shares at September 30, 2019. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg GoldSilver Subindex
SM
.
For The decrease in the three months endedFund’s NAV was offset by an increase from 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2020 and 2019, 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, 2020, as compared to the Fund’s per Share NAV increase of 6.3% for the three months ended September 30, 2019, was primarily due to lesser appreciation in the value of the assets held by the Fund2021. By comparison, during the three months ended September 30, 2020.
The benchmark’s rise of 3.6% for the three months ended September 30, 2020, as compared to the benchmark’s rise of 3.8% for the three months ended September 30, 2019, can be attributed to a lesser increase in the value of gold futures contracts during the period ended September 30, 2020.
152
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(617,991)   $254,636 
Management fee
   640,992    250,296 
Brokerage commission
   12,115    3,838 
Non-recurring
fees and expenses
   3,751    —   
Net realized gain (loss)
   25,742,296    16,725,025 
Change in net unrealized appreciation (depreciation)
   (18,054,591)    (11,787,819) 
Net Income (loss)
  $7,069,714   $5,191,842 
The Fund’s net income increased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to a lesser increase in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2020.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $249,671,968  $178,444,838 
NAV end of period
  $620,883,156  $216,058,743 
Percentage change in NAV
   148.7%   21.1% 
Shares outstanding beginning of period
   8,446,526   7,246,526 
Shares outstanding end of period
   14,696,526   7,396,526 
Percentage change in shares outstanding
   74.0%   2.1% 
Shares created
   8,050,000   750,000 
Shares redeemed
   1,800,000   600,000 
Per share NAV beginning of period
  $29.56  $24.62 
Per share NAV end of period
  $42.25  $29.21 
Percentage change in per share NAV
   42.9%   18.6% 
Percentage change in benchmark
   25.1%   10.5% 
Benchmark annualized volatility
   33.8%   27.9% 
During the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 8,446,526 outstanding Shares at June 30, 2020 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 7,246,526 outstanding Shares at June 30, 2019 to 7,396,526 outstanding Shares at September 30, 2019.
 
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For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily
performance of its benchmark. The Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 42.9% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 18.6% for the three months ended September 30, 2019, was primarily due to greater appreciationdepreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.2021.
The benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of
25.1%
 for the three months ended September 30, 2020, as compared to the benchmark’s rise of 10.5% for the three months ended September 30, 2019, can be attributed to a greater increasedecrease in the value of silver futures contracts during the period ended September 30, 2020.2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,497,215)   $489,406   $(1,424,705)   $(1,497,215) 
Management fee
   1,462,400    528,976    1,394,627    1,462,400 
Brokerage commission
   54,812    13,720    27,419    54,812 
Non-recurring
fees and expenses
   3,943    —      —      3,943 
Net realized gain (loss)
   290,238,797    69,234,030    (201,320,030)    290,238,797 
Change in net unrealized appreciation (depreciation)
   (199,313,772)    (36,162,901)    (6,018,290)    (199,313,772) 
Net Income (loss)
  $89,427,810   $33,560,535   $(208,763,025)   $89,427,810 
The Fund’s net income
increased
decreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to a greater increasedecrease in the value of futures prices during the three months ended September 30, 2020.2021.
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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, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $992,156,607  $529,341,464   $840,870,703  $992,156,607 
NAV end of period
  $1,307,611,521  $597,106,050   $1,020,845,873  $1,307,611,521 
Percentage change in NAV
   31.8%  12.8%    21.4%   31.8% 
Shares outstanding beginning of period
   30,130,912  17,430,912    30,128,420   3,013,091 
Shares outstanding end of period
   64,880,912  23,530,912    41,778,420   6,488,091 
Percentage change in shares outstanding
   115.3%  35.0%    38.7%   115.3% 
Shares created
   42,800,000  23,650,000    37,800,000   4,280,000 
Shares redeemed
   8,050,000  17,550,000    26,150,000   805,000 
Per share NAV beginning of period
  $32.93  $30.37   $27.91  $329.28 
Per share NAV end of period
  $20.15  $25.38   $24.43  $201.54 
Percentage change in per share NAV
   (38.8)%  (16.4)%    (12.5)%   (38.8)% 
Percentage change in benchmark
   (26.3)%  (7.8)%    (5.6)%   (26.3)% 
Benchmark annualized volatility
   56.2%  76.4%    69.6%   56.2% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
154As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended September 30, 2020,2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,130,91230,128,420 outstanding Shares at June 30, 20202021 to 64,880,91241,778,420 outstanding Shares at September 30, 2020.2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2019,2020, the increase in the Fund’s NAV resulted primarily from an increase from 17,430,9123,013,091 outstanding Shares at June 30, 20192020 to 23,530,9126,488,091 outstanding Shares at September 30, 2019.2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.8%12.5% for the three months ended September 30, 2020,2021, as compared to the Fund’s per Share NAV decrease of 16.4%38.8% for the three months ended September 30, 2019,2020, was primarily due to a greaterlesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.2021.
The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 7.8% for the three months ended September 30, 2019, can be attributed to a greaterlesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2020.2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(5,136,994)   $128,125   $(3,993,799)   $(5,136,994) 
Management fee
   2,969,740    1,166,670    2,221,755    2,969,740 
Brokerage commission
   1,102,235    723,766    1,095,975    1,102,235 
Non-recurring
fees and expenses
   10,480    —      —      10,480 
Net realized gain (loss)
   (559,537,850)    (55,315,749)    (198,380,990)    (559,537,850) 
Change in net unrealized appreciation (depreciation)
   15,303,127    45,207,285    186,742,221    15,303,127 
Net Income (loss)
  $(549,371,717)   $(9,980,339)   $(15,632,568)   $(549,371,717) 
The Fund’s net income decreasedincreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to a greaterlesser decrease in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2020.2021.
 
155
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,764,355  $5,807,397   $2,560,348  $2,764,355 
NAV end of period
  $2,882,680  $2,851,387   $2,539,880  $2,882,680 
Percentage change in NAV
   4.3%  (50.9)%    (0.8)%   4.3% 
Shares outstanding beginning of period
   49,970  99,970    49,970   49,970 
Shares outstanding end of period
   49,970  49,970    49,970   49,970 
Percentage change in shares outstanding
   —  %  (50.0)%    —  %   —  % 
Shares created
   —     —      —     —   
Shares redeemed
   —    50,000    —     —   
Per share NAV beginning of period
  $55.32  $58.09   $51.24  $55.32 
Per share NAV end of period
  $57.69  $57.06   $50.83  $57.69 
Percentage change in per share NAV
   4.3%  (1.8)%    (0.8)%   4.3% 
Percentage change in benchmark
   2.4%  (0.3)%    (0.2)%   2.4% 
Benchmark annualized volatility
   5.8%  7.0%    5.5%   5.8% 
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the 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, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020. By comparison,
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For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s decline of 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

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

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,304,732  $5,614,042 
NAV end of period
  $4,914,269  $5,173,668 
Percentage change in NAV
   113.2%   (7.8)% 
Shares outstanding beginning of period
   50,000   100,000 
Shares outstanding end of period
   100,000   100,000 
Percentage change in shares outstanding
   100.0%   —  % 
Shares created
   50,000   —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $46.09  $56.14 
Per share NAV end of period
  $49.14  $51.74 
Percentage change in per share NAV
   6.6%   (7.8)% 
Percentage change in benchmark
   (3.6)%   3.8% 
Benchmark annualized volatility
   8.8%   9.0% 
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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from a decreasean increase from 99,97050,000 outstanding Shares at June 30, 20192021 to 49,970100,000 outstanding Shares at September 30, 2019.2021. The decreaseincrease 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 inverse
(-2x)
of the daily performance of the spot price of the Japanese yenAustralian dollar versus the U.S. dollar.
For the three months ended September 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.3% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 1.8% for the three months ended September 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund By comparison, during the three months ended September 30, 2020.
The benchmark’s rise of 2.4% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 0.3% for the three months ended September 30, 2019, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(6,720)   $8,446 
Management fee
   6,813    8,325 
Non-recurring
fees and expenses
   78    —   
Net realized gain (loss)
   126,569    37,586 
Change in net unrealized appreciation (depreciation)
   (1,524)    (76,201) 
Net Income (loss)
  $118,325   $(30,169) 
156
The Fund’s net income inceased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2020.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $5,614,042  $8,364,065 
NAV end of period
  $5,173,668  $9,075,799 
Percentage change in NAV
   (7.8)%   8.5% 
Shares outstanding beginning of period
   100,000   150,000 
Shares outstanding end of period
   100,000   150,000 
Percentage change in shares outstanding
   —  %   —  % 
Shares created
   —     50,000 
Shares redeemed
   —     50,000 
Per share NAV beginning of period
  $56.14  $55.76 
Per share NAV end of period
  $51.74  $60.51 
Percentage change in per share NAV
   (7.8)%   8.5% 
Percentage change in benchmark
   3.8%   (3.8)% 
Benchmark annualized volatility
   9.0%   6.4% 
During the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020. By comparison, during the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2019 to September 30, 2019.
For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.6% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 8.5% for the three months ended September 30, 2019, was primarily due to depreciationappreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.2021.
The benchmark’s risedecline of
3.8%
3.6% for the three months ended September 30, 2020,2021, as compared to the benchmark’s declinerise of 3.8% for the three months ended September 30, 2019,2020, can be attributed to an increasea decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2020.2021.
157
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(13,294)   $19,953   $(9,379)   $(13,294) 
Management fee
   12,478    17,005    8,860    12,478 
Brokerage commission
   928    1,508    962    928 
Non-recurring
fees and expenses
   177    —      —      177 
Net realized gain (loss)
   (432,100)    312,374    188,884    (432,100) 
Change in net unrealized appreciation (depreciation)
   5,020    351,173    56,770    5,020 
Net Income (loss)
  $(440,374)   $683,500   $236,275   $(440,374) 
The Fund’s net income decreasedincreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2020.2021.
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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, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $117,821,898  $68,096,767   $79,400,059  $117,821,898 
NAV end of period
  $80,418,166  $92,471,273   $93,575,213  $80,418,166 
Percentage change in NAV
   (31.7)%  35.8%    17.9%   (31.7)% 
Shares outstanding beginning of period
   6,439,884  4,039,884    4,383,799   1,609,971 
Shares outstanding end of period
   4,839,884  5,639,884    6,183,799   1,209,971 
Percentage change in shares outstanding
   (24.8)%  39.6%    41.1%   (24.8)% 
Shares created
   4,300,000  8,450,000    3,350,000   1,075,000 
Shares redeemed
   5,900,000  6,850,000    1,550,000   1,475,000 
Per share NAV beginning of period
  $18.30  $16.86   $18.11  $73.18 
Per share NAV end of period
  $16.62  $16.40   $15.13  $66.46 
Percentage change in per share NAV
   (9.2)%  (2.7)%    (16.5)%   (9.2)% 
Percentage change in benchmark
   2.6%  (6.6)%    5.4%   2.6% 
Benchmark annualized volatility
   26.3%  47.5%    30.9%   26.3% 
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and
158
September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,383,799 outstanding Shares at June 30, 2021 to 6,183,799 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
DuringSM
. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,439,8841,609,971 outstanding Shares at June 30, 2020 to 4,839,8841,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.2% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
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The benchmark’s rise of 5.4% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(241,725)   $(342,320) 
Management fee
   201,146    238,038 
Brokerage commission
   29,277    64,657 
Non-recurring
fees and expenses
   —      4,892 
Net realized gain (loss)
   (11,449,562)    (16,296,829) 
Change in net unrealized appreciation (depreciation)
   (1,520,893)    5,848,114 
Net Income (loss)
  $(13,212,180)   $(10,791,035) 
The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended September 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $97,525,300  $28,552,210 
NAV end of period
  $138,468,677  $46,937,986 
Percentage change in NAV
   42.0%   64.4% 
Shares outstanding beginning of period
   4,524,832   424,832 
Shares outstanding end of period
   19,724,832   1,224,832 
Percentage change in shares outstanding
   335.9%   188.3% 
Shares created
   20,500,000   3,200,000 
Shares redeemed
   5,300,000   2,400,000 
Per share NAV beginning of period
  $21.55  $67.21 
Per share NAV end of period
  $7.02  $38.32 
Percentage change in per share NAV
   (67.4)%   (43.0)% 
Percentage change in benchmark
   58.6%   15.0% 
Benchmark annualized volatility
   48.6%   58.7% 
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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,039,8844,524,832 outstanding Shares at June 30, 20192021 to 5,639,88419,724,832 outstanding Shares at September 30, 2019.2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
.
For the three months ended September 30, 2020 and 2019, 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 9.2% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 2.7% for the three months ended September 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund By comparison, during the three months ended September 30, 2020.
The new benchmark’s rise of 2.6% for the three months ended September 30, 2020, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s decline of 6.6% for the three months ended September 30, 2019, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(342,320)   $200,283 
Management fee
   238,038    192,976 
Brokerage commission
   64,657    25,558 
Non-recurring
fees and expenses
   4,892    —   
Net realized gain (loss)
   (16,296,829)    (12,233,280) 
Change in net unrealized appreciation (depreciation)
   5,848,114    23,199,135 
Net Income (loss)
  $(10,791,035)   $11,166,138 
The Fund’s net income decreased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to an increase in the value of WTI Crude Oil during the three months ended September 30, 2020.
159
ProShares UltraShort Bloomberg Natural Gas

Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $28,552,210  $3,838,842 
NAV end of period
  $46,937,986  $8,086,224 
Percentage change in NAV
   64.4%   110.6% 
Shares outstanding beginning of period
   424,832   124,832 
Shares outstanding end of period
   1,224,832   274,832 
Percentage change in shares outstanding
   188.3%   120.2% 
Shares created
   3,200,000   300,000 
Shares redeemed
   2,400,000   150,000 
Per share NAV beginning of period
  $67.21  $30.75 
Per share NAV end of period
  $38.32  $29.42 
Percentage change in per share NAV
   (43.0)%   (4.3)% 
Percentage change in benchmark
   15.0%   (1.7)% 
Benchmark annualized volatility
   58.7%   34.4% 
During the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 424,832 outstanding Shares at June 30, 2020 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV 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,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 67.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 43.0% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(358,817)   $(249,586) 
Management fee
   258,824    138,507 
Brokerage commission
   67,808    98,416 
Non-recurring
fees and expenses
   —      345 
Net realized gain (loss)
   (95,609,878)    (31,449,992) 
Change in net unrealized appreciation (depreciation)
   (17,871,536)    8,969,137 
Net Income (loss)
  $(113,840,231)   $(22,730,441) 
The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $48,820,440  $78,848,965 
NAV end of period
  $48,640,817  $68,577,533 
Percentage change in NAV
   (0.4)%   (13.0)% 
Shares outstanding beginning of period
   2,050,000   2,950,000 
Shares outstanding end of period
   1,950,000   2,800,000 
Percentage change in shares outstanding
   (4.9)%   (5.1)% 
Shares created
   100,000   1,000,000 
Shares redeemed
   200,000   1,150,000 
Per share NAV beginning of period
  $23.81  $26.73 
Per share NAV end of period
  $24.94  $24.49 
Percentage change in per share NAV
   4.8%   (8.4)% 
Percentage change in benchmark
   (2.3)%   4.4% 
Benchmark annualized volatility
   4.5%   6.3% 
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from an increasea decrease from 124,8322,050,000 outstanding Shares at June 30, 20192021 to 274,8321,950,000 outstanding Shares at September 30, 2019.2021. The increasedecrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended September 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2xspot price of the inverse ofeuro versus the daily performance of its benchmark. The Fund’s per Share NAV decrease of 43.0% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 4.3% for the three months ended September 30, 2019, was primarily due to greater depreciation in the value of the assets held by the FundU.S. dollar. By comparison, during the three months ended September 30, 2020.
The benchmark’s rise of 15.0% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 1.7% for the three months ended September 30, 2019, can be attributed to an incease in the value of Henry Hub Natural Gas during the period ended September 30, 2020.
160
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(249,586)   $4,656 
Management fee
   138,507    12,382 
Brokerage commission
   98,416    8,619 
Non-recurring
fees and expenses
   345    —   
Net realized gain (loss)
   (31,449,992)    (68,026) 
Change in net unrealized appreciation (depreciation)
   8,969,137    791,311 
Net Income (loss)
  $(22,730,441)   $727,941 
The Fund’s net income decreased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2020.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $78,848,965  $134,573,471 
NAV end of period
  $68,577,533  $135,920,188 
Percentage change in NAV
   (13.0)%   1.0% 
Shares outstanding beginning of period
   2,950,000   5,300,000 
Shares outstanding end of period
   2,800,000   4,850,000 
Percentage change in shares outstanding
   (5.1)%   (8.5)% 
Shares created
   1,000,000   100,000 
Shares redeemed
   1,150,000   550,000 
Per share NAV beginning of period
  $26.73  $25.39 
Per share NAV end of period
  $24.49  $28.02 
Percentage change in per share NAV
   (8.4)%   10.4% 
Percentage change in benchmark
   4.4%   (4.1)% 
Benchmark annualized volatility
   6.3%   5.2% 
During the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,950,000 outstanding Shares at June 30, 2020 to 2,800,000 outstanding Shares at September 30, 2020. By comparison,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s decline of 2.3% for the increasethree months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(111,725)   $(144,828) 
Management fee
   116,733    161,145 
Non-recurring
fees and expenses
   —      2,622 
Net realized gain (loss)
   2,974,466    (7,511,167) 
Change in net unrealized appreciation (depreciation)
   (617,958)    1,525,791 
Net Income (loss)
  $2,244,783   $(6,130,204) 
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The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $32,835,014  $15,851,043 
NAV end of period
  $27,731,022  $27,139,981 
Percentage change in NAV
   (15.5)%   71.2% 
Shares outstanding beginning of period
   946,977   446,977 
Shares outstanding end of period
   796,977   846,977 
Percentage change in shares outstanding
   (15.8)%   89.5% 
Shares created
   650,000   750,000 
Shares redeemed
   800,000   350,000 
Per share NAV beginning of period
  $34.67  $35.46 
Per share NAV end of period
  $34.80  $32.04 
Percentage change in per share NAV
   0.4%   (9.6)% 
Percentage change in benchmark
   (1.0)%   3.6% 
Benchmark annualized volatility
   13.8%   19.1% 
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 5,300,000 outstanding Shares at June 30, 2019 to 4,850,000 outstanding Shares at September 30, 2019.Bloomberg Gold Subindex
SM
161
For the three months ended September 30, 2020 and 2019, 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 8.4% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 10.4% for the three months ended September 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund. By comparison, during the three months ended September 30, 2020.
The benchmark’s rise of 4.4% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 4.1% for the three months ended September 30, 2019, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(144,828)   $371,679 
Management fee
   161,145    317,568 
Non-recurring
fees and expenses
   2,622    —   
Net realized gain (loss)
   (7,511,167)    9,365,840 
Change in net unrealized appreciation (depreciation)
   1,525,791    3,611,497 
Net Income (loss)
  $(6,130,204)   $13,349,016 
The Fund’s net income decreased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2020.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $15,851,043  $18,158,403 
NAV end of period
  $27,139,981  $22,453,523 
Percentage change in NAV
   71.2%   23.7% 
Shares outstanding beginning of period
   446,977   296,977 
Shares outstanding end of period
   846,977   396,977 
Percentage change in shares outstanding
   89.5%   33.7% 
Shares created
   750,000   150,000 
Shares redeemed
   350,000   50,000 
Per share NAV beginning of period
  $35.46  $61.14 
Per share NAV end of period
  $32.04  $56.56 
Percentage change in per share NAV
   (9.6)%   (7.5)% 
Percentage change in benchmark
   3.6%   3.8% 
Benchmark annualized volatility
   19.1%   14.3% 
162
During the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding
Shares at June 30, 2020 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison,
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s decline of 1.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.
162
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(68,386)   $(47,471) 
Management fee
   66,304    45,591 
Brokerage commission
   3,301    1,980 
Non-recurring
fees and expenses
   —      499 
Net realized gain (loss)
   1,213,721    (4,021,537) 
Change in net unrealized appreciation (depreciation)
   (1,898,419)    2,689,061 
Net Income (loss)
  $(753,084)   $(1,379,947) 
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the three months ended September 30, 2021.
ProShares UltraShort Silver
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $34,859,763  $10,145,625 
NAV end of period
  $40,373,877  $51,055,675 
Percentage change in NAV
   15.8%   403.2% 
Shares outstanding beginning of period
   1,491,329   129,244 
Shares outstanding end of period
   1,291,329   1,316,744 
Percentage change in shares outstanding
   (13.4)%   918.8% 
Shares created
   1,000,000   2,825,000 
Shares redeemed
   1,200,000   1,637,500 
Per share NAV beginning of period
  $23.37  $78.50 
Per share NAV end of period
  $31.27  $38.77 
Percentage change in per share NAV
   33.8%   (50.6)% 
Percentage change in benchmark
   (16.0)%   25.1% 
Benchmark annualized volatility
   26.7%   57.7% 
During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 296,977 outstanding Shares at June 30, 2019 to 396,977 outstanding Shares at September 30, 2019. 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 GoldSilver Subindex
SM
.
For the three months ended September 30, 2020 and 2019, 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 9.6% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 7.5% for the three months ended September 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.
The benchmark’s rise of 3.6% for the three months ended September 30, 2020, as compared to the benchmark’s rise of 3.8% for the three months ended September 30, 2019, can be attributed to a lesser increase in the value of gold futures contracts during the period endedFund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(47,471)   $53,681 
Management fee
   45,591    42,251 
Brokerage commission
   1,980    1,607 
Non-recurring
fees and expenses
   499    —   
Net realized gain (loss)
   (4,021,537)    (3,472,333) 
Change in net unrealized appreciation (depreciation)
   2,689,061    2,705,043 
Net Income (loss)
  $(1,379,947)   $(713,609) 
The Fund’s net income decreased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to a lesser increase in the value of the futures prices, in conjunction with the timing of shareholder activity,2021. By comparison, during the three months ended September 30, 2020.
163
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $10,145,625  $14,026,041 
NAV end of period
  $51,055,675  $15,441,093 
Percentage change in NAV
   403.2%   10.1% 
Shares outstanding beginning of period
   516,976   366,976 
Shares outstanding end of period
   5,266,976   516,976 
Percentage change in shares outstanding
   918.8%   40.9% 
Shares created
   11,300,000   300,000 
Shares redeemed
   6,550,000   150,000 
Per share NAV beginning of period
  $19.62  $38.22 
Per share NAV end of period
  $9.69  $29.87 
Percentage change in per share NAV
   (50.6)%   (21.8)% 
Percentage change in benchmark
   25.1%   10.5% 
Benchmark annualized volatility
   57.7%   27.9% 
During the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 516,976129,244 outstanding Shares at June 30, 2020 to 5,266,9761,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison,
163
Table of Contents
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 50.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019,2021.
The benchmark’s decline of 16.0% for the increasethree months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(102,532)   $(94,990) 
Management fee
   90,963    84,377 
Brokerage commission
   8,141    8,539 
Non-recurring
fees and expenses
   —      321 
Net realized gain (loss)
   6,662,145    (15,896,820) 
Change in net unrealized appreciation (depreciation)
   3,922,596    11,129,734 
Net Income (loss)
  $10,482,209   $(4,862,076) 
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the three months ended September 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Silver.
164
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ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $27,231,748  $29,787,034 
NAV end of period
  $23,328,922  $24,780,763 
Percentage change in NAV
   (14.3)%   (16.8)% 
Shares outstanding beginning of period
   349,290   399,290 
Shares outstanding end of period
   299,290   349,290 
Percentage change in shares outstanding
   (14.3)%   (12.5)% 
Shares created
   —     —   
Shares redeemed
   50,000   50,000 
Per share NAV beginning of period
  $77.96  $74.60 
Per share NAV end of period
  $77.95  $70.95 
Percentage change in per share NAV
   (0.0)%@   (4.9)% 
Percentage change in benchmark
   (0.2)%   2.4% 
Benchmark annualized volatility
   5.5%   5.8% 
@
Amount represents greater than (0.05)%.
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from an increasea decrease from 366,976349,290 outstanding Shares at June 30, 20192021 to 516,976299,290 outstanding Shares at September 30, 2019.2021. The increasedecrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
For the three months ended September 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2xspot price of the inverse ofJapanese yen versus the daily performance of its benchmark. The Fund’s per Share NAV decrease of 50.6% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 21.8% for the three months ended September 30, 2019, was primarily due to greater depreciation in the value of the assets held by the FundU.S. dollar. By comparison, during the three months ended September 30, 2020.
The benchmark’s rise of 25.1% for the three months ended September 30, 2020, as compared to the benchmark’s rise of 10.5% for the three months ended September 30, 2019, can be attributed to a greater increase in the value of the silver futures contracts during the period ended September 30, 2020.
164
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(94,990)   $40,671 
Management fee
   84,377    30,418 
Brokerage commission
   8,539    1,895 
Non-recurring
fees and expenses
   321    —   
Net realized gain (loss)
   (15,896,820)    (5,517,511) 
Change in net unrealized appreciation (depreciation)
   11,129,734    2,680,581 
Net Income (loss)
  $(4,862,076)   $(2,796,259) 
The Fund’s net income decreased for the three months ended September 30, 2020 as compared to the three months ended September 30, 2019, primarily due to a greater increase in the value of futures prices during the three months ended September 30, 2020.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2020 and 2019:
   
Three Months Ended

September 30, 2020
  
Three Months Ended

September 30, 2019
 
NAV beginning of period
  $29,787,034  $47,695,345 
NAV end of period
  $24,780,763  $41,046,700 
Percentage change in NAV
   (16.8)%   (13.9)% 
Shares outstanding beginning of period
   399,290   649,290 
Shares outstanding end of period
   349,290   549,290 
Percentage change in shares outstanding
   (12.5)%   (15.4)% 
Shares created
   —     —   
Shares redeemed
   50,000   100,000 
Per share NAV beginning of period
  $74.60  $73.46 
Per share NAV end of period
  $70.95  $74.73 
Percentage change in per share NAV
   (4.9)%   1.7% 
Percentage change in benchmark
   2.4%   (0.3)% 
Benchmark annualized volatility
   5.8%   7.0% 
During the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,290 outstanding Shares at June 30, 2020 to 349,290 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 649,290 outstanding Shares at June 30, 2019 to 549,290 outstanding Shares at September 30, 2019. 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.
For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.9% for the three months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 1.7% for the three months ended September 30, 2019, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.
2021.
165
The benchmark’s decline of 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 0.3% for the three months ended September 30, 2019, can be attributed to an increasea decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2020.2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(55,870)   $137,637   $(54,645)   $(55,870) 
Management fee
   60,238    105,189    57,037    60,238 
Non-recurring
fees and expenses
   717    —      —      717 
Net realized gain (loss)
   (1,451,651)    (178,400)    197,444    (1,451,651) 
Change in net unrealized appreciation (depreciation)
   201,521    783,422    (189,932)    201,521 
Net Income (loss)
  $(1,306,000)   $742,659   $(47,133)   $(1,306,000) 
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Table of Contents
The Fund’s net income decreasedincreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2020.2021.
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, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $59,085,470  $37,756,409   $92,662,734  $59,085,470 
NAV end of period
  $101,957,520  $44,933,064   $127,673,137  $101,957,520 
Percentage change in NAV
   72.6%  19.0%    37.7%   72.6% 
Shares outstanding beginning of period
   1,462,403  1,762,403    3,037,403   1,462,403 
Shares outstanding end of period
   2,487,403  1,912,403    3,962,403   2,487,403 
Percentage change in shares outstanding
   70.1%  8.5%    30.5%   70.1% 
Shares created
   1,150,000  350,000    1,200,000   1,150,000 
Shares redeemed
   125,000  200,000    275,000   125,000 
Per share NAV beginning of period
  $40.40  $21.42   $30.51  $40.40 
Per share NAV end of period
  $40.99  $23.50   $32.22  $40.99 
Percentage change in per share NAV
   1.5%  9.7%    5.6%   1.5% 
Percentage change in benchmark
   1.8%  10.0%    6.0%   1.8% 
Benchmark annualized volatility
   26.2%  31.4%    22.9%   26.2% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV 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
166Mid-Term
DuringFutures Index. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,462,403 outstanding Shares at June 30, 2020 to 2,487,403 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison, during the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect
166
Table of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIXContents
Mid-Term
Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 1,762,403 outstanding Shares at June 30, 2019 to 1,912,403 outstanding Shares at September 30, 2019.
For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.5%5.6% for the three months ended September 30, 2020,2021, as compared to the Fund’s per Share NAV increase of 9.7%1.5% for the three months ended September 30, 2019,2020, was primarily due to a lessergreater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.2021.
The benchmark’s rise of 6.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2020, as compared to the benchmark’s rise of 10.0% for the three months ended September 30, 2019, can be attributed to a lessergreater increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended September 30, 2020.2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(204,460)   $129,497   $(262,156)   $(204,460) 
Management fee
   172,587    90,860    221,356    172,587 
Brokerage commission
   19,350    5,777    20,803    19,350 
Net realized gain (loss)
   755,845    1,477,618    (4,024,133)    755,845 
Change in net unrealized appreciation (depreciation)
   1,752,080    2,650,017    10,652,952    1,752,080 
Net Income (loss)
  $2,303,465   $4,257,132   $6,366,663   $2,303,465 
The Fund’s net income decreasedincreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to a lessergreater increase in the value of the futures prices during the three months ended September 30, 2020.2021.
167
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, 20202021 and 2019:2020:
 
  
Three Months Ended

September 30, 2020
 
Three Months Ended

September 30, 2019
   
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $221,343,175  $240,473,128   $272,352,675  $221,343,175 
NAV end of period
  $279,272,297  $299,409,882   $368,777,333  $279,272,297 
Percentage change in NAV
   26.2%  24.5%    35.3%   26.2% 
Shares outstanding beginning of period
   7,926,317  11,526,317    11,307,826   1,981,579 
Shares outstanding end of period
   13,601,317  15,601,317    16,257,826   3,400,329 
Percentage change in shares outstanding
   71.6%  35.4%    43.8%   71.6% 
Shares created
   6,650,000  8,875,000    6,300,000   1,662,500 
Shares redeemed
   975,000  4,800,000    1,350,000   243,750 
Per share NAV beginning of period
  $27.93  $20.86   $24.09  $111.70 
Per share NAV end of period
  $20.53  $19.19   $22.68  $82.13 
Percentage change in per share NAV
   (26.5)%  (8.0)%    (5.8)%   (26.5)% 
Percentage change in benchmark
   (26.3)%  (7.8)%    (5.6)%   (26.3)% 
Benchmark annualized volatility
   56.2%  76.4%    69.6%   56.2% 
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Table of Contents
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended September 30, 2020,2021, the increase in the Fund’s NAV resulted primarily from an increase from 7,926,31711,307,826 outstanding Shares at June 30, 20202021 to 13,601,31716,257,826 outstanding Shares at September 30, 2020.2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2019,2020, the increase in the Fund’s NAV resulted primarily from an increase from 11,526,3171,981,579 outstanding Shares at June 30, 20192020 to 15,601,3173,400,329 outstanding Shares at September 30, 2019.2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 26.5%5.8% for the three months ended September 30, 2020,2021, as compared to the Fund’s per Share NAV decrease of 8.0%26.5% for the three months ended September 30, 2019,2020, was primarily due to greaterlesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020.2021.
The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, as compared to the benchmark’s decline of 7.8% for the three months ended September 30, 2019, can be attributed to a greaterlesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2020.2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 20202021 and 2019:2020:
 
   
Three Months Ended

September 30, 2020
   
Three Months Ended

September 30, 2019
 
Net investment income (loss)
  $(758,225)   $615,421 
Management fee
   560,301    561,431 
Brokerage commission
   66,969    96,608 
Net realized gain (loss)
   (75,120,135)    (15,922,047) 
Change in net unrealized appreciation (depreciation)
   556,466    13,425,396 
Net Income (loss)
  $(75,321,894)   $(1,881,230) 
168
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(897,586)   $(758,225) 
Management fee
   660,051    560,301 
Brokerage commission
   97,516    66,969 
Net realized gain (loss)
   (51,868,433)    (75,120,135) 
Change in net unrealized appreciation (depreciation)
   42,168,297    556,466 
Net Income (loss)
  $(10,597,722)   $(75,321,894) 
The Fund’s net income decreasedincreased for the three months ended September 30, 20202021 as compared to the three months ended September 30, 2019,2020, primarily due to a greaterlesser decrease in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2020.2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
 
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Table of Contents
Results of Operations for the Nine Months Ended September 30, 20202021 Compared to the Nine Months Ended September 30, 20192020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $2,282,195  $8,619,686   $4,191,955  $2,282,195 
NAV end of period
  $2,188,644  $18,651,067   $2,206,818  $2,188,644 
Percentage change in NAV
   (4.1)%  116.4%    (47.4)%   (4.1)% 
Shares outstanding beginning of period
   50,000  200,000    100,000   50,000 
Shares outstanding end of period
   50,000  400,000    50,000   50,000 
Percentage change in shares outstanding
   —  %  100.0%    (50.0)%   –% 
Shares created
   —    300,000    —     —   
Shares redeemed
   —    100,000    50,000   —   
Per share NAV beginning of period
  $45.64  $43.10   $41.92  $45.64 
Per share NAV end of period
  $43.77  $46.63   $44.14  $43.77 
Percentage change in per share NAV
   (4.1)%  8.2%    5.2%   (4.1)% 
Percentage change in benchmark
   4.5%  (4.9)%    (5.2)%   4.5% 
Benchmark annualized volatility
   7.9%  5.4%    5.6%   7.9% 
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
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, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020. By comparison, during the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 200,000 outstanding Shares at December 31, 2019 to 400,000 outstanding Shares at September 30, 2019. 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
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.1% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 8.2% for the nine months ended September 30, 2019, was primarily due to depreciationappreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 4.9% for the nine months ended September 30, 2019, can be attributed to an increasea decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2020.2021.
 
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(8,827)   $169,742   $(18,442)   $(8,827) 
Management fee
   16,266    125,906    19,278    16,266 
Brokerage commission
   272    2,118    339    272 
Non-recurring
fees and expenses
   65    —      —      65 
Net realized gain (loss)
   (116,225)    849,200    88,710    (116,225) 
Change in net unrealized appreciation (depreciation)
   31,501    307,157    91,407    31,501 
Net Income (loss)
  $(93,551)   $1,326,099   $161,675   $(93,551) 
The Fund’s net income decreasedincreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2020.2021.
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Table of Contents
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, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $284,437,179  $344,596,263   $409,371,468  $284,437,179 
NAV end of period
  $335,465,066  $338,896,125   $388,523,845  $335,465,066 
Percentage change in NAV
   17.9%  (1.7)%    (5.1)%   17.9% 
Shares outstanding beginning of period
   4,334,307  8,134,307    9,884,307   4,334,307 
Shares outstanding end of period
   9,484,307  6,284,307    7,134,307   9,484,307 
Percentage change in shares outstanding
   118.8%  (22.7)%    (27.8)%   118.8% 
Shares created
   25,850,000  1,150,000    3,400,000   25,850,000 
Shares redeemed
   20,700,000  3,000,000    6,150,000   20,700,000 
Per share NAV beginning of period
  $65.62  $42.36   $41.42  $65.62 
Per share NAV end of period
  $35.37  $53.93   $54.46  $35.37 
Percentage change in per share NAV
   (46.1)%  27.3%    31.5%   (46.1)% 
Percentage change in benchmark
   68.5%  (49.9)%    (58.4)%   68.5% 
Benchmark annualized volatility
   112.9%  63.5%    73.8%   112.9% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 9,484,307 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-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, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,134,307 outstanding Shares at December 31, 2018 to 6,284,307 outstanding Shares at September 30, 2019. 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.
171
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 46.1% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 27.3% for the nine months ended September 30, 2019, was primarily due to depreciationappreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 49.9% for the nine months ended September 30, 2019, can be attributed to an increasea decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2020.2021.
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(4,043,310)   $1,136,974   $(4,774,396)   $(4,043,310) 
Management fee
   3,592,232    2,647,947    3,415,545    3,592,232 
Brokerage commission
   585,356    574,800    638,744    585,356 
Non-recurring
fees and expenses
   22,038    398,550    —      22,038 
Net realized gain (loss)
   (129,092,294)    71,708,674    168,119,037    (129,092,294) 
Change in net unrealized appreciation (depreciation)
   (2,709,070)    21,713,381    (14,532,856)    (2,709,070) 
Net Income (loss)
  $(135,844,674)   $94,559,029   $148,811,785   $(135,844,674) 
The Fund’s net income decreasedincreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of futures prices during the nine months ended September 30, 2020.2021.
 
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ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $309,844,582  $368,399,654   $902,739,250  $309,844,582 
NAV end of period
  $1,195,885,056  $307,227,999   $1,090,613,716  $1,195,885,056 
Percentage change in NAV
   286.0%  (16.6)%    20.8%   286.0% 
Shares outstanding beginning of period
   608,453  1,128,453    24,810,774   608,453 
Shares outstanding end of period
   41,610,774  764,453    12,910,774   41,610,774 
Percentage change in shares outstanding
   6,738.8%  (32.3)%    (48.0)%   6,738.8% 
Shares created
   109,662,000  1,026,000    4,350,000   109,662,000 
Shares redeemed
   68,659,679  1,390,000    16,250,000   68,659,679 
Per share NAV beginning of period
  $509.23  $326.46   $36.38  $509.23 
Per share NAV end of period
  $28.74  $401.89   $84.47  $28.74 
Percentage change in per share NAV
   (94.4)%  23.1%    132.2%   (94.4)% 
Percentage change in benchmark
   (33.6)%  18.1%    58.2%   (33.6)% 
Benchmark annualized volatility
   90.6%  36.4%    29.1%   90.6% 
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 12,910,774 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 41,610,774 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison,
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For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 94.4% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s rise of 58.2% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(9,100,359)   $(8,010,293) 
Management fee
   8,104,728    6,887,044 
Brokerage commission
   701,710    1,744,115 
Non-recurring
fees and expenses
   27,500    24,637 
Net realized gain (loss)
   761,182,708    (891,020,242) 
Change in net unrealized appreciation (depreciation)
   176,076,207    106,126,899 
Net Income (loss)
  $928,158,556   $(792,903,636) 
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the nine months ended September 30, 2021.
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ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $169,800,371  $45,160,205 
NAV end of period
  $145,038,381  $99,203,762 
Percentage change in NAV
   (14.6)%   119.7% 
Shares outstanding beginning of period
   8,087,527   537,815 
Shares outstanding end of period
   1,737,527   2,887,527 
Percentage change in shares outstanding
   (78.5)%   436.9% 
Shares created
   5,200,000   5,835,000 
Shares redeemed
   11,550,000   3,485,288 
Per share NAV beginning of period
  $21.00  $83.97 
Per share NAV end of period
  $83.47  $34.36 
Percentage change in per share NAV
   297.6%   (59.1)% 
Percentage change in benchmark
   113.0%   (28.5)% 
Benchmark annualized volatility
   40.5%   53.5% 
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,128,4538,087,527 outstanding Shares at December 31, 20182020 to 764,4531,737,527 outstanding Shares at December 31, 2019.September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
.
For the nine months ended September 30, 2020, the Fund’s daily performance had a statistical correlation over 0.92 to 2x of the daily performance of its benchmark. For the nine months ended September 30, 2019, 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 94.4% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 23.1% for the nine months ended September 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund By comparison, during the nine months ended September 30, 2020.
173
The new benchmark’s decline of 33.6% for the nine months ended September 30, 2020, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s rise of 18.1% for the nine months ended September 30, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(8,010,293)   $3,291,479 
Management fee
   6,887,044    2,788,455 
Brokerage commission
   1,744,115    105,841 
Non-recurring
fees and expenses
   24,637    —   
Net realized gain (loss)
   (891,020,242)    112,871,495 
Change in net unrealized appreciation (depreciation)
   106,126,899    50,962,728 
Net Income (loss)
  $(792,903,636)   $167,125,702 
The Fund’s net income decreased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to a decrease in the value of WTI Crude Oil during the nine months ended September 30, 2020.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.
ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $45,160,205  $14,617,440 
NAV end of period
  $99,203,762  $24,820,631 
Percentage change in NAV
   119.7%   69.8% 
Shares outstanding beginning of period
   537,815   57,815 
Shares outstanding end of period
   2,887,527   192,815 
Percentage change in shares outstanding
   436.9%   233.5% 
Shares created
   5,835,000   365,000 
Shares redeemed
   3,485,288   230,000 
Per share NAV beginning of period
  $83.97  $252.83 
Per share NAV end of period
  $34.36  $128.73 
Percentage change in per share NAV
   (59.1)%   (49.1)% 
Percentage change in benchmark
   (28.5)%   (24.2)% 
Benchmark annualized volatility
   53.5%   35.2% 
174
During the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by a decrease from 537,815 outstanding Shares at December 31, 2019 to 2,887,527 outstanding Shares at September 30, 2020. By comparison, during the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 57,815 outstanding Shares at December 31, 2018 to 192,815 outstanding Shares at December 31, 2019. 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
.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 59.1% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 49.1% for the nine months ended September 30, 2019, was primarily due to greater depreciationappreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
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The benchmark’s rise of 113.0% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 28.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 24.2% for the nine months ended September 30, 2019, can be attributed to a greater decreasean increase in the value of Henry Hub Natural Gas during the period ended September 30, 2020.2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(447,190)   $158,274   $(845,018)   $(447,190) 
Management fee
   378,784    196,929    568,903    378,784 
Brokerage commission
   214,255    76,585    195,831    214,255 
Non-recurring
fees and expenses
   1,129    —      —      1,129 
Net realized gain (loss)
   2,226,367    (23,104,631)    80,409,947    2,226,367 
Change in net unrealized appreciation (depreciation)
   (4,338,592)    13,005,391    35,684,757    (4,338,592) 
Net Income (loss)
  $(2,559,415)   $(9,940,966)   $115,249,686   $(2,559,415) 
The Fund’s net income increased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to a greater decreasean increase in the value of Henry Hub Natural Gas in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2020.2021.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.
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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, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
       
NAV beginning of period
  $6,204,424  $7,544,569   $4,737,350  $6,204,424 
NAV end of period
  $4,397,675  $5,266,883   $3,479,104  $4,397,675 
Percentage change in NAV
   (29.1)%  (30.2)%    (26.6)%   (29.1)% 
Shares outstanding beginning of period
   450,000  500,000    300,000   450,000 
Shares outstanding end of period
   300,000  400,000    250,000   300,000 
Percentage change in shares outstanding
   (33.3)%  (20.0)%    (16.7)%   (33.3)% 
Shares created
   200,000  50,000    100,000   200,000 
Shares redeemed
   350,000  150,000    150,000   350,000 
Per share NAV beginning of period
  $13.79  $15.09   $15.79  $13.79 
Per share NAV end of period
  $14.66  $13.17   $13.92  $14.66 
Percentage change in per share NAV
   6.3%  (12.7)%    (11.9)%   6.3% 
Percentage change in benchmark
   4.5%  (4.9)%    (5.2)%   4.5% 
Benchmark annualized volatility
   7.9%  5.4%    5.6%   7.9% 
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 500,000 outstanding Shares at December 31, 2018 to 400,000 outstanding Shares at September 30, 2019. 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.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.3% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 12.7% for the nine months ended September 30, 2019, was primarily due to appreciationa depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
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The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 4.9% for the nine months ended September 30, 2019, can be attributed to an increasea decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2020.2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(17,610)   $52,085 
Management fee
   33,852    48,425 
Non-recurring
fees and expenses
   108    —   
Net realized gain (loss)
   369,811    (756,187) 
Change in net unrealized appreciation (depreciation)
   (208,451)    (167,213) 
Net Income (loss)
  $143,750   $(871,315) 
176
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(26,743)   $(17,610) 
Management fee
   28,158    33,852 
Non-recurring
fees and expenses
   —      108 
Net realized gain (loss)
   (186,149)    369,811 
Change in net unrealized appreciation (depreciation)
   (251,418)    (208,451) 
Net Income (loss)
  $(464,310)   $143,750 
The Fund’s net income increaseddecreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2020.2021.
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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, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $110,726,032  $83,523,294   $263,540,473  $110,726,032 
NAV end of period
  $275,450,606  $109,353,860   $230,917,847  $275,450,606 
Percentage change in NAV
   148.8%  30.9%    (12.4)%   148.8% 
Shares outstanding beginning of period
   2,250,000  2,250,000    3,900,000   2,250,000 
Shares outstanding end of period
   4,000,000  2,350,000    4,150,000   4,000,000 
Percentage change in shares outstanding
   77.8%  4.4%    6.4%   77.8% 
Shares created
   3,150,000  850,000    1,250,000   3,150,000 
Shares redeemed
   1,400,000  750,000    1,000,000   1,400,000 
Per share NAV beginning of period
  $49.21  $37.12   $67.57  $49.21 
Per share NAV end of period
  $68.86  $46.53   $55.64  $68.86 
Percentage change in per share NAV
   39.9%  25.4%    (17.7)%   39.9% 
Percentage change in benchmark
   21.4%  14.2%    (7.9)%   21.4% 
Benchmark annualized volatility
   22.6%  12.0%    15.7%   22.6% 
On December 20, 2018,During the Trust announcednine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the ProShares Ultra Gold Fund would change its benchmark todaily performance of the Bloomberg Gold Subindex (ticker: BCOMGC)
SM
. The ProShares Ultra Gold Fund struck itsdecrease in the Fund’s NAV using its new benchmark for the first time on January 7, 2019. Previously, the benchmark for the ProShares Ultra Gold Fund was the LBMA Gold Price PM.
Duringoffset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,150,000 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison,
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 39.9% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s decline of 7.9% for the increasenine months ended September 30, 2021, as compared to the benchmark’s rise of 21.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,745,829)   $(789,004) 
Management fee
   1,718,350    1,269,866 
Brokerage commission
   32,974    28,599 
Non-recurring
fees and expenses
   —      3,751 
Net realized gain (loss)
   (27,599,609)    51,605,680 
Change in net unrealized appreciation (depreciation)
   (19,136,522)    (11,258,939) 
Net Income (loss)
  $(48,481,960)   $39,557,737 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $745,304,028  $239,254,842 
NAV end of period
  $480,309,476  $620,883,156 
Percentage change in NAV
   (35.6)%   159.5% 
Shares outstanding beginning of period
   14,696,526   7,546,526 
Shares outstanding end of period
   15,146,526   14,696,526 
Percentage change in shares outstanding
   3.1%   94.7% 
Shares created
   4,450,000   10,300,000 
Shares redeemed
   4,000,000   3,150,000 
Per share NAV beginning of period
  $50.71  $31.70 
Per share NAV end of period
  $31.71  $42.25 
Percentage change in per share NAV
   (37.5)%   33.3% 
Percentage change in benchmark
   (17.0)%   27.4% 
Benchmark annualized volatility
   33.0%   48.6% 
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg GoldSilver Subindex
SM
. The increasedecrease in the Fund’s NAV also resulted in part fromwas offset by an increase from 2,250,00014,696,526 outstanding ShareShares at December 31, 20182020 to 2,350,00015,146,526 outstanding Shares at September 30, 2019.
For the nine months ended September 30, 2020 and 2019, 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 39.9% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 25.4% for the nine months ended September 30, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund2021. By comparison, during the nine months ended September 30, 2020.
177
The benchmark’s rise of 21.4% for the nine months ended September 30, 2020, as compared to the benchmark’s rise of 14.2% for the nine months ended September 30, 2019, can be attributed to a greater increase in the value of gold futures contracts during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(789,004)   $695,508 
Management fee
   1,269,866    630,646 
Brokerage commission
   28,599    7,625 
Non-recurring
fees and expenses
   3,751    —   
Net realized gain (loss)
   51,605,680    24,305,967 
Change in net unrealized appreciation (depreciation)
   (11,258,939)    (6,903,529) 
Net Income (loss)
  $39,557,737   $18,097,946 
The Fund’s net income increased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to a greater increase in the value of futures prices during the nine months ended September 30, 2020.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $239,254,842  $201,824,376 
NAV end of period
  $620,883,156  $216,058,743 
Percentage change in NAV
   159.5%   7.1% 
Shares outstanding beginning of period
   7,546,526   7,646,526 
Shares outstanding end of period
   14,696,526   7,396,526 
Percentage change in shares outstanding
   94.7%   (3.3)% 
Shares created
   10,300,000   2,050,000 
Shares redeemed
   3,150,000   2,300,000 
Per share NAV beginning of period
  $31.70  $26.39 
Per share NAV end of period
  $42.25  $29.21 
Percentage change in per share NAV
   33.3%   10.7% 
Percentage change in benchmark
   27.4%   8.5% 
Benchmark annualized volatility
   48.6%   20.5% 
178
During the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,526 outstanding Shares at December 31, 2019 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. By comparison,
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 33.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s decline of 17.0% for the increasenine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(4,805,716)   $(1,555,626) 
Management fee
   4,640,919    2,369,293 
Brokerage commission
   114,716    99,986 
Non-recurring
fees and expenses
   —      3,943 
Net realized gain (loss)
   (80,038,809)    297,927,456 
Change in net unrealized appreciation (depreciation)
   (192,156,316)    (215,073,543) 
Net Income (loss)
  $(277,000,841)   $81,298,287 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.
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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, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $1,356,204,199  $527,636,003 
NAV end of period
  $1,020,845,873  $1,307,611,521 
Percentage change in NAV
   (24.7)%   147.8% 
Shares outstanding beginning of period
   12,713,091   4,163,091 
Shares outstanding end of period
   41,778,420   6,488,091 
Percentage change in shares outstanding
   228.6%   55.8% 
Shares created
   70,385,000   7,755,000 
Shares redeemed
   41,319,671   5,430,000 
Per share NAV beginning of period
  $106.68  $126.74 
Per share NAV end of period
  $24.43  $201.54 
Percentage change in per share NAV
   (77.1)%   59.0% 
Percentage change in benchmark
   (58.4)%   68.5% 
Benchmark annualized volatility
   73.8%   112.9% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two one and
one-half
times (2x)(1.5x) the daily performance of the Bloomberg Silver Subindex
SM
.S&P 500 VIX Short-Term Futures Index. The increasedecrease in the Fund’s NAV was offset by a decreasean increase from 7,646,52612,713,091 outstanding Shares at December 31, 20182020 to 7,396,52641,778,420 outstanding Shares at September 30, 2019.
For the nine months ended September 30, 2020 and 2019, 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 33.3% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund2021. By comparison, during the nine months ended September 30, 2020.
The benchmark’s rise of 27.4% for the nine months ended September 30, 2020, as compared to the benchmark’s rise of 8.5% for the nine months ended September 30, 2019, can be attributed to a greater increase in the value of silver futures contracts during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(1,555,626)   $1,447,033 
Management fee
   2,369,293    1,393,382 
Brokerage commission
   99,986    27,422 
Non-recurring
fees and expenses
   3,943    —   
Net realized gain (loss)
   297,927,456    74,520,200 
Change in net unrealized appreciation (depreciation)
   (215,073,543)    (54,551,838) 
Net Income (loss)
  $81,298,287   $21,415,395 
The Fund’s net income increased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to a greater increase in the value of futures prices during the nine months ended September 30, 2020.
179
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, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $527,636,003  $214,304,871 
NAV end of period
  $1,307,611,521  $597,106,050 
Percentage change in NAV
   147.8%   178.6% 
Shares outstanding beginning of period
   41,630,912   2,630,912 
Shares outstanding end of period
   64,880,912   23,530,912 
Percentage change in shares outstanding
   55.8%   794.4% 
Shares created
   77,550,000   55,850,000 
Shares redeemed
   54,300,000   34,950,000 
Per share NAV beginning of period
  $12.67  $81.46 
Per share NAV end of period
  $20.15  $25.38 
Percentage change in per share NAV
   59.0%   (68.8)% 
Percentage change in benchmark
   68.5%   (49.9)% 
Benchmark annualized volatility
   112.9%   63.5% 
During the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 41,630,9124,163,091 outstanding Shares at December 31, 2019 to 64,880,9126,488,091 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 2,630,912 outstanding Shares at December 31, 2018 to 23,530,912 outstanding Shares at September 30, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 59.0% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 68.8% for the nine months ended September 30, 2019, was primarily due to appreciationdepreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 49.9% for the nine months ended September 30, 2019, can be attributed to an increasea decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2020.2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(7,952,015)   $484,621 
Management fee
   5,646,893    3,488,439 
Brokerage commission
   2,282,095    2,119,082 
Non-recurring
fees and expenses
   10,480    27,508 
Net realized gain (loss)
   58,666,590    (305,515,258) 
Change in net unrealized appreciation (depreciation)
   66,319,163    (33,413,790) 
Net Income (loss)
  $117,033,738   $(338,444,427) 
180
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(16,038,632)   $(7,952,015) 
Management fee
   8,897,953    5,646,893 
Brokerage commission
   4,225,879    2,282,095 
Non-recurring
fees and expenses
   —      10,480 
Net realized gain (loss)
   (1,757,407,418)    58,666,590 
Change in net unrealized appreciation (depreciation)
   146,498,138    66,319,163 
Net Income (loss)
  $(1,626,947,912)   $117,033,738 
The Fund’s net income increaseddecreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of futures prices during the nine months ended September 30, 2020.2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $5,580,964  $5,751,716   $2,989,499  $5,580,964 
NAV end of period
  $2,882,680  $2,851,387   $2,539,880  $2,882,680 
Percentage change in NAV
   (48.3)%  (50.4)%    (15.0)%   (48.3)% 
Shares outstanding beginning of period
   99,970  99,970    49,970   99,970 
Shares outstanding end of period
   49,970  49,970    49,970   49,970 
Percentage change in shares outstanding
   (50.0)%  (50.0)%    —  %   (50.0)% 
Shares created
   —    100,000    —     —   
Shares redeemed
   50,000  150,000    —     50,000 
Per share NAV beginning of period
  $55.83  $57.53   $59.83  $55.83 
Per share NAV end of period
  $57.69  $57.06   $50.83  $57.69 
Percentage change in per share NAV
   3.3%  (0.8)%    (15.0)%   3.3% 
Percentage change in benchmark
   3.0%  1.4%    (7.2)%   3.0% 
Benchmark annualized volatility
   10.2%  6.1%    5.2%   10.2% 
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2018 to 49,970 outstanding Shares at September 30, 2019. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 3.3% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 0.8% for the nine months ended September 30, 2019, was primarily due to appreciationdepreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
The benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, as compared to the benchmark’s rise of 1.4% for the nine months ended September 30, 2019, can be attributed to a greater increasedecrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2020.2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(11,633)   $32,685   $(18,221)   $(11,633) 
Management fee
   20,655    29,970    19,144    20,655 
Non-recurring
fees and expenses
   78    —      —      78 
Net realized gain (loss)
   11,333    131,562    (305,028)    11,333 
Change in net unrealized appreciation (depreciation)
   48,030    (205,249)    (126,370)    48,030 
Net Income (loss)
  $47,730   $(41,002)   $(449,619)   $47,730 
The Fund’s net income increaseddecreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to a greater increasedecrease in the value of the Japanese yen versus the U.S. dollar in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2020.2021.
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ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $5,608,612  $11,060,333   $2,222,639  $5,608,612 
NAV end of period
  $5,173,668  $9,075,799   $4,914,269  $5,173,668 
Percentage change in NAV
   (7.8)%  (17.9)%    121.1%   (7.8)% 
Shares outstanding beginning of period
   100,000  200,000    50,000   100,000 
Shares outstanding end of period
   100,000  150,000    100,000   100,000 
Percentage change in shares outstanding
   —  %  (25.0)%    100.0%   —  % 
Shares created
   —    50,000    50,000   —   
Shares redeemed
   —    100,000    —     —   
Per share NAV beginning of period
  $56.09  $55.30   $44.45  $56.09 
Per share NAV end of period
  $51.74  $60.51   $49.14  $51.74 
Percentage change in per share NAV
   (7.8)%  9.4%    10.6%   (7.8)% 
Percentage change in benchmark
   2.1%  (4.2)%    (6.2)%   2.1% 
Benchmark annualized volatility
   13.0%  7.2%    9.5%   13.0% 
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2020 to 100,000 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020. By comparison, during the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 200,000 outstanding Shares at December 31, 2018 to 150,000 outstanding
182
Shares at September 30, 2019. 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 Australian dollar versus the U.S. dollar.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 9.4% for the nine months ended September 30, 2019, was primarily due to depreciationappreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
The benchmark’s decline of 6.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 2.1% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 4.2% for the nine months ended September 30, 2019, can be attributed to an increasea decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2020.2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(26,054)   $71,637   $(19,952)   $(26,054) 
Management fee
   42,496    57,983    19,191    42,496 
Brokerage commission
   3,766    4,610    1,722    3,766 
Non-recurring
fees and expenses
   177    —      —      177 
Net realized gain (loss)
   (799,054)    825,235    17,207    (799,054) 
Change in net unrealized appreciation (depreciation)
   390,164    (300,624)    321,113    390,164 
Net Income (loss)
  $(434,944)   $596,248   $318,368   $(434,944) 
The Fund’s net income decreasedincreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2020.2021.
 
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ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $125,451,681  $114,377,311   $96,839,233  $125,451,681 
NAV end of period
  $80,418,166  $92,471,273   $93,575,213  $80,418,166 
Percentage change in NAV
   (35.9)%  (19.2)%    (3.4)%   (35.9)% 
Shares outstanding beginning of period
   10,289,884  3,839,884    2,084,971   2,572,471 
Shares outstanding end of period
   4,839,884  5,639,884    6,183,799   1,209,971 
Percentage change in shares outstanding
   (53.0)%  46.9%    196.6%   (53.0)% 
Shares created
   26,650,000  16,700,000    7,237,500   6,662,500 
Shares redeemed
   32,100,000  14,900,000    3,138,672   8,025,000 
Per share NAV beginning of period
  $12.19  $29.79   $46.45  $48.77 
Per share NAV end of period
  $16.62  $16.40   $15.13  $66.46 
Percentage change in per share NAV
   36.3%  (44.9)%    (67.4)%   36.3% 
Percentage change in benchmark
   (33.6)%  18.1%    58.2%   (33.6)% 
Benchmark annualized volatility
   90.6%  36.4%    29.1%   90.6% 
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 2,084,971 outstanding Shares at December 31, 2020 to 6,183,799 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,289,8842,572,471 outstanding Shares at December 31, 2019 to 4,839,8841,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison,
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For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 36.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s rise of 58.2% for the decreasenine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(751,650)   $(1,155,759) 
Management fee
   603,444    789,307 
Brokerage commission
   100,902    488,442 
Non-recurring
fees and expenses
   —      4,892 
Net realized gain (loss)
   (86,637,748)    28,429,826 
Change in net unrealized appreciation (depreciation)
   (5,829,481)    7,227,746 
Net Income (loss)
  $(93,218,879)   $34,501,813 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the nine months ended September 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.
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ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $24,977,745  $12,515,603 
NAV end of period
  $138,468,677  $46,937,986 
Percentage change in NAV
   454.4%   275.0% 
Shares outstanding beginning of period
   524,832   324,832 
Shares outstanding end of period
   19,724,832   1,224,832 
Percentage change in shares outstanding
   3,658.3%   277.1% 
Shares created
   28,050,000   4,400,000 
Shares redeemed
   8,850,000   3,500,000 
Per share NAV beginning of period
  $47.59  $38.53 
Per share NAV end of period
  $7.02  $38.32 
Percentage change in per share NAV
   (85.3)%   (0.5)% 
Percentage change in benchmark
   113.0%   (28.5)% 
Benchmark annualized volatility
   40.5%   53.5% 
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,832 outstanding Shares at December 31, 2020 to 19,724,832 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,839,884 outstanding Shares at December 31, 2018 to 5,639,884 outstanding Shares at September 30, 2019.
For the nine months ended September 30, 2020, the Fund’s daily performance had a statistical correlation over 0.92 to 2x of the inverse of the daily performance of its benchmark. For the nine months ended September 30, 2019, 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 36.3% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 44.9% for the nine months ended September 30, 2019, was primarily due to appreciation in the value of the assets held by the FundBy comparison, during the nine months ended September 30, 2020.
184
The new benchmark’s decline of 33.6% for the nine months ended September 30, 2020, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s rise of 18.1% for the nine months ended September 30, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(1,155,759)   $601,895 
Management fee
   789,307    549,398 
Brokerage commission
   488,442    54,060 
Non-recurring
fees and expenses
   4,892    —   
Net realized gain (loss)
   28,429,826    (11,264,117) 
Change in net unrealized appreciation (depreciation)
   7,227,746    (12,262,593) 
Net Income (loss)
  $34,501,813   $(22,924,815) 
The Fund’s net income increased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to a decrease in the value of WTI Crude Oil during the nine months ended September 30, 2020.
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $12,515,603  $17,825,441 
NAV end of period
  $46,937,986  $8,086,224 
Percentage change in NAV
   275.0%   (54.6)% 
Shares outstanding beginning of period
   324,832   824,832 
Shares outstanding end of period
   1,224,832   274,832 
Percentage change in shares outstanding
   277.1%   (66.7)% 
Shares created
   4,400,000   800,000 
Shares redeemed
   3,500,000   1,350,000 
Per share NAV beginning of period
  $38.53  $21.61 
Per share NAV end of period
  $38.32  $29.42 
Percentage change in per share NAV
   (0.5)%   36.1% 
Percentage change in benchmark
   (28.5)%   (24.2)% 
Benchmark annualized volatility
   53.5%   35.2% 
During the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 324,832 outstanding Shares at December 31, 2019 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV
185
also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison,
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 85.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.5% for the nine months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s rise of 113.0% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 28.5% for the nine months ended September 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(932,981)   $(358,912) 
Management fee
   609,472    207,544 
Brokerage commission
   249,831    177,159 
Non-recurring
fees and expenses
   —      345 
Net realized gain (loss)
   (112,274,576)    (20,587,724) 
Change in net unrealized appreciation (depreciation)
   (35,670,233)    9,530,109 
Net Income (loss)
  $(148,877,790)   $(11,416,527) 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2021.
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $52,953,339  $120,581,173 
NAV end of period
  $48,640,817  $68,577,533 
Percentage change in NAV
   (8.1)%   (43.1)% 
Shares outstanding beginning of period
   2,350,000   4,500,000 
Shares outstanding end of period
   1,950,000   2,800,000 
Percentage change in shares outstanding
   (17.0)%   (37.8)% 
Shares created
   300,000   1,350,000 
Shares redeemed
   700,000   3,050,000 
Per share NAV beginning of period
  $22.53  $26.80 
Per share NAV end of period
  $24.94  $24.49 
Percentage change in per share NAV
   10.7%   (8.6)% 
Percentage change in benchmark
   (5.2)%   4.5% 
Benchmark annualized volatility
   5.6%   7.9% 
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 824,8322,350,000 outstanding Shares at December 31, 20182020 to 274,8321,950,000 outstanding Shares at September 30, 2019.2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the nine months ended September 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2xspot price of the inverse ofeuro versus the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.5% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 36.1% for the nine months ended September 30, 2019, was primarily due to depreciation in the value of the assets held by the FundU.S. dollar. By comparison, during the nine months ended September 30, 2020.
The benchmark’s decline of 28.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 24.2% for the nine months ended September 30, 2019, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(358,912)   $35,859 
Management fee
   207,544    61,451 
Brokerage commission
   177,159    36,500 
Non-recurring
fees and expenses
   345    —   
Net realized gain (loss)
   (20,587,724)    14,701,140 
Change in net unrealized appreciation (depreciation)
   9,530,109    (10,071,485) 
Net Income (loss)
  $(11,416,527)   $4,665,514 
The Fund’s net income decreased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to a greater decrease in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2020.
186
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $120,581,173  $154,120,159 
NAV end of period
  $68,577,533  $135,920,188 
Percentage change in NAV
   (43.1)%   (11.8)% 
Shares outstanding beginning of period
   4,500,000   6,350,000 
Shares outstanding end of period
   2,800,000   4,850,000 
Percentage change in shares outstanding
   (37.8)%   (23.6)% 
Shares created
   1,350,000   450,000 
Shares redeemed
   3,050,000   1,950,000 
Per share NAV beginning of period
  $26.80  $24.27 
Per share NAV end of period
  $24.49  $28.02 
Percentage change in per share NAV
   (8.6)%   15.5% 
Percentage change in benchmark
   4.5%   (4.9)% 
Benchmark annualized volatility
   7.9%   5.4% 
During the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,800,000 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison,
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.6% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(337,637)   $(154,217) 
Management fee
   355,451    638,218 
Non-recurring
fees and expenses
   —      2,622 
Net realized gain (loss)
   2,249,236    (8,749,752) 
Change in net unrealized appreciation (depreciation)
   3,263,109    3,446,359 
Net Income (loss)
  $5,174,708   $(5,457,610) 
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.
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ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $20,337,376  $21,047,560 
NAV end of period
  $27,731,022  $27,139,981 
Percentage change in NAV
   36.4%   28.9% 
Shares outstanding beginning of period
   646,977   396,977 
Shares outstanding end of period
   796,977   846,977 
Percentage change in shares outstanding
   23.2%   113.4% 
Shares created
   1,700,000   1,100,000 
Shares redeemed
   1,550,000   650,000 
Per share NAV beginning of period
  $31.43  $53.02 
Per share NAV end of period
  $34.80  $32.04 
Percentage change in per share NAV
   10.7%   (39.6)% 
Percentage change in benchmark
   (7.9)%   3.6% 
Benchmark annualized volatility
   15.7%   22.6% 
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from a decreasean increase from 6,350,000646,977 outstanding Shares at December 31, 20182020 to 4,850,000796,977 outstanding Shares at September 30, 2019.2021. The decreaseincrease in the Fund’s NAV was offset byalso resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2020 and 2019, 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 8.6% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 15.5% for the nine months ended September 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.
The benchmark’s rise of 4.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 4.9% for the nine months ended September 30, 2019, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(154,217)   $1,277,408 
Management fee
   638,218    991,761 
Non-recurring
fees and expenses
   2,622    —   
Net realized gain (loss)
   (8,749,752)    14,642,452 
Change in net unrealized appreciation (depreciation)
   3,446,359    4,192,561 
Net Income (loss)
  $(5,457,610)   $20,112,421 
The Fund’s net income decreased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to an increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2020.
187
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $21,047,560  $18,098,997 
NAV end of period
  $27,139,981  $22,453,523 
Percentage change in NAV
   28.9%   24.1% 
Shares outstanding beginning of period
   396,977   246,978 
Shares outstanding end of period
   846,977   396,977 
Percentage change in shares outstanding
   113.4%   60.7% 
Shares created
   1,100,000   550,000 
Shares redeemed
   650,000   400,001 
Per share NAV beginning of period
  $53.02  $73.28 
Per share NAV end of period
  $32.04  $56.56 
Percentage change in per share NAV
   (39.6)%   (22.8)% 
Percentage change in benchmark
   3.6%   14.2% 
Benchmark annualized volatility
   22.6%   12.0% 
On December 20, 2018, the Trust announced that the ProShares UltraShort Gold Fund would change its benchmark to the Bloomberg Gold Subindex (ticker: BCOMGC)
SM
. The ProShares UltraShort Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. Previously, the benchmark for the ProShares UltraShort Gold Fund was the LBMA Gold Price PM.
DuringBy comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 396,977 outstanding Shares at December 31, 2019 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison,
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 39.6% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(208,304)   $(73,179) 
Management fee
   199,999    129,451 
Brokerage commission
   9,174    5,743 
Non-recurring
fees and expenses
   —      499 
Net realized gain (loss)
   (1,767,467)    (12,041,690) 
Change in net unrealized appreciation (depreciation)
   1,727,781    2,727,104 
Net Income (loss)
  $(247,990)   $(9,387,765) 
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.
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ProShares UltraShort Silver
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $28,885,775  $13,834,163 
NAV end of period
  $40,373,877  $51,055,675 
Percentage change in NAV
   39.8%   269.1% 
Shares outstanding beginning of period
   1,041,744   129,244 
Shares outstanding end of period
   1,291,329   1,316,744 
Percentage change in shares outstanding
   24.0%   918.8% 
Shares created
   3,750,000   3,025,000 
Shares redeemed
   3,500,415   1,837,500 
Per share NAV beginning of period
  $27.73  $107.04 
Per share NAV end of period
  $31.27  $38.77 
Percentage change in per share NAV
   12.8%   (63.8)% 
Percentage change in benchmark
   (17.0)%   27.4% 
Benchmark annualized volatility
   33.0%   48.6% 
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 246,9781,041,744 outstanding Shares at December 31, 20182020 to 396,9771,291,329 outstanding Shares at September 30, 2019.2021. The increase in the Fund’s NAV was offset byalso resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg GoldSilver Subindex
SM
.
For the nine months ended September 30, 2020 and 2019, 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 39.6% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 22.8% for the nine months ended September 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund By comparison, during the nine months ended September 30, 2020.
The benchmark’s rise of 3.6% for the nine months ended September 30, 2020, as compared to the benchmark’s rise of 14.2% for the nine months ended September 30, 2019, can be attributed to a lesser increase in the value of gold futures contracts during the period ended September 30, 2020.
188
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(73,179)   $153,734 
Management fee
   129,451    137,269 
Brokerage commission
   5,743    4,025 
Non-recurring
fees and expenses
   499    —   
Net realized gain (loss)
   (12,041,690)    (6,541,972) 
Change in net unrealized appreciation (depreciation)
   2,727,104    2,226,057 
Net Income (loss)
  $(9,387,765)   $(4,162,181) 
The Fund’s net income decreased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to a lesser increase in the value of the futures prices, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2020.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $13,834,163  $11,768,863 
NAV end of period
  $51,055,675  $15,441,093 
Percentage change in NAV
   269.1%   31.2% 
Shares outstanding beginning of period
   516,976   316,976 
Shares outstanding end of period
   5,266,976   516,976 
Percentage change in shares outstanding
   918.8%   63.1% 
Shares created
   12,100,000   850,000 
Shares redeemed
   7,350,000   650,000 
Per share NAV beginning of period
  $26.76  $37.13 
Per share NAV end of period
  $9.69  $29.87 
Percentage change in per share NAV
   (63.8)%   (19.6)% 
Percentage change in benchmark
   27.4%   8.5% 
Benchmark annualized volatility
   48.6%   20.5% 
During the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 516,976129,244 outstanding Shares at December 31, 2019 to 5,266,9761,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison,
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 63.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019,2021.
The benchmark’s decline of 17.0% for the increasenine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(279,779)   $(122,284) 
Management fee
   248,539    147,262 
Brokerage commission
   19,409    16,460 
Non-recurring
fees and expenses
   —      321 
Net realized gain (loss)
   (2,146,577)    (18,932,319) 
Change in net unrealized appreciation (depreciation)
   10,463,787    12,566,119 
Net Income (loss)
  $8,037,431   $(6,488,484) 
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Silver.
198
Table of Contents
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $23,691,070  $38,132,320 
NAV end of period
  $23,328,922  $24,780,763 
Percentage change in NAV
   (1.5)%   (35.0)% 
Shares outstanding beginning of period
   349,290   499,290 
Shares outstanding end of period
   299,290   349,290 
Percentage change in shares outstanding
   (14.3)%   (30.0)% 
Shares created
   100,000   100,000 
Shares redeemed
   150,000   250,000 
Per share NAV beginning of period
  $67.83  $76.37 
Per share NAV end of period
  $77.95  $70.95 
Percentage change in per share NAV
   14.9%   (7.1)% 
Percentage change in benchmark
   (7.2)%   3.0% 
Benchmark annualized volatility
   5.2%   10.2% 
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from an increasea decrease from 316,976349,290 outstanding Shares at December 31, 20182020 to 516,976299,290 outstanding Shares at September 30, 2019.2021. The increasedecrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
189
For the nine months ended September 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2xspot price of the inverse ofJapanese yen versus the daily performance of its benchmark. The Fund’s per Share NAV decrease of 63.8% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 19.6% for the nine months ended September 30, 2019, was primarily due to greater depreciation in the value of the assets held by the FundU.S. dollar. By comparison, during the nine months ended September 30, 2020.
The benchmark’s rise of 27.4% for the nine months ended September 30, 2020, as compared to the benchmark’s rise of 8.5% for the nine months ended September 30, 2019, can be attributed to a greater increase in the value of the silver futures contracts during the period ended September 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
 
Net investment income (loss)
  $(122,284)   $114,402 
Management fee
   147,262    109,073 
Brokerage commission
   16,460    6,070 
Non-recurring
fees and expenses
   321    —   
Net realized gain (loss)
   (18,932,319)    (6,438,122) 
Change in net unrealized appreciation (depreciation)
   12,566,119    3,749,759 
Net Income (loss)
  $(6,488,484)   $(2,573,961) 
The Fund’s net income decreased for the nine months ended September 30, 2020 as compared to the nine months ended September 30, 2019, primarily due to a greater increase in the value of futures prices during the nine months ended September 30, 2020.
190
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2020 and 2019:
   
Nine Months Ended

September 30, 2020
  
Nine Months Ended

September 30, 2019
 
NAV beginning of period
  $38,132,320  $55,363,675 
NAV end of period
  $24,780,763  $41,046,700 
Percentage change in NAV
   (35.0)%   (25.9)% 
Shares outstanding beginning of period
   499,290   749,290 
Shares outstanding end of period
   349,290   549,290 
Percentage change in shares outstanding
   (30.0)%   (26.7)% 
Shares created
   100,000   450,000 
Shares redeemed
   250,000   650,000 
Per share NAV beginning of period
  $76.37  $73.89 
Per share NAV end of period
  $70.95  $74.73 
Percentage change in per share NAV
   (7.1)%   1.1% 
Percentage change in benchmark
   3.0%   1.4% 
Benchmark annualized volatility
   10.2%   6.1% 
During the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 349,290 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 749,290 outstanding Shares at December 31, 2018 to 549,290 outstanding Shares at September 30, 2019. 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.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.1% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV increase of 1.1% for the nine months ended September 30, 2019, was primarily due to depreciationappreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
The benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, as compared to the benchmark’s rise of 1.4% for the nine months ended September 30, 2019, can be attributed to a greater increasedecrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2020.2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(73,411)   $480,654   $(186,478)   $(73,411) 
Management fee
   209,105    352,973    196,036    209,105 
Non-recurring
fees and expenses
   717    —      —      717 
Net realized gain (loss)
   (1,847,423)    (3,122,442)    3,055,103    (1,847,423) 
Change in net unrealized appreciation (depreciation)
   (429,087)    3,500,784    1,066,333    (429,087) 
Net Income (loss)
  $(2,349,921)   $858,996   $3,934,958   $(2,349,921) 
The Fund’s net income decreasedincreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to a greater increasedecrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2020.2021.
 
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Table of Contents
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, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $45,986,584  $56,299,121   $72,075,095  $45,986,584 
NAV end of period
  $101,957,520  $44,933,064   $127,673,137  $101,957,520 
Percentage change in NAV
   121.7%  (20.2)%    77.1%   121.7% 
Shares outstanding beginning of period
   2,162,403  2,112,403    1,962,403   2,162,403 
Shares outstanding end of period
   2,487,403  1,912,403    3,962,403   2,487,403 
Percentage change in shares outstanding
   15.0%  (9.5)%    101.9%   15.0% 
Shares created
   2,250,000  1,125,000    2,625,000   2,250,000 
Shares redeemed
   1,925,000  1,325,000    625,000   1,925,000 
Per share NAV beginning of period
  $21.27  $26.65   $36.73  $21.27 
Per share NAV end of period
  $40.99  $23.50   $32.22  $40.99 
Percentage change in per share NAV
   92.8%  (11.8)%    (12.3)%   92.8% 
Percentage change in benchmark
   94.3%  (11.1)%    (11.4)%   94.3% 
Benchmark annualized volatility
   63.0%  26.5%    28.3%   63.0% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 2,162,403 outstanding Shares at December 31, 2019 to 2,487,403 outstanding Shares at September 30, 2020. By comparison, during the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,112,403 outstanding Shares at December 31, 2018 to 1,912,403 outstanding Shares at September 30, 2019.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 92.8% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 11.8% for the nine months ended September 30, 2019, was primarily due to appreciationa depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
The benchmark’s decline of 11.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 94.3% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 11.1% for the nine months ended September 30, 2019, can be attributed to an increasea 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, 2020.2021.
 
192200
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(290,253)   $412,369   $(694,100)   $(290,253) 
Management fee
   391,147    279,430    586,702    391,147 
Brokerage commission
   51,973    25,466    48,211    51,973 
Net realized gain (loss)
   21,708,785    (5,577,665)    (14,890,359)    21,708,785 
Change in net unrealized appreciation (depreciation)
   5,421,417    (1,775,307)    5,949,460    5,421,417 
Net Income (loss)
  $26,839,949   $(6,940,603)   $(9,634,999)   $26,839,949 
The Fund’s net income increaseddecreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of the futures prices during the nine months ended September 30, 2020.2021.
201
Table of Contents
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, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
 
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $279,792,503  $149,547,115   $293,390,549  $279,792,503 
NAV end of period
  $279,272,297  $299,409,882   $368,777,333  $279,272,297 
Percentage change in NAV
   (0.2)%  100.2%    25.7%   (0.2)% 
Shares outstanding beginning of period
   22,751,317  3,876,317    5,331,579   5,687,829 
Shares outstanding end of period
   13,601,317  15,601,317    16,257,826   3,400,329 
Percentage change in shares outstanding
   (40.2)%  302.5%    204.9%   (40.2)% 
Shares created
   17,325,000  21,000,000    16,556,250   4,331,250 
Shares redeemed
   26,475,000  9,275,000    5,630,003   6,618,750 
Per share NAV beginning of period
  $12.30  $38.58   $55.03  $49.19 
Per share NAV end of period
  $20.53  $19.19   $22.68  $82.13 
Percentage change in per share NAV
   67.0%  (50.3)%    (58.8)%   67.0% 
Percentage change in benchmark
   68.5%  (49.9)%    (58.4)%   68.5% 
Benchmark annualized volatility
   112.9%  63.5%    73.8%   112.9% 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended September 30, 2020,2021, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 22,751,3175,331,579 outstanding Shares at December 31, 20192020 to 13,601,31716,257,826 outstanding Shares at September 30, 2020.2021. The decreaseincrease 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, 2019,2020, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 3,876,3175,687,829 outstanding Shares at December 31, 20182019 to 15,601,3173,400,329 outstanding Shares at September 30, 2019.2020. The increasedecrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 20202021 and 2019,2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 67.0% for the nine months ended September 30, 2020, as compared to the Fund’s per Share NAV decrease of 50.3% for the nine months ended September 30, 2019, was primarily due to appreciationa depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020.2021.
193
The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, as compared to the benchmark’s decline of 49.9% for the nine months ended September 30, 2019, can be attributed to an increasea decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2020.2021.
202
Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 20202021 and 2019:2020:
 
  
Nine Months Ended

September 30, 2020
   
Nine Months Ended

September 30, 2019
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,057,822)   $1,816,725   $(3,019,972)   $(1,057,822) 
Management fee
   1,584,861    1,409,677    2,154,874    1,584,861 
Brokerage commission
   311,826    179,790    365,013    311,826 
Net realized gain (loss)
   249,771,936    (82,115,151)    (304,349,667)    249,771,936 
Change in net unrealized appreciation (depreciation)
   16,589,740    (19,655,136)    27,729,790    16,589,740 
Net Income (loss)
  $265,303,854   $(99,953,562)   $(279,639,849)   $265,303,854 
The Fund’s net income increaseddecreased for the nine months ended September 30, 20202021 as compared to the nine months ended September 30, 2019,2020, primarily due to an increasea decrease in the value of the futures prices during the nine months ended September 30, 2020.2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
 
194203
Item 3.Table of Contents
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Quantitative Disclosure
Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity
Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 20202021 and 2019,2020, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of September 30, 20202021 and 2019,2020, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to exchange rate price risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)
  Short  December 2020   15   $1.17    125,000   $(2,200,406) 
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)
  Short  December 2019   135   $1.10    125,000   $(18,499,219)   Short  December 2021   15   $1.16    125,000   $(2,175,000) 
Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)
  Short  December 2020   15   $1.17    125,000   $(2,200,406) 
The September 30, 20202021 and 20192020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares Short VIX Short-Term Futures ETF
As of September 30, 20202021 and 2019,2020, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 20202021 and 2019,2020, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  October 2020   2,972   $30.38    1,000   $(90,274,500) 
VIX Futures (Cboe)
  Short  November 2020   2,335    32.88    1,000    (76,763,125) 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  October 2021   4,341   $22.87    1,000   $(99,269,120) 
VIX Futures (Cboe)
  Short  November 2021   4,001    23.69    1,000    (94,767,286) 
 
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Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  October 2020   2,972   $30.38    1,000   $(90,274,500) 
VIX Futures (Cboe)
  Short  November 2020   2,335    32.88    1,000    (76,763,125) 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  October 2019   5,281   $17.13    1,000   $(90,437,125) 
VIX Futures (Cboe)
  Short  November 2019   4,321    18.28    1,000    (78,966,275) 
The September 30, 20202021 and 20192020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares Ultra Bloomberg Crude Oil:
ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2021 and 2020, and 2019, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
and Bloomberg WTI Crude Oil Subundex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2020 and 2019, which were sensitive to commodity price risk.2021
 
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Long  December 2020   19,296   $40.47    1,000   $780,909,120   Long  December 2021   5,657   $74.70    1,000   $422,577,900 
WTI Crude Oil (NYMEX)
  Long  June 2021   18,635    42.28    1,000    787,887,800   Long  June 2022   5,843    71.15    1,000    415,729,450 
WTI Crude Oil (NYMEX)
  Long  December 2021   18,385    43.12    1,000    792,761,200   Long  December 2022   6,063    67.70    1,000    410,465,100 
Swap Agreements as of September 30, 2021
 
Swap Agreements as of September 30, 2020
 
Reference Index
  
Counterparty
   
Long or
Short
   
Index
Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Subindex
   Societe Generale    Long   $35.2114   $30,255,607 
Reference Index
  
Counterparty
  
Long or
Short
   
Index
Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.   Long   $63.6871   $143,554,545 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International   Long    63.6871    203,094,978 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC		   Long    63.6871    248,642,399 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale   Long    63.6871    135,481,695 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG   Long    63.6871    201,694,052 
 
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Long  November 2019   1,604   $54.07    1,000   $86,728,280 
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Swap Agreements as of September 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg WTI Crude Oil Subindex
  Citibank, N.A.   Long   $79.7080   $152,283,160 
Bloomberg WTI Crude Oil Subindex
  Goldman Sachs International   Long    79.7080    107,443,164 
Bloomberg WTI Crude Oil Subindex
  Royal Bank of Canada   Long    79.7080    104,526,285 
Bloomberg WTI Crude Oil Subindex
  Societe Generale   Long    79.7080    56,716,541 
Bloomberg WTI Crude Oil Subindex
  UBS AG   Long    79.7080    106,240,027 
Futures Positions as of September 30, 2020
                                                                                                                                                                  
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

at Value
 
                
Bloomberg Commodity Balanced WTI Crude Oil Subindex
  Societe Generale   Long   $35.2114   $30,255,607 
The September 30, 20202021 and 20192020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20202021 and 20192020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Bloomberg Natural Gas:
As of September 30, 20202021 and 2019,2020, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Long  November 2020   7,854   $2.53    10,000   $198,470,580 
 
                                 
                                 
                                 
                                 
                                 
                                 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
                      
Natural Gas (NYMEX)
  Long  November 2019   2,130   $2.33    10,000   $49,629,000   Long  November 2021   4,944   $5.87    10,000   $290,064,480 
Futures Positions as of September 30, 2020
                                                                                                                                                            
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
                       
Natural Gas (NYMEX)
  Long  November 2020   7,854   $2.53    10,000   $198,470,580 
The September 30, 20202021 and 20192020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
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Table of Contents
ProShares Ultra Euro:
As of September 30, 20202021 and 2019,2020, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to exchange rate price risk.
197Foreign Currency Forward Contracts as of September 30, 2021
Foreign Currency Forward Contracts as of September 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International   Long    10/09/20    3,440,921   1.1835   $4,072,330 
Euro
  UBS AG   Long    10/09/20    6,830,302   1.1845    8,090,716 
Euro
  UBS AG   Short    10/09/20    (2,760,000)   1.1801    (3,257,049) 
 
                                                                                                                                                            
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International   Long    10/04/19    5,436,377  1.1015   $5,988,277   Goldman Sachs International  Long   10/08/21    3,388,921   1.1851   $4,016,217 
Euro
  UBS AG   Long    10/04/19    4,424,633  1.1013    4,872,767   UBS AG  Long   10/08/21    2,801,502   1.1849    3,319,491 
Euro
  UBS AG   Short    10/04/19    (154,921)  1.0989    (170,246)   Goldman Sachs International  Short   10/08/21    (93,000)   1.1685    (108,671) 
Euro
  UBS AG  Short   10/08/21    (84,000)   1.1726    (98,499) 
Foreign Currency Forward Contracts as of September 30, 2020
                                                                                                                                                            
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/09/20    3,440,921   1.1835   $4,072,330 
Euro
  UBS AG  Long   10/09/20    6,830,302   1.1845    8,090,716 
Euro
  UBS AG  Short   10/09/20    (2,760,000)   1.1801    (3,257,049) 
The September 30, 20202021 and 20192020 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Gold:
As of September 30, 20202021 and 20192020 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, 20202021 and 2019,2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Long   $211.1862   $116,941,808 
Bloomberg Gold Subindex
  Goldman Sachs International   Long    211.1862    101,056,679 
Bloomberg Gold Subindex
  UBS AG   Long    211.1862    121,650,344 
                     
                     
                     
                     
                     
                     
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2021   856   $1,757.00    100   $150,399,200 
Swap Agreements as of September 30, 2021
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
   Long   December 2019   464   $1,472.90    100   $68,342,560 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

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

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2020   1,114   $1,895.50    100   $211,158,700 
 
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Swap Agreements as of September 30, 2020
Swap Agreements as of September 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Long   $169.6744   $58,722,600 
Bloomberg Gold Subindex
  Goldman Sachs International   Long    169.6744    42,918,686 
Bloomberg Gold Subindex
  UBS AG   Long    169.6744    48,702,760 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $211.1862   $116,941,808 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   211.1862    101,056,679 
Bloomberg Gold Subindex
  UBS AG  Long   211.1862    121,650,344 
The September 30, 20202021 and 20192020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20202021 and 20192020 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of September 30, 20202021 and 20192020 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, 20202021 and 2019,2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
   Long   December 2020   3,288   $23.49    5,000   $386,241,359 
 
Swap Agreements as of September 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Long   $215.9803   $257,181,535 
Bloomberg Silver Subindex
  Goldman Sachs International   Long    215.9803    223,086,085 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC		   Long    215.9803    205,360,117 
Bloomberg Silver Subindex
  UBS AG   Long    215.9803    169,907,857 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  December 2021   1,213   $22.05    5,000   $133,715,055 
Swap Agreements as of September 30, 2021
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
   Long   December 2019   935   $17.00    5,000   $79,465,650 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $200.3035   $219,572,067 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   200.3035    219,657,055 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Long   200.3035    204,665,509 
Bloomberg Silver Subindex
  UBS AG  Long   200.3035    182,787,599 
Futures Positions as of September 30, 2020
 
Swap Agreements as of September 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Long   $162.7366   $148,647,493 
Bloomberg Silver Subindex
  Goldman Sachs International   Long    162.7366    84,687,175 
Bloomberg Silver Subindex
  UBS AG   Long    162.7366    119,278,311 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  December 2020   3,288   $23.49    5,000   $386,241,359 
 
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Swap Agreements as of September 30, 2020
                                                                                    
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $215.9803   $257,181,535 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   215.9803    223,086,085 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Long   215.9803    205,360,117 
Bloomberg Silver Subindex
  UBS AG  Long   215.9803    169,907,857 
The September 30, 20202021 and 20192020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20202021 and 20192020 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of September 30, 20202021 and 2019,2020, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long   October 2020   34,258   $30.38    1,000   $1,040,586,750 
VIX Futures (Cboe)
   Long   November 2020   26,919    32.88    1,000    884,962,125 
 
Swap Agreements as of September 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs & Co.   Long   $25.0468   $38,626,764 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2021   32,595   $22.87    1,000   $745,375,941 
VIX Futures (Cboe)
  Long  November 2021   30,104    23.69    1,000    713,040,334 
Swap Agreements as of September 30, 2021
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long   October 2019   26,799   $17.13    1,000   $458,932,875 
VIX Futures (Cboe)
   Long   November 2019   21,928    18.28    1,000    400,734,200 
                                                                                                                
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs International  Long  $27.8300   $73,401,625 
Futures Positions as of September 30, 2020
 
Swap Agreements as of September 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs & Co.   Long   $23.3316   $35,981,673 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2020   34,258   $30.38    1,000   $1,040,586,750 
VIX Futures (Cboe)
  Long  November 2020   26,919    32.88    1,000    884,962,125 
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Table of Contents
Swap Agreements as of September 30, 2020
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs & Co.  Long  $25.0468   $38,626,764 
The September 30, 20202021 and 20192020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20202021 and 20192020 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
200
financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Yen:
As of September 30, 20202021 and 2019,2020, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2021
Foreign Currency Forward Contracts as of September 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International   Long    10/09/20    332,532,517   0.009418   $3,131,929 
Yen
  UBS AG   Long    10/09/20    278,602,756   0.009425    2,625,726 
Yen
  UBS AG   Short    10/09/20    (2,680,000)   0.009488    (25,429) 
 
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International   Long    10/04/19    325,804,302  0.009294   $3,027,949   Goldman Sachs International  Long   10/08/21    327,930,517   0.009089   $2,980,604 
Yen
  UBS AG   Long    10/04/19    303,292,846  0.009297    2,819,631   UBS AG  Long   10/08/21    253,562,756   0.009086    2,303,860 
Yen
  UBS AG   Short    10/04/19    (10,295,792)  0.009267    (95,409)   Goldman Sachs International  Short   10/08/21    (6,319,000)   0.008956    (56,590) 
Yen
  UBS AG  Short   10/08/21    (10,090,000)   0.009078    (91,593) 
Foreign Currency Forward Contracts as of September 30, 2020
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/09/20    332,532,517   0.009418   $3,131,929 
Yen
  UBS AG  Long   10/09/20    278,602,756   0.009425    2,625,726 
Yen
  UBS AG  Short   10/09/20    (2,680,000)   0.009488    (25,429) 
The September 30, 20202021 and 20192020 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
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Table of Contents
ProShares UltraShort Australian Dollar:
As of September 30, 20202021 and 2019,2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to exchange rate price risk.
201Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)
   Short   December 2020   145   $71.63    1,000   $(10,386,350) 
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)
   Short   December 2019   268   $67.66    1,000   $(18,138,240)   Short  December 2021   136   $72.29    1,000   $(9,838,240) 
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)
  Short  December 2020   145   $71.63    1,000   $(10,386,350) 
The September 30, 20202021 and 20192020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Crude Oil:
As of September 30, 20202021 and 2019,2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil SubindexIndex
SM
and Bloomberg WTI Crude Oil SubundexSubindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
 
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short   December 2020   1,314   $40.47    1,000   $(53,177,580)   Short  December 2021   848   $74.70    1,000   $(63,345,600) 
WTI Crude Oil (NYMEX)
   Short   June 2021   1,269    42.28    1,000    (53,653,320)   Short  June 2022   876    71.15    1,000    (62,327,400) 
WTI Crude Oil (NYMEX)
   Short   December 2021   1,252    43.12    1,000    (53,986,240)   Short  December 2022   909    67.70    1,000    (61,539,300) 
Futures Positions as of September 30, 2020
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short   November 2019   630   $54.07    1,000   $(34,064,100)   Short  December 2020   1,314   $40.47    1,000   $(53,177,580) 
WTI Crude Oil (NYMEX)
  Short  June 2021   1,269    42.28    1,000    (53,653,320) 
WTI Crude Oil (NYMEX)
  Short  December 2021   1,252    43.12    1,000    (53,986,240) 
 
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Table of Contents
Swap Agreements as of September 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg WTI Crude Oil Subindex
  Citibank, N.A.   Short   $79.7080   $(53,195,027) 
Bloomberg WTI Crude Oil Subindex
  Goldman Sachs International   Short    79.7080    (29,730,396) 
Bloomberg WTI Crude Oil Subindex
  Royal Bank of Canada   Short    79.7080    (27,375,112) 
Bloomberg WTI Crude Oil Subindex
  Societe Generale   Short    79.7080    (8,125,464) 
Bloomberg WTI Crude Oil Subindex
  UBS AG   Short    79.7080    (32,567,716) 
The September 30, 20202021 and 20192020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 20202021 and 20192020 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Natural Gas:
As of September 30, 20202021 and 2019,2020, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short   November 2020   3,715   $2.53    10,000   $(93,878,050) 
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short   November 2019   694   $2.33    10,000   $(16,170,200)   Short  November 2021   4,720   $5.87    10,000   $(276,922,400) 
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Short  November 2020   3,715   $2.53    10,000   $(93,878,050) 
The September 30, 20202021 and 20192020 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, 20202021 and 2019,2020, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to exchange rate price risk.
 
203212
Table of Contents
Foreign Currency Forward Contracts as of September 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International   Long    10/09/20    3,698,000   1.1727   $4,336,534 
Euro
  UBS AG   Long    10/09/20    6,700,000   1.1787    7,897,485 
Euro
  Goldman Sachs International   Short    10/09/20    (41,689,263)   1.1835    (49,339,242) 
Euro
  UBS AG   Short    10/09/20    (85,627,199)   1.1818    (101,193,803) 
Foreign Currency Forward Contracts as of September 30, 2021
 
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Euro
  UBS AG   Long    10/04/19    9,230,205  1.1077   $10,224,496   UBS AG  Long   10/08/21    5,650,000   1.1862   $6,702,072 
Euro
  Goldman Sachs International   Short    10/04/19    (115,700,269)  1.1015    (127,446,161)   Goldman Sachs International  Short   10/08/21    (39,458,263)   1.1837    (46,708,330) 
Euro
  UBS AG   Short    10/04/19    (142,819,935)  1.1008    (157,218,004)   UBS AG  Short   10/08/21    (49,895,199)   1.1841    (59,081,294) 
Foreign Currency Forward Contracts as of September 30, 2020
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/09/20    3,698,000   1.1727   $4,336,534 
Euro
  UBS AG  Long   10/09/20    6,700,000   1.1787    7,897,485 
Euro
  Goldman Sachs International  Short   10/09/20    (41,689,263)   1.1835    (49,339,243) 
Euro
  UBS AG  Short   10/09/20    (85,627,199)   1.1818    (101,193,803) 
The September 30, 20202021 and 20192020 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, 20202021 and 20192020 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, 20202021 and 2019,2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $211.1862   $(10,138,690) 
Bloomberg Gold Subindex
  Goldman Sachs International   Short    211.1862    (8,325,763) 
Bloomberg Gold Subindex
  UBS AG   Short    211.1862    (14,773,987) 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $193.6583   $(14,518,233) 
Bloomberg Gold Subindex
  Goldman Sachs International  Short   193.6583    (9,497,933) 
Bloomberg Gold Subindex
  UBS AG  Short   193.6583    (11,357,509) 
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Short  December 2020   111   $1,895.50    100   $(21,040,050) 
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
   Short   December 2019   131   $1,472.90    100   $(19,294,990) 
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Table of Contents
Swap Agreements as of September 30, 2020
Swap Agreements as of September 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $169.6744   $(13,544,988) 
Bloomberg Gold Subindex
  Goldman Sachs International   Short    169.6744    (6,689,210) 
Bloomberg Gold Subindex
  UBS AG   Short    169.6744    (5,438,600) 
                                                                                                                    
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $211.1862   $(10,138,690) 
Bloomberg Gold Subindex
  Goldman Sachs International  Short   211.1862    (8,325,763) 
Bloomberg Gold Subindex
  UBS AG  Short   211.1862    (14,773,987) 
The September 30, 20202021 and 20192020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20202021 and 20192020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of September 30, 20202021 and 20192020 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, 20202021 and 2019,2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
   Short   December 2020   296   $23.49    5,000   $(34,771,120) 
 
Swap Agreements as of September 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Short   $215.9803   $(26,820,589) 
Bloomberg Silver Subindex
  Goldman Sachs International   Short    215.9803    (22,073,190) 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC		   Short    215.9803    (4,366,690) 
Bloomberg Silver Subindex
  UBS AG   Short    215.9803    (14,081,291) 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2021   380   $22.05    5,000   $(41,889,300) 
Swap Agreements as of September 30, 2021
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
   Short   December 2019   172   $17.00    5,000   $(14,618,280) 
                                                                                    
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

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

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2020   296   $23.49    5,000   $(34,771,120) 
 
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Swap Agreements as of September 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Short   $162.7366   $(5,463,022) 
Bloomberg Silver Subindex
  Goldman Sachs International   Short    162.7366    (5,692,366) 
Bloomberg Silver Subindex
  UBS AG   Short    162.7366    (5,063,730) 
Swap Agreements as of September 30, 2020
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $215.9803   $(26,820,589) 
Bloomberg Silver Subindex
  Goldman Sachs International  Short   215.9803    (22,073,190) 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Short   215.9803    (4,366,690) 
Bloomberg Silver Subindex
  UBS AG  Short   215.9803    (14,081,291) 
The September 30, 20202021 and 20192020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20202021 and 20192020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of September 30, 20202021 and 2019,2020, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20202021 and 2019,2020, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2021
Foreign Currency Forward Contracts as of September 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International   Long    10/09/20    23,643,000   0.009483   $224,207 
Yen
  UBS AG   Long    10/09/20    223,810,000   0.009506    2,127,624 
Yen
  Goldman Sachs International   Short    10/09/20    (2,032,728,165)   0.009418    (19,145,073) 
Yen
  UBS AG   Short    10/09/20    (3,439,162,875)   0.009426    (32,416,476) 
 
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Yen
  UBS AG   Long    10/04/19    313,469,141  0.009314   $2,919,786   Goldman Sachs International  Long   10/08/21    32,600,000   0.009147   $298,181 
Yen
  Goldman Sachs International   Short    10/04/19    (4,504,005,190)  0.009294    (41,859,172)   UBS AG  Long   10/08/21    373,110,000   0.009098    3,394,710 
Yen
  UBS AG   Short    10/04/19    (4,679,302,619)  0.009293    (43,484,070)   Goldman Sachs International  Short   10/08/21    (1,558,854,165)   0.009077    (14,149,247) 
Yen
  UBS AG  Short   10/08/21    (4,049,118,875)   0.009085    (36,785,074) 
Foreign Currency Forward Contracts as of September 30, 2020
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/09/20    23,643,000   0.009483   $224,207 
Yen
  UBS AG  Long   10/09/20    223,810,000   0.009506    2,127,624 
Yen
  Goldman Sachs International  Short   10/09/20    (2,032,728,165)   0.009418    (19,145,073) 
Yen
  UBS AG  Short   10/09/20    (3,439,162,875)   0.009426    (32,416,476) 
The September 30, 20202021 and 20192020 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.
 
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ProShares VIX
Mid-Term
Futures ETF
As of September 30, 20202021 and 2019,2020, the ProShares VIX
Mid-Term
Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 20202021 and 2019,2020, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2021
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long   January 2021   652   $29.88    1,000   $19,478,500 
VIX Futures (Cboe)
   Long   February 2021   1,165    29.40    1,000    34,251,000 
VIX Futures (Cboe)
   Long   March 2021   1,165    28.93    1,000    33,697,625 
VIX Futures (Cboe)
   Long   April 2021   512    28.38    1,000    14,528,000 
 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long   January 2020   432   $18.83    1,000   $8,132,400   Long  January 2022   872   $24.80    1,000   $21,626,210 
VIX Futures (Cboe)
   Long   February 2020   786    19.08    1,000    14,992,950   Long  February 2022   1,677    25.23    1,000    42,304,841 
VIX Futures (Cboe)
   Long   March 2020   786    19.08    1,000    14,992,950   Long  March 2022   1,677    25.66    1,000    43,023,603 
VIX Futures (Cboe)
   Long   April 2020   354    19.23    1,000    6,805,650   Long  April 2022   804    25.83    1,000    20,765,953 
Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  January 2021   652   $29.88    1,000   $19,478,500 
VIX Futures (Cboe)
  Long  February 2021   1,165    29.40    1,000    34,251,000 
VIX Futures (Cboe)
  Long  March 2021   1,165    28.93    1,000    33,697,625 
VIX Futures (Cboe)
  Long  April 2021   512    28.38    1,000    14,528,000 
The September 30, 20202021 and 20192020 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, 20202021 and 2019,2020, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 20202021 and 2019,2020, which were sensitive to equity market volatility risk.
 
Futures Positions as of September 30, 2020
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long   October 2020   4,979   $30.38    1,000   $151,237,125 
VIX Futures (Cboe)
   Long   November 2020   3,912    32.88    1,000    128,607,000 
Futures Positions as of September 30, 2019
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long   October 2019   9,333   $17.13    1,000   $159,827,625 
VIX Futures (Cboe)
   Long   November 2019   7,636    18.28    1,000    139,547,900 
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Table of Contents
Futures Positions as of September 30, 2021
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2020   4,979   $30.38    1,000   $151,237,125 
VIX Futures (Cboe)
  Long  November 2020   3,912    32.88    1,000    128,607,000 
The September 30, 20202021 and 20192020 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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Table of Contents
Qualitative Disclosure
As described in Item 7 in the Annual Report on Form
10-K,
it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each UltraPro Short Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse
(-3x)
of daily performance of its corresponding benchmark. Each UltraPro Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative
one-half,
one, one and
one-half,
two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its
sub-indexes
are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.
As described in Item 7 in the Annual Report on Form
10-K,
trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending
208
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).
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Table of Contents
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 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
(-0.5x,
-1x,
-2x,
-3x,
1.5x, 2x, 3x)or 2x), regardless of market direction or sentiment. On a daily basis,At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form
10-K,
these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio
re-positioning
are create/redeem activity and index rebalances.
For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund or UltraPro 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 or UltraPro Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds or UltraPro Short Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s, an UltraShort Fund’s, or UltraPro Short Fund’s assets should rise.day. As a result, the Fund’s short exposure may need to be increased.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial
209
Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both
non-interest
bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).
Item 4.
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, 2019,2020, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the 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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Table of Contents
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, 20202021 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.
 
210220
Part II. OTHER INFORMATION
Item 1.
Item 1. Legal Proceedings.
The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule
10b-5
of the 1934 Act, and Items 303 and 105 of Regulation
S-K,
17 C.F.R. Section 229.303(a)(3)(ii), 229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. The TrustOn March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and Sponsor will continue to vigorously defend against this lawsuit. The Trust andaffirmed the Sponsor cannot predict the outcome of this action. ProShares Short VIX Short-Term Futures ETF may incur expenses in defending against such claims.
On July 28, 2020, the Sponsor, the Trust and ProShares Ultra Bloomberg Crude Oil (“UCO”), a series of the Trust, were named as defendants in a purported class action lawsuit filed in the United States District Court for the Southern District of New York, captioned Di Scala v. ProShares Ultra Bloomberg Crude Oil, et al. The allegations in the complaint claim that the defendants violated Sections 10(b) and 20(a) and Rule
10b-5
of the Securities Exchange Act of 1934 by issuing untrue statements of material fact and omitting material facts in the prospectus for UCO, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the action. The defendants cannot predict the outcome of this lawsuit. The Trust and the Sponsor intend to vigorously defend against these lawsuits. The Trust and the Sponsor cannot predict the outcome of these lawsuits. Accordingly, no loss contingency has been recorded in the Statement of Financial Condition and the amount of loss, if any, cannot be reasonably estimated at this time. ProShares Ultra Bloomberg Crude Oil may incur expenses in defending against such lawsuits.Court’s judgement.
Item 1A.
Item 1A. Risk Factors.
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to
COVID-19
and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.
211
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
221
Table of Contents
Natural Disasters and Public Health Disruptions, such as the
COVID-19
Virus, May Have a Significant Negative Impact on the Performance of Each Fund
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus
COVID-19),
have been and may continue to be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the
COVID-19
pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the
COVID-19
pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
Natural or environmental disasters or public health crisis, such as the
COVID-19
pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the
COVID-19
pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.
The
COVID-19
pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. In April 2020, the unemployment rate in the U.S. was extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.
Market downturns, disruptions or illiquidity as a result of, or related to, the
COVID-19
pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
212
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the
COVID-19
pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
222
Table of Contents
The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing
COVID-19
pandemic
Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The
COVID-19
pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The
COVID-19
pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.
Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.
213
Item 2.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
a) None.
b) Not applicable.
 
214223
Table of Contents
Title of Securities
Registered
  
Amount Registered as of

September 30, 2020
 
Shares Sold For the

Three Months Ended

September 30, 2020
   
Sale Price of Shares

Sold For the Three

Months Ended

September 30, 2020
   
Shares Sold For the

Nine Months Ended

September 30, 2020
**
   
Sale Price of Shares Sold

For the Nine Months

Ended September 30,

2020
**
   
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
ProShares Short Euro
                   
Common Units of Beneficial Interest
  $205,213,786   —     $—      —     $—     $35,191,282    —     $—      —     $—   
ProShares Short VIX Short-Term Futures ETF
                   
Common Units of Beneficial Interest
  $3,978,471,529   —     $—      25,850,000   $914,411,669   $1,389,373,514    550,000   $30,777,084    3,400,000   $150,390,026 
ProShares Ultra Bloomberg Crude
Oil
                   
Common Units of Beneficial Interest
  $3,143,142,520  21,500,000   $659,253,641    109,662,000   $3,612,784,316   $1,385,606,139    950,000   $62,865,806    4,350,000   $240,118,659 
ProShares Ultra Bloomberg Natural Gas
                   
Common Units of Beneficial Interest
  $803,276,043  4,350,000   $139,174,605    5,835,000   $193,426,833   $548,831,164    1,150,000   $79,122,213    5,200,000   $169,309,627 
ProShares Ultra Euro
                   
Common Units of Beneficial Interest
  $187,459,743  100,000   $1,470,669    200,000   $2,838,707   $12,965,765    —     $—      100,000   $1,488,793 
ProShares Ultra Gold
                   
Common Units of Beneficial Interest
  $661,608,941  1,700,000   $120,448,172    3,150,000   $204,437,233   $437,056,102    250,000   $14,836,141    1,250,000   $75,112,671 
ProShares Ultra Silver
                   
Common Units of Beneficial Interest
  $1,143,829,159  8,050,000   $383,530,355    10,300,000   $439,990,085   $382,208,757    1,050,000   $38,538,861    4,450,000   $205,312,655 
ProShares Ultra VIX Short-Term Futures ETF
                   
Common Units of Beneficial Interest
  $5,048,274,293  42,800,000   $1,066,976,088    77,550,000   $2,276,625,957   $6,664,421,573    37,800,000   $923,628,398    70,385,000   $3,297,406,475 
ProShares Ultra Yen
                   
Common Units of Beneficial Interest
  $201,792,144   —     $—      —     $—     $21,407,176    —     $—      —     $—   
ProShares UltraPro 3x Crude Oil ETF
         
Common Units of Beneficial Interest
  $—  
*
 		 $—     $—      184,600,000   $414,019,676 
ProShares UltraPro 3x Short Crude Oil ETF
         
Common Units of Beneficial Interest
  $—  
*
 		 $—     $—      2,850,000   $59,484,110 
ProShares UltraShort Australian Dollar
                   
Common Units of Beneficial Interest
  $159,935,804   —     $—      —     $—     $51,054,751    50,000   $2,373,262    50,000   $2,373,262 
ProShares UltraShort Bloomberg Crude Oil
          
Common Units of Beneficial Interest
  $447,139,262    3,350,000   $56,590,239    7,237,500   $164,074,678 
ProShares UltraShort Bloomberg Natural Gas
          
Common Units of Beneficial Interest
  $1,546,810,909    20,500,000   $210,189,776    28,050,000   $446,153,207 
ProShares UltraShort Euro
          
Common Units of Beneficial Interest
  $115,002,443    100,000   $2,387,142    300,000   $7,000,386 
ProShares UltraShort Gold
          
Common Units of Beneficial Interest
  $75,106,370    650,000   $21,916,482    1,700,000   $59,279,388 
 
215224
Title of Securities
Registered            
  
Amount Registered as of

September 30, 2020
   
Shares Sold For the

Three Months Ended

September 30, 2020
   
Sale Price of Shares

Sold For the Three

Months Ended

September 30, 2020
   
Shares Sold For the

Nine Months Ended

September 30, 2020
**
   
Sale Price of Shares Sold

For the Nine Months

Ended September 30,

2020
**
 
ProShares UltraShort Bloomberg Crude Oil
          
Common Units of Beneficial Interest
  $1,352,453,752    4,300,000   $69,006,205    26,650,000   $737,435,154 
ProShares UltraShort Bloomberg Natural Gas
          
Common Units of Beneficial Interest
  $492,269,188    3,200,000   $130,455,301    4,400,000   $198,730,524 
ProShares UltraShort Euro
          
Common Units of Beneficial Interest
  $498,427,546    1,000,000   $24,186,298    1,350,000   $34,244,548 
ProShares UltraShort Gold
          
Common Units of Beneficial Interest
  $239,195,660    750,000   $23,162,997    1,100,000   $38,594,844 
ProShares UltraShort Silver
          
Common Units of Beneficial Interest
  $749,520,872    11,300,000   $102,544,682    12,100,000   $122,851,884 
ProShares UltraShort Yen
          
Common Units of Beneficial Interest
  $494,648,731    —     $—      100,000   $7,806,745 
ProShares VIX
Mid-Term
Futures ETF
          
Common Units of Beneficial Interest
  $357,349,234    1,150,000   $45,600,053    2,250,000   $85,866,144 
ProShares VIX Short-Term Futures ETF
          
Common Units of Beneficial Interest
  $1,022,176,263    6,650,000   $156,332,956    17,325,000   $342,792,630 
    
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust:
    
 
106,850,000
 
  
$
2,922,142,022
 
  
 
485,272,000
 
  
$
9,686,341,059
 
Table of Contents
Title of Securities
Registered
  
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
ProShares UltraShort Silver
          
Common Units of Beneficial Interest
  $316,715,689    1,000,000   $26,169,229    3,750,000   $91,351,542 
ProShares UltraShort Yen
          
Common Units of Beneficial Interest
  $114,882,391    —     $—      100,000   $7,132,412 
ProShares VIX
Mid-Term
Futures ETF
          
Common Units of Beneficial Interest
  $269,455,873    1,200,000   $37,425,551    2,625,000   $87,035,790 
ProShares VIX Short-Term Futures ETF
          
Common Units of Beneficial Interest
  $1,884,359,393    6,300,000   $142,476,815    16,556,250   $593,853,539 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust:
  
$
15,697,588,553
 
  
 
74,900,000
 
  
$
1,649,296,999
 
  
 
149,503,750
 
  
$
5,597,393,110
 
*
The liquidated funds’ shares were
de-registered
prior to March 31, 2020.
**
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
Item 3.
Item 3. Defaults Upon Senior Securities.
None.
Item 4.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5.
Item 5. Other Information.
None.
 
216225
Table of Contents
Item 6.
Item 6. Exhibits.
 
Exhibit
No.
  
Description of Document
31.1  Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2  Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
  32.132.1*  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)
104.1  Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1tags are embedded within the inline XBRL document.
 
(1)
Filed herewith.
*
These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
 
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Table of Contents
Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 9, 20205, 2021
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 9, 20205, 2021
 
218227