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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 March 31, 2021.
for the quarterly period ended March 31, 2022.
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 100021
st
Floor
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip Code)
(240)
497-6400
(Registrant’s telephone number, including area code)
 
Securities registered pursuant to Section 12(b) of the Act:
 
Title of each class
  
Trading
Trading
Symbol(s)
  
Name of each exchange
on which registered
ProShares Short Euro
  
EUFX
  
NYSE Arca
ProShares Short VIX Short-Term Futures ETF
  
SVXY
  
Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil
  
UCO
  
NYSE Arca
ProShares Ultra Bloomberg Natural Gas
  
BOIL
  
NYSE Arca
ProShares Ultra Euro
  
ULE
  
NYSE Arca
ProShares Ultra Gold
  
UGL
  
NYSE Arca
ProShares Ultra Silver
  
AGQ
  
NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF
  
UVXY
  
Cboe BZX Exchange
ProShares Ultra Yen
  
YCL
  
NYSE Arca
ProShares UltraShort Australian Dollar
  
CROC
  
NYSE Arca
ProShares UltraShort Bloomberg Crude Oil
  
SCO
  
NYSE Arca
ProShares UltraShort Bloomberg Natural Gas
  
KOLD
  
NYSE Arca
ProShares UltraShort Euro
  
EUO
  
NYSE Arca
ProShares UltraShort Gold
  
GLL
  
NYSE Arca
ProShares UltraShort Silver
  
ZSL
  
NYSE Arca
ProShares UltraShort Yen
  
YCS
  
NYSE Arca
ProShares VIX
Mid-Term
Futures ETF
  
VIXM
  
Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF
  
VIXY
  
Cboe BZX Exchange
Securities registered pursuant to Section 12(g) of the Act: None
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    ☒  Yes    ☐  No
Indicate by check mark whether the registrant has submitted electronically 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
April 26, 2021
, May 2, 2022, the registrant had
344,851,695222,523,625 shares of common stock, $0 par value per share, outstanding.





Part I. FINANCIAL INFORMATION
 
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:
     
   4 
   9 
   14 
   1920 
   2425 
   2930 
   3435 
   3940 
   4445 
   4950 
   5455 
   5960 
   6465 
   6970 
   7475 
   7980 
   8485 
   8990 
   9495 
   9899 

3
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Cash  $4,500,918   $2,219,932 
Segregated cash balances with brokers for futures contracts   87,120    38,720 
Receivable on open futures contracts   38,569    —   
Interest receivable   —      93 
           
Total assets   4,626,607    2,258,745 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   —      11,500 
Payable to Sponsor   3,207    1,824 
           
Total liabilities   3,207    13,324 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   4,623,400    2,245,421 
           
Total liabilities and shareholders’ equity  $4,626,607   $2,258,745 
           
Shares outstanding   100,000    50,000 
           
Net asset value per share  $46.23   $44.91 
           
Market value per share (Note 2)  $46.18   $44.92 
           
See accompanying notes to financial statements.
4

PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires June 2022   33   $4,578,338   $2,656 
See accompanying notes to financial statements.
5

PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
OPERATIONS
(unaudited)
 
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,885 and $–, respectively)
  $999,973   $—   
Cash
   1,155,210    4,105,781 
Segregated cash balances with brokers for futures contracts
   33,000    68,310 
Receivable on open futures contracts
   —      21,094 
Interest receivable
   67    175 
           
Total assets
   2,188,250    4,195,360 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   1,125    —   
Payable to Sponsor
   2,571    3,391 
Non-recurring
fees and expenses payable
   14    14 
           
Total liabilities
   3,710    3,405 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   2,184,540    4,191,955 
           
Total liabilities and shareholders’ equity
  $2,188,250   $4,195,360 
           
Shares outstanding
   50,000    100,000 
           
Net asset value per share
  $43.69   $41.92 
           
Market value per share (Note 2)
  $43.52   $41.35 
           
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $(93 $596 
          
Expenses
         
Management fee   6,672   9,053 
Brokerage commissions   144   181 
          
Total expenses   6,816   9,234 
          
Net investment income (loss)   (6,909  (8,638
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   59,419   69,393 
Short-term U.S. government and agency obligations   4,452   —   
          
Net realized gain (loss)   63,871   69,393 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   8,056   78,554 
Short-term U.S. government and agency obligations   —     88 
          
Change in net unrealized appreciation (depreciation)   8,056   78,642 
          
Net realized and unrealized gain (loss)   71,927   148,035 
          
Net income (loss)
  $65,018  $139,397 
          
See accompanying notes to financial statements.
4
6

PROSHARES SHORT EURO
SCHEDULESTATEMENTS OF INVESTMENTSCHANGES IN SHAREHOLDERS’ EQUITY
MARCH 31, 2021
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(46% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.086% due 05/20/21
  $1,000,000   $999,973 
           
Total short-term U.S. government and agency obligations
(cost $999,885)
       $999,973 
           
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires June 2021
   15   $2,201,625   $33,928 
^^
Rates shown represent discount rate at the time of purchase.
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $2,245,421  $4,191,955 
          
Addition of 50,000 and – shares, respectively   2,312,961   —   
Redemption of – and 50,000 shares, respectively   —     (2,146,812
          
Net addition (redemption) of 50,000 and (50,000) shares, respectively   2,312,961   (2,146,812
          
Net investment income (loss)   (6,909  (8,638
Net realized gain (loss)   63,871   69,393 
Change in net unrealized appreciation (depreciation)   8,056   78,642 
          
Net income (loss)   65,018   139,397 
          
Shareholders’ equity, end of period
  $4,623,400  $2,184,540 
          
See accompanying notes to financial statements.
57
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONSCASH FLOWS
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $596  $7,595 
          
Expenses
         
Management fee
   9,053   5,503 
Brokerage commissions
   181   100 
          
Total expenses
   9,234   5,603 
          
Net investment income (loss)
   (8,638  1,992 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   69,393   (18,638
          
Net realized gain (loss)
   69,393   (18,638
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   78,554   67,324 
Short-term U.S. government and agency obligations
   88   (30
          
Change in net unrealized appreciation (depreciation)
   78,642   67,294 
          
Net realized and unrealized gain (loss)
   148,035   48,656 
          
Net income (loss)
  $139,397  $50,648 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $65,018  $139,397 
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   4,452   1,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   0     (323
Net realized (gain) loss on investments   (4,452  —   
Change in unrealized (appreciation) depreciation on investments   —     (88
Decrease (Increase) in receivable on open futures contracts   (38,569  21,094 
Decrease (Increase) in interest receivable   93   108 
Increase (Decrease) in payable to Sponsor   1,383   (820
Increase (Decrease) in payable on open futures contracts   (11,500  1,125 
          
Net cash provided by (used in) operating activities   16,425   (839,069
          
Cash flow from financing activities
         
Proceeds from addition of shares   2,312,961   —   
Payment on shares redeemed   —     (2,146,812
          
Net cash provided by (used in) financing activities   2,312,961   (2,146,812
          
Net increase (decrease) in cash
   2,329,386   (2,985,881
Cash, beginning of period   2,258,652   4,174,091 
          
Cash, end of period  $4,588,038  $1,188,210 
          
See accompanying notes to financial statements.
6
8

PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $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)
   (8,638  1,992 
Net realized gain (loss)
   69,393   (18,638
Change in net unrealized appreciation (depreciation)
   78,642   67,294 
          
Net income (loss)
   139,397   50,648 
          
Shareholders’ equity, end of period
  $2,184,540  $2,332,843 
          
See accompanying notes to financial statements.
7

PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $139,397  $50,648 
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
   1,000,000   747,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (323  (1,225
Change in unrealized appreciation (depreciation) on investments
   (88  30 
Decrease (Increase) in receivable on futures contracts
   21,094   (2,975
Decrease (Increase) in interest receivable
   108   840 
Increase (Decrease) in payable to Sponsor
   (820  1,785 
Increase (Decrease) in payable on futures contracts
   1,125   (5,100
          
Net cash provided by (used in) operating activities
   (839,069  791,003 
          
Cash flow from financing activities
         
Payment on shares redeemed
   (2,146,812  —   
          
Net cash provided by (used in) financing activities
   (2,146,812  —   
          
Net increase (decrease) in cash
   (2,985,881  791,003 
Cash, beginning of period
   4,174,091   1,540,916 
          
Cash, end of period
  $1,188,210  $2,331,919 
          
See accompanying notes to financial statements.
8

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $91,994,322 and $69,998,727, respectively)
  $91,998,460   $69,999,639 
Cash
   178,094,057    132,392,153 
Segregated cash balances with brokers for futures contracts
   172,795,856    134,187,067 
Receivable on open futures contracts
   84,745,212    74,226,825 
Interest receivable
   5,009    4,384 
           
Total assets
   527,638,594    410,810,068 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   —      996,159 
Brokerage commissions and fees payable
   121,727    114,522 
Payable to Sponsor
   384,663    326,566 
Non-recurring
fees and expenses payable
   1,353    1,353 
           
Total liabilities
   507,743    1,438,600 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   527,130,851    409,371,468 
           
Total liabilities and shareholders’ equity
  $527,638,594   $410,810,068 
           
Shares outstanding
   11,184,307    9,884,307 
           
Net asset value per share
  $47.13   $41.42 
           
Market value per share (Note 2)
  $47.10   $41.44 
           
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $180,804,059 and $147,851,244, respectively)  $180,357,257   $147,815,719 
Cash   65,794,655    44,359,519 
Segregated cash balances with brokers for futures contracts   165,590,124    138,651,465 
Receivable on open futures contracts   96,824,449    99,544,338 
Interest receivable   —      2,868 
           
Total assets   508,566,485    430,373,909 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   —      6,125,130 
Payable on open futures contracts   12,542,043    —   
Brokerage commissions and futures account fees payable   70,274    104,312 
Payable to Sponsor   365,319    331,873 
           
Total liabilities   12,977,636    6,561,315 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   495,588,849    423,812,594 
           
Total liabilities and shareholders’ equity  $508,566,485   $430,373,909 
           
Shares outstanding   9,084,307    6,884,307 
           
Net asset value per share  $54.55   $61.56 
           
Market value per share (Note 2)  $54.56   $61.55 
           
See accompanying notes to financial statements.
9

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(36% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.021% due 04/21/22  $25,000,000   $24,997,917 
0.393% due 07/21/22   79,000,000    78,828,270 
0.223% due 11/03/22   77,000,000    76,531,070 
          ��
Total short-term U.S. government and agency obligations
(cost $180,804,059)
       $180,357,257 
           
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2022   4,910   $115,232,790   $31,922,101 
VIX Futures - Cboe, expires May 2022   5,324    133,034,515    4,062,361 
                
             $35,984,462 
                
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
10

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULESTATEMENTS OF INVESTMENTSOPERATIONS
MARCH 31, 2021
(unaudited)
 
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(17% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.075% due
 
04/15/21
  $50,000,000   $49,999,710 
0.086% due 05/20/21
   20,000,000    19,999,456 
0.041% due 06/17/21
   22,000,000    21,999,294 
           
Total short-term U.S. government and agency obligations
(cost $91,994,322)
       $91,998,460 
           
Futures Contracts Sold
   
Number
of
Contracts
   
Notional
Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2021
   6,607   $136,989,538   $42,996,259 
VIX Futures - Cboe, expires May 2021
   5,590    126,757,722    7,474,416 
                
             $50,470,675 
                
^^
Rates shown represent discount rate at the time of purchase.
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $94,343  $33,890 
          
Expenses
         
Management fee   986,537   1,042,569 
Brokerage commissions   187,698   175,910 
Futures accounts fees   217,030   257,777 
          
Total expenses   1,391,265   1,476,256 
          
Net investment income (loss)   (1,296,922  (1,442,366
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (41,100,614  24,209,417 
Short-term U.S. government and agency obligations   (10,494  0   
          
Net realized gain (loss)   (41,111,108  24,209,417 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   4,709,184   42,121,892 
Short-term U.S. government and agency obligations   (411,277  3,226 
          
Change in net unrealized appreciation (depreciation)   4,297,907   42,125,118 
          
Net realized and unrealized gain (loss)   (36,813,201  66,334,535 
          
Net income (loss)
  $(38,110,123 $64,892,169 
          
See accompanying notes to financial statements.
10
11

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $423,812,594  $409,371,468 
          
Addition of 3,000,000 and 2,400,000 shares, respectively   156,515,471   98,109,468 
Redemption of 800,000 and 1,100,000 shares, respectively   (46,629,093  (45,242,254
          
Net addition (redemption) of 2,200,000 and 1,300,000 shares, respectively   109,886,378   52,867,214 
          
Net investment income (loss)   (1,296,922  (1,442,366
Net realized gain (loss)   (41,111,108  24,209,417 
Change in net unrealized appreciation (depreciation)   4,297,907   42,125,118 
          
Net income (loss)   (38,110,123  64,892,169 
          
Shareholders’ equity, end of period
  $495,588,849  $527,130,851 
          
See accompanying notes to financial statements.
12

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONSCASH FLOWS
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $33,890  $749,861 
          
Expenses
         
Management fee
   1,042,569   886,197 
Brokerage commissions
   175,910   189,532 
Brokerage fees
   257,777   29,728 
          
Total expenses
   1,476,256   1,105,457 
          
Net investment income (loss)
   (1,442,366  (355,596
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   24,209,417   (244,300,604
          
Net realized gain (loss)
   24,209,417   (244,300,604
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   42,121,892   20,973,802 
Short-term U.S. government and agency obligations
   3,226   81,856 
          
Change in net unrealized appreciation (depreciation)
   42,125,118   21,055,658 
          
Net realized and unrealized gain (loss)
   66,334,535   (223,244,946
          
Net income (loss)
  $64,892,169  $(223,600,542
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(38,110,123 $64,892,169 
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   (184,846,445  (166,972,737
Proceeds from sales or maturities of short-term U.S. government and agency obligations   151,980,347   145,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (97,211  (22,858
Net realized (gain) loss on investments   10,494   0   
Change in unrealized (appreciation) depreciation on investments   411,277   (3,226
Decrease (Increase) in receivable on open futures contracts   2,719,889   (10,518,387
Decrease (Increase) in interest receivable   2,868   (625
Increase (Decrease) in payable to Sponsor   33,446   58,097 
Increase (Decrease) in brokerage commissions and futures account fees payable   (34,038  7,205 
Increase (Decrease) in payable on open futures contracts   12,542,043   (996,159
          
Net cash provided by (used in) operating activities   (55,387,453  31,443,479 
          
Cash flow from financing activities
         
Proceeds from addition of shares   156,515,471   98,109,468 
Payment on shares redeemed   (52,754,223  (45,242,254
          
Net cash provided by (used in) financing activities   103,761,248   52,867,214 
          
Net increase (decrease) in cash
   48,373,795   84,310,693 
Cash, beginning of period   183,010,984   266,579,220 
          
Cash, end of period  $231,384,779  $350,889,913 
          
See accompanying notes to financial statements.
1113
PROSHARES SHORT VIX SHORT-TERM FUTURES ETFULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITYFINANCIAL CONDITION
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $409,371,468  $284,437,179 
          
Addition of 2,400,000 and 24,850,000 shares, respectively
   98,109,468   883,568,508 
Redemption of 1,100,000 and 3,100,000 shares, respectively
   (45,242,254  (135,147,487
          
Net addition (redemption) of 1,300,000 and 21,750,000 shares, respectively
   52,867,214   748,421,021 
          
Net investment income (loss)
   (1,442,366  (355,596
Net realized gain (loss)
   24,209,417   (244,300,604
Change in net unrealized appreciation (depreciation)
   42,125,118   21,055,658 
          
Net income (loss)
   64,892,169   (223,600,542
          
Shareholders’ equity, end of period
  $527,130,851  $809,257,658 
          
   
     
   
March 31, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $1,016,679,454 and $848,800,309, respectively)  $1,016,050,654   $848,757,567 
Cash   122,491,540    86,582,912 
Segregated cash balances with brokers for futures contracts   198,872,883    130,704,477 
Segregated cash balances with brokers for swap agreements   181,812,000    —   
Unrealized appreciation on swap agreements   —      63,928,293 
Receivable on open futures contracts   187,616    —   
Interest receivable   1    3,523 
           
Total assets   1,519,414,694    1,129,976,772 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   15,183,510    —   
Payable on open futures contracts   37,639,347    25,317,560 
Brokerage commissions and futures account fees payable   99,348    24,677 
Payable to Sponsor   1,226,530    850,965 
Unrealized depreciation on swap agreements   128,285,274    —   
           
Total liabilities   182,434,009    26,193,202 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   1,336,980,685    1,103,783,570 
           
Total liabilities and shareholders’ equity  $1,519,414,694   $1,129,976,772 
           
Shares outstanding   8,810,774    12,810,774 
           
Net asset value per share  $151.74   $86.16 
           
Market value per share (Note 2)  $153.30   $86.78 
           
See accompanying notes to financial statements.
12
14

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $64,892,169  $(223,600,542
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
   (166,972,737  (149,679,751
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   145,000,000   115,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (22,858  (301,095
Change in unrealized appreciation (depreciation) on investments
   (3,226  (81,856
Decrease (Increase) in receivable on futures contracts
   (10,518,387  (102,545,073
Decrease (Increase) in interest receivable
   (625  45,308 
Increase (Decrease) in payable to Sponsor
   58,097   431,086 
Increase (Decrease) in brokerage commissions and fees payable
   7,205   —   
Increase (Decrease) in payable on futures contracts
   (996,159  —   
          
Net cash provided by (used in) operating activities
   31,443,479   (360,731,923
          
Cash flow from financing activities
         
Proceeds from addition of shares
   98,109,468   883,568,508 
Payment on shares redeemed
   (45,242,254  (135,147,487
          
Net cash provided by (used in) financing activities
   52,867,214   748,421,021 
          
Net increase (decrease) in cash
   84,310,693   387,689,098 
Cash, beginning of period
   266,579,220   167,544,087 
          
Cash, end of period
  $350,889,913  $555,233,185 
          
See accompanying notes to financial statements.
13

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $689,932,775 and $219,996,153, respectively)
  $689,976,589   $219,998,394 
Cash
   227,574,108    491,732,847 
Segregated cash balances with brokers for futures contracts
   181,733,171    175,526,749 
Segregated cash balances with brokers for swap agreements
   56,228,000    —   
Unrealized appreciation on swap agreements
   —      18,242,195 
Receivable on open futures contracts
   —      1,611,608 
Interest receivable
   143,801    21,388 
           
Total assets
   1,155,655,669    907,133,181 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      3,627,934 
Payable on open futures contracts
   25,300,245    —   
Brokerage commissions and fees payable
   1,352    —   
Payable to Sponsor
   989,343    728,955 
Unrealized depreciation on swap agreements
   40,748,594    —   
Non-recurring
fees and expenses payable
   37,042    37,042 
           
Total liabilities
   67,076,576    4,393,931 
           
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   1,088,579,093    902,739,250 
           
Total liabilities and shareholders’ equity
  $1,155,655,669   $907,133,181 
           
Shares outstanding
   20,710,774    24,810,774 
           
Net asset value per share
  $52.56   $36.38 
           
Market value per share (Note 2)
  $52.85   $36.27 
           
See accompanying notes to financial statements.
14

PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
76
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.076
% due
04/21/22
  $285,000,000   $284,976,259 
0.232
% due
05/19/22
   175,000,000    174,939,328 
0.321
% due
06/16/22
   180,000,000    179,834,706 
0.393
% due
07/21/22
   47,000,000    46,897,831 
0.706
% due
08/18/22
   150,000,000    149,504,820 
0.637
% due
11/03/22
   181,000,000    179,897,710 
           
Total short-term U.S. government and agency obligations
(cost $
1,016,679,454
)
       $1,016,050,654 
           
Futures Contracts Purchased
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires June 2022   4,115   $405,409,800   $144,895,562 
WTI Crude Oil - NYMEX, expires December 2022   4,724    423,270,400    91,533,153 
WTI Crude Oil - NYMEX, expires June 2023   5,012    424,065,320    9,162,448 
                
             $245,591,163 
                
(unaudited)
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  04/06/22   $202,256,578   $(18,119,250
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35   04/06/22    394,073,711    (36,248,743
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35   04/06/22    350,316,746    (31,383,289
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.25   04/06/22    190,882,596    (17,086,634
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.30   04/06/22    284,170,376    (25,447,358
                    
             
Total Unrealized
Depreciation
 
 
  $(128,285,274
                    
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(63% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.060% due 04/15/21
  $90,000,000   $89,999,478 
0.048% due 05/20/21
   195,000,000    194,994,696 
0.045% due 06/17/21
   230,000,000    229,992,617 
0.061% due 07/15/21
   175,000,000    174,989,798 
           
Total short-term U.S. government and agency obligations
          
(cost $689,932,775)
       $689,976,589 
           
Futures Contracts Purchased
               
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires June 2021
   8,933   $528,654,940   $141,467,113 
WTI Crude Oil - NYMEX, expires December 2021
   9,478    538,824,300    97,420,187 
WTI Crude Oil - NYMEX, expires June 2022
   9,857    539,375,040    (338,389
                
           $238,548,911 
                
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 Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35  04/06/21   $108,014,255   $(7,714,940
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35   04/06/21    202,730,402    (14,480,063
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.25   04/06/21    104,445,210    (7,452,971
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.30   04/06/21    155,489,475    (11,100,620
                    
          Total Unrealized
Depreciation
   $(40,748,594) 
                    
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2021.2022. 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.
15

*
Reflects the floating financing rate, as of March 31, 2021,2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
15
16

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $168,075  $1,401,460 
          
Expenses
         
Management fee
   2,535,085   870,239 
Brokerage commissions
   293,200   126,337 
Brokerage fees
   98,937   —   
          
Total expenses
   2,927,222   996,576 
          
Net investment income (loss)
   (2,759,147  404,884 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   191,676,501   (88,947,210
Swap agreements
   142,674,727   (416,644,056
Short-term U.S. government and agency obligations
   —     37,469 
          
Net realized gain (loss)
   334,351,228   (505,553,797
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   93,984,872   (73,713,718
Swap agreements
   (58,990,789  (249,062,832
Short-term U.S. government and agency obligations
   41,573   354,889 
          
Change in net unrealized appreciation (depreciation)
   35,035,656   (322,421,661
          
Net realized and unrealized gain (loss)
   369,386,884   (827,975,458
          
Net income (loss)
  $366,627,737  $(827,570,574
          
    
    
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $308,880  $168,075 
          
Expenses
         
Management fee   3,084,812   2,535,085 
Brokerage commissions   195,541   293,200 
Futures accounts fees   252,687   98,937 
          
Total expenses   3,533,040   2,927,222 
          
Net investment income (loss)   (3,224,160  (2,759,147
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   266,409,832   191,676,501 
Swap agreements   533,013,238   142,674,727 
Short-term U.S. government and agency obligations   (3,136  —   
          
Net realized gain (loss)   799,419,934   334,351,228 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   98,135,638   93,984,872 
Swap agreements   (192,213,567  (58,990,789
Short-term U.S. government and agency obligations   (586,058  41,573 
          
Change in net unrealized appreciation (depreciation)   (94,663,987  35,035,656 
          
Net realized and unrealized gain (loss)   704,755,947   369,386,884 
          
Net income (loss)
  $701,531,787  $366,627,737 
          
See accompanying notes to financial statements.
16
17

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $1,103,783,570  $902,739,250 
          
Addition of 2,150,000 and 2,350,000 shares, respectively   330,317,033   117,044,190 
Redemption of 6,150,000 and 6,450,000 shares, respectively   (798,651,705  (297,832,084
          
Net addition (redemption) of (4,000,000) and (4,100,000) shares, respectively   (468,334,672  (180,787,894
          
Net investment income (loss)   (3,224,160  (2,759,147
Net realized gain (loss)   799,419,934   334,351,228 
Change in net unrealized appreciation (depreciation)   (94,663,987  35,035,656 
          
Net income (loss)   701,531,787   366,627,737 
          
Shareholders’ equity, end of period
  $1,336,980,685  $1,088,579,093 
          
See accompanying notes to financial statements.
18

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITYCASH FLOWS
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $902,739,250  $309,844,582 
          
Addition of 2,350,000 and 10,680,000 shares, respectively
   117,044,190   1,058,330,164 
Redemption of 6,450,000 and 440,000 shares, respectively
   (297,832,084  (105,010,791
          
Net addition (redemption) of (4,100,000) and 10,240,000 shares, respectively
   (180,787,894  953,319,373 
          
Net investment income (loss)
   (2,759,147  404,884 
Net realized gain (loss)
   334,351,228   (505,553,797
Change in net unrealized appreciation (depreciation)
   35,035,656   (322,421,661
          
Net income (loss)
   366,627,737   (827,570,574
          
Shareholders’ equity, end of period
  $1,088,579,093  $435,593,381 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $701,531,787  $366,627,737 
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   (1,394,562,680  (934,851,425
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,226,992,801   465,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (312,402  (85,197
Net realized (gain) loss on investments   3,136   0   
Change in unrealized (appreciation) depreciation on investments   192,799,625   58,949,216 
Decrease (Increase) in receivable on open futures contracts   (187,616)  1,611,608 
Decrease (Increase) in interest receivable   3,522   (122,413
Increase (Decrease) in payable to Sponsor   375,565   260,388 
Increase (Decrease) in brokerage commissions and futures account fees payable   74,671   1,352 
Increase (Decrease) in payable on open futures contracts   12,321,787   25,300,245 
          
Net cash provided by (used in) operating activities   739,040,196   (17,308,489
          
Cash flow from financing activities
         
Proceeds from addition of shares   330,317,033   117,044,190 
Payment on shares redeemed   (783,468,195  (301,460,018
          
Net cash provided by (used in) financing activities   (453,151,162  (184,415,828
          
Net increase (decrease) in cash
   285,889,034   (201,724,317
Cash, beginning of period   217,287,389   667,259,596 
          
Cash, end of period  $503,176,423  $465,535,279 
          
See accompanying notes to financial statements.
1719

PROSHARES ULTRA BLOOMBERG CRUDE OILNATURAL GAS
STATEMENTS OF CASH FLOWSFINANCIAL CONDITION
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $366,627,737  $(827,570,574
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
   (934,851,425  (309,822,847
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   465,000,000   335,391,900 
Net amortization and accretion on short-term U.S. government and agency obligations
   (85,197  (983,931
Net realized gain (loss) on investments
   —     (37,469
Change in unrealized appreciation (depreciation) on investments
   58,949,216   248,707,943 
Decrease (Increase) in receivable on futures contracts
   1,611,608   (3,375,450
Decrease (Increase) in interest receivable
   (122,413  26,297 
Increase (Decrease) in payable to Sponsor
   260,388   366,309 
Increase (Decrease) in brokerage commissions and fees payable
   1,352   —   
Increase (Decrease) in payable on futures contracts
   25,300,245   25,747 
          
Net cash provided by (used in) operating activities
   (17,308,489  (557,272,075
          
Cash flow from financing activities
         
Proceeds from addition of shares
   117,044,190   972,270,720 
Payment on shares redeemed
   (301,460,018  (105,010,791
          
Net cash provided by (used in) financing activities
   (184,415,828  867,259,929 
          
Net increase (decrease) in cash
   (201,724,317  309,987,854 
Cash, beginning of period
   667,259,596   88,315,563 
          
Cash, end of period
  $465,535,279  $398,303,417 
          
         
   
March 31, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $95,926,918 and $90,936,719, respectively)  $95,749,617   $90,922,438 
Cash   20,472,226    6,846,634 
Segregated cash balances with brokers for futures contracts   24,424,860    47,289,091 
Receivable from capital shares sold   —      20,448,741 
Receivable on open futures contracts   13,001,650    33,998,620 
Interest receivable   —      1,130 
           
Total assets   153,648,353    199,506,654 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   8,420,202    —   
Payable on open futures contracts   —      5,403,658 
Brokerage commissions and futures account fees payable   23,412    63,628 
Payable to Sponsor   135,253    147,190 
           
Total liabilities   8,578,867    5,614,476 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   145,069,486    193,892,178 
           
Total liabilities and shareholders’ equity  $153,648,353   $199,506,654 
           
Shares outstanding   2,587,527    7,587,527 
           
Net asset value per share  $56.06   $25.55 
           
Market value per share (Note 2)  $56.31   $26.09 
           
See accompanying notes to financial statements.
18
20

PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
STATEMENTS OF FINANCIAL CONDITION(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(66% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.106% due 04/21/22  $40,000,000   $39,996,668 
0.393% due 07/21/22   24,000,000    23,947,829 
0.223% due 11/03/22   32,000,000    31,805,120 
           
Total short-term U.S. government and agency obligations
(cost $95,926,918)
       $95,749,617 
           
Futures Contracts Purchased
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2022   5,149   $290,506,580   $76,824,603 
 
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $33,996,891 and $29,999,585, respectively)
  $33,999,110   $29,999,889 
Cash
   31,161,434    92,972,312 
Segregated cash balances with brokers for futures contracts
   13,254,222    44,320,410 
Receivable on open futures contracts
   —      13,775,851 
Interest receivable
   768    4,326 
           
Total assets
   78,415,534    181,072,788 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   3,233,023    11,132,546 
Payable on open futures contracts
   798,217    —   
Brokerage commissions and fees payable
   13,490    —   
Payable to Sponsor
   63,318    139,455 
Non-recurring
fees and expenses payable
   416    416 
           
Total liabilities
   4,108,464    11,272,417 
           
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   74,307,070    169,800,371 
           
Total liabilities and shareholders’ equity
  $78,415,534   $181,072,788 
           
Shares outstanding (Note 1)
   3,487,527    8,087,527 
           
Net asset value per share (Note 1)
  $21.31   $21.00 
           
Market value per share (Note 1) (Note 2)
  $21.20   $21.07 
           
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
19
21

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $39,581  $13,815 
          
Expenses
         
Management fee   396,610   254,815 
Brokerage commissions   88,452   92,297 
Futures accounts fees   71,117   81,848 
          
Total expenses   556,179   428,960 
          
Net investment income (loss)   (516,598  (415,145
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   76,220,688   41,582,385 
Short-term U.S. government and agency obligations   (3,452  551 
          
Net realized gain (loss)   76,217,236   41,582,936 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   85,030,764   (17,800,783
Short-term U.S. government and agency obligations   (163,020  1,915 
          
Change in net unrealized appreciation (depreciation)   84,867,744   (17,798,868
          
Net realized and unrealized gain (loss)   161,084,980   23,784,068 
          
Net income (loss)
  $160,568,382  $23,368,923 
          
See accompanying notes to financial statements.
22

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULESTATEMENTS OF INVESTMENTSCHANGES IN SHAREHOLDERS’ EQUITY
MARCH 31, 2021
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(46% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.041% due 04/15/21
  $3,000,000   $2,999,983 
0.076% due 05/20/21
   25,000,000    24,999,320 
0.040% due 06/17/21
   6,000,000    5,999,807 
           
Total short-term U.S. government and agency obligations
          
(cost $33,996,891)
       $33,999,110 
           
Futures Contracts Purchased
               
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2021
   5,698   $148,603,840   $(11,300,062
^^
Rates shown represent discount rate at the time of purchase.
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $193,892,178  $169,800,371 
          
Addition of 2,600,000 and 3,400,000 shares, respectively   87,880,355   76,480,823 
Redemption of 7,600,000 and 8,000,000 shares, respectively   (297,271,429  (195,343,047
          
Net addition (redemption) of (5,000,000) and (4,600,000) shares, respectively   (209,391,074  (118,862,224
          
Net investment income (loss)   (516,598  (415,145
Net realized gain (loss)   76,217,236   41,582,936 
Change in net unrealized appreciation (depreciation)   84,867,744   (17,798,868
          
Net income (loss)   160,568,382   23,368,923 
          
Shareholders’ equity, end of period
  $145,069,486  $74,307,070 
          
See accompanying notes to financial statements.
20
23

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONSCASH FLOWS
(unaudited)
 
         
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $13,815  $139,339 
   
 
 
  
 
 
 
Expenses
         
Management fee
   254,815   97,108 
Brokerage commissions
   92,297   44,582 
Brokerage fees
   81,848   —   
   
 
 
  
 
 
 
Total expenses
   428,960   141,690 
   
 
 
  
 
 
 
Net investment income (loss)
   (415,145  (2,351
   
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   41,582,385   (22,819,605
Short-term U.S. government and agency obligations
   551   1,054 
   
 
 
  
 
 
 
Net realized gain (loss)
   41,582,936   (22,818,551
   
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   (17,800,783  (4,466,823
Short-term U.S. government and agency obligations
   1,915   29,786 
   
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (17,798,868  (4,437,037
   
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   23,784,068   (27,255,588
   
 
 
  
 
 
 
Net income (loss)
  $23,368,923  $(27,257,939
   
 
 
  
 
 
 
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $160,568,382  $23,368,923 
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   (135,944,242  (88,986,855
Proceeds from sales or maturities of short-term U.S. government and agency obligations   130,991,301   84,999,676 
Net amortization and accretion on short-term U.S. government and agency obligations   (40,710  (9,576
Net realized (gain) loss on investments   3,452   (551
Change in unrealized (appreciation) depreciation on investments   163,020   (1,915
Decrease (Increase) in receivable on open futures contracts   20,996,970   13,775,851 
Decrease (Increase) in interest receivable   1,130   3,558 
Increase (Decrease) in payable to Sponsor   (11,937  (76,137
Increase (Decrease) in brokerage commissions and futures account fees payable   (40,216  13,490 
Increase (Decrease) in payable on open futures contracts   (5,403,658  798,217 
          
Net cash provided by (used in) operating activities   171,283,492   33,884,681 
          
Cash flow from financing activities
         
Proceeds from addition of shares   108,329,096   76,480,823 
Payment on shares redeemed   (288,851,227  (203,242,570
          
Net cash provided by (used in) financing activities   (180,522,131  (126,761,747
          
Net increase (decrease) in cash
   (9,238,639)  (92,877,066
Cash, beginning of period   54,135,725   137,292,722 
          
Cash, end of period  $44,897,086  $44,415,656 
          
See accompanying notes to financial statements.
21
24

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GASEURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITYFINANCIAL CONDITION
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $169,800,371  $45,160,205 
          
Addition of 3,400,000 and 225,000 shares, respectively
   76,480,823   15,680,240 
Redemption of 8,000,000 and 125,000 shares, respectively
   (195,343,047  (6,910,889
          
Net addition (redemption) of (4,600,000) and 100,000 shares, respectively
   (118,862,224  8,769,351 
          
Net investment income (loss)
   (415,145  (2,351
Net realized gain (loss)
   41,582,936   (22,818,551
Change in net unrealized appreciation (depreciation)
   (17,798,868  (4,437,037
          
Net income (loss)
   23,368,923   (27,257,939
          
Shareholders’ equity, end of period
  $74,307,070  $26,671,617 
          
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $4,690,961 and $998,130, respectively)  $4,685,054   $997,678 
Cash   1,608,252    6,891,458 
Segregated cash balances with brokers for foreign currency forward contracts   —      691,000 
Unrealized appreciation on foreign currency forward contracts   —      84,150 
Interest receivable   —      153 
           
Total assets   6,293,306    8,664,439 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   6,006    3,846 
Unrealized depreciation on foreign currency forward contracts   50,318    1,498 
           
Total liabilities   56,324    5,344 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   6,236,982    8,659,095 
           
Total liabilities and shareholders’ equity  $6,293,306   $8,664,439 
           
Shares outstanding   500,000    650,000 
           
Net asset value per share  $12.47   $13.32 
           
Market value per share (Note 2)  $12.46   $13.33 
           
See accompanying notes to financial statements.
2225

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $23,368,923  $(27,257,939
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
   (88,986,855  (24,903,944
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   84,999,676   36,564,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (9,576  (96,553
Net realized gain (loss) on investments
   (551  (1,054
Change in unrealized appreciation (depreciation) on investments
   (1,915  (29,786
Decrease (Increase) in receivable on futures contracts
   13,775,851   37,024 
Decrease (Increase) in interest receivable
   3,558   6,493 
Increase (Decrease) in payable to Sponsor
   (76,137  23,126 
Increase (Decrease) in brokerage commissions and fees payable
   13,490   —   
Increase (Decrease) in payable on futures contracts
   798,217   1,533,810 
          
Net cash provided by (used in) operating activities
   33,884,681   (14,124,823
          
Cash flow from financing activities
         
Proceeds from addition of shares
   76,480,823   15,680,240 
Payment on shares redeemed
   (203,242,570  (6,910,889
          
Net cash provided by (used in) financing activities
   (126,761,747  8,769,351 
          
Net increase (decrease) in cash
   (92,877,066  (5,355,472
Cash, beginning of period
   137,292,722   17,619,062 
          
Cash, end of period
  $44,415,656  $12,263,590 
          
See accompanying notes to financial statements.
23

PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,885 and $–, respectively)
  $999,973   $—   
Cash
   2,230,111    4,045,092 
Segregated cash balances with brokers for foreign currency forward contracts
   607,000    607,000 
Unrealized appreciation on foreign currency forward contracts
   4,330    89,103 
Interest receivable
   70    162 
           
Total assets
   3,841,484    4,741,357 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   3,011    3,625 
Unrealized depreciation on foreign currency forward contracts
   226,734    367 
Non-recurring
fees and expenses payable
   15    15 
           
Total liabilities
   229,760    4,007 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   3,611,724    4,737,350 
           
Total liabilities and shareholders’ equity
  $3,841,484   $4,741,357 
           
Shares outstanding
   250,000    300,000 
           
Net asset value per share
  $14.45   $15.79 
           
Market value per share (Note 2)
  $14.47   $15.81 
           
See accompanying notes to financial statements.
24

PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(75% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22  $4,000,000   $3,991,305 
0.554% due 11/03/22
   698,000    693,749 
           
Total short-term U.S. government and agency obligations
(cost $4,690,961)
       $4,685,054 
           
Foreign Currency Forward Contracts
^
(unaudited)
                 
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                  
Euro with Goldman Sachs International   04/08/22    4,422,921  $4,893,608  $(7,961
Euro with UBS AG   04/08/22    11,991,502   13,267,638   (31,928
                   
             Total Unrealized
Depreciation
 
 
 $(39,889
                   
Contracts to Sell
                  
Euro with UBS AG   04/08/22    (5,127,000 $(5,672,615 $(10,429
                   
             Total Unrealized
Depreciation
   $(10,429
                   
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(28% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.086% due 05/20/21
  $1,000,000   $999,973 
           
Total short-term U.S. government and agency obligations
          
(cost $999,885)
       $999,973 
           
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
   04/09/21    2,210,921  $2,592,686  $(78,549
Euro with UBS AG
   04/09/21    4,249,502   4,983,274   (148,185
                   
          Total Unrealized
Depreciation
  $(226,734) 
                   
Contracts to Sell
                  
Euro with UBS AG
   04/09/21    (276,000 $(323,658 $4,330 
                   
          Total Unrealized
Appreciation
  $4,330 
                   
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of March 31, 2021.2022. 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
26

PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
         
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $584  $15,801 
   
 
 
  
 
 
 
Expenses
         
Management fee
   10,078   12,554 
   
 
 
  
 
 
 
Total expenses
   10,078   12,554 
   
 
 
  
 
 
 
Net investment income (loss)
   (9,494  3,247 
   
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts
   (27,342  (53,268
   
 
 
  
 
 
 
Net realized gain (loss)
   (27,342  (53,268
   
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts
   (311,140  (221,334
Short-term U.S. government and agency obligations
   88   (208
   
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (311,052  (221,542
   
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (338,394  (274,810
   
 
 
  
 
 
 
Net income (loss)
  $(347,888 $(271,563
   
 
 
  
 
 
 
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $4,587  $584 
          
Expenses
         
Management fee   20,278   10,078 
          
Total expenses   20,278   10,078 
          
Net investment income (loss)   (15,691  (9,494
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   (441,030  (27,342
Short-term U.S. government and agency obligations   (5,949  —   
          
Net realized gain (loss)   (446,979  (27,342
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   (132,970  (311,140
Short-term U.S. government and agency obligations   (5,455  88 
          
Change in net unrealized appreciation (depreciation)   (138,425  (311,052
          
Net realized and unrealized gain (loss)   (585,404  (338,394
          
Net income (loss)
  $(601,095 $(347,888
          
See accompanying notes to financial statements.
26
27

PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $4,737,350  $6,204,424 
          
Addition of – and 50,000 shares, respectively
   —     669,855 
Redemption of 50,000 and 200,000 shares, respectively
   (777,738  (2,653,574
          
Net addition (redemption) of (50,000) and (150,000) shares, respectively
   (777,738  (1,983,719
          
Net investment income (loss)
   (9,494  3,247 
Net realized gain (loss)
   (27,342  (53,268
Change in net unrealized appreciation (depreciation)
   (311,052  (221,542
          
Net income (loss)
   (347,888  (271,563
          
Shareholders’ equity, end of period
  $3,611,724  $3,949,142 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $8,659,095  $4,737,350 
          
Addition of 100,000 and – shares, respectively   1,316,267   0   
Redemption of 250,000 and 50,000 shares, respectively   (3,137,285  (777,738
          
Net addition (redemption) of (150,000) and (50,000) shares, respectively   (1,821,018  (777,738
          
Net investment income (loss)   (15,691  (9,494
Net realized gain (loss)   (446,979  (27,342
Change in net unrealized appreciation (depreciation)   (138,425  (311,052
          
Net income (loss)   (601,095  (347,888
          
Shareholders’ equity, end of period
  $6,236,982  $3,611,724 
          
See accompanying notes to financial statements.
27
28

PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(347,888 $(271,563
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  (1,395,795
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,000,000   5,375,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (323  (9,001
Change in unrealized appreciation (depreciation) on investments
   311,052   221,542 
Decrease (Increase) in interest receivable
   92   (485
Increase (Decrease) in payable to Sponsor
   (614  2,766 
          
Net cash provided by (used in) operating activities
   (1,037,243  3,922,464 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   —     669,855 
Payment on shares redeemed
   (777,738  (1,995,276
          
Net cash provided by (used in) financing activities
   (777,738  (1,325,421
          
Net increase (decrease) in cash
   (1,814,981  2,597,043 
Cash, beginning of period
   4,652,092   2,127,437 
          
Cash, end of period
  $2,837,111  $4,724,480 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(601,095 $(347,888
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (5,984,289  (1,999,562
Proceeds from sales or maturities of short-term U.S. government and agency obligations   2,290,249   1,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,740  (323
Net realized (gain) loss on investments   5,949   —   
Change in unrealized (appreciation) depreciation on investments   138,425   311,052 
Decrease (Increase) in interest receivable   153   92 
Increase (Decrease) in payable to Sponsor   2,160   (614
          
Net cash provided by (used in) operating activities   (4,153,188  (1,037,243
          
Cash flow from financing activities
         
Proceeds from addition of shares   1,316,267   —   
Payment on shares redeemed   (3,137,285  (777,738
          
Net cash provided by (used in) financing activities   (1,821,018  (777,738
          
Net increase (decrease) in cash
   (5,974,206  (1,814,981
Cash, beginning of period   7,582,458   4,652,092 
          
Cash, end of period  $1,608,252  $2,837,111 
          
See accompanying notes to financial statements.
28
29

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $86,995,913 and $74,998,283, respectively)
  $86,998,893   $74,999,467 
Cash
   95,364,405    164,381,859 
Segregated cash balances with brokers for futures contracts
   8,360,001    11,581,250 
Segregated cash balances with brokers for swap agreements
   16,243,000    7,489,000 
Unrealized appreciation on swap agreements
   6,160,430    5,140,980 
Receivable on open futures contracts
   1,605,224    148,784 
Interest receivable
   2,345    6,531 
           
Total assets
   214,734,298    263,747,871 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Brokerage commissions and fees payable
   9,172    —   
Payable to Sponsor
   176,066    206,394 
Non-recurring
fees and expenses payable
   1,004    1,004 
           
Total liabilities
   186,242    207,398 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   214,548,056    263,540,473 
           
Total liabilities and shareholders’ equity
  $214,734,298   $263,747,871 
           
Shares outstanding
   3,950,000    3,900,000 
           
Net asset value per share
  $54.32   $67.57 
           
Market value per share (Note 2)
  $53.91   $68.20 
           
         
   
March 31, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $298,652,557 and $207,964,168, respectively)  $298,473,849   $207,956,320 
Cash   37,818,466    9,328,332 
Segregated cash balances with brokers for futures contracts   13,525,200    6,093,750 
Segregated cash balances with brokers for swap agreements   11,048,000    —   
Unrealized appreciation on swap agreements   —      8,639,188 
Receivable on open futures contracts   2,562,814    944,644 
Interest receivable   —      690 
           
Total assets   363,428,329    232,962,924 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Brokerage commissions and futures account fees payable   10,530    4,034 
Payable to Sponsor   277,421    178,356 
Unrealized depreciation on swap agreements   8,110,556    —   
           
Total liabilities   8,398,507    182,390 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   355,029,822    232,780,534 
           
Total liabilities and shareholders’ equity  $363,428,329   $232,962,924 
           
Shares outstanding   5,300,000    3,900,000 
           
Net asset value per share  $66.99   $59.69 
           
Market value per share (Note 2)  $66.14   $59.81 
           
See accompanying notes to financial statements.
2930

PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(41% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.069% due 04/15/21
  $60,000,000   $59,999,651 
0.070% due 05/20/21
   22,000,000    21,999,402 
0.037% due 06/17/21
   5,000,000    4,999,840 
           
Total short-term U.S. government and agency obligations
(cost $86,995,913)
       $86,998,893 
           
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(84% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.021% due 04/21/22  $50,000,000   $49,995,835 
0.209% due 05/19/22
   25,000,000    24,991,332 
0.363% due 06/16/22
   90,000,000    89,917,353 
0.393% due 07/21/22
   45,000,000    44,902,179 
0.706% due 08/18/22
   75,000,000    74,752,410 
0.223% due 11/03/22
   14,000,000    13,914,740 
           
Total short-term U.S. government and agency obligations
(cost $298,652,557)
       $298,473,849 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires June 2021
   722   $123,866,320   $393,125 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires June 2022   1,871   $365,593,400   $(7,245,013
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  04/06/21   $105,063,244   $2,121,049 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25   04/06/21    90,791,674    1,832,931 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25   04/06/21    109,293,502    2,206,450 
                    
             Total Unrealized
Appreciation
 
 
  $6,160,430 
                    
                 
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25  04/06/22   $118,728,333   $(2,792,482
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.25   04/06/22    102,600,526    (2,413,156
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25   04/06/22    123,508,801    (2,904,918
                    
             Total Unrealized
Depreciation
    $(8,110,556
                    
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2021.2022. 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 March 31, 2021,2022, 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
31

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $35,827  $414,684 
          
Expenses
         
Management fee
   568,207   295,411 
Brokerage commissions
   14,888   10,365 
Brokerage fees
   32,402   —   
          
Total expenses
   615,497   305,776 
          
Net investment income (loss)
   (579,670  108,908 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (16,805,897  (68,161
Swap agreements
   (34,442,235  21,566,217 
Short-term U.S. government and agency obligations
   245   —   
          
Net realized gain (loss)
   (51,247,887  21,498,056 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   (2,253,749  (3,638,236
Swap agreements
   1,019,450   (15,515,060
Short-term U.S. government and agency obligations
   1,796   55,936 
          
Change in net unrealized appreciation (depreciation)
   (1,232,503  (19,097,360
          
Net realized and unrealized gain (loss)
   (52,480,390  2,400,696 
          
Net income (loss)
  $(53,060,060 $2,509,604 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $95,113  $35,827 
          
Expenses
         
Management fee   671,415   568,207 
Brokerage commissions   21,659   14,888 
Futures accounts fees   19,505   32,402 
          
Total expenses   712,579   615,497 
          
Net investment income (loss)   (617,466  (579,670
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   20,190,020   (16,805,897
Swap agreements   37,628,576   (34,442,235
Short-term U.S. government and agency obligations   —     245 
          
Net realized gain (loss)   57,818,596   (51,247,887
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (7,899,907  (2,253,749
Swap agreements   (16,749,744  1,019,450 
Short-term U.S. government and agency obligations   (170,860  1,796 
          
Change in net unrealized appreciation (depreciation)   (24,820,511  (1,232,503
          
Net realized and unrealized gain (loss)   32,998,085   (52,480,390
          
Net income (loss)
  $32,380,619  $(53,060,060
          
See accompanying notes to financial statements.
31
32

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $263,540,473  $110,726,032 
          
Addition of 600,000 and 1,150,000 shares, respectively
   37,062,261   64,993,775 
Redemption of 550,000 and 950,000 shares, respectively
   (32,994,618  (49,747,615
          
Net addition (redemption) of 50,000 and 200,000 shares, respectively
   4,067,643   15,246,160 
          
Net investment income (loss)
   (579,670  108,908 
Net realized gain (loss)
   (51,247,887  21,498,056 
Change in net unrealized appreciation (depreciation)
   (1,232,503  (19,097,360
          
Net income (loss)
   (53,060,060  2,509,604 
          
Shareholders’ equity, end of period
  $214,548,056  $128,481,796 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $232,780,534  $263,540,473 
          
Addition of 1,500,000 and 600,000 shares, respectively   95,684,676   37,062,261 
Redemption of 100,000 and 550,000 shares, respectively   (5,816,007  (32,994,618
          
Net addition (redemption) of 1,400,000 and 50,000 shares, respectively   89,868,669   4,067,643 
          
Net investment income (loss)   (617,466  (579,670
Net realized gain (loss)   57,818,596   (51,247,887
Change in net unrealized appreciation (depreciation)   (24,820,511  (1,232,503
          
Net income (loss)   32,380,619   (53,060,060
          
Shareholders’ equity, end of period
  $355,029,822  $214,548,056 
          
See accompanying notes to financial statements.
32
33

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(53,060,060 $2,509,604 
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
   (206,969,781  (60,782,344
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   194,999,771   96,257,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (27,375  (236,284
Net realized gain (loss) on investments
   (245  —   
Change in unrealized appreciation (depreciation) on investments
   (1,021,246  15,459,124 
Decrease (Increase) in receivable on futures contracts
   (1,456,440  170,073 
Decrease (Increase) in interest receivable
   4,186   (8,574
Increase (Decrease) in payable to Sponsor
   (30,328  117,996 
Increase (Decrease) in brokerage commissions and fees payable
   9,172   —   
Increase (Decrease) in payable on futures contracts
   —     1,978,828 
          
Net cash provided by (used in) operating activities
   (67,552,346  55,465,423 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   37,062,261   64,993,775 
Payment on shares redeemed
   (32,994,618  (49,747,615
          
Net cash provided by (used in) financing activities
   4,067,643   15,246,160 
          
Net increase (decrease) in cash
   (63,484,703  70,711,583 
Cash, beginning of period
   183,452,109   38,526,723 
          
Cash, end of period
  $119,967,406  $109,238,306 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $32,380,619  $(53,060,060
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   (439,592,586  (206,969,781
Proceeds from sales or maturities of short-term U.S. government and agency obligations   349,000,000   194,999,771 
Net amortization and accretion on short-term U.S. government and agency obligations   (95,803  (27,375
Net realized (gain) loss on investments   —     (245
Change in unrealized (appreciation) depreciation on investments   16,920,604   (1,021,246
Decrease (Increase) in receivable on open futures contracts   (1,618,170  (1,456,440
Decrease (Increase) in interest receivable   690   4,186 
Increase (Decrease) in payable to Sponsor   99,065   (30,328
Increase (Decrease) in brokerage commissions and futures account fees payable   6,496   9,172 
          
Net cash provided by (used in) operating activities   (42,899,085  (67,552,346
          
Cash flow from financing activities
         
Proceeds from addition of shares   95,684,676   37,062,261 
Payment on shares redeemed   (5,816,007  (32,994,618
          
Net cash provided by (used in) financing activities   89,868,669   4,067,643 
          
Net increase (decrease) in cash
   46,969,584   (63,484,703
Cash, beginning of period   15,422,082   183,452,109 
          
Cash, end of period  $62,391,666  $119,967,406 
          
See accompanying notes to financial statements.
33
34

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $419,957,178 and $244,987,251, respectively)
  $419,985,837   $244,993,989 
Cash
   94,849,379    301,951,458 
Segregated cash balances with brokers for futures contracts
   32,096,625    66,062,502 
Segregated cash balances with brokers for swap agreements
   51,110,000    78,388,000 
Unrealized appreciation on swap agreements
   —      56,752,666 
Receivable from capital shares sold
   4,134,427    —   
Receivable on open futures contracts
   1,465,450    —   
Interest receivable
   4,633    10,698 
           
Total assets
   603,646,351    748,159,313 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   2,165,523    2,312,939 
Brokerage commissions and fees payable
   45,354    —   
Payable to Sponsor
   510,862    539,986 
Unrealized depreciation on swap agreements
   28,421,003    —   
Non-recurring
fees and expenses payable
   2,360    2,360 
           
Total liabilities
   31,145,102    2,855,285 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   572,501,249    745,304,028 
           
Total liabilities and shareholders’ equity
  $603,646,351   $748,159,313 
           
Shares outstanding
   13,846,526    14,696,526 
           
Net asset value per share
  $41.35   $50.71 
           
Market value per share (Note 2)
  $41.10   $51.28 
           
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $465,593,363 and $451,896,236, respectively)  $465,290,460   $451,872,982 
Cash   22,418,785    10,985,565 
Segregated cash balances with brokers for futures contracts   13,190,750    14,502,938 
Segregated cash balances with brokers for swap agreements   81,624,040    —   
Unrealized appreciation on swap agreements   0      40,591,699 
Receivable on open futures contracts   174,600    1,384,919 
Interest receivable   0      1,582 
           
Total assets   582,698,635    519,339,685 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   0      3,483,770 
Brokerage commissions and futures account fees payable   9,893    9,833 
Payable to Sponsor   462,171    392,488 
Unrealized depreciation on swap agreements   23,850,730    —   
           
Total liabilities   24,322,794    3,886,091 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   558,375,841    515,453,594 
           
Total liabilities and shareholders’ equity  $582,698,635   $519,339,685 
           
Shares outstanding   14,296,526    14,796,526 
           
Net asset value per share  $39.06   $34.84 
           
Market value per share (Note 2)  $38.53   $34.74 
           
See accompanying notes to financial statements.
3435

PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(73% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.062% due 04/15/21
  $80,000,000   $79,999,536 
0.051% due 05/20/21
   100,000,000    99,997,280 
0.057% due 06/17/21
   115,000,000    114,996,309 
0.056% due 07/15/21
   125,000,000    124,992,712 
           
Total short-term U.S. government and agency obligations
(cost $419,957,178)
       $419,985,837 
           
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(83% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22†  $75,000,000   $74,993,752 
0.209% due 05/19/22†   150,000,000    149,947,995 
0.351% due 06/16/22†   100,000,000    99,908,170 
0.393% due 07/21/22†   23,000,000    22,950,003 
0.706% due 08/18/22†   75,000,000    74,752,410 
0.223% due 11/03/22†   43,000,000    42,738,130 
           
Total short-term U.S. government and agency obligations
(cost $465,593,363)
       $465,290,460 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2021
   1,667   $204,474,220   $(15,401,821
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2022   1,351   $169,773,415   $9,192,378 
Total Return Swap Agreements
^
 
        
              
  
Rate Paid

(Received)*
 
Termination

Date
   
Notional Amount

at Value**
   
Unrealized

Appreciation

(Depreciation)/Value
   
Rate Paid

(Received)
*
 
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25  04/06/21   $291,359,450   $(8,800,436   0.25  04/06/22   $237,998,246   $(7,141,286
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.30   04/06/21    218,805,087    (6,616,052   0.30   04/06/22    249,395,557    (5,875,157
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   04/06/21    228,795,897    (6,918,147   0.30   04/06/22    232,374,365    (5,474,180
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   04/06/21    201,503,724    (6,086,368   0.25   04/06/22    227,857,585    (5,360,107
                      
        Total Unrealized
Depreciation
 
 
  $(28,421,003      Total Unrealized
Depreciation
    $(23,850,730
                      
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2021.2022. 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 March 31, 2021,2022, 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
36

PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $98,129  $776,287 
          
Expenses
         
Management fee
   1,631,135   481,247 
Brokerage commissions
   46,582   18,208 
Brokerage fees
   162,187   —   
          
Total expenses
   1,839,904   499,455 
          
Net investment income (loss)
   (1,741,775  276,832 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   6,896,270   (9,641,976
Swap agreements
   (1,985,719  5,944,322 
Short-term U.S. government and agency obligations
   191   —   
          
Net realized gain (loss)
   4,910,742   (3,697,654
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   (52,592,033  (4,249,586
Swap agreements
   (85,173,669  (80,923,026
Short-term U.S. government and agency obligations
   21,921   110,781 
          
Change in net unrealized appreciation (depreciation)
   (137,743,781  (85,061,831
          
Net realized and unrealized gain (loss)
   (132,833,039  (88,759,485
          
Net income (loss)
  $(134,574,814 $(88,482,653
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $140,449  $98,129 
          
Expenses
         
Management fee   1,217,599   1,631,135 
Brokerage commissions   30,551   46,582 
Futures accounts fees   20,505   162,187 
          
Total expenses   1,268,655   1,839,904 
          
Net investment income (loss)   (1,128,206  (1,741,775
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (5,744,962  6,896,270 
Swap agreements   122,381,989   (1,985,719
Short-term U.S. government and agency obligations   10   191 
          
Net realized gain (loss)   116,637,037   4,910,742 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   6,685,833   (52,592,033
Swap agreements   (64,442,429  (85,173,669
Short-term U.S. government and agency obligations   (279,649  21,921 
          
Change in net unrealized appreciation (depreciation)   (58,036,245  (137,743,781
          
Net realized and unrealized gain (loss)   58,600,792   (132,833,039
          
Net income (loss)
  $57,472,586  $(134,574,814
          
See accompanying notes to financial statements.
36
37

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $745,304,028  $239,254,842 
          
Addition of 2,400,000 and 750,000 shares, respectively
   120,399,635   14,162,113 
Redemption of 3,250,000 and 1,250,000 shares, respectively
   (158,627,600  (35,148,766
          
Net addition (redemption) of (850,000) and (500,000) shares, respectively
   (38,227,965  (20,986,653
          
Net investment income (loss)
   (1,741,775  276,832 
Net realized gain (loss)
   4,910,742   (3,697,654
Change in net unrealized appreciation (depreciation)
   (137,743,781  (85,061,831
          
Net income (loss)
   (134,574,814  (88,482,653
          
Shareholders’ equity, end of period
  $572,501,249  $129,785,536 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $515,453,594  $745,304,028 
          
Addition of 1,000,000 and 2,400,000 shares, respectively   39,033,941   120,399,635 
Redemption of 1,500,000 and 3,250,000 shares, respectively   (53,584,280  (158,627,600
          
Net addition (redemption) of (500,000) and (850,000) shares, respectively   (14,550,339  (38,227,965
          
Net investment income (loss)   (1,128,206  (1,741,775
Net realized gain (loss)   116,637,037   4,910,742 
Change in net unrealized appreciation (depreciation)   (58,036,245  (137,743,781
          
Net income (loss)   57,472,586   (134,574,814
          
Shareholders’ equity, end of period
  $558,375,841  $572,501,249 
          
See accompanying notes to financial statements.
37
38

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(134,574,814 $(88,482,653
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
   (684,892,324  (113,569,175
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   509,999,794   188,705,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (77,206  (472,102
Net realized gain (loss) on investments
   (191  —   
Change in unrealized appreciation (depreciation) on investments
   85,151,748   80,812,245 
Decrease (Increase) in receivable on futures contracts
   (1,465,450  (51,960
Decrease (Increase) in interest receivable
   6,065   33,357 
Increase (Decrease) in payable to Sponsor
   (29,124  116,819 
Increase (Decrease) in brokerage commissions and fees payable
   45,354   —   
Increase (Decrease) in payable on futures contracts
   (147,416  91,879 
          
Net cash provided by (used in) operating activities
   (225,983,564  67,183,410 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   116,265,208   12,321,941 
Payment on shares redeemed
   (158,627,600  (35,148,766
          
Net cash provided by (used in) financing activities
   (42,362,392  (22,826,825
          
Net increase (decrease) in cash
   (268,345,956  44,356,585 
Cash, beginning of period
   446,401,960   79,058,662 
          
Cash, end of period
  $178,056,004  $123,415,247 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $57,472,586  $(134,574,814
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   (555,554,828  (684,892,324
Proceeds from sales or maturities of short-term U.S. government and agency obligations   541,999,742   509,999,794 
Net amortization and accretion on short-term U.S. government and agency obligations   (142,031  (77,206
Net realized (gain) loss on investments   (10  (191
Change in unrealized (appreciation) depreciation on investments   64,722,078   85,151,748 
Decrease (Increase) in receivable on open futures contracts   1,210,319   (1,465,450
Decrease (Increase) in interest receivable   1,582   6,065 
Increase (Decrease) in payable to Sponsor   69,683   (29,124
Increase (Decrease) in brokerage commissions and futures account fees payable   60   45,354 
Increase (Decrease) in payable on open futures contracts   —     (147,416
          
Net cash provided by (used in) operating activities   109,779,181   (225,983,564
          
Cash flow from financing activities
         
Proceeds from addition of shares   39,033,941   116,265,208 
Payment on shares redeemed  ��(57,068,050  (158,627,600
          
Net cash provided by (used in) financing activities   (18,034,109  (42,362,392
          
Net increase (decrease) in cash
   91,745,072   (268,345,956
Cash, beginning of period   25,488,503   446,401,960 
          
Cash, end of period  $117,233,575  $178,056,004 
          
See accompanying notes to financial statements.
38
39

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $193,806,309 and $221,725,609, respectively)  $193,118,875   $221,660,593 
Cash   70,665,485    108,688,034 
Segregated cash balances with brokers for futures contracts   490,761,445    463,432,845 
Receivable from capital shares sold   15,544,945    —   
Securities sold receivabl
e

  
6,195,418
   
0  
 
Receivable on open futures contracts   352,266,772    33,597,688 
Interest receivable   0      5,060 
           
Total assets   1,128,552,940    827,384,220 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   0      9,447,456 
Brokerage commissions and futures account fees payable   234,366    167,855 
Payable to Sponsor   709,933    611,836 
Unrealized depreciation on swap agreements   0      477,437 
           
Total liabilities   944,299    10,704,584 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   1,127,608,641    816,679,636 
           
Total liabilities and shareholders’ equity  $1,128,552,940   $827,384,220 
           
Shares outstanding (Note 1)   83,528,420    65,828,420 
           
Net asset value per share (Note 1)  $13.50   $12.41 
           
Market value per share (Note 1) (Note 2)  $13.46   $12.43 
           
See accompanying notes to financial statements.
40

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
STATEMENTS OF FINANCIAL CONDITION
MARCH 31, 2022
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(17% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $50,000,000   $49,995,835 
0.223% due 11/03/22   144,000,000    143,123,040 
           
Total short-term U.S. government and agency obligations
(cost $193,806,309)
       $193,118,875 
           
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $376,960,550 and $244,990,791, respectively)
  $376,985,173   $244,995,969 
Cash
   53,272,722    181,991,996 
Segregated cash balances with brokers for futures contracts
   782,757,661    879,704,000 
Segregated cash balances with brokers for swap agreements
   85,756,000    7,976,000 
Receivable from capital shares sold
   —      49,086,388 
Receivable on open futures contracts
   39,317,506    16,422,512 
Interest receivable
   6,631    7,054 
           
Total assets
   1,338,095,693    1,380,183,919 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   12,652,068    22,424,475 
Brokerage commissions and fees payable
   734,787    485,039 
Payable to Sponsor
   1,352,907    1,040,582 
Unrealized depreciation on swap agreements
   —      24,807 
Securities purchased payable
   38,977,944    —   
Non-recurring
fees and expenses payable
   4,817    4,817 
           
Total liabilities
   53,722,523    23,979,720 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   1,284,373,170    1,356,204,199 
           
Total liabilities and shareholders’ equity
  $1,338,095,693   $1,380,183,919 
           
Shares outstanding
   228,030,912    127,130,912 
           
Net asset value per share
  $5.63   $10.67 
           
Market value per share (Note 2)
  $5.65   $10.65 
           
             
Futures Contracts Purchased
 
               
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2022   33,482   $785,789,058   $(144,097,149
VIX Futures - Cboe, expires May 2022   36,263    906,128,965    (17,115,511
                
             $(161,212,660
                
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
39
41

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

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $95,261  $113,969 
          
Expenses
         
Management fee   1,961,177   4,383,077 
Brokerage commissions   936,758   1,956,628 
Futures accounts fees   782,688   1,843,813 
          
Total expenses   3,680,623   8,183,518 
          
Net investment income (loss)   (3,585,362  (8,069,549
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   258,438,098   (653,063,682
Swap agreements   22,556,586   (51,454,342
Short-term U.S. government and agency obligations   (15,153  18,520 
          
Net realized gain (loss)   280,979,531   (704,499,504
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (34,855,903  (284,403,583
Swap agreements   477,437   24,807 
Short-term U.S. government and agency obligations   (622,418  19,445 
          
Change in net unrealized appreciation (depreciation)   (35,000,884  (284,359,331
          
Net realized and unrealized gain (loss)   245,978,647   (988,858,835
          
Net income (loss)
  $242,393,285  $(996,928,384
          
See accompanying notes to financial statements.
42

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $816,679,636  $1,356,204,199 
          
Addition of 83,100,000 and 19,630,000 shares, respectively (Note 1)   1,171,715,867   1,939,143,031 
Redemption of 65,400,000 and 9,540,000 shares, respectively (Note 1)   (1,103,180,147  (1,014,045,676
          
Net addition (redemption) of 17,700,000 and 10,090,000 shares, respectively (Note 1)   68,535,720   925,097,355 
          
Net investment income (loss)   (3,585,362  (8,069,549
Net realized gain (loss)   280,979,531  ��(704,499,504
Change in net unrealized appreciation (depreciation)   (35,000,884  (284,359,331
          
Net income (loss)   242,393,285   (996,928,384
          
Shareholders’ equity, end of period
  $1,127,608,641  $1,284,373,170 
          
See accompanying notes to financial statements.
43

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

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
   
         
Net income (loss)  $242,393,285  $(996,928,384
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   (396,948,446  (811,866,867
Proceeds from sales or maturities of short-term U.S. government and agency obligations   424,952,914   679,996,765 
Net amortization and accretion on short-term U.S. government and agency obligations   (100,321  (81,137
Net realized (gain) loss on investments   15,153   (18,520
Change in unrealized (appreciation) depreciation on investments   144,981   (44,252
Decrease (Increase) in securities sold receivable
   (6,195,418  0   
Decrease (Increase) in receivable on open futures contracts   (318,669,084  (22,894,994
Decrease (Increase) in interest receivable   5,060   423 
Increase (Decrease) in payable to Sponsor   98,097   312,325 
Increase (Decrease) in brokerage commissions and futures account fees payable   66,511   249,748 
Increase (Decrease) in payable on open futures contracts   (9,447,456  (9,772,407
Increase (Decrease) in securities purchased payable   —     38,977,944 
          
Net cash provided by (used in) operating activities   (63,684,724  (1,122,069,356
          
Cash flow from financing activities
         
Proceeds from addition of shares   1,156,170,922   1,988,229,419 
Payment on shares redeemed   (1,103,180,147  (1,014,045,676
          
Net cash provided by (used in) financing activities   52,990,775   974,183,743 
          
Net increase (decrease) in cash
   (10,693,949  (147,885,613
Cash, beginning of period   572,120,879   1,069,671,996 
          
Cash, end of period  $561,426,930  $921,786,383 
          
See accompanying notes to financial statements.
44

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $996,736 and $0, respectively)  $993,910   $—   
Cash   1,339,246    2,232,820 
Segregated cash balances with brokers for foreign currency forward contracts   —      225,000 
Unrealized appreciation on foreign currency forward contracts   7,119    821 
Interest receivable   —      95 
           
Total assets   2,340,275    2,458,736 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   1,800    1,954 
Unrealized depreciation on foreign currency forward contracts   238,770    93,933 
           
Total liabilities   240,570    95,887 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   2,099,705    2,362,849 
           
Total liabilities and shareholders’ equity  $2,340,275   $2,458,736 
           
Shares outstanding   49,970    49,970 
           
Net asset value per share  $42.02   $47.29 
           
Market value per share (Note 2)  $42.09   $47.29 
           
See accompanying notes to financial statements.
45

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(29% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.063% due 04/15/21
  $77,000,000   $76,999,553 
0.061% due 05/20/21
   100,000,000    99,997,280 
0.051% due 07/15/21
   200,000,000    199,988,340 
           
Total short-term U.S. government and agency obligations
(cost $376,960,550)
       $376,985,173 
           
Futures Contracts Purchased
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(47% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.554% due 11/03/22
  $1,000,000   $993,910 
           
Total short-term U.S. government and agency obligations
(cost $996,736)
       $993,910 
           
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2021
   45,234   $937,881,756   $(271,592,637
VIX Futures - Cboe, expires May 2021
   38,279    868,006,948    (61,335,612
                
             $(332,928,249
                
Total Return Swap Agreements
^
                 
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   04/08/22    321,397,517  $2,640,512  $(140,536
Yen with UBS AG   04/08/22    234,765,856   1,928,772   (98,234
                   
             Total Unrealized
Depreciation
 
 
 $(238,770
                   
Contracts to Sell
                  
Yen with Goldman Sachs International   04/08/22    (6,529,000 $(53,640 $(254
Yen with UBS AG   04/08/22    (37,680,000  (309,568  7,373 
                   
             Total Unrealized
Appreciation
   $7,119 
                   
 
   
Rate Paid

(Received)*
  
Termination

Date
   
Notional Amount

at Value**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Goldman Sachs & Co., based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
   0.97  04/28/21   $120,270,000   $0—   
                    
             Total Unrealized
Depreciation
 
 
  $0—   
                    
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of March 31, 2021.2022. 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.
46

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

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $873  $356 
          
Expenses
         
Management fee   5,429   6,649 
          
Total expenses   5,429   6,649 
          
Net investment income (loss)   (4,556  (6,293
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   (118,771  (139,467
Short-term U.S. government and agency obligations   1,548   —   
          
Net realized gain (loss)   (117,223  (139,467
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   (138,539  (256,089
Short-term U.S. government and agency obligations   (2,826  44 
          
Change in net unrealized appreciation (depreciation)   (141,365  (256,045
          
Net realized and unrealized gain (loss)   (258,588  (395,512
          
Net income (loss)
  $(263,144 $(401,805
          
See accompanying notes to financial statements.
47

PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $2,362,849  $2,989,499 
          
Net investment income (loss)   (4,556  (6,293
Net realized gain (loss)   (117,223  (139,467
Change in net unrealized appreciation (depreciation)   (141,365  (256,045
          
Net income (loss)   (263,144  (401,805
          
Shareholders’ equity, end of period
  $2,099,705  $2,587,694 
          
See accompanying notes to financial statements.
48

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

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(263,144 $(401,805
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (995,769  (499,849
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,548   —   
Net amortization and accretion on short-term U.S. government and agency obligations   (967  (93
Net realized (gain) loss on investments   (1,548  —   
Change in unrealized (appreciation) depreciation on investments   141,365   256,045 
Decrease (Increase) in interest receivable   95   27 
Increase (Decrease) in payable to Sponsor   (154  (213
          
Net cash provided by (used in) operating activities   (1,118,574�� (645,888
          
Net increase (decrease) in cash
   (1,118,574  (645,888
Cash, beginning of period   2,457,820   2,924,696 
          
Cash, end of period  $1,339,246  $2,278,808 
          
See accompanying notes to financial statements.
49

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $
0
and $
1,999,869
, respectively)
  $0     $1,999,875 
Cash   2,144,311    310,565 
Segregated cash balances with brokers for futures contracts   108,900    117,920 
Receivable on open futures contracts   11,700    —   
Interest receivable   —      16 
           
Total assets   2,264,911    2,428,376 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   —      13,735 
Payable to Sponsor   1,886    2,018 
           
Total liabilities   1,886    15,753 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   2,263,025    2,412,623 
           
Total liabilities and shareholders’ equity  $2,264,911   $2,428,376 
           
Shares outstanding   50,000    50,000 
           
Net asset value per share  $45.26   $48.25 
           
Market value per share (Note 2)  $45.35   $48.41 
           
See accompanying notes to financial statements.
50

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires June 2022   60   $4,497,900   $(96,657
See accompanying notes to financial statements.
51

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $115  $258 
          
Expenses
         
Management fee   5,696   5,139 
Brokerage commissions   500   386 
          
Total expenses   6,196   5,525 
          
Net investment income (loss)   (6,081  (5,267
        �� 
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (116,848  (164,544
Short-term U.S. government and agency obligations   4,839   —   
          
Net realized gain (loss)   (112,009  (164,544
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (31,502  206,052 
Short-term U.S. government and agency obligations   (6  0   
          
Change in net unrealized appreciation (depreciation)   (31,508  206,052 
          
Net realized and unrealized gain (loss)   (143,517  41,508 
          
Net income (loss)
  $(149,598 $36,241 
          
See accompanying notes to financial statements.
52

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $2,412,623  $2,222,639 
          
Net investment income (loss)   (6,081  (5,267
Net realized gain (loss)   (112,009  (164,544
Change in net unrealized appreciation (depreciation)   (31,508  206,052 
          
Net income (loss)   (149,598  36,241 
          
Shareholders’ equity, end of period
  $2,263,025  $2,258,880 
          
See accompanying notes to financial statements.
53

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)

   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
   
         
Net income (loss)  $(149,598 $36,241 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Proceeds from sales or maturities of short-term U.S. government and agency obligations   2,004,839   —   
Net amortization and accretion on short-term U.S. government and agency obligations   (131  —   
Net realized (gain) loss on investments   (4,839  —   
Change in unrealized (appreciation) depreciation on investments   6   —   
Decrease (Increase) in receivable on open futures contracts   (11,700  —   
Decrease (Increase) in interest receivable   16   31 
Increase (Decrease) in payable to Sponsor   (132  (596
Increase (Decrease) in payable on open futures contracts   (13,735  (3,718
          
Net cash provided by (used in) operating activities   1,824,726   31,958 
          
Net increase (decrease) in cash
   1,824,726   31,958 
Cash, beginning of period   428,485   2,234,027 
          
Cash, end of period  $2,253,211  $2,265,985 
          
See accompanying notes to financial statements.
54

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $172,878,249 and $55,932,300, respectively)  $172,675,022   $55,916,023 
Cash   74,893,009    29,602,412 
Segregated cash balances with brokers for futures contracts   146,472,433    24,841,141 
Receivable from capital shares sold   2,335,415    —   
Receivable on open futures contracts   24,718,248    4,064,439 
Interest receivable   0      1,359 
           
Total assets   421,094,127    114,425,374 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   3,982,086    175,557 
Brokerage commissions and futures account fees payable   42,292    7,944 
Payable to Sponsor   270,518    74,271 
           
Total liabilities   4,294,896    257,772 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   416,799,231    114,167,602 
           
Total liabilities and shareholders’ equity  $421,094,127   $114,425,374 
           
Shares outstanding (Note 1)   71,433,799    8,883,799 
           
Net asset value per share (Note 1)  $5.83   $12.85 
           
Market value per share (Note 1) (Note 2)  $5.79   $12.75 
           
See accompanying notes to financial statements.
55

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(41% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.051% due 04/21/22  $40,000,000   $39,996,668 
0.209% due 05/19/22   25,000,000    24,991,333 
0.389% due 06/16/22   50,000,000    49,954,085 
0.393% due 07/21/22   22,000,000    21,952,176 
0.223% due 11/03/22   36,000,000    35,780,760 
           
Total short-term U.S. government and agency obligations
(cost $172,878,249)
       $172,675,022 
           
             
Futures Contracts Sold
 
            
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires June 2022   2,737   $269,649,240   $(4,110,731
WTI Crude Oil - NYMEX, expires December 2022   3,147    281,971,200    (2,299,051
WTI Crude Oil - NYMEX, expires June 2023   3,339    282,512,790    116,312 
                
             $(6,293,470
                
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
56

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

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $53,907  $10,835 
          
Expenses
         
Management fee   492,647   221,263 
Brokerage commissions   77,056   43,044 
Futures accounts fees   70,177   47,712 
          
Total expenses   639,880   312,019 
          
Net investment income (loss)   (585,973  (301,184
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (106,482,101  (49,177,765
          
Net realized gain (loss)   (106,482,101  (49,177,765
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   2,115,992   5,636,634 
Short-term U.S. government and agency obligations   (186,950  2,210 
          
Change in net unrealized appreciation (depreciation)   1,929,042   5,638,844 
          
Net realized and unrealized gain (loss)   (104,553,059  (43,538,921
          
Net income (loss)
  $(105,139,032 $(43,840,105
          
See accompanying notes to financial statements.
57

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $114,167,602  $96,839,233 
          
Addition of 77,850,000 and 1,950,000 shares, respectively (Note 1)   510,028,879   64,302,979 
Redemption of 15,300,000 and 850,000 shares, respectively (Note 1)   (102,258,218  (25,583,717
          
Net addition (redemption) of 62,550,000 and 1,100,000 shares, respectively (Note 1)   407,770,661   38,719,262 
          
Net investment income (loss)   (585,973  (301,184
Net realized gain (loss)   (106,482,101  (49,177,765
Change in net unrealized appreciation (depreciation)   1,929,042   5,638,844 
          
Net income (loss)   (105,139,032  (43,840,105
          
Shareholders’ equity, end of period
  $416,799,231  $91,718,390 
          
See accompanying notes to financial statements.
58

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

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(105,139,032 $(43,840,105
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   (203,890,683  (59,990,524
Proceeds from sales or maturities of short-term U.S. government and agency obligations   87,000,000   25,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (55,266  (6,348
Change in unrealized (appreciation) depreciation on investments   186,950   (2,210
Decrease (Increase) in receivable on open futures contracts   (20,653,809  (2,690,988
Decrease (Increase) in interest receivable   1,359   2,099 
Increase (Decrease) in payable to Sponsor   196,247   (7,303
Increase (Decrease) in brokerage commissions and futures account fees payable   34,348   25,647 
Increase (Decrease) in payable on open futures contracts   3,806,529   166,417 
          
Net cash provided by (used in) operating activities   (238,513,357  (81,343,315
          
Cash flow from financing activities
         
Proceeds from addition of shares   507,693,464   64,302,979 
Payment on shares redeemed   (102,258,218  (25,583,717
          
Net cash provided by (used in) financing activities   405,435,246   38,719,262 
          
Net increase (decrease) in cash
   166,921,889   (42,624,053
Cash, beginning of period   54,443,553   97,113,373 
          
Cash, end of period  $221,365,442  $54,489,320 
          
See accompanying notes to financial statements.
59

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $109,916,719 and $123,855,553, respectively)  $109,627,801   $123,821,548 
Cash   70,201,998    53,547,476 
Segregated cash balances with brokers for futures contracts   35,162,820    59,453,451 
Receivable from capital shares sold   19,436,163    —   
Receivable on open futures contracts   18,454,994    30,090,351 
Interest receivable   —      1,749 
           
Total assets   252,883,776    266,914,575 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   —      15,986,002 
Payable on open futures contracts   2,342,100    8,542,438 
Brokerage commissions and futures account fees payable   29,510    46,867 
Payable to Sponsor   171,329    194,138 
           
Total liabilities   2,542,939    24,769,445 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   250,340,837    242,145,130 
           
Total liabilities and shareholders’ equity  $252,883,776   $266,914,575 
           
Shares outstanding (Note 1)   15,474,477    3,914,966 
           
Net asset value per share (Note 1)  $16.18   $61.85 
           
Market value per share (Note 1) (Note 2)  $16.14   $60.55 
           
See accompanying notes to financial statements.
60

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(44% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $40,000,000   $39,996,668 
0.209% due 05/19/22   10,000,000    9,996,533 
0.223% due 11/03/22   60,000,000    59,634,600 
           
Total short-term U.S. government and agency obligations
(cost $109,916,719)
       $109,627,801 
           
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2022   8,883   $501,178,860   $(74,095,907
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
61

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

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $55,825  $7,883 
          
Expenses
         
Management fee   542,364   159,337 
Brokerage commissions   220,951   85,680 
Futures accounts fees   129,929   23,273 
          
Total expenses   893,244   268,290 
          
Net investment income (loss)   (837,419  (260,407
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (114,665,698  (6,359,394
Short-term U.S. government and agency obligations   (58,610  —   
          
Net realized gain (loss)   (114,724,308  (6,359,394
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (87,532,158  15,893,547 
Short-term U.S. government and agency obligations   (254,913  1,517 
          
Change in net unrealized appreciation (depreciation)   (87,787,071  15,895,064 
          
Net realized and unrealized gain (loss)   (202,511,379  9,535,670 
          
Net income (loss)
  $(203,348,798 $9,275,263 
          
See accompanying notes to financial statements.
62

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $242,145,130  $24,977,745 
          
Addition of 18,560,000 and 820,000 shares, respectively (Note 1)   454,959,241   142,050,186 
Redemption of 7,000,489 and 570,000 shares, respectively (Note 1)   (243,414,736  (106,843,919
          
Net addition (redemption) of 11,559,511 and 250,000 shares, respectively (Note 1)   211,544,505   35,206,267 
          
Net investment income (loss)   (837,419  (260,407
Net realized gain (loss)   (114,724,308  (6,359,394
Change in net unrealized appreciation (depreciation)   (87,787,071  15,895,064 
          
Net income (loss)   (203,348,798  9,275,263 
          
Shareholders’ equity, end of period
  $250,340,837  $69,459,275 
          
See accompanying notes to financial statements.
63

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

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(203,348,798 $9,275,263 
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   (171,922,547  (53,993,457
Proceeds from sales or maturities of short-term U.S. government and agency obligations   185,860,345   20,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (57,574  (3,966
Net realized (gain) loss on investments   58,610   0   
Change in unrealized (appreciation) depreciation on investments   254,913   (1,517
Decrease (Increase) in receivable on open futures contracts   11,635,357   (607,891
Decrease (Increase) in interest receivable   1,749   (694
Increase (Decrease) in payable to Sponsor   (22,809  43,590 
Increase (Decrease) in brokerage commissions and futures account fees payable   (17,357  427 
Increase (Decrease) in payable on open futures contracts   (6,200,338  (1,543,700
          
Net cash provided by (used in) operating activities   (183,758,449  (26,831,945
          
Cash flow from financing activities
         
Proceeds from addition of shares   435,523,078   142,050,186 
Payment on shares redeemed   (259,400,738  (109,448,096
          
Net cash provided by (used in) financing activities   176,122,340   32,602,090 
          
Net increase (decrease) in cash
   (7,636,109  5,770,145 
Cash, beginning of period   113,000,927   19,147,382 
          
Cash, end of period  $105,364,818  $24,917,527 
          
See accompanying notes to financial statements.
64

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $41,972,530 and $46,968,288, respectively)  $41,892,032   $46,961,125 
Cash   8,512,948    7,554,065 
Unrealized appreciation on foreign currency forward contracts   134,035    135,118 
Interest receivable   —      603 
           
Total assets   50,539,015    54,650,911 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   40,931    44,707 
Unrealized depreciation on foreign currency forward contracts   —      343,159 
           
Total liabilities   40,931    387,866 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   50,498,084    54,263,045 
           
Total liabilities and shareholders’ equity  $50,539,015   $54,650,911 
           
Shares outstanding   1,850,000    2,100,000 
           
Net asset value per share  $27.30   $25.84 
           
Market value per share (Note 2)  $27.31   $25.86 
           
See accompanying notes to financial statements.
65

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(83% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $22,000,000   $21,998,167 
0.393% due 07/21/22
   4,000,000    3,991,305 
0.223% due 11/03/22
   16,000,000    15,902,560 
           
Total short-term U.S. government and agency obligations
(cost $41,972,530)
       $41,892,032 
           
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   04/08/22    13,916,000  $15,396,940  $6,561 
                   
             Total Unrealized
Appreciation
 
 
 $6,561 
                   
Contracts to Sell
                  
Euro with Goldman Sachs International   04/08/22    (46,280,263 $(51,205,409 $83,304 
Euro with UBS AG   04/08/22    (58,998,199  (65,276,787  44,170 
                   
             Total Unrealized
Appreciation
 
 
 $127,474 
                   
All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of March 31, 2022. 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.
66

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

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $15,405  $7,166 
          
Expenses
         
Management fee   117,456   124,038 
          
Total expenses   117,456   124,038 
          
Net investment income (loss)   (102,051  (116,872
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   2,542,134   70,527 
Short-term U.S. government and agency obligations   210,974   0   
          
Net realized gain (loss)   2,753,108   70,527 
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   342,076   4,391,397 
Short-term U.S. government and agency obligations   (73,335  840 
          
Change in net unrealized appreciation (depreciation)   268,741   4,392,237 
          
Net realized and unrealized gain (loss)   3,021,849   4,462,764 
          
Net income (loss)
  $2,919,798  $4,345,892 
          
See accompanying notes to financial statements.
67

PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $54,263,045  $52,953,339 
          
Addition of 50,000 and 200,000 shares, respectively   1,371,662   4,613,244 
Redemption of 300,000 and 300,000 shares, respectively   (8,056,421  (6,980,338
          
Net addition (redemption) of (250,000) and (100,000) shares, respectively   (6,684,759  (2,367,094
          
Net investment income (loss)   (102,051  (116,872
Net realized gain (loss)   2,753,108   70,527 
Change in net unrealized appreciation (depreciation)   268,741   4,392,237 
          
Net income (loss)   2,919,798   4,345,892 
          
Shareholders’ equity, end of period
  $50,498,084  $54,932,137 
          
See accompanying notes to financial statements.
68

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

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $2,919,798  $4,345,892 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (29,988,234  (41,994,414
Proceeds from sales or maturities of short-term U.S. government and agency obligations   35,210,974   34,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (16,008  (4,421
Net realized (gain) loss on investments   (210,974  0   
Change in unrealized (appreciation) depreciation on investments   (268,741  (4,392,237
Decrease (Increase) in interest receivable   603   1,228 
Increase (Decrease) in payable to Sponsor   (3,776  1,273 
          
Net cash provided by (used in) operating activities   7,643,642   (8,042,679
          
Cash flow from financing activities
         
Proceeds from addition of shares   1,371,662   4,613,244 
Payment on shares redeemed   (8,056,421  (6,980,338
          
Net cash provided by (used in) financing activities   (6,684,759  (2,367,094
          
Net increase (decrease) in cash
   958,883   (10,409,773
Cash, beginning of period   7,554,065   44,132,228 
          
Cash, end of period  $8,512,948  $33,722,455 
          
See accompanying notes to financial statements.
69

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $21,981,721 and $25,984,097, respectively)  $21,937,571   $25,980,516 
Cash   8,485,001    1,287,229 
Segregated cash balances with brokers for futures contracts   978,300    703,125 
Segregated cash balances with brokers for swap agreements

   469,000    —   
Unrealized appreciation on swap agreements

   908,323    0   
Interest receivable   0      434 
           
Total assets   32,778,195    27,971,304 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   155,425    92,537 
Brokerage commissions and futures account fees payable   533    294 
Payable to Sponsor   23,786    25,512 
Unrealized depreciation on swap agreements   0      993,117 
           
Total liabilities   179,744    1,111,460 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   32,598,451    26,859,844 
           
Total liabilities and shareholders’ equity  $32,778,195   $27,971,304 
           
Shares outstanding   1,196,977    846,977 
           
Net asset value per share  $27.23   $31.71 
           
Market value per share (Note 2)  $27.61   $31.66 
           
See accompanying notes to financial statements.
70

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(67% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22
  $8,000,000   $7,999,334 
0.393% due 07/21/22
   6,000,000    5,986,957 
0.223% due 11/03/22
   8,000,000    7,951,280 
           
Total short-term U.S. government and agency obligations
(cost $21,981,721)
       $21,937,571 
           
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires June 2022   134   $26,183,600   $325,987 
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 04/06/22  $(16,074,140 $372,654 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.20  04/06/22   (10,515,819  244,146 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25  04/06/22   (12,574,684  291,523 
                 
           Total Unrealized
Appreciation
 
 
 $908,323 
                 
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of March 31, 2022. 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 March 31, 2021,2022, 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
71

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $113,969  $1,411,740 
          
Expenses
         
Management fee
   4,383,077   1,383,275 
Brokerage commissions
   1,956,628   741,009 
Brokerage fees
   1,843,813   16,721 
          
Total expenses
   8,183,518   2,141,005 
          
Net investment income (loss)
   (8,069,549  (729,265
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (653,063,682  656,145,228 
Swap agreements
   (51,454,342  69,940,003 
Short-term U.S. government and agency obligations
   18,520   —   
          
Net realized gain (loss)
   (704,499,504  726,085,231 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   (284,403,583  198,355,954 
Swap agreements
   24,807   (21,974,093
Short-term U.S. government and agency obligations
   19,445   135,054 
          
Change in net unrealized appreciation (depreciation)
   (284,359,331  176,516,915 
          
Net realized and unrealized gain (loss)
   (988,858,835  902,602,146 
          
Net income (loss)
  $(996,928,384 $901,872,881 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $9,685  $2,962 
          
Expenses
         
Management fee   66,138   63,727 
Brokerage commissions   2,811   3,590 
Futures accounts fees   1,866   4,686 
          
Total expenses   70,815   72,003 
          
Net investment income (loss)   (61,130  (69,041
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (1,991,249  1,334,982 
Swap agreements   (4,317,424  2,668,208 
Short-term U.S. government and agency obligations   4   169 
          
Net realized gain (loss)   (6,308,669  4,003,359 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   167,908   236,075 
Swap agreements   1,901,440   (416,739
Short-term U.S. government and agency obligations   (40,569  811 
          
Change in net unrealized appreciation (depreciation)   2,028,779   (179,853
          
Net realized and unrealized gain (loss)   (4,279,890  3,823,506 
          
Net income (loss)
  $(4,341,020 $3,754,465 
          
See accompanying notes to financial statements.
41
72

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $1,356,204,199  $527,636,003 
          
Addition of 196,300,000 and 9,900,000 shares, respectively
   1,939,143,031   359,090,211 
Redemption of 95,400,000 and 41,400,000 shares, respectively
   (1,014,045,676  (1,195,778,603
          
Net addition (redemption) of 100,900,000 and (31,500,000) shares, respectively
   925,097,355   (836,688,392
          
Net investment income (loss)
   (8,069,549  (729,265
Net realized gain (loss)
   (704,499,504  726,085,231 
Change in net unrealized appreciation (depreciation)
   (284,359,331  176,516,915 
          
Net income (loss)
   (996,928,384  901,872,881 
          
Shareholders’ equity, end of period
  $1,284,373,170  $592,820,492 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $26,859,844  $20,337,376 
          
Addition of 450,000 and 750,000 shares, respectively   13,189,949   27,291,216 
Redemption of 100,000 and 300,000 shares, respectively   (3,110,322  (10,139,542
          
Net addition (redemption) of 350,000 and 450,000 shares, respectively   10,079,627   17,151,674 
          
Net investment income (loss)   (61,130  (69,041
Net realized gain (loss)   (6,308,669  4,003,359 
Change in net unrealized appreciation (depreciation)   2,028,779   (179,853
          
Net income (loss)   (4,341,020  3,754,465 
          
Shareholders’ equity, end of period
  $32,598,451  $41,243,515 
          
See accompanying notes to financial statements.
42
73

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(996,928,384 $901,872,881 
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
   (811,866,867  (198,455,580
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   679,996,765   260,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (81,137  (652,333
Net realized gain (loss) on investments
   (18,520  —   
Change in unrealized appreciation (depreciation) on investments
   (44,252  21,839,039 
Decrease (Increase) in receivable on futures contracts
   (22,894,994  (40,866,835
Decrease (Increase) in interest receivable
   423   (33,608
Increase (Decrease) in payable to Sponsor
   312,325   566,652 
Increase (Decrease) in brokerage commissions and fees payable
   249,748   —   
Increase (Decrease) in payable on futures contracts
   (9,772,407  (857,523
Increase (Decrease) in securities purchased payable
   38,977,944   —   
          
Net cash provided by (used in) operating activities
   (1,122,069,356  943,412,693 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   1,988,229,419   359,177,711 
Payment on shares redeemed
   (1,014,045,676  (1,195,778,603
          
Net cash provided by (used in) financing activities
   974,183,743   (836,600,892
          
Net increase (decrease) in cash
   (147,885,613  106,811,801 
Cash, beginning of period
   1,069,671,996   361,561,329 
          
Cash, end of period
  $921,786,383  $468,373,130 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(4,341,020 $3,754,465 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (17,987,492  (18,997,037
Proceeds from sales or maturities of short-term U.S. government and agency obligations   21,999,990   5,999,936 
Net amortization and accretion on short-term U.S. government and agency obligations   (10,118  (1,516
Net realized (gain) loss on investments   (4  (169
Change in unrealized (appreciation) depreciation on investments   (1,860,871  415,928 
Decrease (Increase) in receivable on open futures contracts   0   1,317 
Decrease (Increase) in interest receivable   434   127 
Increase (Decrease) in payable to Sponsor   (1,726  10,663 
Increase (Decrease) in brokerage commissions and futures account fees payable   239   1,492 
Increase (Decrease) in payable on open futures contracts   62,888   536,010 
          
Net cash provided by (used in) operating activities   (2,137,680  (8,278,784
          
Cash flow from financing activities
         
Proceeds from addition of shares   13,189,949   27,291,216 
Payment on shares redeemed   (3,110,322  (10,139,542
          
Net cash provided by (used in) financing activities   10,079,627   17,151,674 
          
Net increase (decrease) in cash
   7,941,947   8,872,890 
Cash, beginning of period   1,990,354   20,633,371 
          
Cash, end of period  $9,932,301  $29,506,261 
          
See accompanying notes to financial statements.
43
74

Table of Contents
PROSHARES ULTRA YENULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $499,942 and $–, respectively)
  $499,986   $—   
Cash
   1,972,808    2,618,696 
Segregated cash balances with brokers for foreign currency forward contracts
   306,000    306,000 
Unrealized appreciation on foreign currency forward contracts
   3,041    67,235 
Interest receivable
   84    111 
           
Total assets
   2,781,919    2,992,042 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   2,171    2,384 
Unrealized depreciation on foreign currency forward contracts
   192,043    148 
Non-recurring
fees and expenses payable
   11    11 
           
Total liabilities
   194,225    2,543 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   2,587,694    2,989,499 
           
Total liabilities and shareholders’ equity
  $2,781,919   $2,992,042 
           
Shares outstanding
   49,970    49,970 
           
Net asset value per share
  $51.78   $59.83 
           
Market value per share (Note 2)
  $51.78   $59.82 
           
         
   
March 31, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $13,931,199 and $22,995,121, respectively)  $13,910,829   $22,994,261 
Cash   7,528,145    1,829,901 
Segregated cash balances with brokers for futures contracts   1,604,313    1,081,575 
Segregated cash balances with brokers for swap agreements   118,000    2,572,000 
Unrealized appreciation on swap agreements   273,094    —   
Receivable on open futures contracts   0      15,446 
Interest receivable   0      378 
           
Total assets   23,434,381    28,493,561 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   7,363    5,840 
Brokerage commissions and futures account fees payable   733    747 
Payable to Sponsor   19,769    28,560 
Unrealized depreciation on swap agreements   0      1,921,414 
           
Total liabilities   27,865    1,956,561 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   23,406,516    26,537,000 
           
Total liabilities and shareholders’ equity  $23,434,381   $28,493,561 
           
Shares outstanding (Note 1)   1,091,329    991,329 
           
Net asset value per share (Note 1)  $21.45   $26.77 
           
Market value per share (Note 1) (Note 2)  $21.78   $26.84 
           
See accompanying notes to financial statements.
4475

PROSHARES ULTRA YENULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(19% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.086% due 05/20/21
  $500,000   $499,986 
           
Total short-term U.S. government and agency obligations
(cost $499,942)
       $499,986 
           
Foreign Currency Forward Contracts
^
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(59% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $947,000   $946,921 
0.393% due 07/21/22
   11,000,000    10,976,088 
0.223% due 11/03/22
   2,000,000    1,987,820 
           
Total short-term U.S. government and agency obligations
(cost $13,931,199)
       $13,910,829 
           
 
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                  
Yen with Goldman Sachs International
   04/09/21    332,532,517  $3,003,464  $(106,904
Yen with UBS AG
   04/09/21    263,662,756   2,381,425   (85,139
                   
             Total Unrealized
Depreciation
 
 
 $(192,043
                   
Contracts to Sell
                  
Yen with UBS AG
   04/09/21    (21,110,000 $(190,668 $3,041 
                   
             Total Unrealized
Appreciation
 
 
 $3,041 
                   
             
Futures Contracts Sold
 
            
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2022   167   $20,986,055   $267,147 
 
               
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 04/06/22  $(3,066,720 $(193,389
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.25  04/06/22   (11,171,645  259,041 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30  04/06/22   (8,833,290  204,525 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25  04/06/22   (2,824,603  2,917 
                 
           Total Unrealized
Appreciation
   $273,094 
                 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2021.2022. 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.
45

PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $356  $8,867 
          
Expenses
         
Management fee
   6,649   7,241 
          
Total expenses
   6,649   7,241 
          
Net investment income (loss)
   (6,293  1,626 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts
   (139,467  (8,483
          
Net realized gain (loss)
   (139,467  (8,483
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts
   (256,089  (19,239
Short-term U.S. government and agency obligations
   44   (74
          
Change in net unrealized appreciation (depreciation)
   (256,045  (19,313
          
Net realized and unrealized gain (loss)
   (395,512  (27,796
          
Net income (loss)
  $(401,805 $(26,170
          
See accompanying notes to financial statements.
46

PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $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)
   (6,293  1,626 
Net realized gain (loss)
   (139,467  (8,483
Change in net unrealized appreciation (depreciation)
   (256,045  (19,313
          
Net income (loss)
   (401,805  (26,170
          
Shareholders’ equity, end of period
  $2,587,694  $2,808,780 
          
See accompanying notes to financial statements.
47

PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(401,805 $(26,170
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
   (499,849  (99,700
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     1,911,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (93  (3,270
Change in unrealized appreciation (depreciation) on investments
   256,045   19,313 
Decrease (Increase) in interest receivable
   27   3,174 
Increase (Decrease) in payable to Sponsor
   (213  (176
          
Net cash provided by (used in) operating activities
   (645,888  1,804,171 
          
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
   (645,888  (941,843
Cash, beginning of period
   2,924,696   3,783,138 
          
Cash, end of period
  $2,278,808  $2,841,295 
          
See accompanying notes to financial statements.
48

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Cash
  $2,147,185   $2,133,707 
Segregated cash balances with brokers for futures contracts
   118,800    100,320 
Interest receivable
   88    119 
           
Total assets
   2,266,073    2,234,146 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   5,400    9,118 
Payable to Sponsor
   1,774    2,370 
Non-recurring
fees and expenses payable
   19    19 
           
Total liabilities
   7,193    11,507 
           
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   2,258,880    2,222,639 
           
Total liabilities and shareholders’ equity
  $2,266,073   $2,234,146 
           
Shares outstanding
   50,000    50,000 
           
Net asset value per share
  $45.18   $44.45 
           
Market value per share (Note 2)
  $45.19   $43.89 
           
See accompanying notes to financial statements.
49

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
MARCH 31, 2021
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires June 2021
   60   $4,560,900   $67,102 
See accompanying notes to financial statements.
50

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $258  $20,054 
          
Expenses
         
Management fee
   5,139   15,130 
Brokerage commissions
   386   1,499 
          
Total expenses
   5,525   16,629 
          
Net investment income (loss)
   (5,267  3,425 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (164,544  670,950 
          
Net realized gain (loss)
   (164,544  670,950 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   206,052   947,586 
Short-term U.S. government and agency obligations
   —     (206
          
Change in net unrealized appreciation (depreciation)
   206,052   947,380 
          
Net realized and unrealized gain (loss)
   41,508   1,618,330 
          
Net income (loss)
  $36,241  $1,621,755 
          
See accompanying notes to financial statements.
51

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,222,639  $5,608,612 
   
 
 
  
 
 
 
Net investment income (loss)
   (5,267  3,425 
Net realized gain (loss)
   (164,544  670,950 
Change in net unrealized appreciation (depreciation)
   206,052   947,380 
   
 
 
  
 
 
 
Net income (loss)
   36,241   1,621,755 
   
 
 
  
 
 
 
Shareholders’ equity, end of period
  $2,258,880  $7,230,367 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
52

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $36,241  $1,621,755 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   —     (498,498
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     4,436,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   —     (6,234
Change in unrealized appreciation (depreciation) on investments
   —     206 
Decrease (Increase) in receivable on futures contracts
   —     (21,755
Decrease (Increase) in interest receivable
   31   (2,493
Increase (Decrease) in payable to Sponsor
   (596  5,702 
Increase (Decrease) in payable on futures contracts
   (3,718  (37,725
          
Net cash provided by (used in) operating activities
   31,958   5,496,958 
          
Net increase (decrease) in cash
   31,958   5,496,958 
Cash, beginning of period
   2,234,027   1,717,873 
          
Cash, end of period
  $2,265,985  $7,214,831 
          
See accompanying notes to financial statements.
53

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
March 31,
2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $34,996,872 and $–, respectively)
  $34,999,082   $—   
Cash
   33,474,775    74,317,150 
Segregated cash balances with brokers for futures contracts
   21,014,545    22,608,223 
Segregated cash balances with brokers for swap agreements
   —      188,000 
Receivable on open futures contracts
   2,751,890    60,902 
Interest receivable
   1,200    3,299 
           
Total assets
   92,241,492    97,177,574 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   423,827    257,410 
Brokerage commissions and fees payable
   25,647    —   
Payable to Sponsor
   73,277    80,580 
Non-recurring
fees and expenses payable
   351    351 
           
Total liabilities
   523,102    338,341 
           
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   91,718,390    96,839,233 
           
Total liabilities and shareholders’ equity
  $92,241,492   $97,177,574 
           
Shares outstanding
   12,739,884    8,339,884 
           
Net asset value per share
  $7.20   $11.61 
           
Market value per share (Note 2)
  $7.15   $11.64 
           
See accompanying notes to financial statements.
54

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(38% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.041% due 04/15/21
  $5,000,000   $4,999,971 
0.086% due 05/20/21
   15,000,000    14,999,592 
0.042% due 06/17/21
   15,000,000    14,999,519 
       
Total short-term U.S. government and agency obligations
(cost $34,996,872)
    $34,999,082 
       
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
WTI Crude Oil - NYMEX, expires June 2021
   1,020   $60,363,600   $(5,808,804
WTI Crude Oil - NYMEX, expires December 2021
   1,082    61,511,700    (3,660,503
WTI Crude Oil - NYMEX, expires June 2022
   1,125    61,560,000    469,128 
         
           $(9,000,179) 
         
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
55

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $10,835  $248,709 
          
Expenses
         
Management fee
   221,263   202,369 
Brokerage commissions
   43,044   77,053 
Brokerage fees
   47,712   —   
          
Total expenses
   312,019   279,422 
          
Net investment income (loss)
   (301,184  (30,713
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (49,177,765  6,504,689 
Swap agreements
   —     45,169,333 
Short-term U.S. government and agency obligations
   —     (20
          
Net realized gain (loss)
   (49,177,765  51,674,002 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   5,636,634   54,837,080 
Swap agreements
   —     21,741,150 
Short-term U.S. government and agency obligations
   2,210   3,127 
          
Change in net unrealized appreciation (depreciation)
   5,638,844   76,581,357 
          
Net realized and unrealized gain (loss)
   (43,538,921  128,255,359 
          
Net income (loss)
  $(43,840,105 $128,224,646 
          
See accompanying notes to financial statements.
56

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $96,839,233  $125,451,681 
          
Addition of 7,800,000 and 3,350,000 shares, respectively
   64,302,979   71,229,475 
Redemption of 3,400,000 and 11,600,000 shares, respectively
   (25,583,717  (224,811,779
          
Net addition (redemption) of 4,400,000 and (8,250,000) shares, respectively
   38,719,262   (153,582,304
          
Net investment income (loss)
   (301,184  (30,713
Net realized gain (loss)
   (49,177,765  51,674,002 
Change in net unrealized appreciation (depreciation)
   5,638,844   76,581,357 
          
Net income (loss)
   (43,840,105  128,224,646 
          
Shareholders’ equity, end of period
  $91,718,390  $100,094,023 
          
See accompanying notes to financial statements.
57

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(43,840,105 $128,224,646 
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
   (59,990,524  (32,897,274
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   25,000,000   88,246,647 
Net amortization and accretion on short-term U.S. government and agency obligations
   (6,348  (146,748
Net realized gain (loss) on investments
   —     20 
Change in unrealized appreciation (depreciation) on investments
   (2,210  (21,744,277
Decrease (Increase) in receivable on futures contracts
   (2,690,988  1,144,404 
Decrease (Increase) in interest receivable
   2,099   26,150 
Increase (Decrease) in payable to Sponsor
   (7,303  26,465 
Increase (Decrease) in brokerage commissions and fees payable
   25,647   —   
Increase (Decrease) in payable on futures contracts
   166,417   953,702 
          
Net cash provided by (used in) operating activities
   (81,343,315  163,833,735 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   64,302,979   67,838,424 
Payment on shares redeemed
   (25,583,717  (222,259,090
          
Net cash provided by (used in) financing activities
   38,719,262   (154,420,666
          
Net increase (decrease) in cash
   (42,624,053  9,413,069 
Cash, beginning of period
   97,113,373   61,909,177 
          
Cash, end of period
  $54,489,320  $71,322,246 
          
See accompanying notes to financial statements.
58

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $43,997,035 and $9,999,612, respectively)
  $43,998,801   $9,999,861 
Cash
   12,606,546    12,600,775 
Segregated cash balances with brokers for futures contracts
   12,310,981    6,546,607 
Receivable on open futures contracts
   607,891    —   
Interest receivable
   1,242    548 
           
Total assets
   69,525,461    29,147,791 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      2,604,177 
Payable on open futures contracts
   —      1,543,700 
Brokerage commissions and fees payable
   427    —   
Payable to Sponsor
   65,619    22,029 
Non-recurring
fees and expenses payable
   140    140 
           
Total liabilities
   66,186    4,170,046 
           
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   69,459,275    24,977,745 
           
Total liabilities and shareholders’ equity
  $69,525,461   $29,147,791 
           
Shares outstanding
   1,774,832    524,832 
           
Net asset value per share
  $39.14   $47.59 
           
Market value per share (Note 2)
  $39.32   $47.38 
           
See accompanying notes to financial statements.
59

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(63% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.041% due 04/15/21
  $4,000,000   $3,999,977 
0.047% due 05/20/21
   22,000,000    21,999,402 
0.040% due 06/17/21
   18,000,000    17,999,422 
       
Total short-term U.S. government and agency obligations
(cost $43,997,035)
    $43,998,801 
       
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2021
   5,327   $138,928,160   $16,272,857 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
60

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $7,883  $42,432 
          
Expenses
         
Management fee
   159,337   32,430 
Brokerage commissions
   85,680   32,281 
Brokerage fees
   23,273   —   
          
Total expenses
   268,290   64,711 
          
Net investment income (loss)
   (260,407  (22,279
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (6,359,394  5,626,177 
          
Net realized gain (loss)
   (6,359,394  5,626,177 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   15,893,547   3,334,986 
Short-term U.S. government and agency obligations
   1,517   625 
          
Change in net unrealized appreciation (depreciation)
   15,895,064   3,335,611 
          
Net realized and unrealized gain (loss)
   9,535,670   8,961,788 
          
Net income (loss)
  $9,275,263  $8,939,509 
          
See accompanying notes to financial statements.
61

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $24,977,745  $12,515,603 
          
Addition of 4,100,000 and 550,000 shares, respectively
   142,050,186   29,104,581 
Redemption of 2,850,000 and 600,000 shares, respectively
   (106,843,919  (33,139,760
          
Net addition (redemption) of 1,250,000 and (50,000) shares, respectively
   35,206,267   (4,035,179
          
Net investment income (loss)
   (260,407  (22,279
Net realized gain (loss)
   (6,359,394  5,626,177 
Change in net unrealized appreciation (depreciation)
   15,895,064   3,335,611 
          
Net income (loss)
   9,275,263   8,939,509 
          
Shareholders’ equity, end of period
  $69,459,275  $17,419,933 
          
See accompanying notes to financial statements.
62

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $9,275,263  $8,939,509 
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
   (53,993,457  (2,990,772
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   20,000,000   7,160,924 
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,966  (14,617
Change in unrealized appreciation (depreciation) on investments
   (1,517  (625
Decrease (Increase) in receivable on futures contracts
   (607,891  (714,526
Decrease (Increase) in interest receivable
   (694  (130
Increase (Decrease) in payable to Sponsor
   43,590   11,592 
Increase (Decrease) in brokerage commissions and fees payable
   427   —   
Increase (Decrease) in payable on futures contracts
   (1,543,700  (6,826
          
Net cash provided by (used in) operating activities
   (26,831,945  12,384,529 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   142,050,186   29,104,581 
Payment on shares redeemed
   (109,448,096  (33,139,760
          
Net cash provided by (used in) financing activities
   32,602,090   (4,035,179
          
Net increase (decrease) in cash
   5,770,145   8,349,350 
Cash, beginning of period
   19,147,382   7,370,891 
          
Cash, end of period
  $24,917,527  $15,720,241 
          
See accompanying notes to financial statements.
63

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $17,998,447 and $9,999,612, respectively)
  $17,999,536   $9,999,861 
Cash
   29,681,455    42,133,228 
Segregated cash balances with brokers for foreign currency forward contracts
   4,041,000    1,999,000 
Unrealized appreciation on foreign currency forward contracts
   3,436,568    5,705 
Interest receivable
   920    2,148 
           
Total assets
   55,159,479    54,139,942 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   45,247    43,974 
Unrealized depreciation on foreign currency forward contracts
   181,875    1,142,409 
Non-recurring
fees and expenses payable
   220    220 
           
Total liabilities
   227,342    1,186,603 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   54,932,137    52,953,339 
           
Total liabilities and shareholders’ equity
  $55,159,479   $54,139,942 
           
Shares outstanding
   2,250,000    2,350,000 
           
Net asset value per share
  $24.41   $22.53 
           
Market value per share (Note 2)
  $24.42   $22.52 
           
See accompanying notes to financial statements.
64

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(33% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.041% due 04/15/21
  $3,000,000   $2,999,983 
0.086% due 05/20/21
   7,000,000    6,999,810 
0.041% due 06/17/21
   8,000,000    7,999,743 
           
Total short-term U.S. government and agency obligations
(cost $17,998,447)
       $17,999,536 
           
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
   04/09/21    12,078,000  $14,163,535  $(181,875
                   
             
 
Total
Unrealized
Depreciation
 
 
 
 $(181,875
                   
Contracts to Sell
                  
Euro with Goldman Sachs International
   04/09/21    (37,401,263 $(43,859,422 $1,328,784 
Euro with UBS AG
   04/09/21    (68,453,199  (80,273,164  2,107,784 
                   
             
 
Total
Unrealized
Appreciation
 

 
 $3,436,568 
                   
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of March 31, 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

PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $7,166  $399,657 
          
Expenses
         
Management fee
   124,038   263,442 
          
Total expenses
   124,038   263,442 
          
Net investment income (loss)
   (116,872  136,215 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts
   70,527   1,047,283 
          
Net realized gain (loss)
   70,527   1,047,283 
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts
   4,391,397   3,137,931 
Short-term U.S. government and agency obligations
   840   52,320 
          
Change in net unrealized appreciation (depreciation)
   4,392,237   3,190,251 
          
Net realized and unrealized gain (loss)
   4,462,764   4,237,534 
          
Net income (loss)
  $4,345,892  $4,373,749 
          
See accompanying notes to financial statements.
66

PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $52,953,339  $120,581,173 
          
Addition of 200,000 and 200,000 shares, respectively
   4,613,244   5,754,066 
Redemption of 300,000 and 1,350,000 shares, respectively
   (6,980,338  (37,514,389
          
Net addition (redemption) of (100,000) and (1,150,000) shares, respectively
   (2,367,094  (31,760,323
          
Net investment income (loss)
   (116,872  136,215 
Net realized gain (loss)
   70,527   1,047,283 
Change in net unrealized appreciation (depreciation)
   4,392,237   3,190,251 
          
Net income (loss)
   4,345,892   4,373,749 
          
Shareholders’ equity, end of period
  $54,932,137  $93,194,599 
          
See accompanying notes to financial statements.
67

PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $4,345,892  $4,373,749 
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
   (41,994,414  (56,787,039
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   34,000,000   105,685,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (4,421  (251,364
Change in unrealized appreciation (depreciation) on investments
   (4,392,237  (3,190,251
Decrease (Increase) in interest receivable
   1,228   27,885 
Increase (Decrease) in payable to Sponsor
   1,273   67,380 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (8,042,679  49,925,360 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   4,613,244   5,754,066 
Payment on shares redeemed
   (6,980,338  (33,413,625
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (2,367,094  (27,659,559
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (10,409,773  22,265,801 
Cash, beginning of period
   44,132,228   44,280,278 
   
 
 
  
 
 
 
Cash, end of period
  $33,722,455  $66,546,079 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
68

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $12,998,786 and $–, respectively)
  $12,999,597   $—   
Cash
   22,381,424    16,935,121 
Segregated cash balances with brokers for futures contracts
   2,923,750    1,503,750 
Segregated cash balances with brokers for swap agreements
   4,201,087    2,194,500 
Receivable on open futures contracts
   —      1,317 
Interest receivable
   615    742 
           
Total assets
   42,506,473    20,635,430 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   548,420    12,410 
Brokerage commissions and fees payable
   1,492    —   
Payable to Sponsor
   27,498    16,835 
Unrealized depreciation on swap agreements
   685,467    268,728 
Non-recurring
fees and expenses payable
   81    81 
           
Total liabilities
   1,262,958    298,054 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   41,243,515    20,337,376 
           
Total liabilities and shareholders’ equity
  $42,506,473   $20,635,430 
           
Shares outstanding
   1,096,977    646,977 
           
Net asset value per share
  $37.60   $31.43 
           
Market value per share (Note 2)
  $37.89   $31.14 
           
See accompanying notes to financial statements.
69

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(32% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.086% due 05/20/21
  $3,000,000   $2,999,918 
0.041% due 06/17/21
   10,000,000    9,999,679 
           
Total short-term U.S. government and agency obligations
(cost $12,998,786)
       $12,999,597 
           
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires June 2021
   247   $42,375,320   $39,145 
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  04/06/21   $(14,224,080 $(291,552
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20   04/06/21    (14,746,325  (301,800
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25   04/06/21    (11,127,395  (92,115
                   
             
 
Total
Unrealized
Depreciation
 

 
 $(685,467
                   
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 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 March 31, 2021,2022, 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”“ short” exposure to the benchmark index.
See accompanying notes to financial statements.
70
76

PROSHARES ULTRASHORT GOLDSILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
   
Three Months Ended
March 31,
��
  
2021
  
2020
 
Investment Income
         
Interest
  $2,962  $61,021 
          
Expenses
         
Management fee
   63,727   43,239 
Brokerage commissions
   3,590   2,104 
Brokerage fees
   4,686   —   
          
Total expenses
   72,003   45,343 
          
Net investment income (loss)
   (69,041  15,678 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   1,334,982   (2,028,666
Swap agreements
   2,668,208   (3,902,216
Short-term U.S. government and agency obligations
   169   —   
          
Net realized gain (loss)
   4,003,359   (5,930,882
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   236,075   641,113 
Swap agreements
   (416,739  2,034,683 
Short-term U.S. government and agency obligations
   811   1,178 
          
Change in net unrealized appreciation (depreciation)
   (179,853  2,676,974 
          
Net realized and unrealized gain (loss)
   3,823,506   (3,253,908
          
Net income (loss)
  $3,754,465  $(3,238,230
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $8,920  $3,117 
          
Expenses
         
Management fee   60,953   84,745 
Brokerage commissions   5,301   7,444 
Futures accounts fees   3,274   9,991 
          
Total expenses   69,528   102,180 
          
Net investment income (loss)   (60,608  (99,063
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (1,293,770  (1,236,193
Swap agreements   (6,079,976  (1,696,158
Short-term U.S. government and agency obligations   (190  85 
          
Net realized gain (loss)   (7,373,936  (2,932,266
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (385,346  3,496,970 
Swap agreements   2,194,508   3,968,794 
Short-term U.S. government and agency obligations   (19,510  747 
          
Change in net unrealized appreciation (depreciation)   1,789,652   7,466,511 
          
Net realized and unrealized gain (loss)   (5,584,284  4,534,245 
          
Net income (loss)
  $(5,644,892 $4,435,182 
          
See accompanying notes to financial statements.
71
77

PROSHARES ULTRASHORT GOLDSILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $20,337,376  $21,047,560 
          
Addition of 750,000 and 200,000 shares, respectively
   27,291,216   9,689,641 
Redemption of 300,000 and 150,000 shares, respectively
   (10,139,542  (6,929,927
          
Net addition (redemption) of 450,000 and 50,000 shares, respectively
   17,151,674   2,759,714 
          
Net investment income (loss)
   (69,041  15,678 
Net realized gain (loss)
   4,003,359   (5,930,882
Change in net unrealized appreciation (depreciation)
   (179,853  2,676,974 
          
Net income (loss)
   3,754,465   (3,238,230
          
Shareholders’ equity, end of period
  $41,243,515  $20,569,044 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $26,537,000  $28,885,775 
          
Addition of 1,100,000 and 2,450,000 shares, respectively (Note 1)   25,560,144   58,095,647 
Redemption of 1,000,000 and 1,875,000 shares, respectively (Note 1)   (23,045,736  (46,271,940
          
Net addition (redemption) of 100,000 and 575,000 shares, respectively (Note 1)   2,514,408   11,823,707 
          
Net investment income (loss)   (60,608  (99,063
Net realized gain (loss)   (7,373,936  (2,932,266
Change in net unrealized appreciation (depreciation)   1,789,652   7,466,511 
          
Net income (loss)   (5,644,892  4,435,182 
          
Shareholders’ equity, end of period
  $23,406,516  $45,144,664 
          
See accompanying notes to financial statements.
72
78

PROSHARES ULTRASHORT GOLDSILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $3,754,465  $(3,238,230
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (18,997,037  (6,983,176
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   5,999,936   17,371,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,516  (31,387
Net realized gain (loss) on investments
   (169  —   
Change in unrealized appreciation (depreciation) on investments
   415,928   (2,035,861
Decrease (Increase) in receivable on futures contracts
   1,317   (71,561
Decrease (Increase) in interest receivable
   127   3,872 
Increase (Decrease) in payable to Sponsor
   10,663   10,968 
Increase (Decrease) in brokerage commissions and fees payable
   1,492   —   
Increase (Decrease) in payable on futures contracts
   536,010   110,341 
          
Net cash provided by (used in) operating activities
   (8,278,784  5,135,966 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   27,291,216   7,388,926 
Payment on shares redeemed
   (10,139,542  (6,929,927
          
Net cash provided by (used in) financing activities
   17,151,674   458,999 
          
Net increase (decrease) in cash
   8,872,890   5,594,965 
Cash, beginning of period
   20,633,371   9,895,915 
          
Cash, end of period
  $29,506,261  $15,490,880 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(5,644,892 $4,435,182 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (20,979,052  (22,996,733
Proceeds from sales or maturities of short-term U.S. government and agency obligations   30,052,082   7,999,988 
Net amortization and accretion on short-term U.S. government and agency obligations   (9,298  (2,043
Net realized (gain) loss on investments   190   (85
Change in unrealized (appreciation) depreciation on investments   (2,174,998  (3,969,541
Decrease (Increase) in receivable on open futures contracts   15,446   (208,039
Decrease (Increase) in interest receivable   378   463 
Increase (Decrease) in payable to Sponsor   (8,791  7,144 
Increase (Decrease) in brokerage commissions and futures account fees payable   (14  3,309 
Increase (Decrease) in payable on open futures contracts   1,523   294,893 
          
Net cash provided by (used in) operating activities   1,252,574   (14,435,462
          
Cash flow from financing activities
         
Proceeds from addition of shares   25,560,144   58,095,647 
Payment on shares redeemed   (23,045,736  (46,271,940
          
Net cash provided by (used in) financing activities   2,514,408   11,823,707 
          
Net increase (decrease) in cash
   3,766,982   (2,611,755
Cash, beginning of period   5,483,476   32,155,049 
          
Cash, end of period  $9,250,458  $29,543,294 
          
See accompanying notes to financial statements.
73
79

Table of Contents
PROSHARES ULTRASHORT SILVERYEN
STATEMENTS OF FINANCIAL CONDITION
 
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $14,998,873 and $—, respectively)
  $14,999,620   $—   
Cash
   15,590,378    18,919,314 
Segregated cash balances with brokers for futures contracts
   6,919,687    1,503,250 
Segregated cash balances with brokers for swap agreements
   7,033,229    11,732,485 
Unrealized appreciation on swap agreements
   771,233    —   
Receivable on open futures contracts
   247,484    39,445 
Interest receivable
   351    814 
           
Total assets
   45,561,982    32,195,308 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   381,175    86,282 
Brokerage commissions and fees payable
   3,309    —   
Payable to Sponsor
   32,701    25,557 
Unrealized depreciation on swap agreements
   —      3,197,561 
Non-recurring
fees and expenses payable
   133    133 
           
Total liabilities
   417,318    3,309,533 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   45,144,664    28,885,775 
           
Total liabilities and shareholders’ equity
  $45,561,982   $32,195,308 
           
Shares outstanding
   6,466,976    4,166,976 
           
Net asset value per share
  $6.98   $6.93 
           
Market value per share (Note 2)
  $7.01   $6.85 
           
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $20,984,538 and $20,990,068, respectively)  $20,954,357   $20,987,825 
Cash   13,748,678    3,003,251 
Unrealized appreciation on foreign currency forward contracts   2,372,690    1,237,168 
Interest receivable   0      339 
           
Total assets   37,075,725    25,228,583 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   9,290,592    —   
Payable to Sponsor   21,724    20,211 
Unrealized depreciation on foreign currency forward contracts   36,708    367,588 
           
Total liabilities   9,349,024    387,799 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   27,726,701    24,840,784 
           
Total liabilities and shareholders’ equity  $37,075,725   $25,228,583 
           
Shares outstanding   299,290    299,290 
           
Net asset value per share  $92.64   $83.00 
           
Market value per share (Note 2)  $92.73   $82.99 
           
See accompanying notes to financial statements.
7480

PROSHARES ULTRASHORT SILVERYEN
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)

         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(76% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22
  $5,000,000   $4,999,584 
0.209% due 05/19/22   5,000,000    4,998,266 
0.393% due 07/21/22
   6,000,000    5,986,957 
0.223% due 11/03/22
   5,000,000    4,969,550 
           
Total short-term U.S. government and agency obligations
(cost $20,984,538)
       $20,954,357 
           
Foreign Currency Forward Contracts
^
(unaudited)
                 
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                  
Yen with UBS AG   04/08/22    2,874,020,000  $23,612,146  $(36,708
                   
             Total Unrealized
Depreciation
 
 
 $(36,708
                   
Contracts to Sell
                  
Yen with Goldman Sachs International   04/08/22    (1,973,114,165 $(16,210,555 $748,238 
Yen with UBS AG   04/08/22    (7,652,928,574  (62,874,326  1,624,452 
                   
             Total Unrealized
Appreciation
 
 
 $2,372,690 
                   
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(33% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.041% due 04/15/21
  $2,000,000   $1,999,989 
0.061% due 05/20/21
   10,000,000    9,999,727 
0.044% due 06/17/21
   3,000,000    2,999,904 
           
Total short-term U.S. government and agency obligations
          
(cost $14,998,873)
       $14,999,620 
           
Futures Contracts Sold
      
    
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2021
   347   $42,563,020   $3,276,894 
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  04/06/21   $(8,308,475 $248,258 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25   04/06/21    (15,457,845  135,200 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   04/06/21    (8,697,261  259,594 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   04/06/21    (15,222,974  128,181 
                   
             Total Unrealized
Appreciation

 
 $771,233 
                   
†   All or partial amount pledged as collateral for swap agreements.
foreign currency forward contracts.
^
The positions and counterparties herein are as of March 31, 2021.2022. 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 March 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**   For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
75
81

PROSHARES ULTRASHORT SILVERYEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $3,117  $44,536 
          
Expenses
         
Management fee
   84,745   37,136 
Brokerage commissions
   7,444   3,981 
Brokerage fees
   9,991   —   
          
Total expenses
   102,180   41,117 
          
Net investment income (loss)
   (99,063  3,419 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (1,236,193  1,920,009 
Swap agreements
   (1,696,158  (1,077,769
Short-term U.S. government and agency obligations
   85   —   
          
Net realized gain (loss)
   (2,932,266  842,240 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   3,496,970   1,603,007 
Swap agreements
   3,968,794   2,587,264 
Short-term U.S. government and agency obligations
   747   185 
          
Change in net unrealized appreciation (depreciation)
   7,466,511   4,190,456 
          
Net realized and unrealized gain (loss)
   4,534,245   5,032,696 
          
Net income (loss)
  $4,435,182  $5,036,115 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $9,399  $3,596 
          
Expenses
         
Management fee   59,820   66,553 
          
Total expenses   59,820   66,553 
          
Net investment income (loss)   (50,421  (62,957
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   1,080,173   1,259,573 
Short-term U.S. government and agency obligations   102,971   —   
          
Net realized gain (loss)   1,183,144   1,259,573 
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   1,466,402   2,900,888 
Short-term U.S. government and agency obligations   (27,938  854 
          
Change in net unrealized appreciation (depreciation)   1,438,464   2,901,742 
          
Net realized and unrealized gain (loss)   2,621,608   4,161,315 
          
Net income (loss)
  $2,571,187  $4,098,358 
          
See accompanying notes to financial statements.
76
82

PROSHARES ULTRASHORT SILVERYEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $28,885,775  $13,834,163 
          
Addition of 9,800,000 and 200,000 shares, respectively
   58,095,647   5,962,843 
Redemption of 7,500,000 and 200,000 shares, respectively
   (46,271,940  (5,945,290
          
Net addition (redemption) of 2,300,000 and – shares, respectively
   11,823,707   17,553 
          
Net investment income (loss)
   (99,063  3,419 
Net realized gain (loss)
   (2,932,266  842,240 
Change in net unrealized appreciation (depreciation)
   7,466,511   4,190,456 
          
Net income (loss)
   4,435,182   5,036,115 
          
Shareholders’ equity, end of period
  $45,144,664  $18,887,831 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $24,840,784  $23,691,070 
          
Addition of 100,000 and 100,000 shares, respectively   9,605,322   7,132,412 
Redemption of 100,000 and – shares, respectively   (9,290,592  0   
          
Net addition (redemption) of 0 and 100,000 shares, respectively   314,730   7,132,412 
          
Net investment income (loss)   (50,421  (62,957
Net realized gain (loss)   1,183,144   1,259,573 
Change in net unrealized appreciation (depreciation)   1,438,464   2,901,742 
          
Net income (loss)   2,571,187   4,098,358 
          
Shareholders’ equity, end of period
  $27,726,701  $34,921,840 
          
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT SILVERYEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $4,435,182  $5,036,115 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (22,996,733  (4,386,262
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   7,999,988   12,574,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,043  (24,652
Net realized gain (loss) on investments
   (85  —   
Change in unrealized appreciation (depreciation) on investments
   (3,969,541  (2,587,449
Decrease (Increase) in receivable on futures contracts
   (208,039  (12,581
Decrease (Increase) in interest receivable
   463   (2,333
Increase (Decrease) in payable to Sponsor
   7,144   13,753 
Increase (Decrease) in brokerage commissions and fees payable
   3,309   —   
Increase (Decrease) in payable on futures contracts
   294,893   (9,156
          
Net cash provided by (used in) operating activities
   (14,435,462  10,601,435 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   58,095,647   5,962,843 
Payment on shares redeemed
   (46,271,940  (5,945,290
          
Net cash provided by (used in) financing activities
   11,823,707   17,553 
          
Net increase (decrease) in cash
   (2,611,755  10,618,988 
Cash, beginning of period
   32,155,049   6,646,212 
          
Cash, end of period
  $29,543,294  $17,265,200 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $2,571,187  $4,098,358 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (17,984,733  (21,496,640
Proceeds from sales or maturities of short-term U.S. government and agency obligations   18,102,971   7,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (9,737  (2,141
Net realized (gain) loss on investments   (102,971  —   
Change in unrealized (appreciation) depreciation on investments   (1,438,464  (2,901,742
Decrease (Increase) in interest receivable   339   410 
Increase (Decrease) in payable to Sponsor   1,513   7,512 
          
Net cash provided by (used in) operating activities   1,140,105   (13,294,243
          
Cash flow from financing activities
         
Proceeds from addition of shares   9,605,322   7,132,412 
          
Net cash provided by (used in) financing activities   9,605,322   7,132,412 
          
Net increase (decrease) in cash
   10,745,427   (6,161,831
Cash, beginning of period   3,003,251   24,274,564 
          
Cash, end of period  $13,748,678  $18,112,733 
          
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YENVIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $14,498,781 and $–, respectively)
  $14,499,635   $—   
Cash
   15,006,733    21,470,564 
Segregated cash balances with brokers for foreign currency forward contracts
   3,106,000    2,804,000 
Unrealized appreciation on foreign currency forward contracts
   2,366,090    7,008 
Interest receivable
   504    914 
           
Total assets
   34,978,962    24,282,486 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   26,860    19,348 
Unrealized depreciation on foreign currency forward contracts
   30,168    571,974 
Non-recurring
fees and expenses payable
   94    94 
           
Total liabilities
   57,122    591,416 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   34,921,840    23,691,070 
           
Total liabilities and shareholders’ equity
  $34,978,962   $24,282,486 
           
Shares outstanding
   449,290    349,290 
           
Net asset value per share
  $77.73   $67.83 
           
Market value per share (Note 2)
  $77.75   $67.81 
           
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $63,955,449 and $85,937,303, respectively)  $63,802,455   $85,922,969 
Cash   16,665,482    8,130,069 
Segregated cash balances with brokers for futures contracts   15,897,200    18,941,750 
Receivable on open futures contracts   1,586,495    63,397 
Interest receivable   0      1,097 
           
Total assets   97,951,632    113,059,282 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   0      94,495 
Brokerage commissions and futures account fees payable   10,122    7,124 
Payable to Sponsor   71,596    81,983 
           
Total liabilities   81,718    183,602 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   97,869,914    112,875,680 
           
Total liabilities and shareholders’ equity  $97,951,632   $113,059,282 
           
Shares outstanding   3,112,403    3,687,403 
           
Net asset value per share  $31.45   $30.61 
           
Market value per share (Note 2)  $31.50   $30.57 
           
See accompanying notes to financial statements.
7985
PROSHARES ULTRASHORT YENVIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(42% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.041% due 04/15/21
  $3,000,000   $2,999,983 
0.086% due 05/20/21
   4,500,000    4,499,878 
0.044% due 06/17/21
   7,000,000    6,999,774 
           
Total short-term U.S. government and agency obligations
          
(cost $14,498,781)
       $14,499,635 
           
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(65% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $32,000,000   $31,997,335 
0.223% due 11/03/22   32,000,000    31,805,120 
           
Total short-term U.S. government and agency obligations
(cost $63,955,449)
       $63,802,455 
           
Foreign Currency ForwardFutures Contracts
^
Purchased
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022   593   $15,480,562   $226,352 
VIX Futures - Cboe, expires August 2022   1,235    32,424,802    42,738 
VIX Futures - Cboe, expires September 2022   1,235    32,852,729    (1,054,439
VIX Futures - Cboe, expires October 2022   642    17,245,083    (174,214
                
             $(959,563
                
 
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                  
Yen with UBS AG
   04/09/21    167,310,000  $1,511,159  $(30,168
                   
             Total Unrealized
Depreciation
 
 
 $(30,168
                   
Contracts to Sell
                  
Yen with Goldman Sachs International
   04/09/21    (2,009,085,165 $(18,146,236 $645,891 
Yen with UBS AG
   04/09/21    (5,895,178,875  (53,245,781  1,720,199 
                   
             Total Unrealized
Appreciation

 
 $2,366,090 
                   
^  The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
80
86

PROSHARES ULTRASHORT YENVIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $3,596  $126,183 
          
Expenses
         
Management fee
   66,553   84,437 
          
Total expenses
   66,553   84,437 
          
Net investment income (loss)
   (62,957  41,746 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts
   1,259,573   (506,520
          
Net realized gain (loss)
   1,259,573   (506,520
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts
   2,900,888   (699,345
Short-term U.S. government and agency obligations
   854   2,276 
          
Change in net unrealized appreciation (depreciation)
   2,901,742   (697,069
          
Net realized and unrealized gain (loss)
   4,161,315   (1,203,589
          
Net income (loss)
  $4,098,358  $(1,161,843
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $23,923  $10,224 
          
Expenses
         
Management fee   215,663   178,080 
Brokerage commissions   24,869   11,312 
Futures accounts fees   35,488   25,632 
          
Total expenses   276,020   215,024 
          
Net investment income (loss)   (252,097  (204,800
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   4,791,833   3,539,316 
Short-term U.S. government and agency obligations   (336  —   
          
Net realized gain (loss)   4,791,497   3,539,316 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (335,175  (8,276,672
Short-term U.S. government and agency obligations   (138,660  1,150 
          
Change in net unrealized appreciation (depreciation)   (473,835  (8,275,522
          
Net realized and unrealized gain (loss)   4,317,662   (4,736,206
          
Net income (loss)
  $4,065,565  $(4,941,006
          
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT YENVIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $23,691,070  $38,132,320 
          
Addition of 100,000 and 50,000 shares, respectively
   7,132,412   3,956,753 
          
Redemption of – and 150,000 shares, respectively
   —     (11,341,060
          
Net addition (redemption) of 100,000 and (100,000) shares, respectively
   7,132,412   (7,384,307
          
Net investment income (loss)
   (62,957  41,746 
Net realized gain (loss)
   1,259,573   (506,520
Change in net unrealized appreciation (depreciation)
   2,901,742   (697,069
          
Net income (loss)
   4,098,358   (1,161,843
          
Shareholders’ equity, end of period
  $34,921,840  $29,586,170 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $112,875,680  $72,075,095 
          
Addition of 700,000 and 400,000 shares, respectively   22,135,602   15,879,994 
Redemption of 1,275,000 and 200,000 shares, respectively   (41,206,933  (7,891,336
          
Net addition (redemption) of (575,000) and 200,000 shares, respectively   (19,071,331  7,988,658 
          
Net investment income (loss)   (252,097  (204,800
Net realized gain (loss)   4,791,497   3,539,316 
Change in net unrealized appreciation (depreciation)   (473,835  (8,275,522
          
Net income (loss)   4,065,565   (4,941,006
          
Shareholders’ equity, end of period
  $97,869,914  $75,122,747 
          
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT YENVIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $4,098,358  $(1,161,843
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
   (21,496,640  (12,760,075
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   7,000,000   34,374,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,141  (68,691
Change in unrealized appreciation (depreciation) on investments
   (2,901,742  697,069 
Decrease (Increase) in interest receivable
   410   5,925 
Increase (Decrease) in payable to Sponsor
   7,512   20,523 
          
Net cash provided by (used in) operating activities
   (13,294,243  21,106,908 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   7,132,412   3,956,753 
Payment on shares redeemed
   —     (11,341,060
          
Net cash provided by (used in) financing activities
   7,132,412   (7,384,307
          
Net increase (decrease) in cash
   (6,161,831  13,722,601 
Cash, beginning of period
   24,274,564   12,507,112 
          
Cash, end of period
  $18,112,733  $26,229,713 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $4,065,565  $(4,941,006
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   (51,992,010  (47,992,944
Proceeds from sales or maturities of short-term U.S. government and agency obligations   73,998,548   61,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (25,020  (5,327
Net realized (gain) loss on investments   336   —   
Change in unrealized (appreciation) depreciation on investments   138,660   (1,150
Decrease (Increase) in receivable on open futures contracts   (1,523,098  247,077 
Decrease (Increase) in interest receivable   1,097   (856
Increase (Decrease) in payable to Sponsor   (10,387  8,296 
Increase (Decrease) in brokerage commissions and futures account fees payable   2,998   875 
Increase (Decrease) in payable on open futures contracts   (94,495  188,562 
          
Net cash provided by (used in) operating activities   24,562,194   8,503,527 
          
Cash flow from financing activities
         
Proceeds from addition of shares   22,135,602   15,879,994 
Payment on shares redeemed   (41,206,933  (8,807,123
          
Net cash provided by (used in) financing activities   (19,071,331  7,072,871 
          
Net increase (decrease) in cash
   5,490,863   15,576,398 
Cash, beginning of period   27,071,819   27,802,834 
          
Cash, end of period  $32,562,682  $43,379,232 
          
See accompanying notes to financial statements.
83
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Table of Contents
PROSHARES VIX
MID-TERM
SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $31,997,344 and $44,999,073, respectively)
  $31,999,153   $44,999,732 
Cash
   29,170,532    14,723,084 
Segregated cash balances with brokers for futures contracts
   14,208,700    13,079,750 
Receivable on open futures contracts
   —      247,077 
Interest receivable
   1,499    643 
           
Total assets
   75,379,884    73,050,286 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      915,787 
Payable on open futures contracts
   188,562    —   
Brokerage commissions and fees payable
   11,270    10,395 
Payable to Sponsor
   57,305    49,009 
           
Total liabilities
   257,137    975,191 
           
Commitments and Contingencies (Note 2)
   0    0 
Shareholders’ equity
          
Shareholders’ equity
   75,122,747    72,075,095 
           
Total liabilities and shareholders’ equity
  $75,379,884   $73,050,286 
           
Shares outstanding
   2,162,403    1,962,403 
           
Net asset value per share
  $34.74   $36.73 
           
Market value per share (Note 2)
  $35.06   $36.70 
           
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $169,889,115 and $150,887,871, respectively)  $169,589,079   $150,861,898 
Cash   31,727,811    11,013,736 
Segregated cash balances with brokers for futures contracts   120,057,105    104,947,080 
Receivable from capital shares sold   9,145,462    3,026,614 
Receivable on open futures contracts   74,735,260    2,115,232 
Interest receivable   0      1,774 
           
Total assets   405,254,717    271,966,334 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   15    2,037,391 
Brokerage commissions and futures account fees payable   57,973    38,926 
Payable to Sponsor   246,329    186,853 
           
Total liabilities   304,317    2,263,170 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   404,950,400    269,703,164 
           
Total liabilities and shareholders’ equity  $405,254,717   $271,966,334 
           
Shares outstanding (Note 1)   24,382,826    17,832,826 
           
Net asset value per share (Note 1)  $16.61   $15.12 
           
Market value per share (Note 1) (Note 2)  $16.57   $15.17 
           
See accompanying notes to financial statements.
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Table of Contents
PROSHARES VIX
MID-TERM
SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2021
2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(43% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.041% due 04/15/21
  $5,000,000   $4,999,971 
0.086% due 05/20/21
   10,000,000    9,999,728 
0.040% due 06/17/21
   17,000,000    16,999,454 
       
Total short-term U.S. government and agency obligations
    
(cost $31,997,344)
    $31,999,153 
       
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(42% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $55,000,000   $54,995,418 
0.209% due 05/19/22   25,000,000    24,991,333 
0.351% due 06/16/22   20,000,000    19,981,634 
0.393% due 07/21/22   12,000,000    11,973,914 
0.223% due 11/03/22   58,000,000    57,646,780 
           
Total short-term U.S. government and agency obligations
(cost $169,889,115)
       $169,589,079 
           
Futures Contracts Purchased
 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
   550   $13,365,000   $(938,335
VIX Futures - Cboe, expires August 2021
   1,016    24,842,318    (3,842,774
VIX Futures - Cboe, expires September 2021
   1,016    25,249,530    (4,020,035
VIX Futures - Cboe, expires October 2021
   466    11,653,868    (609,144
         
           
$(9,410,288)
 
         
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2022   8,017   $188,150,973   $(38,308,680
VIX Futures - Cboe, expires May 2022   8,681    216,918,224    (4,996,257
                
             $(43,304,937
                
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
8591
PROSHARES VIX
MID-TERM
SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $10,224  $158,298 
          
Expenses
         
Management fee
   178,080   94,284 
Brokerage commissions
   11,312   15,939 
Brokerage fees
   25,632   155 
          
Total expenses
   215,024   110,378 
          
Net investment income (loss)
   (204,800  47,920 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   3,539,316   7,756,525 
          
Net realized gain (loss)
   3,539,316   7,756,525 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   (8,276,672  15,963,130 
Short-term U.S. government and agency obligations
   1,150   19,740 
          
Change in net unrealized appreciation (depreciation)
   (8,275,522  15,982,870 
          
Net realized and unrealized gain (loss)
   (4,736,206  23,739,395 
          
Net income (loss)
  $(4,941,006 $23,787,315 
          
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $70,709  $38,460 
          
Expenses
         
Management fee   705,691   825,460 
Brokerage commissions   116,474   172,658 
Futures accounts fees   200,657   265,146 
          
Total expenses   1,022,822   1,263,264 
          
Net investment income (loss)   (952,113  (1,224,804
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   53,734,127   (76,634,593
Short-term U.S. government and agency obligations   97   —   
          
Net realized gain (loss)   53,734,224   (76,634,593
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (13,174,318  (53,438,914
Short-term U.S. government and agency obligations   (274,063  8,060 
          
Change in net unrealized appreciation (depreciation)   (13,448,381  (53,430,854
          
Net realized and unrealized gain (loss)   40,285,843   (130,065,447
          
Net income (loss)
  $39,333,730  $(131,290,251
          
See accompanying notes to financial statements.
86
92

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $72,075,095  $45,986,584 
          
Addition of 400,000 and 375,000 shares, respectively
   15,879,994   10,708,061 
Redemption of 200,000 and 1,375,000 shares, respectively
   (7,891,336  (35,447,574
          
Net addition (redemption) of 200,000 and (1,000,000) shares, respectively
   7,988,658   (24,739,513
          
Net investment income (loss)
   (204,800  47,920 
Net realized gain (loss)
   3,539,316   7,756,525 
Change in net unrealized appreciation (depreciation)
   (8,275,522  15,982,870 
          
Net income (loss)
   (4,941,006  23,787,315 
          
Shareholders’ equity, end of period
  $75,122,747  $45,034,386 
          
See accompanying notes to financial statements.
87

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(4,941,006 $23,787,315 
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
   (47,992,944  (23,530,289
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   61,000,000   23,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (5,327  (68,368
Change in unrealized appreciation (depreciation) on investments
   (1,150  (19,740
Decrease (Increase) in receivable on futures contracts
   247,077   (2,635,835
Decrease (Increase) in interest receivable
   (856  22,658 
Increase (Decrease) in payable to Sponsor
   8,296   32,113 
Increase (Decrease) in brokerage commissions and fees payable
   875   —   
Increase (Decrease) in payable on futures contracts
   188,562   (1,129,877
          
Net cash provided by (used in) operating activities
   8,503,527   19,457,977 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   15,879,994   7,802,797 
Payment on shares redeemed
   (8,807,123  (35,447,574
          
Net cash provided by (used in) financing activities
   7,072,871   (27,644,777
          
Net increase (decrease) in cash
   15,576,398   (8,186,800
Cash, beginning of period
   27,802,834   33,130,653 
          
Cash, end of period
  $43,379,232  $24,943,853 
          
See accompanying notes to financial statements.
88

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $152,987,025 and $84,998,436, respectively)
  $152,996,232   $84,999,583 
Cash
   47,332,471    71,736,247 
Segregated cash balances with brokers for futures contracts
   150,530,784    134,825,900 
Receivable on open futures contracts
   1,887,259    2,295,585 
Interest receivable
   2,281    2,815 
           
Total assets
   352,749,027    293,860,130 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   2,819,500    231,900 
Brokerage commissions and fees payable
   120,448    81,049 
Payable to Sponsor
   230,321    156,632 
           
Total liabilities
   3,170,269    469,581 
           
Commitments and Contingencies (Note 2)
        
Shareholders’ equity
          
Shareholders’ equity
   349,578,758    293,390,549 
           
Total liabilities and shareholders’ equity
  $352,749,027   $293,860,130 
           
Shares outstanding
   37,501,317    21,326,317 
           
Net asset value per share
  $9.32   $13.76 
           
Market value per share (Note 2)
  $9.35   $13.74 
           
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $269,703,164  $293,390,549 
          
Addition of 9,950,000 and 6,331,250 shares, respectively (Note 1)   161,172,915   326,892,710 
Redemption of 3,400,000 and 2,287,500 shares, respectively (Note 1)   (65,259,409  (139,414,250
          
Net addition (redemption) of 6,550,000 and 4,043,750 shares, respectively (Note 1)   95,913,506   187,478,460 
          
Net investment income (loss)   (952,113  (1,224,804
Net realized gain (loss)   53,734,224   (76,634,593
Change in net unrealized appreciation (depreciation)   (13,448,381  (53,430,854
          
Net income (loss)   39,333,730   (131,290,251
          
Shareholders’ equity, end of period
  $404,950,400  $349,578,758 
          
See accompanying notes to financial statements.
89
93

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
SCHEDULE OF INVESTMENTS(unaudited)
MARCH 31, 2021
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(44% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
0.067% due
 
04/15/21
  $65,000,000   $64,999,623 
0.086% due 05/20/21
   18,000,000    17,999,510 
0.040% due 06/17/21
   45,000,000    44,998,556 
0.075% due 07/15/21
   25,000,000    24,998,543 
       
Total short-term U.S. government and agency obligations
(cost $152,987,025)
    $152,996,232 
       
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires April 2021
   8,754   $181,505,436   $(48,339,299
VIX Futures - Cboe, expires May 2021
   7,407    167,959,651    (11,463,705
         
      $(59,803,004
         
^^
Rates shown represent discount rate at the time of purchase.
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $39,333,730  $(131,290,251
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   (167,928,504  (247,959,463
Proceeds from sales or maturities of short-term U.S. government and agency obligations   148,999,840   180,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (72,483  (29,126
Net realized (gain) loss on investments   (97  —   
Change in unrealized (appreciation) depreciation on investments   274,063   (8,060
Decrease (Increase) in receivable on open futures contracts   (72,620,028  408,326 
Decrease (Increase) in interest receivable   1,774   534 
Increase (Decrease) in payable to Sponsor   59,476   73,689 
Increase (Decrease) in brokerage commissions and futures account fees payable   19,047   39,399 
Increase (Decrease) in payable on open futures contracts   (2,037,376  2,587,600 
          
Net cash provided by (used in) operating activities   (53,970,558  (196,177,352
          
Cash flow from financing activities
         
Proceeds from addition of shares   155,054,067   326,892,710 
Payment on shares redeemed   (65,259,409  (139,414,250
          
Net cash provided by (used in) financing activities   89,794,658   187,478,460 
          
Net increase (decrease) in cash
   35,824,100   (8,698,892
Cash, beginning of period   115,960,816   206,562,147 
          
Cash, end of period  $151,784,916  $197,863,255 
          
See accompanying notes to financial statements.
90
94

PROSHARES VIX SHORT-TERM FUTURES ETF
TRUST II
COMBINED STATEMENTS OF OPERATIONSFINANCIAL CONDITION
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Investment Income
         
Interest
  $38,460  $960,075 
          
Expenses
         
Management fee
   825,460   626,516 
Brokerage commissions
   172,658   184,760 
Brokerage fees
   265,146   4,774 
          
Total expenses
   1,263,264   816,050 
          
Net investment income (loss)
   (1,224,804  144,025 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (76,634,593  325,737,788 
          
Net realized gain (loss)
   (76,634,593  325,737,788 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   (53,438,914  67,783,030 
Short-term U.S. government and agency obligations
   8,060   119,214 
          
Change in net unrealized appreciation (depreciation)
   (53,430,854  67,902,244 
          
Net realized and unrealized gain (loss)
   (130,065,447  393,640,032 
          
Net income (loss)
  $(131,290,251 $393,784,057 
          
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,872,659,877 and $2,505,722,885, respectively)  $2,869,108,822   $2,505,429,337 
Cash   581,016,956    394,413,910 
Segregated cash balances with brokers for futures contracts   1,226,733,453    1,010,799,328 
Segregated cash balances with brokers for foreign currency forward contracts   —      916,000 
Segregated cash balances with brokers for swap agreements   275,071,040    2,572,000 
Unrealized appreciation on swap agreements   1,181,417    113,159,180 
Unrealized appreciation on foreign currency forward contracts   2,513,844    1,457,257 
Receivable from capital shares sold   46,461,985    23,475,355 
Securities sold receivable
  
6,195,418
   
0  
 
Receivable on open futures contracts   584,563,167    205,819,074 
Interest receivable   1    22,943 
           
Total assets   5,592,846,103    4,258,064,384 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   32,894,304    25,594,902 
Payable on open futures contracts   56,668,379    51,142,167 
Brokerage commissions and futures account fees payable   588,986    476,241 
Payable to Sponsor   4,055,508    3,178,585 
Unrealized depreciation on swap agreements   160,246,560    3,391,968 
Unrealized depreciation on foreign currency forward contracts   325,796    806,178 
           
Total liabilities   254,779,533    84,590,041 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   5,338,066,570    4,173,474,343 
           
Total liabilities and shareholders’ equity  $5,592,846,103   $4,258,064,384 
           
Shares outstanding (Note 1)   243,148,625    151,164,114 
           
See accompanying notes to financial statements.
91
95

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $293,390,549  $279,792,503 
          
Addition of 25,325,000 and 6,800,000 shares, respectively
   326,892,710   78,257,089 
Redemption of 9,150,000 and 23,675,000 shares, respectively
   (139,414,250  (528,778,295
          
Net addition (redemption) of 16,175,000 and (16,875,000) shares, respectively
   187,478,460   (450,521,206
          
Net investment income (loss)
   (1,224,804  144,025 
Net realized gain (loss)
   (76,634,593  325,737,788 
Change in net unrealized appreciation (depreciation)
   (53,430,854  67,902,244 
          
Net income (loss)
   (131,290,251  393,784,057 
          
Shareholders’ equity, end of period
  $349,578,758  $223,055,354 
          
See accompanying notes to financial statements.
92

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended
March 31,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)
  $(131,290,251 $393,784,057 
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
   (247,959,463  (137,588,047
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   180,000,000   149,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (29,126  (417,516
Change in unrealized appreciation (depreciation) on investments
   (8,060  (119,214
Decrease (Increase) in receivable on futures contracts
   408,326   770,570 
Decrease (Increase) in interest receivable
   534   (5,342
Increase (Decrease) in payable to Sponsor
   73,689   283,274 
Increase (Decrease) in brokerage commissions and fees payable
   39,399   —   
Increase (Decrease) in payable on futures contracts
   2,587,600   (2,062,759
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (196,177,352  403,645,023 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   326,892,710   78,257,089 
Payment on shares redeemed
   (139,414,250  (518,770,322
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   187,478,460   (440,513,233
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (8,698,892  (36,868,210
Cash, beginning of period
   206,562,147   194,935,341 
   
 
 
  
 
 
 
Cash, end of period
  $197,863,255  $158,067,131 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
93

PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2021
(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,026,810,504 and $1,034,967,523, respectively)
  $2,026,935,650   $1,034,986,384 
Cash
   893,065,733    1,651,161,384 
Segregated cash balances with brokers for futures contracts
   1,399,057,783    1,491,618,088 
Segregated cash balances with brokers for foreign currency forward contracts
   8,060,000    5,716,000 
Segregated cash balances with brokers for swap agreements
   220,571,316    107,967,985 
Unrealized appreciation on swap agreements
   6,931,663    80,135,841 
Unrealized appreciation on foreign currency forward contracts
   5,810,029    169,051 
Receivable from capital shares sold
   4,134,427    49,086,388 
Receivable on open futures contracts
   132,627,916    108,851,000 
Interest receivable
   172,108    66,871 
           
Total assets
  
$
 
4,697,366,625    4,529,758,992 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   3,233,023    18,280,444 
Payable on open futures contracts
   45,284,062    27,874,393 
Brokerage commissions and fees payable
   1,088,475    691,005 
Payable to Sponsor
   4,045,514    3,407,672 
Unrealized depreciation on swap agreements
   69,855,064    3,491,096 
Unrealized depreciation on foreign currency forward contracts
   630,820    1,714,898 
Securities purchased payable
   38,977,944    —   
Non-recurring
fees and expenses payable
   48,070    48,070 
           
Total liabilities
   163,162,972    55,507,578 
           
Commitments and Contingencies (Note 2)
  0   0  
Shareholders’ equity
          
Shareholders’ equity
   4,534,203,653    4,474,251,414 
           
Total liabilities and shareholders’ equity
  $4,697,366,625   $4,529,758,992 
           
Shares outstanding
   346,051,695    228,676,695 
           
See accompanying notes to financial statements.
94

PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020*
 
Investment Income
         
Interest
  $549,742  $7,499,714 
          
Expenses
         
Management fee
   12,169,010   5,838,804 
Brokerage commissions
   2,903,800   1,746,456 
Brokerage fees
   2,853,404   51,378 
          
Total expenses
   17,926,214   7,636,638 
          
Net investment income (loss)
   (17,376,472  (136,924
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
   (534,133,804  315,177,827 
Swap agreements
   55,764,481   (279,339,085
Options
   —     (9,707,000
Foreign currency forward contracts
   1,163,291   479,012 
Short-term U.S. government and agency obligations
   19,761   176,434 
          
Net realized gain (loss)
   (477,186,271  26,787,188 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
   (257,111,138  279,530,155 
Swap agreements
   (139,568,146  (341,111,914
Foreign currency forward contracts
   6,725,056   2,198,013 
Short-term U.S. government and agency obligations
   106,285   961,117 
          
Change in net unrealized appreciation (depreciation)
   (389,847,943  (58,422,629
          
Net realized and unrealized gain (loss)
   (867,034,214  (31,635,441
          
Net income (loss)
  $(884,410,686 $(31,772,365
          
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent.
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $1,026,882  $549,742 
Expenses
         
Management fee   10,616,957   12,169,010 
Brokerage commissions   1,908,765   2,903,800 
Futures account fees   1,804,923   2,853,404 
          
Total expenses   14,330,645   17,926,214 
          
Net investment income (loss)   (13,303,763  (17,376,472
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   408,448,775   (534,133,804
Swap agreements   705,182,989   55,764,481 
Foreign currency forward contracts   3,062,506   1,163,291 
Short-term U.S. government and agency obligations   227,575   19,761 
          
Net realized gain (loss)   1,116,921,845   (477,186,271
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   52,639,066   (257,111,138
Swap agreements   (268,832,355  (139,568,146
Foreign currency forward contracts   1,536,969   6,725,056 
Short-term U.S. government and agency obligations   (3,257,507  106,285 
          
Change in net unrealized appreciation (depreciation)   (217,913,827  (389,847,943
          
Net realized and unrealized gain (loss)   899,008,018   (867,034,214
          
Net income (loss)
  $885,704,255  $(884,410,686
          
See accompanying notes to financial statements.
9596
PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020*
 
Shareholders’ equity, beginning of period
  $4,474,251,414  $2,356,325,101 
          
Addition of 255,925,000 and 246,780,000 shares, respectively
   3,034,497,796   3,084,661,161 
Redemption of 138,550,000 and 107,815,000 shares, respectively
   (2,090,134,871  (2,662,911,931
          
Net addition (redemption) of 117,375,000 and 138,965,000 shares, respectively
   944,362,925   421,749,230 
          
Net investment income (loss)
   (17,376,472  (136,924
Net realized gain (loss)
   (477,186,271  26,787,188 
Change in net unrealized appreciation (depreciation)
   (389,847,943  (58,422,629
          
Net income (loss)
   (884,410,686  (31,772,365
          
Shareholders’ equity, end of period
  $4,534,203,653  $2,746,301,966 
          
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent.
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $4,173,474,343  $4,474,251,414 
          
Addition of 202,260,000 and 43,781,250 shares, respectively (Note 1)   3,082,800,285   3,034,497,796 
Redemption of 110,275,489 and 35,372,500 shares, respectively (Note 1)   (2,803,912,313  (2,090,134,871
          
Net addition (redemption) of 91,984,511 and 8,408,750 shares, respectively (Note 1)   278,887,972   944,362,925 
          
Net investment income (loss)   (13,303,763  (17,376,472
Net realized gain (loss)   1,116,921,845   (477,186,271
Change in net unrealized appreciation (depreciation)   (217,913,827  (389,847,943
          
Net income (loss)   885,704,255   (884,410,686
          
Shareholders’ equity, end of period
  $5,338,066,570  $4,534,203,653 
          
See accompanying notes to financial statements.
96
97

PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2021
  
2020*
 
Cash flow from operating activities
         
Net income (loss)
  $(884,410,686 $(31,772,365
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
   (3,414,460,174  (1,271,770,647
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,422,995,930   1,721,389,895 
Net amortization and accretion on short-term U.S. government and agency obligations
   (358,976  (4,035,875
Net realized gain (loss) on investments
   (19,761  (176,434
Change in unrealized appreciation (depreciation) on investments
   132,736,805   337,952,784 
Decrease (Increase) in securities sold receivable
   —     3,883 
Decrease (Increase) in receivable on futures contracts
   (23,776,916  (146,056,402
Decrease (Increase) in interest receivable
   (105,237  153,339 
Increase (Decrease) in payable to Sponsor
   637,842   2,222,523 
Increase (Decrease) in brokerage commissions and fees payable
   397,470   —   
Increase (Decrease) in payable on futures contracts
   17,409,669   (1,490,423
Increase (Decrease) in securities purchased payable
   38,977,944   —   
          
Net cash provided by (used in) operating activities
   (1,709,976,090  606,420,278 
          
Cash flow from financing activities
         
Proceeds from addition of shares
   3,079,449,757   2,985,264,602 
Payment on shares redeemed
   (2,105,182,292  (2,643,315,875
          
Net cash provided by (used in) financing activities
   974,267,465   341,948,727 
          
Net increase (decrease) in cash
   (735,708,625  948,369,005 
Cash, beginning of period
   3,256,463,457   1,190,195,205 
          
Cash, end of period**
  $2,520,754,832  $2,138,564,210 
          
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent.
**
Cash, end of period includes cash balances for the liquidated funds as of March 27, 2020.
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $885,704,255  $(884,410,686
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   (3,797,102,540  (3,414,460,174
Proceeds from sales or maturities of short-term U.S. government and agency obligations   3,431,442,943   2,422,995,930 
Net amortization and accretion on short-term U.S. government and agency obligations   (1,049,820  (358,976
Net realized (gain) loss on investments   (227,575  (19,761
Change in unrealized (appreciation) depreciation on investments   270,552,893   132,736,805 
Decrease (Increase) in securities sold receivable
   (6,195,418  0   
Decrease (Increase) in receivable on futures contracts   (378,744,093  (23,776,916
Decrease (Increase) in interest receivable   22,942   (105,237
Increase (Decrease) in payable to Sponsor   876,923   637,842 
Increase (Decrease) in brokerage commissions and futures account fees payable   112,745   397,470 
Increase (Decrease) in payable on futures contracts   5,526,212   17,409,669 
Increase (Decrease) in securities purchased payable   0     38,977,944 
          
Net cash provided by (used in) operating activities   410,919,467   (1,709,976,090
          
Cash flow from financing activities
         
Proceeds from addition of shares   3,059,813,655   3,079,449,757 
Payment on shares redeemed   (2,796,612,911  (2,105,182,292
          
Net cash provided by (used in) financing activities   263,200,744   974,267,465 
          
Net increase (decrease) in cash
   674,120,211   (735,708,625
Cash, beginning of period   1,408,701,238   3,256,463,457 
          
Cash, end of period  $2,082,821,449  $2,520,754,832 
          
See accompanying notes to financial statements.
97
98

PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
March 31, 20212022
(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 March 31, 2021,2022, 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, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of 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,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each “Short” Fund seeks daily investment results, 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 “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 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,
1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.
98

Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the three months ended 
March 31,
,
2021
, 2022, and during the year ended December 31, 2020.2021. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.
99

Fund
  
Execution Date (Prior
(Prior to Opening
of
Trading)
  
Type of Split
  
Date Trading
Resumed at Post-
Split Price
ProShares Ultra VIX Short-Term Futures ETFMay 25, 20211-for-10 reverse Share splitMay 26, 2021
ProShares UltraShort Bloomberg Crude Oil  April 20, 2020May 25, 2021  
1-for-251-for-4 reverse Share split
  April 21, 2020May 26, 2021
ProShares UltraUltraShort SilverMay 25, 20211-for-4 reverse Share splitMay 26, 2021
ProShares VIX Short-Term Futures ETFMay 25, 20211-for-4 reverse Share splitMay 26, 2021
ProShares UltraShort Bloomberg Natural Gas  April 20, 2020January 13, 2022  
1-for-101-for-5 reverse Share split
  April 21, 2020January 14, 2022
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, 2020,2021, as filed with the SEC on February 19, 2021.25, 2022.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote.
Basis of Presentation
Pursuant to rules and regulations of the 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

Table of Contents
Statements of Cash Flows
The cash amountamounts shown in the Statements of Cash Flows isare the amountamounts reported as cash in the Statements of Financial Condition dated March 31, 20212022 and 2020,2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
100

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 three months ended March 31, 20212022 were typically as follows. All times are Eastern Standard Time:
Fund
  
Create/Redeem
Cut-off*
  
NAV Calculation
Time
  
NAV
NAV
Calculation Date
Ultra Silver and UltraShort Silver
  1:00 p.m.  1:25 p.m.  March 31, 20212022
Ultra Gold and UltraShort Gold
  1:00 p.m.  1:30 p.m.  March 31, 20212022
Ultra Bloomberg Crude Oil,         
Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
      
UltraShort Bloomberg Crude Oil and
      
UltraShort Bloomberg Natural Gas
  2:00 p.m.  2:30 p.m.  March 31, 20212022
Short Euro,         
ShortUltra Euro,
      
Ultra Euro,
Yen,
      
Ultra Yen,
UltraShort Australian Dollar,
      
UltraShort Australian Dollar,
Euro and
      
UltraShort Euro and
UltraShort Yen
  3:00 p.m.  4:00 p.m.  March 31, 20212022
Short VIX Short-Term Futures ETF,         
Short VIX Short-Term Futures ETF**,
Ultra VIX Short-Term Futures ETF**,
ETF,
      
VIX
Mid-Term
Futures ETF**ETF and
      
VIX Short-Term Futures ETF**
ETF
  2:00 p.m.  4:00 p.m.  March 31, 2021
2022
*
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 three months ended March 31, 2021.
2022.
**
On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 in these Notes to Financial Statements for more information.
Market value per Share is determined at the close of the applicable primary listing exchange and may be later thanfrom when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2021.2022.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Derivatives (e.g., 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.
100

Table of Contents
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
101

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.
The following table summarizes the valuation of investments at March 31, 2022 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  $—     $2,656  $—    $—    $2,656 
ProShares Short VIX Short-Term Futures ETF   180,357,257    35,984,462   —     —     216,341,719 
ProShares Ultra Bloomberg Crude Oil   1,016,050,654    245,591,163   —     (128,285,274  1,133,356,543 
ProShares Ultra Bloomberg Natural Gas   95,749,617    76,824,603   —     —     172,574,220 
ProShares Ultra Euro   4,685,054    —     (50,318  —     4,634,736 
ProShares Ultra Gold   298,473,849    (7,245,013  —     (8,110,556  283,118,280 
ProShares Ultra Silver   465,290,460    9,192,378   —     (23,850,730  450,632,108 
101
102

The following table
                     
ProShares Ultra VIX Short-Term Futures ETF  
$

193,118,875   
$

(161,212,660 
$

—    
$
—    $31,906,215 
ProShares Ultra Yen   993,910    —     (231,651  —     762,259 
ProShares UltraShort Australian Dollar   —      (96,657  —     —     (96,657
ProShares UltraShort Bloomberg Crude Oil   172,675,022    (6,293,470  —     —     166,381,552 
ProShares UltraShort Bloomberg Natural Gas   109,627,801    (74,095,907  —     —     35,531,894 
ProShares UltraShort Euro   41,892,032    —     134,035   —     42,026,067 
ProShares UltraShort Gold   21,937,571    325,987   —     908,323   23,171,881 
ProShares UltraShort Silver   13,910,829    267,147   —     273,094   14,451,070 
ProShares UltraShort Yen   20,954,357    —     2,335,982   —     23,290,339 
ProShares VIX
Mid-Term
Futures ETF
   63,802,455    (959,563  —     —     62,842,892 
ProShares VIX Short-Term Futures ETF   169,589,079    (43,304,937  —     —     126,284,142 
                       
Combined Trust:
  
$
2,869,108,822
 
  
$
74,980,189
 
 
$
2,188,048
 
 
$
(159,065,143
 
$
2,787,211,916
 
 
summarizes the valuation of investments at March 31, 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
  $999,973   $33,928  $—    $—    $1,033,901 
ProShares Short VIX Short-Term Futures ETF
   91,998,460    50,470,675   —     —     142,469,135 
ProShares Ultra Bloomberg Crude Oil
   689,976,589    238,548,911   —     (40,748,594  887,776,906 
ProShares Ultra Bloomberg Natural Gas
   33,999,110    (11,300,062  —     —     22,699,048 
ProShares Ultra Euro
   999,973    —     (222,404  —     777,569 
ProShares Ultra Gold
   86,998,893    393,125   —     6,160,430   93,552,448 
ProShares Ultra Silver
   419,985,837    (15,401,821  —     (28,421,003  376,163,013 
ProShares Ultra VIX Short-Term Futures ETF
   376,985,173    (332,928,249  —     —     44,056,924 
ProShares Ultra Yen
   499,986    —     (189,002  —     310,984 
ProShares UltraShort Australian Dollar
   —      67,102   —     —     67,102 
ProShares UltraShort Bloomberg Crude Oil
   34,999,082    (9,000,179  —     —     25,998,903 
ProShares UltraShort Bloomberg Natural Gas
   43,998,801    16,272,857   —     —     60,271,658 
ProShares UltraShort Euro
   17,999,536    —     3,254,693   —     21,254,229 
ProShares UltraShort Gold
   12,999,597    39,145   —     (685,467  12,353,275 
ProShares UltraShort Silver
   14,999,620    3,276,894   —     771,233   19,047,747 
ProShares UltraShort Yen
   14,499,635    —     2,335,922   —     16,835,557 
ProShares VIX
Mid-Term
Futures ETF
   31,999,153    (9,410,288  —     —     22,588,865 
ProShares VIX Short-Term Futures ETF
   152,996,232    (59,803,004  —     —     93,193,228 
                       
Total Trust
  
$
2,026,935,650
 
  
$
(128,740,966
 
$
5,179,209
 
 
$
(62,923,401
 
$
1,840,450,492
 
*
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, 20202021 using the fair value hierarchy:
 
  
                          
   
                          
   
                          
   
                          
   
                          
           
  
Level I - Quoted Prices
 
Level II - Other Significant
Observable Inputs
     
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
   
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
 
Foreign

Currency

Forward

Contracts
 
Swap

Agreements
 
Total
 
ProShares Short Euro
  $—     $(44,626 $—    $—    $(44,626  $—     $(5,400 $—    $—    $(5,400
ProShares Short VIX Short-Term Futures ETF
   69,999,639    8,348,783   —     —     78,348,422    147,815,719    31,275,278   —     —     179,090,997 
ProShares Ultra Bloomberg Crude Oil
   219,998,394    144,564,039   —     18,242,195   382,804,628    848,757,567    147,455,525   —     63,928,293   1,060,141,385 
ProShares Ultra Bloomberg Natural Gas
   29,999,889    6,500,721   —     —     36,500,610    90,922,438    (8,206,161  —     —     82,716,277 
ProShares Ultra Euro
   —      —     88,736   —     88,736    997,678    —     82,652   —     1,080,330 
ProShares Ultra Gold
   74,999,467    2,646,874   —     5,140,980   82,787,321    207,956,320    654,894   —     8,639,188   217,250,402 
ProShares Ultra Silver
   244,993,989    37,190,212   —     56,752,666   338,936,867    451,872,982    2,506,545   —     40,591,699   494,971,226 
ProShares Ultra VIX Short-Term Futures ETF
   244,995,969    (48,524,666  —     (24,807  196,446,496    221,660,593    (126,356,757  —     (477,437  94,826,399 
ProShares Ultra Yen
   —      —     67,087   —     67,087    —      —     (93,112  —     (93,112
ProShares UltraShort Australian Dollar
   —      (138,950  —     —     (138,950   1,999,875    (65,155  —     —     1,934,720 
ProShares UltraShort Bloomberg Crude Oil
   —      (14,636,813  —     —     (14,636,813   55,916,023    (8,409,462  —     —     47,506,561 
ProShares UltraShort Bloomberg Natural Gas
   9,999,861    379,310   —     —     10,379,171    123,821,548    13,436,251   —     —     137,257,799 
ProShares UltraShort Euro
   9,999,861    —     (1,136,704  —     8,863,157    46,961,125    —     (208,041  —     46,753,084 
ProShares UltraShort Gold
   —      (196,930  —     (268,728  (465,658   25,980,516    158,079   —     (993,117  25,145,478 
ProShares UltraShort Silver
   —      (220,076  —     (3,197,561  (3,417,637   22,994,261    652,493   —     (1,921,414  21,725,340 
ProShares UltraShort Yen
   —      —     (564,966  —     (564,966   20,987,825    —     869,580   —     21,857,405 
ProShares VIX
Mid-Term
Futures ETF
   44,999,732    (1,133,616  —     —     43,866,116    85,922,969    (624,388  —     —     85,298,581 
ProShares VIX Short-Term Futures ETF
   84,999,583    (6,364,090  —     —     78,635,493    150,861,898    (30,130,619  —     —     120,731,279 
                                  
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
 
$
76,644,745
 
 
$
1,238,455,454
 
Combined Trust:
  
$
2,505,429,337
 
  
$
22,341,123
 
 
$
651,079
 
 
$
109,767,212
 
 
$
2,638,188,751
 
 
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*
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.
There were no transfers into or out of Level 3 for the fiscal year end.
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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.
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.
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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.
104

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.
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
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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
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may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
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
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(“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.
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Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.
The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each 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 March 31, 20212022
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.
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 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.
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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
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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 March 31, 2021,2022, 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 March 31, 2021,2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
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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’
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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 Statements of Financial Condition as
w
ell well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of March 31, 2022
 
Fair Value of Derivative Instruments as of March 31, 2021
 
    
      
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted for
as Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts
     Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements     
   ProShares Short VIX Short-Term Futures ETF     $50,470,675    $—   
   ProShares Ultra VIX Short-Term Futures ETF      —        332,928,249
   ProShares VIX
Mid-Term
Futures ETF
      —        9,410,288
   ProShares VIX Short-Term Futures ETF      —        59,803,004
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      238,887,300     41,086,983
   ProShares Ultra Bloomberg Natural Gas      —        11,300,062
   ProShares Ultra Gold      6,553,555     —   
   ProShares Ultra Silver      —        43,822,824
   ProShares UltraShort Bloomberg Crude Oil      469,128     9,469,307
   ProShares UltraShort Bloomberg Natural Gas      16,272,857     —   
   ProShares UltraShort Gold      39,145     685,467
   ProShares UltraShort Silver      4,048,127     —   
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      33,928     —   
   ProShares Ultra Euro      4,330      226,734 
   ProShares Ultra Yen      3,041      192,043 
108

Fair Value of Derivative Instruments as of March 31, 2021
 
    
      
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted for
as Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
   ProShares UltraShort
Australian Dollar
     
$
67,102    
$
—   
   ProShares UltraShort Euro      3,436,568      181,875 
   ProShares UltraShort Yen      2,366,090      30,168 
      
Total Trust
  
$
322,651,846
    
$
509,137,004
    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  $35,984,462  $—   
 ProShares Ultra VIX Short-Term Futures ETF   —      161,212,660
 ProShares VIX
Mid-Term
Futures ETF
   269,090   1,228,653
 ProShares VIX Short-Term Futures ETF   —      43,304,937
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   245,591,163   128,285,274
 ProShares Ultra Bloomberg Natural Gas   76,824,603   —   
 ProShares Ultra Gold   —      15,355,569
 ProShares Ultra Silver   9,192,378   23,850,730
 ProShares UltraShort Bloomberg Crude Oil   116,312   6,409,782
 ProShares UltraShort Bloomberg Natural Gas   —      74,095,907
 ProShares UltraShort Gold   1,234,310   —   
 ProShares UltraShort Silver   733,630   193,389
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   2,656   —   
 ProShares Ultra Euro   —      50,318 
 ProShares Ultra Yen   7,119    238,770 
 ProShares UltraShort Australian Dollar   —      96,657
 ProShares UltraShort Euro   134,035    —   
 ProShares UltraShort Yen   2,372,690    36,708 
           
  Combined Trust: $372,462,448
*
 
  $454,359,354
*
 
 
*
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 of Derivative Instruments as of December 31, 2020
 
    
     
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted for
as Hedging Instruments
 
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts
    Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements     
  ProShares Short VIX Short-Term Futures ETF     $8,348,783
*
 
    $—   
  ProShares Ultra VIX Short-Term Futures ETF      —        48,549,473
*
 
  
ProShares VIX
 
Mid-Term
 
Futures ETF
      147,915
*
 
     1,281,531
*
 
  ProShares VIX Short-Term Futures ETF      —        6,364,090
*
 
Commodities Contracts
    Receivables on open futures contracts and/or unrealized appreciation on swap agreements      Payable on open futures contracts and/or unrealized depreciation on swap agreements     
  ProShares Ultra Bloomberg Crude Oil      162,806,234
*
 
     —   
  ProShares Ultra Bloomberg Natural Gas      6,500,721
*
 
     —   
  ProShares Ultra Gold      7,787,854
*
 
     —   
  ProShares Ultra Silver      93,942,878
*
 
     —   
  ProShares UltraShort Bloomberg Crude Oil      —        14,636,813
*
 
  ProShares UltraShort Bloomberg Natural Gas      379,310
*
 
     —   
  ProShares UltraShort Gold      —        465,658
*
 
  ProShares UltraShort Silver      —        3,417,637
*
 
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
*
 
109

 
Fair Value of Derivative Instruments as of December 31, 2021
 
 
      Asset Derivatives  Liability Derivatives 
Derivatives Not
Accounted for as
Hedging Instruments
  Fund  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts    Receivables on open futures contracts, unrealized appreciation on swap agreements   Payable on open futures contracts, unrealized depreciation on swap agreements  
  ProShares Short VIX Short-Term Futures ETF    $31,275,278   $—   
  ProShares Ultra VIX Short-Term Futures ETF     —       126,834,194
  ProShares VIX
Mid-Term
Futures ETF
     642,035    1,266,423
  ProShares VIX Short-Term Futures ETF     —       30,130,619
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     211,383,818    —   
  ProShares Ultra Bloomberg Natural Gas     —       8,206,161
  ProShares Ultra Gold     9,294,082    —   
  ProShares Ultra Silver     43,098,244    —   
  ProShares UltraShort Bloomberg Crude Oil     549,283    8,958,745
  ProShares UltraShort Bloomberg Natural Gas     13,436,251    —   
  ProShares UltraShort Gold     158,079    993,117
  ProShares UltraShort Silver     652,493    1,921,414
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     —       5,400
  ProShares Ultra Euro     84,150     1,498 
  ProShares Ultra Yen     821     93,933 
  ProShares UltraShort Australian Dollar     —       65,155
  ProShares UltraShort Euro     135,118     343,159 
  ProShares UltraShort Yen     1,237,168     367,588 
               
    Combined Trust:  $311,946,820
*
 
   $179,187,406
*
 
 
Fair Value
 
of Derivative Instruments as of December 31, 2020
 
    
      
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted for
as Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
   ProShares UltraShort Euro     $5,705     $1,142,409 
   ProShares UltraShort Yen      7,008      571,974 
                   
      
Total Trust
  
$
280,082,746
*
 
    
$
76,613,676
*
 
*
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/pay
a
blepayable on open futures.
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 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  $24,209,417  $42,121,892 
      ProShares Ultra VIX Short-Term Futures ETF   (704,518,024  (284,378,776
      
ProShares VIX
 
Mid-Term
 
Futures ETF
   3,539,316   (8,276,672
      ProShares VIX Short-Term Futures ETF   (76,634,593  (53,438,914
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   334,351,228   34,994,083 
      ProShares Ultra Bloomberg Natural Gas   41,582,385   (17,800,783
      ProShares Ultra Gold   (51,248,132  (1,234,299
      ProShares Ultra Silver   4,910,551   (137,765,702
      ProShares UltraShort Bloomberg Crude Oil   (49,177,765  5,636,634 
      ProShares UltraShort Bloomberg Natural Gas   (6,359,394  15,893,547 
      ProShares UltraShort Gold   4,003,190   (180,664
      ProShares UltraShort Silver   (2,932,351  7,465,764 
 
110

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 202
1
 
     
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro  $69,393  $78,554 
      ProShares Ultra Euro   (27,342  (311,140
      ProShares Ultra Yen   (139,467  (256,089
      ProShares UltraShort Australian Dollar   (164,544  206,052 
      ProShares UltraShort Euro   70,527   4,391,397 
      ProShares UltraShort Yen   1,259,573   2,900,888 
                
      
Total Trust
  
$
(477,206,032
 
$
(389,954,228
 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 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  $(244,300,604 $20,973,802 
      ProShares Ultra VIX Short-Term Futures ETF   726,085,231   176,381,861 
      ProShares VIX
Mid-Term
Futures ETF
   7,756,525   15,963,130 
      ProShares VIX Short-Term Futures ETF   325,737,788   67,783,030 
Commodities Contracts
  Net realized gain (loss) on futures
contracts
, options
and swap
agreements/ changes in unrealized
appreciation (depreciation) on
futures contracts and swap
agreements
            
      ProShares Ultra Bloomberg Crude
Oil
   (505,591,266  (322,776,550
      ProShares Ultra Bloomberg Natural Gas   (22,819,605  (4,466,823
      ProShares Ultra Gold   21,498,056   (19,153,296
      ProShares Ultra Silver   (3,697,654  (85,172,612
      ProShares UltraPro 3x Crude Oil ETF*   (414,693,599  (7,266,550
111

The
 
Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 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
 
      ProShares UltraPro 3x Short Crude Oil ETF*  $83,293,001  $8,358,056 
      ProShares UltraShort Bloomberg Crude Oil   51,674,022   76,578,230 
      ProShares UltraShort Bloomberg Natural Gas   5,626,177   3,334,986 
      ProShares UltraShort Gold   (5,930,882  2,675,796 
      ProShares UltraShort Silver   842,240   4,190,271 
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   (18,638  67,324 
      ProShares Ultra Euro   (53,268  (221,334
      ProShares Ultra Yen   (8,483  (19,239
      ProShares UltraShort Australian Dollar   670,950   947,586 
      ProShares UltraShort Euro   1,047,283   3,137,931 
      ProShares UltraShort Yen   (506,520  (699,345
                
      
Total Trust
  
$
26,610,754
 
 
$
(59,383,746
                
 
*   The operations include the activity through March 27, 2020, the date liquidation was determined to be imminent.
 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2022
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  Fund  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
    ProShares Short VIX Short-Term Futures ETF  $(41,100,614 $4,709,184 
    ProShares Ultra VIX Short-Term Futures ETF   280,994,684   (34,378,466
    
ProShares VIX
Mid-Term
Futures ETF
   4,791,833   (335,175
    ProShares VIX Short-Term Futures ETF   53,734,127   (13,174,318
Commodities Contracts  Net 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   799,423,070   (94,077,929
    ProShares Ultra Bloomberg Natural Gas   76,220,688   85,030,764 
    ProShares Ultra Gold   57,818,596   (24,649,651
    ProShares Ultra Silver   116,637,027   (57,756,596
    ProShares UltraShort Bloomberg Crude Oil   (106,482,101  2,115,992 
    ProShares UltraShort Bloomberg Natural Gas   (114,665,698  (87,532,158
    ProShares UltraShort Gold   (6,308,673  2,069,348 
    ProShares UltraShort Silver   (7,373,746  1,809,162 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Short Euro   59,419   8,056 
    ProShares Ultra Euro   (441,030  (132,970
    ProShares Ultra Yen   (118,771  (138,539
    ProShares UltraShort Australian Dollar   (116,848  (31,502
    ProShares UltraShort Euro   2,542,134   342,076 
    ProShares UltraShort Yen   1,080,173   1,466,402 
             
    Combined Trust:  $1,116,694,270  $(214,656,320
111

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 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  $24,209,417  $42,121,892 
    ProShares Ultra VIX Short-Term Futures ETF   (704,518,024  (284,378,776
    
ProShares VIX
Mid-Term
Futures ETF
   3,539,316   (8,276,672
    ProShares VIX Short-Term Futures ETF   (76,634,593  (53,438,914
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   334,351,228   34,994,083 
    ProShares Ultra Bloomberg Natural Gas   41,582,385   (17,800,783
    ProShares Ultra Gold   (51,248,132  (1,234,299
    ProShares Ultra Silver   4,910,551   (137,765,702
    ProShares UltraShort Bloomberg Crude Oil   (49,177,765  5,636,634 
    ProShares UltraShort Bloomberg Natural Gas   (6,359,394  15,893,547 
    ProShares UltraShort Gold   4,003,190   (180,664
    ProShares UltraShort Silver   (2,932,351  7,465,764 
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   69,393   78,554 
    ProShares Ultra Euro   (27,342  (311,140
    ProShares Ultra Yen   (139,467  (256,089
    ProShares UltraShort Australian Dollar   (164,544  206,052 
    ProShares UltraShort Euro   70,527   4,391,397 
    ProShares UltraShort Yen   1,259,573   2,900,888 
             
    Combined Trust:  $(477,206,032 $(389,954,228
112

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 March 31, 2021.2022.
 
112
113

Fair Values of Derivative Instruments as of March 31, 2021
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts of
Recognized Assets
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts of
Recognized Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities presented
in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                              
Swap agreements
  $0
  
   $ 0     $0
  
   $40,748,594   $ 0     $40,748,594 
ProShares Ultra Euro
                              
Foreign currency forward contracts
   4,330    0
  
    4,330    226,734    0
  
    226,734 
ProShares Ultra Gold
                              
Swap agreements
   6,160,430    0
  
    6,160,430    0
  
    0
  
    0
  
 
ProShares Ultra Silver
                              
Swap agreements
   0
  
    0
  
    0
  
    28,421,003    0
  
    28,421,003 
ProShares Ultra Yen
                              
Foreign currency forward contracts
   3,041    0
  
    3,041    192,043    0
  
    192,043 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   3,436,568    0
  
    3,436,568    181,875    0
  
    181,875 
ProShares UltraShort Gold
                              
Swap agreements
   0
  
    0
  
    0
  
    685,467    0
  
    685,467 
ProShares UltraShort Silver
                              
Swap agreements
   771,233    0
  
    771,233    0
  
    0
  
    0
  
 
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   2,366,090    0
  
    2,366,090    30,168    0
  
    30,168 
                         
Fair Values of Derivative Instruments as of March 31, 2022
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts

of Recognized

Assets presented

in the

Statements of

Financial

Condition
   
Gross Amounts

Offset in the

Statements of
Financial

Condition
   
Net Amounts of
Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts

of Recognized

Liabilities

presented in the
Statements of
Financial

Condition
   
Gross Amounts

Offset in the

Statements of

Financial

Condition
   
Net Amounts of

Liabilities

presented in the

Statements of

Financial

Condition
 
ProShares Ultra Bloomberg Crude Oil Swap agreements  $0     $0     $0     $128,285,274   $0     $128,285,274 
ProShares Ultra Euro Foreign currency forward contracts   0      0      0      50,318    0      50,318 
ProShares Ultra Gold Swap agreements   0      0      0      8,110,556    0      8,110,556 
ProShares Ultra Silver Swap agreements   0      0      0      23,850,730    0      23,850,730 
ProShares Ultra Yen Foreign currency forward contracts   7,119    0      7,119    238,770    0      238,770 
ProShares UltraShort Euro Foreign currency forward contracts   134,035    0      134,035    0      0      0   
ProShares UltraShort Gold Swap agreements   908,323    0      908,323    0      0      0   
ProShares UltraShort Silver Swap agreements   273,094    0      273,094    0      0      0   
ProShares UltraShort Yen Foreign currency forward contracts   2,372,690    0      2,372,690    36,708    0      36,708 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
114

                 
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2022
 
Fund
  
Amounts of Recognized Assets /

(Liabilities) presented in the

Statements of Financial Condition
  
Financial Instruments for

the Benefit of (the Funds) /
the Counterparties
  
Cash Collateral for the

Benefit of (the Funds) / the

Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil                 
Citibank, N.A.  $(18,119,250 $0    $18,119,250  $0   
Goldman Sachs International   (36,248,743  28,534,743   7,714,000   0   
Morgan Stanley & Co. International PLC   (31,383,289  31,383,289   0     0   
Societe Generale   (17,086,634  17,086,634   0     0   
UBS AG   (25,447,358  0     25,447,358   0   
ProShares Ultra Euro                 
Goldman Sachs International   (7,961  7,961   0     0   
UBS AG   (42,357  42,357   0     0   
ProShares Ultra Gold                 
Citibank, N.A.   (2,792,482  0     2,792,482   0   
Goldman Sachs International   (2,413,156  625,156   1,788,000   0   
UBS AG   (2,904,918  2,904,918   0     0   
ProShares Ultra Silver                 
Citibank, N.A.   (7,141,286  0     7,141,286   0   
Goldman Sachs International   (5,875,157  0     5,875,157   0   
Morgan Stanley & Co. International PLC   (5,474,180  5,474,180   0     0   
UBS AG   (5,360,107  0     5,360,107   0   
ProShares Ultra Yen                 
Goldman Sachs International   (140,970  140,970   0     0   
UBS AG   (90,861  0     0     (90,861
ProShares UltraShort Euro                 
Goldman Sachs International   83,304   0     0     83,304 
UBS AG   50,731   0     0     50,731 
ProShares UltraShort Gold                 
Citibank, N.A.   372,654   0     0     372,654 
Goldman Sachs International   244,146   (244,146  0     0   
UBS AG   291,523   0     (291,523  0   
ProShares UltraShort Silver                 
Citibank, N.A.   (193,389  193,389   0     0   
Goldman Sachs International   259,041   (259,041  0     0   
Morgan Stanley & Co. International PLC   204,525   0     (204,525  0   
UBS AG   2,917   0     0     2,917 
ProShares UltraShort Yen                 
Goldman Sachs International   748,238   (748,238  0     0   
UBS AG   1,587,744   0   (1,587,744)  0   
115

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, 2021:
                         
Fair Values of Derivative Instruments as of December 31, 2021
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts

of Recognized

Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts

Offset in the

Statements of

Financial

Condition
   
Net Amounts of
Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts

of Recognized

Liabilities

presented in the

Statements of
Financial

Condition
   
Gross Amounts
Offset in the
Statements of
Financial

Condition
   
Net Amounts of

Liabilities

presented in the

Statements of

Financial

Condition
 
ProShares Ultra Bloomberg Crude Oil                              
Swap agreements  $63,928,293   $0     $63,928,293   $0     $0     $0   
ProShares Ultra Euro                              
Foreign currency forward contracts   84,150    0      84,150    1,498    0      1,498 
ProShares Ultra Gold                              
Swap agreements   8,639,188    0      8,639,188    0      0      0   
ProShares Ultra Silver                              
Swap agreements   40,591,699    0      40,591,699    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF                              
Swap agreements   0      0      0      477,437    0      477,437 
ProShares Ultra Yen                              
Foreign currency forward contracts   821    0      821    93,933    0      93,933 
ProShares UltraShort Euro                              
Foreign currency forward contracts   135,118    0      135,118    343,159    0      343,159 
ProShares UltraShort Gold                              
Swap agreements   0      0      0      993,117    0      993,117 
ProShares UltraShort Silver                              
Swap agreements   0      0      0      1,921,414    0      1,921,414 
ProShares UltraShort Yen                              
Foreign currency forward contracts   1,237,168    0      1,237,168    367,588    0      367,588 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 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 March 31, 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
                 
Goldman Sachs International
  $(7,714,941 $0
  
  $7,714,941  $0
  
 
Morgan Stanley & Co.
International PLC
   (14,480,061  14,480,061   0
  
   0
  
 
Societe Generale
   (7,452,971  0
  
   7,452,971   0
  
 
UBS AG
   (11,100,621  0
  
   11,100,621   0
  
 
ProShares Ultra Euro
                 
Goldman Sachs International
   (78,549  0
  
   78,549   0
  
 
UBS AG
   (143,855  0
  
   143,855   0
  
 
ProShares Ultra Gold
                 
Citibank, N.A.
   2,121,049   0
  
   (310,000  1,811,049 
Goldman Sachs International
   1,832,931   (259,558  0
  
   1,573,373 
UBS AG
   2,206,451   0
  
   (330,000  1,876,451 
ProShares Ultra Silver
                 
Citibank, N.A.
   (8,800,436  8,800,436   0
  
   0
  
 
Goldman Sachs International
   (6,616,052  0
  
   6,616,052   0
  
 
Morgan Stanley & Co.
International PLC
   (6,918,147  6,918,147   0
  
   0
  
 
UBS AG
   (6,086,368  0
  
   6,086,368   0
  
 
ProShares Ultra VIX Short-Term
Futures ETF
                 
113116

Gross Amounts
 
Not Offset in the Statements of Financial Condition as of March 31, 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
 
Goldman Sachs & Co.
  0    0    0    0   
ProShares Ultra Yen
                 
Goldman Sachs
International
   (106,904  0     106,904   0   
UBS AG
   (82,098  0     82,098   0   
ProShares UltraShort Euro
                 
Goldman Sachs
International
   1,328,784   (1,154,554  0     174,230 
UBS AG
   1,925,909   0     (1,700,000  225,909 
ProShares UltraShort Gold
                 
Citibank, N.A.
   (291,552  156,152   135,400   0   
Goldman Sachs
International
   (301,800  0     301,800   0   
UBS AG
   (92,116  0     92,116   0   
ProShares UltraShort Silver
                 
Citibank, N.A.
   248,259   0     (248,259  0   
Goldman Sachs
International
   135,199   (135,199  0     0   
Morgan Stanley & Co. International PLC
   259,594   0     (259,594  0   
UBS AG
   128,181   0     (128,181  0   
ProShares UltraShort Yen
                 
Goldman Sachs
International
   645,892   (597,669  0     48,223 
UBS AG
   1,690,031   0     (1,510,000  180,031 
The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts a
v
ailable for offset
under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2020:
114

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, 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, 2020
 
     
   
Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
   
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
  
Cash Collateral for the
Benefit of (the Funds) /
the Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
                  
Goldman Sachs International
  $1,377,243   $(1,281,309 $0    $95,934 
Morgan Stanley & Co. International PLC
   10,959,227    0     (10,629,000  330,227 
Societe Generale
   1,679,334    (1,679,334  0     0   
UBS AG
   4,226,391    (4,151,442  (6,270  68,679 
ProShares Ultra Euro
                  
Goldman Sachs International
   22,950    0     0     22,950 
UBS AG
   65,786    0     0     65,786 
ProShares Ultra Gold
                  
Citibank, N.A.
   1,770,050    0     (1,670,000  100,050 
Goldman Sachs International
   1,529,612    (1,497,203  0     32,409 
UBS AG
   1,841,318    0     0     1,841,318 
ProShares Ultra Silver
                  
Citibank, N.A.
   18,010,776    0     (18,010,776  0   
115

        
Gross
Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
 
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021
 
   
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
 
  
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.  $9,839,441  $0    $(9,839,441 $0   
Goldman Sachs International   13,920,431   (13,889,225  (31,206  0   
Morgan Stanley & Co. International PLC   17,042,319   0     (17,042,319  0   
Societe Generale   9,295,046   (9,292,398  (2,648  0   
UBS AG   13,831,056   0     (13,831,056  0   
ProShares Ultra Euro   
Goldman Sachs International   10,301   0     0     10,301 
UBS AG   72,351   0     0     72,351 
ProShares Ultra Gold   
Citibank, N.A.   2,974,490   0     (2,100,000  874,490 
Goldman Sachs International   2,570,443   (1,877,749  (250  692,444 
UBS AG   3,094,255   0     (2,180,000  914,255 
ProShares Ultra Silver   
Citibank, N.A.   10,785,304   0     (7,890,000  2,895,304 
Goldman Sachs International
  $12,930,574  $(12,930,574 $0    $0      10,781,897   (8,181,572  (5,925  2,594,400 
Morgan Stanley & Co. International PLC
   12,353,706   0     (12,353,706  0      10,046,034   0     (7,306,000  2,740,034 
UBS AG
   13,457,610   (4,126,610  (9,331,000  0      8,978,464   0     (6,570,000  2,408,464 
ProShares Ultra VIX Short-Term Futures ETF
            
Goldman Sachs & Co.
   (24,807  0     24,807   0      (477,437  0     0     (477,437
ProShares Ultra Yen
            
Goldman Sachs International
   34,265   0     0     34,265    (54,919  0     54,919   0   
UBS AG
   32,822   0     0     32,822    (38,193  0     0     (38,193
ProShares UltraShort Euro
            
Goldman Sachs International
   (388,233  0     388,233   0      (83,325  83,325   0     0   
UBS AG
   (748,471  748,471   0     0      (124,716  124,716   0     0   
ProShares UltraShort Gold
            
Citibank, N.A.
   (80,068  0     80,068   0      (407,735  407,735   0     0   
Goldman Sachs International
   (82,645  0     82,645   0      (266,413  266,413   0     0   
UBS AG
   (106,015  0     106,015   0      (318,969  318,969   0     0   
ProShares UltraShort Silver
            
Citibank, N.A.
   (1,208,988  0     1,208,988   0      (367,632  367,632   0     0   
Goldman Sachs International
   (927,829  0     927,829   0      (486,710  368,710   118,000   0   
Morgan Stanley & Co. International PLC
   (579,421  0       579,421   0        (385,104  0     385,104   0   
UBS AG
   (481,323  0     481,323   0      (681,968  681,968   0     0   
ProShares UltraShort Yen
            
Goldman Sachs International
   (207,021  0     207,021   0      312,169   (302,523  0     9,646 
UBS AG
   (357,945  0     357,945   0      557,411   0     (520,000  37,411 
NOTE 4 – AGREEMENTS
Management Fee
Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a M
a
nagementManagement 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.
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.
117

Table of Contents
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
116

Table of Contents
agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, 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.
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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Table of Contents
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
118

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 months ended March 31, 20212022 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

March 31, 2021
ProShares Short Euro
$0  
ProShares Short VIX Short-Term Futures ETF
42,067
ProShares Ultra Bloomberg Crude Oil
0  
ProShares Ultra Bloomberg Natural Gas
0  
ProShares Ultra Euro
0  
ProShares Ultra Gold
0  
ProShares Ultra Silver
0  
ProShares Ultra VIX Short-Term Futures ETF
977,320
ProShares Ultra Yen
0  
ProShares UltraShort Australian Dollar
0  
ProShares UltraShort Bloomberg Crude Oil
0  
ProShares UltraShort Bloomberg Natural Gas
0  
ProShares UltraShort Euro
0  
ProShares UltraShort Gold
0  
ProShares UltraShort Silver
0  
ProShares UltraShort Yen
0  
ProShares VIX
Mid-Term
Futures ETF
7,122
ProShares VIX Short-Term Futures ETF
153,236
Total Trust
$
    1,179,745
     
Fund
  
Three Months Ended
March 31, 2022
 
ProShares Short Euro  $0   
ProShares Short VIX Short-Term Futures ETF   60,144 
ProShares Ultra Bloomberg Crude Oil   0   
ProShares Ultra Bloomberg Natural Gas   0   
ProShares Ultra Euro   0   
ProShares Ultra Gold   0   
ProShares Ultra Silver   0   
ProShares Ultra VIX Short-Term Futures ETF   1,226,762 
ProShares Ultra Yen   0   
ProShares UltraShort Australian Dollar   0   
ProShares UltraShort Bloomberg Crude Oil   0   
ProShares UltraShort Bloomberg Natural Gas   0   
ProShares UltraShort Euro   0   
ProShares UltraShort Gold   0   
ProShares UltraShort Silver   0   
ProShares UltraShort Yen   0   
ProShares VIX
Mid-Term
Futures ETF
   18,967 
ProShares VIX Short-Term Futures ETF   100,970 
      
Combined Trust:
  $1,406,843 
 
118
119

Table of Contents
NOTE 7 – FINANCIAL HIGHLIGHTS
120

Selected dataData for a Share outstanding throughoutOutstanding Throughout the three months endedThree Months Ended March 31, 2021
2022
For the Three Months Ended March 31, 20212022 (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, 2021  $44.91  $61.56  $86.16  $25.55  $13.32  $59.69 
Net investment income (loss)   (0.11  (0.17  (0.31  (0.11  (0.02  (0.14
Net realized and unrealized gain (loss)#   1.43   (6.84  65.89   30.62   (0.83  7.44 
Change in net asset value from operations   1.32   (7.01  65.58   30.51   (0.85  7.30 
Net asset value, at March 31, 2022  $46.23  $54.55  $151.74  $56.06  $12.47  $66.99 
Market value per share, at December 31, 2021
  $44.92  $61.55  $86.78  $26.09  $13.33  $59.81 
Market value per share, at March 31, 2022
  $46.18  $54.56  $153.30  $56.31  $12.46  $66.14 
Total Return, at net asset value^
   2.9  (11.4)%   76.1  119.4  (6.4)%   12.2
Total Return, at market value^
   2.8  (11.4)%   76.7  115.8  (6.5)%   10.6
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97  1.34  1.09  1.33  0.95  1.01
Net investment income gain (loss)   (0.98)%   (1.25)%   (0.99)%   (1.23)%   (0.74)%   (0.87)% 
 
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)
   (0.09  (0.14  (0.13  (0.09  (0.03  (0.14
Net realized and unrealized gain (loss)#
   1.86   5.85   16.31   0.40   (1.31  (13.11
Change in net asset value from operations
   1.77   5.71   16.18   0.31   (1.34  (13.25
Net asset value, at March 31, 2021
  $43.69  $47.13  $52.56  $21.31  $14.45  $54.32 
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 March 31, 2021
  $43.52  $47.10  $52.85  $21.20  $14.47  $53.91 
Total Return, at net asset value^
   4.2  13.8  44.5  1.5  (8.5)%   (19.6)% 
Total Return, at market value^
   5.2  13.7  45.7  0.6  (8.5)%   (21.0)% 
Ratios to Average Net Assets**
                         
Expense ratio
   0.97  1.35  1.10  1.60  0.95  1.03
Expense ratio, excluding brokerage commissions and fees
   0.95  0.95  0.95  0.95  0.95  0.95
Net investment income gain (loss)
   (0.91)%   (1.31)%   (1.04)%   (1.55)%   (0.90)%   (0.97)% 
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
brokerage commissions and futures account fees were excluded.
119
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For the Three Months Ended March 31, 20212022 (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, 2021  $34.84  $12.41  $47.29  $48.25  $12.85  $61.85 
Net investment income (loss)   (0.08  (0.07  (0.09  (0.12  (0.02  (0.11
Net realized and unrealized gain (loss)#   4.30   1.16   (5.18  (2.87  (7.00  (45.56
Change in net asset value from operations   4.22   1.09   (5.27  (2.99  (7.02  (45.67
Net asset value, at March 31, 2022  $39.06  $13.50  $42.02  $45.26  $5.83  $16.18 
Market value per share, at December 31, 2021
  $34.74  $12.43  $47.29  $48.41  $12.75  $60.55 
Market value per share, at March 31, 2022
  $38.53  $13.46  $42.09  $45.35  $5.79  $16.14 
Total Return, at net asset value^
   12.1  8.8  (11.1)%   (6.2)%   (54.6)%   (73.9)% 
Total Return, at market value^
   10.9  8.3  (11.0)%   (6.3)%   (54.6)%   (73.4)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.99  1.78  0.95  1.03  1.24  1.56
Net investment income gain (loss)   (0.88)%   (1.73)%   (0.80)%   (1.01)%   (1.13)%   (1.46)% 
 
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  $10.67  $59.83  $44.45  $11.61  $47.59 
Net investment income (loss)
   (0.12  (0.04  (0.13  (0.11  (0.03  (0.14
Net realized and unrealized gain (loss)#
   (9.24  (5.00  (7.92  0.84   (4.38  (8.31
Change in net asset value from operations
   (9.36  (5.04  (8.05  0.73   (4.41  (8.45
Net asset value, at March 31, 2021
  $41.35  $5.63  $51.78  $45.18  $7.20  $39.14 
Market value per share, at December 31, 2020
  $51.28  $10.65  $59.82  $43.89  $11.64  $47.38 
Market value per share, at March 31, 2021
  $41.10  $5.65  $51.78  $45.19  $7.15  $39.32 
Total Return, at net asset value^
   (18.5)%   (47.2)%   (13.4)%   1.6  (38.0)%   (17.8)% 
Total Return, at market value^
   (19.9)%   (47.0)%   (13.5)%   3.0  (38.6)%   (17.0)% 
Ratios to Average Net Assets**
                         
Expense ratio
   1.07  1.77  0.95  1.02  1.34  1.60
Expense ratio, excluding brokerage commissions and fees
   0.95  0.95  0.95  0.95  0.95  0.95
Net investment income gain (loss)
   (1.02)%   (1.75)%   (0.90)%   (0.97)%   (1.29)%   (1.55)% 
*See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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Table of Contents
For the Three Months Ended March 31, 20212022 (unaudited)
                         
Per Share Operating
Performance             
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2021  $25.84  $31.71  $26.77  $83.00  $30.61  $15.12 
Net investment income (loss)   (0.05  (0.06  (0.06  (0.17  (0.08  (0.05
Net realized and unrealized gain (loss)#   1.51   (4.42  (5.26  9.81   0.92   1.54 
Change in net asset value from operations   1.46   (4.48  (5.32  9.64   0.84   1.49 
Net asset value, at March 31, 2022  $27.30  $27.23  $21.45  $92.64  $31.45  $16.61 
Market value per share, at December 31, 2021
  $25.86  $31.66  $26.84  $82.99  $30.57  $15.17 
Market value per share, at March 31, 2022
  $27.31  $27.61  $21.78  $92.73  $31.50  $16.57 
Total Return, at net asset value^
   5.6  (14.1)%   (19.9)%   11.6  2.7  9.9
Total Return, at market value^
   5.6  (12.8)%   (18.9)%   11.7  3.0  9.2
Ratios to Average Net Assets**
                         
Expense ratio^^   0.95  1.02  1.08  0.95  1.09  1.23
Net investment income gain (loss)   (0.83)%   (0.88)%   (0.94)%   (0.80)%   (0.99)%   (1.15)% 
 
Per Share Operating Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
  
UltraShort
Yen
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2020
  $22.53  $31.43  $6.93  $67.83  $36.73  $13.76 
Net investment income (loss)
   (0.05  (0.09  (0.02  (0.16  (0.09  (0.04
Net realized and unrealized gain (loss)#
   1.93   6.26   0.07   10.06   (1.90  (4.40
Change in net asset value from operations
   1.88   6.17   0.05   9.90   (1.99  (4.44
Net asset value, at March 31, 2021
  $24.41  $37.60  $6.98  $77.73  $34.74  $9.32 
Market value per share, at December 31, 2020
  $22.52  $31.14  $6.85  $67.81  $36.70  $13.74 
Market value per share, at March 31, 2021
  $24.42  $37.89  $7.01  $77.75  $35.06  $9.35 
Total Return, at net asset value^
   8.4  19.6  0.7  14.7  (5.4)%   (32.3)% 
Total Return, at market value^
   8.4  21.7  2.3  14.6  (4.5)%   (32.0)% 
Ratios to Average Net Assets**
                         
Expense ratio
   0.95  1.07  1.15  0.95  1.03  1.30
Expense ratio, excluding brokerage commissions and fees
   0.95  0.95  0.95  0.95  0.85  0.85
Net investment income gain (loss)
   (0.90)%   (1.03)%   (1.11)%   (0.90)%   (0.98)%   (1.26)% 
*See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2021.2022.
^^
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.

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Table of Contents
Selected dataData for a Share outstanding throughoutOutstanding Throughout the three months endedThree Months Ended March 31, 2020
2021
For the Three Months Ended March 31, 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 December 31, 2020  $41.92  $41.42  $36.38  $21.00  $15.79  $67.57 
Net investment income (loss)   (0.09  (0.14  (0.13  (0.09  (0.03  (0.14
Net realized and unrealized gain (loss)
#
   1.86   5.85   16.31   0.40   (1.31  (13.11
Change in net asset value from operations   1.77   5.71   16.18   0.31   (1.34  (13.25
Net asset value, at March 31, 2021  $43.69  $47.13  $52.56  $21.31  $14.45  $54.32 
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 March 31, 2021
  $43.52  $47.10  $52.85  $21.20  $14.47  $53.91 
Total Return, at net asset value^
   4.2  13.8  44.5  1.5  (8.5)%   (19.6)% 
Total Return, at market value^
   5.2  13.7  45.7  0.6  (8.5)%   (21.0)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97  1.35  1.10  1.60  0.95  1.03
Net investment income gain (loss)   (0.91)%   (1.31)%   (1.04)%   (1.55)%   (0.90)%   (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 December 31, 2019
  $45.64  $65.62  $509.23  $83.97  $13.79  $49.21 
Net investment income (loss)
   0.04   (0.04  0.20   0.00  0.01   0.05 
Net realized and unrealized gain (loss)#
   0.98   (34.56  (469.28  (42.15  (0.64  3.18 
Change in net asset value from operations
   1.02   (34.60  (469.08  (42.15  (0.63  3.23 
Net asset value, at March 31, 2020
  $46.66  $31.02  $40.15  $41.82  $13.16  $52.44 
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 March 31, 2020
  $45.09  $31.01  $39.75  $42.60  $13.15  $52.00 
Total Return, at net asset value^
   2.2  (52.7)%   (92.1)%   (50.2)%   (4.6)%   6.6
Total Return, at market value^
   (1.3)%   (52.5)%   (92.2)%   (48.9)%   (4.5)%   6.0
Ratios to Average Net Assets**
                         
Expense ratio
   0.97  1.19  1.09  1.39  0.95  0.98
Expense ratio, excluding brokerage
commissions and fees
   0.95  0.95  0.95  0.95  0.95  0.95
Net investment income gain (loss)
   0.34  (0.38)%   0.44  (0.02)%   0.25  0.35
*
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 cha
n
ge in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2020.
+
Amount represents greater than $(
0.005
).
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Table of Contents
For the Three Months Ended March 31, 2020 (unaudited)
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, 2019
  $31.70  $12.67  $55.83  $21.47  $10.66  $56.09 
Net investment income (loss)
   0.04   (0.02  0.03   0.00  (0.01  0.03 
Net realized and unrealized gain (loss)#
   (13.32  45.87   0.35   (21.26  34.88   16.18 
Change in net asset value from operations
   (13.28  45.85   0.38   (21.26  34.87   16.21 
Net asset value, at March 31, 2020
  $18.42  $58.52  $56.21  $0.21 $45.53 $72.30 
Market value per share, at December 31, 2019
  $31.65  $12.89  $55.83  $21.60  $10.58  $55.88 
Market value per share, at March 31, 2020
  $18.44  $58.56  $56.19  $0.22  $45.32  $72.06 
Total Return, at net asset value^
   (41.9)%   361.9  0.7  (99.0)%   327.1  28.9
Total Return, at market value^
   (41.7)%   354.3  0.6  (99.0)%   328.4  29.0
Ratios to Average Net Assets**
                         
Expense ratio
   0.99  1.47  0.95  1.65  1.68  1.04
Expense ratio, excluding brokerage commissions and fees
   0.95  0.95  0.95  0.95  0.95  0.95
Net investment income gain (loss)
   0.55  (0.50)%   0.21  (0.49)%   (0.33)%   0.22
*
The per share operating performance presented here is for the period ended March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2020.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
+
Amount greater than $(0.005)
@
NAV on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
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Table of Contents
For the Three Months Ended March 31, 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  $237.96 
Net investment income (loss)   (0.12  (0.40  (0.13  (0.11  (0.10  (0.72
Net realized and unrealized gain (loss)#   (9.24  (49.96  (7.92  0.84   (17.55  (41.56
Change in net asset value from operations   (9.36  (50.36  (8.05  0.73   (17.65  (42.28
Net asset value, at March 31, 2021  $41.35  $56.32  $51.78  $45.18  $28.80  $195.68 
Market value per share, at December 31, 2020
  $51.28  $106.50  $59.82  $43.89  $46.56  $236.90 
Market value per share, at March 31, 2021
  $41.10  $56.50  $51.78  $45.19  $28.60  $196.60 
Total Return, at net asset value^
   (18.5)%   (47.2)%   (13.4)%   1.6  (38.0)%   (17.8)% 
Total Return, at market value^
   (19.9)%   (47.0)%   (13.5)%   3.0  (38.6)%   (17.0)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.07  1.77  0.95  1.02  1.34  1.60
Net investment income gain (loss)   (1.02)%   (1.75)%   (0.90)%   (0.97)%   (1.29)%   (1.55)% 
 
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, 2019
  $12.19  $38.53  $26.80  $53.02  $26.76  $76.37 
Net investment income (loss)
   (0.01  (0.08  0.03   0.04   0.01   0.09 
Net realized and unrealized gain (loss)#
   36.89   24.93   0.99   (7.04  9.77   (2.36
Change in net asset value from operations
   36.88   24.85   1.02   (7.00  9.78   (2.27
Net asset value, at March 31, 2020
  $49.07  $63.38  $27.82  $46.02  $36.54  $74.10 
Market value per share, at December 31, 2019
  $12.15  $38.82  $26.80  $53.21  $26.80  $76.35 
Market value per share, at March 31, 2020
  $49.99  $62.02  $27.76  $46.28  $36.66  $74.11 
Total Return, at net asset value^
   302.5  64.5  3.8  (13.2)%   36.5  (3.0)% 
Total Return, at market value^
   311.4  59.8  3.6  (13.0)%   36.8  (2.9)% 
Ratios to Average Net Assets**
                         
Expense ratio
   1.31  1.90  0.95  1.00  1.05  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)
   (0.14)%   (0.65)%   0.49  0.34  0.09  0.47
*See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2020.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Three Months Ended March 31, 20202021 (unaudited)
                         
Per Share Operating
Performance             
  
UltraShort

Euro
  
UltraShort

Gold
  
UltraShort

Silver
*
  
UltraShort

Yen
  
VIX Mid-

Term Futures

ETF
  
VIX Short-

Term Futures

ETF
*
 
Net asset value, at December 31, 2020  $22.53  $31.43  $27.73  $67.83  $36.73  $55.03 
Net investment income (loss)   (0.05  (0.09  (0.07  (0.16  (0.09  (0.16
Net realized and unrealized
gain (loss)#
   1.93   6.26   0.26   10.06   (1.90  (17.58
Change in net asset value
from operations
   1.88   6.17   0.19   9.90   (1.99  (17.74
Net asset value, at
March 31, 2021
  $24.41  $37.60  $27.92  $77.73  $34.74  $37.29 
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
March 31, 2021
  $24.42  $37.89  $28.04  $77.75  $35.06  $37.40 
Total Return, at net asset value^
   8.4  19.6  0.7  14.7  (5.4)%   (32.3)% 
Total Return, at market value^
   8.4  21.7  2.3  14.6  (4.5)%   (32.0)% 
Ratios to Average Net Assets**                         
Expense ratio^^   0.95  1.07  1.15  0.95  1.03  1.30
Net investment income gain (loss)   (0.90)%   (1.03)%   (1.11)%   (0.90)%   (0.98)%   (1.26)% 
 
Per Share Operating Performance
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
  
                    
  
                        
  
                    
  
                    
Net asset value, at December 31, 2019
  $21.27  $12.30 
Net investment income (loss)
   0.03   0.01 
Net realized and unrealized gain (loss)#
   17.44   25.65 
Change in net asset value from operations
   17.47   25.66 
Net asset value, at March 31, 2020
  $38.74  $37.96 
Market value per share, at December 31, 2019
  $21.29  $12.43 
Market value per share, at March 31, 2020
  $38.44  $37.93 
Total Return, at net asset value^
   82.1  208.6
Total Return, at market value^
   80.6  205.1
Ratios to Average Net Assets**
         
Expense ratio
   1.00  1.11
Expense ratio, excluding brokerage commissions and fees
   0.85  0.85
Net investment income gain (loss)
   0.43  0.20
*See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2020.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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NOTE 87 – RISK
Correlation and Compounding Risk
The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).
The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from
one-half
the inverse
(-0.5x),
the inverse
(-1x),
two times the inverse
(-2x),
one and
one-half
times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period.
A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short 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 and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and
one-half
or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse
(-2x) of
the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present 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 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,
1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
 
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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 becomeare subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (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 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. This would be the case with downward
single-day
or intraday movements in the underlying benchmark of an Ultra Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.
Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
 
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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 or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.
Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.
Gold and silver have historically 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
There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, 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 or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed,Conversely, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment.investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions andconditions. Either scenario may causeresult in significant losses.
Change to Investment Strategies
In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
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Following this portfolio transition each Oil Fund hadhas exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse
(-2x),
as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil.
Change to the Oil Funds Benchmark Index
Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex
SM
to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse
(-2x),
as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.
In order to have 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)
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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.
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 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. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets.markets in March 2020. Contemporaneous with the onset of the
COVID-19
pandemic in the US,U.S., crude oil markets experienced shocks to the supply of and demand impactingfor crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 2020, the market for crude oil futures contracts experienced a period of oil.“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. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks being experienced as a result of the date hereof
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, or inaccurate, resulting in significant and unexpected losses.
Change to the VIX Funds Benchmark Indices131

Change to VIX Futures Contracts Settlement Time \ Index Methodology.
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 Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX
Mid-Term
Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, and the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information
about the calculation of NAV is included in each Fund’s Prospectus.
Change to the VIX Funds Exchange Listing.
On December 16, 2020, each Fund transferred its listing from NYSE Arca to the Cboe BZX Exchange.
NOTE 98 – SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.
On March 11, 2022, ProShare Capital Management LLC announced that it plans to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidating funds”. The last day the liquidating funds will accept creation and redemption orders is May 2, 2022. Trading in the liquidating funds will be halted prior to market open on May 3, 2022. Beginning on May 3, 2022, the funds will not be traded on their respective exchanges, and there will be no secondary market for fund shares. On or about May 3, 2022, the funds will begin the process of liquidating their portfolios and will no longer be managed in accordance with their investment objectives. Any shareholders remaining in the liquidating funds will have their shares redeemed at net asset value on or about May 12, 2022.
 
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
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 March 31, 2021,2022, 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 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on 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,May 11, 2021, 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 GasVIX Short-Term Futures ETF (ticker symbol: BOIL)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 April 21, 2020,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 resultingresulted in a proportionate increase in the price per share and the per share information of thesethe 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.
On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, 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 fund. 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.
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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,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
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 “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 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,
1.5x, or 2x, 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 UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, 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
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purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a
per-Share
market price that varies depending on, among other factors, the trading price of the Shares of each Fund on 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 months ended March 31, 20212022 and 2020,2021, each of the Funds earned interest income as follows:
Fund  
Interest Income

Three Months

Ended

March 31, 2022
   
Interest Income

Three Months

Ended

March 31, 2021
 
ProShares Short Euro  $(93  $596 
ProShares Short VIX Short-Term Futures ETF   94,343    33,890 
ProShares Ultra Bloomberg Crude Oil   308,880    168,075 
ProShares Ultra Bloomberg Natural Gas   39,581    13,815 
ProShares Ultra Euro   4,587    584 
ProShares Ultra Gold   95,113    35,827 
ProShares Ultra Silver   140,449    98,129 
ProShares Ultra VIX Short-Term Futures ETF   95,261    113,969 
ProShares Ultra Yen   873    356 
ProShares UltraShort Australian Dollar   115    258 
ProShares UltraShort Bloomberg Crude Oil   53,907    10,835 
ProShares UltraShort Bloomberg Natural Gas   55,825    7,883 
ProShares UltraShort Euro   15,405    7,166 
ProShares UltraShort Gold   9,685    2,962 
ProShares UltraShort Silver   8,920    3,117 
ProShares UltraShort Yen   9,399    3,596 
ProShares VIX
Mid-Term
Futures ETF
   23,923    10,224 
ProShares VIX Short-Term Futures ETF   70,709    38,460 
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Fund
  
Interest Income
Three Months
Ended
March 31, 2021
   
Interest Income
Three Months
Ended
March 31, 2020
 
ProShares Short Euro
  $596   $7,595 
ProShares Short VIX Short-Term Futures ETF
   33,890    749,861 
ProShares Ultra Bloomberg Crude Oil
   168,075    1,401,460 
ProShares Ultra Bloomberg Natural Gas
   13,815    139,339 
ProShares Ultra Euro
   584    15,801 
ProShares Ultra Gold
   35,827    414,684 
ProShares Ultra Silver
   98,129    776,287 
ProShares Ultra VIX Short-Term Futures ETF
   113,969    1,411,740 
ProShares Ultra Yen
   356    8,867 
ProShares UltraPro 3x Crude Oil ETF*
   —      346,326 
ProShares UltraPro 3x Short Crude Oil ETF*
   —      166,789 
ProShares UltraShort Australian Dollar
   258    20,054 
ProShares UltraShort Bloomberg Crude Oil
   10,835    248,709 
ProShares UltraShort Bloomberg Natural Gas
   7,883    42,432 
ProShares UltraShort Euro
   7,166    399,657 
ProShares UltraShort Gold
   2,962    61,021 
ProShares UltraShort Silver
   3,117    44,536 
ProShares UltraShort Yen
   3,596    126,183 
ProShares VIX
Mid-Term
Futures ETF
   10,224    158,298 
ProShares VIX Short-Term Futures ETF
   38,460    960,075 
*
The operations presented here are through March 27, 2020, the date of their liquidation. See Note 1 of the Notes to Financial Statements.
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
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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.
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.
 
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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 May 7, 2021,9, 2022, 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 March 31, 2021.2022.
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, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. 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
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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.
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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 March 31, 20212022 Compared to the Three Months Ended March 31, 20202021
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $4,191,955  $2,282,195   $2,245,421  $4,191,955 
NAV end of period
  $2,184,540  $2,332,843   $4,623,400  $2,184,540 
Percentage change in NAV
   (47.9)%   2.2   105.9  (47.9)% 
Shares outstanding beginning of period
   100,000   50,000    50,000   100,000 
Shares outstanding end of period
   50,000   50,000    100,000   50,000 
Percentage change in shares outstanding
   (50.0)%   —     100.0  (50.0)% 
Shares created
   —     —      50,000   —   
Shares redeemed
   50,000   —      —     50,000 
Per share NAV beginning of period
  $41.92  $45.64   $44.91  $41.92 
Per share NAV end of period
  $43.69  $46.66   $46.23  $43.69 
Percentage change in per share NAV
   4.2  2.2   2.9  4.2
Percentage change in benchmark
   (4.0)%   (1.7)%    (2.8)%   (4.0)% 
Benchmark annualized volatility
   6.2  9.8   8.6  6.2
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2021 to 100,000 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 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 March 31, 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 three months ended March 31, 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 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 March 31, 2020.
For the three months ended March 31, 20212022 and 2020,2021, 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 4.2%2.9% for the three months ended March 31, 2021,2022, as compared to the Fund’s per Share NAV increase of 2.2%4.2% for the three months ended March 31, 2020,2021, was primarily due to greaterlesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020, can be attributed to a greaterlesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2021.2022.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
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Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(8,638  $1,992   $(6,909  $(8,638
Management fee
   9,053    5,503    6,672    9,053 
Brokerage commission
   181    100    144    181 
Net realized gain (loss)
   69,393    (18,638   63,871    69,393 
Change in net unrealized appreciation (depreciation)
   78,642    67,294    8,056    78,642 
Net Income (loss)
  $139,397   $50,648   $65,018   $139,397 
The Fund’s net income increaseddecreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a greaterlesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021.2022.
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ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $409,371,468  $284,437,179   $423,812,594  $409,371,468 
NAV end of period
  $527,130,851  $809,257,658   $495,588,849  $527,130,851 
Percentage change in NAV
   28.8  184.5   16.9  28.8
Shares outstanding beginning of period
   9,884,307   4,334,307    6,884,307   9,884,307 
Shares outstanding end of period
   11,184,307   26,084,307    9,084,307   11,184,307 
Percentage change in shares outstanding
   13.2  501.8   32.0  13.2
Shares created
   2,400,000   24,850,000    3,000,000   2,400,000 
Shares redeemed
   1,100,000   3,100,000    800,000   1,100,000 
Per share NAV beginning of period
  $41.42  $65.62   $61.56  $41.42 
Per share NAV end of period
  $47.13  $31.02   $54.55  $47.13 
Percentage change in per share NAV
   13.8  (52.7)%    (11.4)%   13.8
Percentage change in benchmark
   (32.0)%   209.3   10.2  (32.0)% 
Benchmark annualized volatility
   81.9  140.6   86.4  81.9
On Monday, October 26, 2020,During the Chicago Futures Exchange (a subsidiarythree months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,884,307 outstanding Shares at December 31, 2021 to 9,084,307 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Chicago Board Options Exchange) changed Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the settlement time forinverse
(-0.5x)
of 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 fordaily performance of 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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DuringIndex. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 11,184,307 outstanding Shares at March 31, 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
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 March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 26,084,307 outstanding Shares at March 31, 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.
For the three months ended March 31, 20212022 and 2020,2021, 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 decrease of 11.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 13.8% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 52.7% for the three months ended March 31, 2020, was primarily due to appreciationdepreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020, can be attributed to a decreasean increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(1,442,366  $(355,596  $(1,296,922  $(1,442,366
Management fee
   1,042,569    886,197    986,537    1,042,569 
Brokerage commission
   175,910    189,532    187,698    175,910 
Futures account fees
   217,030    257,777 
Net realized gain (loss)
   24,209,417    (244,300,604   (41,111,108   24,209,417 
Change in net unrealized appreciation (depreciation)
��  42,125,118    21,055,658    4,297,907    42,125,118 
Net Income (loss)
  $64,892,169   $(223,600,542  $(38,110,123  $64,892,169 
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The Fund’s net income increaseddecreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a decreaseincrease in the value of futures prices during the three months ended March 31, 2021.2022.
 
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ProShares Ultra Bloomberg Crude Oil*Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $902,739,250  $309,844,582   $1,103,783,570  $902,739,250 
NAV end of period
  $1,088,579,093  $435,593,381   $1,336,980,685  $1,088,579,093 
Percentage change in NAV
   20.6  40.6   21.2  20.6
Shares outstanding beginning of period
   24,810,774   608,453    12,810,774   24,810,774 
Shares outstanding end of period
   20,710,774   10,848,453    8,810,774   20,710,774 
Percentage change in shares outstanding
   (16.5)%   1,683.0   (31.2)%   (16.5)% 
Shares created
   2,350,000   10,680,000    2,150,000   2,350,000 
Shares redeemed
   6,450,000   440,000    6,150,000   6,450,000 
Per share NAV beginning of period
  $36.38  $509.23   $86.16  $36.38 
Per share NAV end of period
  $52.56  $40.15   $151.74  $52.56 
Percentage change in per share NAV
   44.5  (92.1)%    76.1  44.5
Percentage change in benchmark
   22.0  (66.5)%    36.7  22.0
Benchmark annualized volatility
   32.3  59.5   46.0  32.3
On June 25, 2020,During the Trust announced thatthree months ended March 31, 2022, the ProShares Ultra Bloomberg Crude Oilincrease in the Fund’s NAV resulted primarily from the cumulative effect of the 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 seekseeking 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 forBloomberg Commodity Balance WTI Crude Oil futures traded on NYMEX.Index
SM
. The contract schedules are equally-weightedincrease in the New Benchmark (1/3 each)Fund’s NAV was offset by a decrease from 12,810,774 outstanding Shares at each semi-annual reset inDecember 31, 2021 to 8,810,774 outstanding Shares at 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.
During31, 2022. By comparison, during the three months ended March 31, 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 20,710,774 outstanding Shares at March 31, 2021. By comparison,
For the three months ended March 31, 2022 and 2021, 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 76.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 44.5% for the three months ended March 31, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020,2022.
The benchmark’s rise of 36.7% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to an greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(3,224,160  $(2,759,147
Management fee
   3,084,812    2,535,085 
Brokerage commission
   195,541    293,200 
Futures account fees
   252,687    98,937 
Net realized gain (loss)
   799,419,934    334,351,228 
Change in net unrealized appreciation (depreciation)
   (94,663,987   35,035,656 
Net Income (loss)
  $701,531,787   $366,627,737 
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an greater increase in the value of WTI Crude Oil during the three months ended March 31, 2022.
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ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $193,892,178  $169,800,371 
NAV end of period
  $145,069,486  $74,307,070 
Percentage change in NAV
   (25.2)%   (56.2)% 
Shares outstanding beginning of period
   7,587,527   8,087,527 
Shares outstanding end of period
   2,587,527   3,487,527 
Percentage change in shares outstanding
   (65.9)%   (56.9)% 
Shares created
   2,600,000   3,400,000 
Shares redeemed
   7,600,000   8,000,000 
Per share NAV beginning of period
  $25.55  $21.00 
Per share NAV end of period
  $56.06  $21.31 
Percentage change in per share NAV
   119.4  1.5
Percentage change in benchmark
   58.4  3.0
Benchmark annualized volatility
   72.9  42.1
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During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from an increasea decrease from 608,4537,587,527 outstanding Shares at December 31, 20192021 to 10,848,4532,587,527 outstanding Shares at March 31, 2020.2022. The increasedecrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
.
For the three months ended March 31, 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 44.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 92.1% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund By comparison, during the three months ended March 31, 2021.
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The new benchmark’s rise of 22.0% for the three months ended March 31, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
 benchmark’s decline of 66.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
 
Net investment income (loss)
  $(2,759,147  $404,884 
Management fee
   2,535,085    870,239 
Brokerage commission
   293,200    126,337 
Net realized gain (loss)
   334,351,228    (505,553,797
Change in net unrealized appreciation (depreciation)
   35,035,656    (322,421,661
Net Income (loss)
  $366,627,737   $(827,570,574
The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of WTI Crude Oil during the three months ended March 31, 2021.
* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.
ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
NAV beginning of period
  $169,800,371  $45,160,205 
NAV end of period
  $74,307,070  $26,671,617 
Percentage change in NAV
   (56.2)%   (40.9)% 
Shares outstanding beginning of period
   8,087,527   537,815 
Shares outstanding end of period
   3,487,527   637,815 
Percentage change in shares outstanding
   (56.9)%   18.6
Shares created
   3,400,000   225,000 
Shares redeemed
   8,000,000   125,000 
Per share NAV beginning of period
  $21.00  $83.97 
Per share NAV end of period
  $21.31  $41.82 
Percentage change in per share NAV
   1.5  (50.2)% 
Percentage change in benchmark
   3.0  (27.5)% 
Benchmark annualized volatility
   42.1  44.0
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During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 3,487,527 outstanding Shares at March 31, 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 Natural Gas Subindex
SM
. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 537,815 outstanding Shares at December 31, 2019 to 637,815 outstanding Shares at March 31, 2020.
For the three months ended March 31, 20212022 and 2020,2021, 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 119.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 50.2% for the three months ended March 31, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
The benchmark’s rise of 58.4% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 3.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 27.5% for the three months ended March 31, 2020, can be attributed to ana greater increase in the value of Henry Hub Natural Gas during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(415,145  $(2,351  $(516,598  $(415,145
Management fee
   254,815    97,108    396,610    254,815 
Brokerage commission
   92,297    44,582    88,452    92,297 
Futures account fees
   71,117    81,848 
Net realized gain (loss)
   41,582,936    (22,818,551   76,217,236    41,582,936 
Change in net unrealized appreciation (depreciation)
   (17,798,868   (4,437,037   84,867,744    (17,798,868
Net Income (loss)
  $23,368,923   $(27,257,939  $160,568,382   $23,368,923 
The Fund’s net income increased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to ana greater increase in the value of Henry Hub Natural Gas during the three months ended March 31, 2021.2022.
* See Note 1
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Table of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on FormContents
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
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Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $4,737,350  $6,204,424   $8,659,095  $4,737,350 
NAV end of period
  $3,611,724  $3,949,142   $6,236,982  $3,611,724 
Percentage change in NAV
   (23.8)%   (36.3)%    (28.0)%   (23.8)% 
Shares outstanding beginning of period
   300,000   450,000    650,000   300,000 
Shares outstanding end of period
   250,000   300,000    500,000   250,000 
Percentage change in shares outstanding
   (16.7)%   (33.3)%    (23.1)%   (16.7)% 
Shares created
   —     50,000    100,000   —   
Shares redeemed
   50,000   200,000    250,000   50,000 
Per share NAV beginning of period
  $15.79  $13.79   $13.32  $15.79 
Per share NAV end of period
  $14.45  $13.16   $12.47  $14.45 
Percentage change in per share NAV
   (8.5)%   (4.5)%    (6.4)%   (8.5)% 
Percentage change in benchmark
   (4.0)%   (1.7)%    (2.8)%   (4.0)% 
Benchmark annualized volatility
   6.2  9.8   8.6  6.2
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at December 31, 2021 to 500,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 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 March 31, 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,
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For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 8.5% for the three months ended March 31, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020,2022.
The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(15,691  $(9,494
Management fee
   20,278    10,078 
Net realized gain (loss)
   (446,979   (27,342
Change in net unrealized appreciation (depreciation)
   (138,425   (311,052
Net Income (loss)
  $(601,095  $(347,888
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2022.
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ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $232,780,534  $263,540,473 
NAV end of period
  $355,029,822  $214,548,056 
Percentage change in NAV
   52.5  (18.6)% 
Shares outstanding beginning of period
   3,900,000   3,900,000 
Shares outstanding end of period
   5,300,000   3,950,000 
Percentage change in shares outstanding
   35.9  1.3
Shares created
   1,500,000   600,000 
Shares redeemed
   100,000   550,000 
Per share NAV beginning of period
  $59.69  $67.57 
Per share NAV end of period
  $66.99  $54.32 
Percentage change in per share NAV
   12.2  (19.6)% 
Percentage change in benchmark
   6.6  (9.8)% 
Benchmark annualized volatility
   17.3  18.4
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from a decreasean increase from 450,0003,900,000 outstanding Shares at December 31, 20192021 to 300,0005,300,000 outstanding Shares at March 31, 2020.2022. 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 daily performance of the spot price of the euro versus the U.S. dollar.Bloomberg Gold Subindex
SM
For the three months ended March 31, 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 8.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 4.5% for the three months ended March 31, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund. By comparison, during the three months ended March 31, 2021.
The benchmark’s decline of 4.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
Net investment income (loss)
  $(9,494 $3,247 
Management fee
   10,078   12,554 
Net realized gain (loss)
   (27,342  (53,268
Change in net unrealized appreciation (depreciation)
   (311,052  (221,542
Net Income (loss)
  $(347,888 $(271,563
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The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
NAV beginning of period
  $263,540,473  $110,726,032 
NAV end of period
  $214,548,056  $128,481,796 
Percentage change in NAV
   (18.6)%   16.0
Shares outstanding beginning of period
   3,900,000   2,250,000 
Shares outstanding end of period
   3,950,000   2,450,000 
Percentage change in shares outstanding
   1.3  8.9
Shares created
   600,000   1,150,000 
Shares redeemed
   550,000   950,000 
Per share NAV beginning of period
  $67.57  $49.21 
Per share NAV end of period
  $54.32  $52.44 
Percentage change in per share NAV
   (19.6)%   6.6
Percentage change in benchmark
   (9.8)%   4.5
Benchmark annualized volatility
   18.4  28.2
During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 3,950,000 outstanding Shares at March 31, 2021. By comparison,
For the three months ended March 31, 2022 and 2021, 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 12.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 19.6% for the three months ended March 31, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020,2022.
The benchmark’s rise of 6.6% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 9.8% for the three months ended March 31, 2021, can be attributed to an increase in the value of gold futures contracts during the period ended March 31, 2022.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(617,466  $(579,670
Management fee
   671,415    568,207 
Brokerage commission
   21,659    14,888 
Futures account fees
   19,505    32,402 
Net realized gain (loss)
   57,818,596    (51,247,887
Change in net unrealized appreciation (depreciation)
   (24,820,511   (1,232,503
Net Income (loss)
  $32,380,619   $(53,060,060
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $515,453,594  $745,304,028 
NAV end of period
  $558,375,842  $572,501,249 
Percentage change in NAV
   8.3  (23.2)% 
Shares outstanding beginning of period
   14,796,526   14,696,526 
Shares outstanding end of period
   14,296,526   13,846,526 
Percentage change in shares outstanding
   (3.4)%   (5.8)% 
Shares created
   1,000,000   2,400,000 
Shares redeemed
   1,500,000   3,250,000 
Per share NAV beginning of period
  $34.84  $50.71 
Per share NAV end of period
  $39.06  $41.35 
Percentage change in per share NAV
   12.1  (18.5)% 
Percentage change in benchmark
   7.5  (7.2)% 
Benchmark annualized volatility
   31.9  44.4
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,450,000 outstanding Shares at March 31, 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 GoldSilver Subindex
SM
.
For. The increase in the three months endedFund’s NAV was offset by a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,296,526 outstanding Shares at March 31, 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 19.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 6.6% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund2022. By comparison, during the three months ended March 31, 2021.
The benchmark’s decline of 9.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 4.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended March 31, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
 
Net investment income (loss)
  $(579,670  $108,908 
Management fee
   568,207    295,411 
Brokerage commission
   14,888    10,365 
Net realized gain (loss)
   (51,247,887   21,498,056 
Change in net unrealized appreciation (depreciation)
   (1,232,503   (19,097,360
Net Income (loss)
  $(53,060,060  $2,509,604 
The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2021.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
NAV beginning of period
  $745,304,028  $239,254,842 
NAV end of period
  $572,501,249  $129,785,536 
Percentage change in NAV
   (23.2)%   (45.8)% 
Shares outstanding beginning of period
   14,696,526   7,546,526 
Shares outstanding end of period
   13,846,526   7,046,526 
Percentage change in shares outstanding
   (5.8)%   (6.6)% 
Shares created
   2,400,000   750,000 
Shares redeemed
   3,250,000   1,250,000 
Per share NAV beginning of period
  $50.71  $31.70 
Per share NAV end of period
  $41.35  $18.42 
Percentage change in per share NAV
   (18.5)%   (41.9)% 
Percentage change in benchmark
   (7.2)%   (21.1)% 
Benchmark annualized volatility
   44.4  48.3
During the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 13,846,526 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 7,546,526 outstanding Shares at December 31, 2019 to 7,046,526 outstanding Shares at March 31, 2020.
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For the three months ended March 31, 20212022 and 2020,2021, 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 12.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 18.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 41.9% for the three months ended March 31, 2020, was primarily due to lesser depreciationappreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
The benchmark’s rise of 7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 21.1% for the three months ended March 31, 2020, can be attributed to a lesser decreasean increase in the value of silver futures contracts during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(1,741,775  $276,832   $(1,128,206  $(1,741,775
Management fee
   1,631,135    481,247    1,217,599    1,631,135 
Brokerage commission
   46,582    18,208    30,551    46,582 
Futures account fees
   20,505    162,187 
Net realized gain (loss)
   4,910,742    (3,697,654   116,637,037    4,910,742 
Change in net unrealized appreciation (depreciation)
   (137,743,781   (85,061,831   (58,036,245   (137,743,781
Net Income (loss)
  $(134,574,814  $(88,482,653  $57,472,586   $(134,574,814
The Fund’s net income decreasedincreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a lesser decreasean increase in the value of futures prices during the three months ended March 31, 2021.2022.
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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 March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $1,356,204,199  $527,636,003   $816,679,636  $1,356,204,199 
NAV end of period
  $1,284,373,170  $592,820,492   $1,127,608,641  $1,284,373,170 
Percentage change in NAV
   (5.3)%   12.4   38.1  (5.3)% 
Shares outstanding beginning of period
   127,130,912   41,630,912    65,828,420   12,713,091 
Shares outstanding end of period
   228,030,912   10,130,912    83,528,420   22,803,091 
Percentage change in shares outstanding
   79.4  (75.7)%    26.9  79.4
Shares created
   196,300,000   9,900,000    83,100,000   19,630,000 
Shares redeemed
   95,400,000   41,400,000    65,400,000   9,540,000 
Per share NAV beginning of period
  $10.67  $12.67   $12.41  $106.68 
Per share NAV end of period
  $5.63  $58.52   $13.50  $56.32 
Percentage change in per share NAV
   (47.2)%   361.9   8.8  (47.2)% 
Percentage change in benchmark
     209.3   10.2  (32.0)% 
Benchmark annualized volatility
     140.6   86.4  81.9
 
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On Monday, October 26, 2020,During the Chicago Futures Exchange (a subsidiarythree months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,420 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Chicago Board Options Exchange) changedFund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) 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 fordaily performance of 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.
DuringIndex. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 127,130,91212,713,091 outstanding Shares at December 31, 2020 to 228,030,91222,803,091 outstanding Shares at March 31, 2021. By comparison,
For the three months ended March 31, 2022 and 2021, 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 increase of 8.8% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 47.2% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020,2022.
The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(3,585,362  $(8,069,549
Management fee
   1,961,177    4,383,077 
Brokerage commission
   936,758    1,956,628 
Futures account fees
   782,688    1,843,813 
Net realized gain (loss)
   280,979,531    (704,499,504
Change in net unrealized appreciation (depreciation)
   (35,000,884   (284,359,331
Net Income (loss)
  $242,393,285   $(996,928,384
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.
*
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 three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $2,362,849  $2,989,499 
NAV end of period
  $2,099,705  $2,587,694 
Percentage change in NAV
   (11.1)%   (13.4)% 
Shares outstanding beginning of period
   49,970   49,970 
Shares outstanding end of period
   49,970   49,970 
Percentage change in shares outstanding
   —    —  
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $47.29  $59.83 
Per share NAV end of period
  $42.02  $51.78 
Percentage change in per share NAV
   (11.1)%   (13.4)% 
Percentage change in benchmark
   (5.5)%   (6.8)% 
Benchmark annualized volatility
   7.1  5.1
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
two times (1.5x)(2x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increasespot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s NAV was offset by a decrease from 41,630,912 outstanding Shares atfrom December 31, 20192021 to 10,130,912 outstanding Shares at March 31, 2020.
For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 47.2% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 361.9% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund2022. By comparison, during the three months ended March 31, 2021.
The benchmark’s decline of 32.0% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
 
Net investment income (loss)
  $(8,069,549  $(729,265
Management fee
   4,383,077    1,383,275 
Brokerage commission
   1,956,628    741,009 
Net realized gain (loss)
   (704,499,504   726,085,231 
Change in net unrealized appreciation (depreciation)
   (284,359,331   176,516,915 
Net Income (loss)
  $(996,928,384  $901,872,881 
The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2021.
148

ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
NAV beginning of period
  $2,989,499  $5,580,964 
NAV end of period
  $2,587,694  $2,808,780 
Percentage change in NAV
   (13.4)%   (49.7)% 
Shares outstanding beginning of period
   49,970   99,970 
Shares outstanding end of period
   49,970   49,970 
Percentage change in shares outstanding
     (50.0)% 
Shares created
   —     —   
Shares redeemed
   —     50,000 
Per share NAV beginning of period
  $59.83  $55.83 
Per share NAV end of period
  $51.78  $56.21 
Percentage change in per share NAV
   (13.4)%   0.6
Percentage change in benchmark
     1.1
Benchmark annualized volatility
     15.6
During the three months ended March 31, 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 March 31, 2021. By comparison, during the three months ended March 31, 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 March 31, 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.
For the three months ended March 31, 20212022 and 2020,2021, 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 11.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 13.4% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 0.6% for the three months ended March 31, 2020, was primarily due to [greater/lesser] [appreciation/depreciation]lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
152

The benchmark’s risedecline of –%5.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 6.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 1.1% for the three months ended March 31, 2020, can be attributed to a [greater/lesser] [increase/decrease]lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
149
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(6,293  $1,626   $(4,556  $(6,293
Management fee
   6,649    7,241    5,429    6,649 
Net realized gain (loss)
   (139,467   (8,483   (117,223   (139,467
Change in net unrealized appreciation (depreciation)
   (256,045   (19,313   (141,365   (256,045
Net Income (loss)
  $(401,805  $(26,170  $(263,144  $(401,805
The Fund’s net income decreasedincreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a [greater/lesser] [increase/decrease]lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2021.2022.
153

ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $2,222,639  $5,608,612   $2,412,623  $2,222,639 
NAV end of period
  $2,258,880  $7,230,367   $2,263,025  $2,258,880 
Percentage change in NAV
   1.6  28.9   (6.2)%   1.6
Shares outstanding beginning of period
   50,000   100,000    50,000   50,000 
Shares outstanding end of period
   50,000   100,000    50,000   50,000 
Percentage change in shares outstanding
        —    —  
Shares created
   —     —      —     —   
Shares redeemed
   —     —      —     —   
Per share NAV beginning of period
  $44.45  $56.09   $48.25  $44.45 
Per share NAV end of period
  $45.18  $72.30   $45.26  $45.18 
Percentage change in per share NAV
   1.6  28.9   (6.2)%   1.6
Percentage change in benchmark
     (12.4)%    3.0  (1.5)% 
Benchmark annualized volatility
     14.4   9.8  10.9
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the 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, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to March 31, 2021. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the 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 March 31, 2020.
For the three months ended March 31, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 28.9% for the three months ended March 31, 2020, was primarily due to [greater/lesser] [appreciation/depreciation]depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
150

Table of Contents
The benchmark’s rise of –%3.0% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 1.5% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 12.4% for the three months ended March 31, 2020, can be attributed to an a [greater/lesser] [increase/decrease]increase in the value of the Australian dollar versus the U.S. dollar during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(5,267  $3,425   $(6,081  $(5,267
Management fee
   5,139    15,130    5,696    5,139 
Brokerage commission
   386    1,499    500    386 
Net realized gain (loss)
   (164,544   670,950    (112,009   (164,544
Change in net unrealized appreciation (depreciation)
   206,052    947,380    (31,508   206,052 
Net Income (loss)
  $36,241   $1,621,755   $(149,598  $36,241 
The Fund’s net income decreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a [greater/lesser] [increase/decrease]an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2021.2022.
154

ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $96,839,233  $125,451,681   $114,167,602  $96,839,233 
NAV end of period
  $91,718,390  $100,094,023   $416,799,231  $91,718,390 
Percentage change in NAV
   (5.3)%   (20.2)%    265.1  (5.3)% 
Shares outstanding beginning of period
   8,339,884   10,289,884    8,883,799   2,084,971 
Shares outstanding end of period
   12,739,884   2,039,884    71,433,799   3,184,971 
Percentage change in shares outstanding
   52.8  (80.2)%    704.1  52.8
Shares created
   7,800,000   3,350,000    77,850,000   1,950,000 
Shares redeemed
   3,400,000   11,600,000    15,300,000   850,000 
Per share NAV beginning of period
  $11.61  $12.19   $12.85  $46.45 
Per share NAV end of period
  $7.20  $49.07   $5.83  $28.80 
Percentage change in per share NAV
   (38.0)%   302.5   (54.6)%   (38.0)% 
Percentage change in benchmark
     (66.5)%    36.6  22.0
Benchmark annualized volatility
     100.9   46.0  32.3
On June 25, 2020,
155

During the Trust announced thatthree months ended March 31, 2022, the ProShares UltraShort Bloomberg Crude Oilincrease in the Fund’s NAV resulted primarily from an increase from 8,883,799 outstanding Shares at December 31, 2021 to 71,433,799 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the 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 seekseeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
151

Table of Contents
The New Benchmark aims to track the performance of three separate contract schedules forBloomberg Commodity Balance 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,Index
one-third
SM
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.
DuringBy comparison, during the three months ended March 31, 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 8,339,8842,804,971 outstanding Shares at December 31, 2020 to 12,739,8843,184,971 outstanding Shares at March 31, 2021. By comparison,
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 54.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 38.0% for the three months ended March 31, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020,2022.
The benchmark’s rise of 36.6% for the decreasethree months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(585,973  $(301,184
Management fee
   492,647    221,263 
Brokerage commission
   77,056    43,044 
Futures account fees
   70,177    47,712 
Net realized gain (loss)
   (106,482,101   (49,177,765
Change in net unrealized appreciation (depreciation)
   1,929,042    5,638,844 
Net Income (loss)
  $(105,139,032  $(43,840,105
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 2022.
*
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.
156

Table of Contents
ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $242,145,130  $24,977,745 
NAV end of period
  $250,340,837  $69,459,275 
Percentage change in NAV
   3.4  178.1
Shares outstanding beginning of period
   3,914,966   104,966 
Shares outstanding end of period
   15,474,477   354,966 
Percentage change in shares outstanding
   295.3  238.2
Shares created
   18,560,000   820,000 
Shares redeemed
   7,000,489   570,000 
Per share NAV beginning of period
  $61.85  $237.96 
Per share NAV end of period
  $16.18  $195.68 
Percentage change in per share NAV
   (73.9)%   (17.8)% 
Percentage change in benchmark
   58.4  3.0
Benchmark annualized volatility
   72.9  42.1
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from a decreasean increase from 10,289,8843,914,966 outstanding Shares at December 31, 20192021 to 2,039,88415,474,477 outstanding Shares at March 31, 2020.2022. 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 two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
.
For the three months ended March 31, 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 38.0% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 302.5% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.
The new benchmark’s rise of 22.0% for the three months ended March 31, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
 benchmark’s decline of 66.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of WTI Crude Oil. By comparison, during the period ended March 31, 2021.
152

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
 
Net investment income (loss)
  $(301,184  $(30,713
Management fee
   221,263    202,369 
Brokerage commission
   43,044    77,053 
Net realized gain (loss)
   (49,177,765   51,674,002 
Change in net unrealized appreciation (depreciation)
   5,638,844    76,581,357 
Net Income (loss)
  $(43,840,105  $128,224,646 
The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of WTI Crude Oil during the three months ended March 31, 2021.
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
NAV beginning of period
  $24,977,745  $12,515,603 
NAV end of period
  $69,459,275  $17,419,933 
Percentage change in NAV
   178.1  39.2
Shares outstanding beginning of period
   524,832   324,832 
Shares outstanding end of period
   1,774,832   274,832 
Percentage change in shares outstanding
   238.2  (15.4)% 
Shares created
   4,100,000   550,000 
Shares redeemed
   2,850,000   600,000 
Per share NAV beginning of period
  $47.59  $38.53 
Per share NAV end of period
  $39.14  $63.38 
Percentage change in per share NAV
   (17.8)%   64.5
Percentage change in benchmark
   3.0  (27.5)% 
Benchmark annualized volatility
   42.1  44.0
During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,832104,966 outstanding Shares at December 31, 2020 to 1,774,832354,966 outstanding Shares at March 31, 2021. 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 the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 324,832 outstanding Shares at December 31, 2019 to 274,832 outstanding Shares at March 31, 2020.
For the three months ended March 31, 20212022 and 2020,2021, 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 73.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 17.8% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 64.5% for the three months ended March 31, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
 
153157

The benchmark’s rise of 58.4% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 3.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 27.5% for the three months ended March 31, 2020, can be attributed to ana greater increase in the value of Henry Hub Natural Gas during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(260,407  $(22,279  $(837,419  $(260,407
Management fee
   159,337    32,430    542,364    159,337 
Brokerage commission
   85,680    32,281    220,951    85,680 
Futures account fees
   129,929    23,273 
Net realized gain (loss)
   (6,359,394   5,626,177    (114,724,308   (6,359,394
Change in net unrealized appreciation (depreciation)
   15,895,064    3,335,611    (87,787,071   15,895,064 
Net Income (loss)
  $9,275,263   $8,939,509   $(203,348,798  $9,275,263 
The Fund’s net income increaseddecreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to ana greater increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholders activity, during the three months ended March 31, 2021.2022.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas.
158

ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $52,953,339  $120,581,173   $54,263,045  $52,953,339 
NAV end of period
  $54,932,137  $93,194,599   $50,498,084  $54,932,137 
Percentage change in NAV
   3.7  (22.7)%    (6.9)%   3.7
Shares outstanding beginning of period
   2,350,000   4,500,000    2,100,000   2,350,000 
Shares outstanding end of period
   2,250,000   3,350,000    1,850,000   2,250,000 
Percentage change in shares outstanding
   (4.3)%   (25.6)%    (11.9)%   (4.3)% 
Shares created
   200,000   200,000    50,000   200,000 
Shares redeemed
   300,000   1,350,000    300,000   300,000 
Per share NAV beginning of period
  $22.53  $26.80   $25.84  $22.53 
Per share NAV end of period
  $24.41  $27.82   $27.30  $24.41 
Percentage change in per share NAV
   8.4  3.8   5.6  8.4
Percentage change in benchmark
   (4.0)%   (1.7)%    (2.8)%   (4.0)% 
Benchmark annualized volatility
   6.2  9.8   8.6  6.2
154

TableDuring the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 1,850,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of Contentsthe Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
Duringof the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,250,000 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 3,350,000 outstanding Shares at March 31, 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 spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 20212022 and 2020,2021, 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 8.4%,5.6% for the three months ended March 31, 2021,2022, as compared to the Fund’s per Share NAV increase of 3.8%8.4% for the three months ended March 31, 2020,2021, was primarily due to greaterlesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020, can be attributed to a greaterlesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2021.2022.
159

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(116,872  $136,215   $(102,051  $(116,872
Management fee
   124,038    263,442    117,456    124,038 
Net realized gain (loss)
   70,527    1,047,283    2,753,108    70,527 
Change in net unrealized appreciation (depreciation)
   4,392,237    3,190,251    268,741    4,392,237 
Net Income (loss)
  $4,345,892   $4,373,749   $2,919,798   $4,345,892 
The Fund’s net income decreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a greaterlesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021.2022.
 
155160

ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $20,337,376  $21,047,560   $26,859,844  $20,337,376 
NAV end of period
  $41,243,515  $20,569,044   $32,598,451  $41,243,515 
Percentage change in NAV
   102.8  (2.3)%    21.4  102.8
Shares outstanding beginning of period
   646,977   396,977    846,977   646,977 
Shares outstanding end of period
   1,096,977   446,977    1,196,977   1,096,977 
Percentage change in shares outstanding
   69.6  12.6   41.3  69.6
Shares created
   750,000   200,000    450,000   750,000 
Shares redeemed
   300,000   150,000    100,000   300,000 
Per share NAV beginning of period
  $31.43  $53.02   $31.71  $31.43 
Per share NAV end of period
  $37.60  $46.02   $27.23  $37.60 
Percentage change in per share NAV
   19.6  (13.2)%    (14.1)%   19.6
Percentage change in benchmark
   (9.8)%   4.5   6.6  (9.8)% 
Benchmark annualized volatility
   18.4  28.2   17.3  18.4
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,196,977 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 1,096,977 outstanding Shares at March 31, 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 Bloomberg Gold Subindex
SM
. By comparison,
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 19.6% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020,2022.
The benchmark’s rise of 6.6% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 9.8% for the three months ended March 31, 2021, can be attributed to an increase in the value of gold futures contracts during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(61,130  $(69,041
Management fee
   66,138    63,727 
Brokerage commission
   2,811    3,590 
Futures account fees
   1,866    4,686 
Net realized gain (loss)
   (6,308,669   4,003,359 
Change in net unrealized appreciation (depreciation)
   2,028,779    (179,853
Net Income (loss)
  $(4,341,020  $3,754,465 
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2022.
161

ProShares UltraShort Silver
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $26,537,000  $28,885,775 
NAV end of period
  $23,406,516  $45,144,664 
Percentage change in NAV
   (11.8)%   56.3
Shares outstanding beginning of period
   991,329   1,041,744 
Shares outstanding end of period
   1,091,329   1,616,744 
Percentage change in shares outstanding
   10.1  55.2
Shares created
   1,100,000   2,450,000 
Shares redeemed
   1,000,000   1,875,000 
Per share NAV beginning of period
  $26.77  $27.73 
Per share NAV end of period
  $21.45  $27.92 
Percentage change in per share NAV
   (19.9)%   0.7
Percentage change in benchmark
   7.5  (7.2)% 
Benchmark annualized volatility
   31.9  44.4
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg GoldSilver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 396,977991,329 outstanding Shares at December 31, 20192021 to 446,9771,091,329 outstanding Shares at March 31, 2020.
For the three months ended March 31, 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 19.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 13.2% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund2022. By comparison, during the three months ended March 31, 2021.
The benchmark’s decline of 9.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 4.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended March 31, 2021.
156

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
 
Net investment income (loss)
  $(69,041  $15,678 
Management fee
   63,727    43,239 
Brokerage commission
   3,590    2,104 
Net realized gain (loss)
   4,003,359    (5,930,882
Change in net unrealized appreciation (depreciation)
   (179,853   2,676,974 
Net Income (loss)
  $3,754,465   $(3,238,230
The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2021.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
NAV beginning of period
  $28,885,775  $13,834,163 
NAV end of period
  $45,144,664  $18,887,831 
Percentage change in NAV
   56.3  36.5
Shares outstanding beginning of period
   4,166,976   516,976 
Shares outstanding end of period
   6,466,976   516,976 
Percentage change in shares outstanding
   55.2  
Shares created
   9,800,000   200,000 
Shares redeemed
   7,500,000   200,000 
Per share NAV beginning of period
  $6.93  $26.76 
Per share NAV end of period
  $6.98  $36.54 
Percentage change in per share NAV
   0.7  36.5
Percentage change in benchmark
   (7.2)%   (21.1)% 
Benchmark annualized volatility
   44.4  48.3
During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,166,9761,041,744 outstanding Shares at December 31, 2020 to 6,466,9761,616,744 outstanding Shares at March 31, 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 Bloomberg Silver Subindex
SM
. By comparison, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to March 31, 2020.
For the three months ended March 31, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 0.7% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 36.5% for the three months ended March 31, 2020, was primarily due to lesser appreciationdepreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
157

The7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 21.1% for the three months ended March 31, 2020, can be attributed to a lesser decreasean increase in the value of the silver futures contracts during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(99,063  $3,419   $(60,608  $(99,063
Management fee
   84,745    37,136    60,953    84,745 
Brokerage commission
   7,444    3,981    5,301    7,444 
Futures account fees
   3,274    9,991 
Net realized gain (loss)
   (2,932,266   842,240    (7,373,936   (2,932,266
Change in net unrealized appreciation (depreciation)
   7,466,511    4,190,456    1,789,652    7,466,511 
Net Income (loss)
  $4,435,182   $5,036,115   $(5,644,892  $4,435,182 
162

The Fund’s net income decreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a lesser decreasean increase in the value of futures prices during the three months ended March 31, 2021.2022.
*
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.
163

ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $23,691,070  $38,132,320   $24,840,784  $23,691,070 
NAV end of period
  $34,921,840  $29,586,170   $27,726,701  $34,921,840 
Percentage change in NAV
   47.4  (22.4)%    11.6  47.4
Shares outstanding beginning of period
   349,290   499,290    299,290   349,290 
Shares outstanding end of period
   449,290   399,290    299,290   449,290 
Percentage change in shares outstanding
   28.6  (20.0)%    —    28.6
Shares created
   100,000   50,000    100,000   100,000 
Shares redeemed
   —     150,000    100,000   —   
Per share NAV beginning of period
  $67.83  $76.37   $83.00  $67.83 
Per share NAV end of period
  $77.73  $74.10   $92.64  $77.73 
Percentage change in per share NAV
   14.7  (3.0)%    11.6  14.7
Percentage change in benchmark
   (6.8)%   1.1   (5.5)%   (6.8)% 
Benchmark annualized volatility
   5.1  15.6   7.1  5.1
During the three months ended March 31, 2021,2022, the increase in the Fund’s NAV resulted primarily from an increase from 349,290 outstanding Shares at December 31, 2020 to 449,290 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also
158

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. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 2020,2021, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 499,290349,290 outstanding Shares at December 31, 20192020 to 399,290449,290 outstanding Shares at March 31, 2020.2021. 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 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 March 31, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 11.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 14.7% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 3.0% for the three months ended March 31, 2020, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
The benchmark’s decline of 5.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 6.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 1.1% for the three months ended March 31, 2020, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(62,957  $41,746   $(50,421  $(62,957
Management fee
   66,553    84,437    59,820    66,553 
Net realized gain (loss)
   1,259,573    (506,520   1,183,144    1,259,573 
Change in net unrealized appreciation (depreciation)
   2,901,742    (697,069   1,438,464    2,901,742 
Net Income (loss)
  $4,098,358   $(1,161,843  $2,571,187   $4,098,358 
The Fund’s net income increaseddecreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2021.2022.
 
159164

ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
 
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
 
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $72,075,095  $45,986,584   $112,875,680  $72,075,095 
NAV end of period
  $75,122,747  $45,034,386   $97,869,914  $75,122,747 
Percentage change in NAV
   4.2  (2.1)%    (13.4)%   4.2
Shares outstanding beginning of period
   1,962,403   2,162,403    3,687,403   1,962,403 
Shares outstanding end of period
   2,162,403   1,162,403    3,112,403   2,162,403 
Percentage change in shares outstanding
   10.2  (46.2)%    (15.6)%   10.2
Shares created
   400,000   375,000    700,000   400,000 
Shares redeemed
   200,000   1,375,000    1,275,000   200,000 
Per share NAV beginning of period
  $36.73  $21.27   $30.61  $36.73 
Per share NAV end of period
  $34.74  $38.74   $31.45  $34.74 
Percentage change in per share NAV
   (5.4)%   82.1   2.7  (5.4)% 
Percentage change in benchmark
   (5.1)%   82.5   3.3  (5.1)% 
Benchmark annualized volatility
   30.6  86.7   32.8  30.6
On Monday, October 26, 2020,
165

During the Chicago Futures Exchange (a subsidiarythree months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Chicago Board Options Exchange) changedFund seeking daily investment results, before fees and expenses, that correspond to 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 fordaily performance of 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.
DuringIndex. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 2,162,403 outstanding Shares at March 31, 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,
For the three months ended March 31, 2022 and 2021, 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 2.7% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 5.4% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020,2022.
The benchmark’s rise of 3.3% for the decreasethree months ended March 31, 2022, as compared to the benchmark’s decline of 5.1% for the three months ended March 31, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(252,097  $(204,800
Management fee
   215,663    178,080 
Brokerage commission
   24,869    11,312 
Futures account fees
   35,488    25,632 
Net realized gain (loss)
   4,791,497    3,539,316 
Change in net unrealized appreciation (depreciation)
   (473,835   (8,275,522
Net Income (loss)
  $4,065,565   $(4,941,006
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2022.
166

ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $269,703,164  $293,390,549 
NAV end of period
  $404,950,400  $349,578,758 
Percentage change in NAV
   50.1  19.2
Shares outstanding beginning of period
   17,832,826   5,331,579 
Shares outstanding end of period
   24,382,826   9,375,329 
Percentage change in shares outstanding
   36.7  75.8
Shares created
   9,950,000   6,331,250 
Shares redeemed
   3,400,000   2,287,500 
Per share NAV beginning of period
  $15.12  $55.03 
Per share NAV end of period
  $16.61  $37.29 
Percentage change in per share NAV
   9.9  (32.3)% 
Percentage change in benchmark
   10.2  (32.0)% 
Benchmark annualized volatility
   86.4  81.9
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from a decreasean increase from 2,162,40317,832,826 outstanding Shares at December 31, 20192021 to 1,162,40324,382,826 outstanding Shares at March 31, 2020.2022. 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 the daily performance of the S&P 500 VIX
Mid-Term
Futures Index.
For the three months ended March 31, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.4% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 82.1% for the three months ended March 31, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.
The benchmark’s decline of 5.1% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 82.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended March 31, 2021.
160

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
 
Net investment income (loss)
  $(204,800  $47,920 
Management fee
   178,080    94,284 
Brokerage commission
   11,312    15,939 
Net realized gain (loss)
   3,539,316    7,756,525 
Change in net unrealized appreciation (depreciation)
   (8,275,522   15,982,870 
Net Income (loss)
  $(4,941,006  $23,787,315 
The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2021.
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:
   
Three Months Ended
March 31, 2021
  
Three Months Ended
March 31, 2020
 
NAV beginning of period
  $293,390,549  $279,792,503 
NAV end of period
  $349,578,758  $223,055,354 
Percentage change in NAV
   19.2  (20.3)% 
Shares outstanding beginning of period
   21,326,317   22,751,317 
Shares outstanding end of period
   37,501,317   5,876,317 
Percentage change in shares outstanding
   75.8  (74.2)% 
Shares created
   25,325,000   6,800,000 
Shares redeemed
   9,150,000   23,675,000 
Per share NAV beginning of period
  $13.76  $12.30 
Per share NAV end of period
  $9.32  $37.96 
Percentage change in per share NAV
   (32.3)%   208.6
Percentage change in benchmark
   (32.0)%   209.3
Benchmark annualized volatility
   81.9  89.7
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.
DuringIndex. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 21,326,3175,331,579 outstanding Shares at December 31, 2020 to 37,501,3179,375,329 outstanding Shares at March 31, 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
161

performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 22,751,317 outstanding Shares at December 31, 2019 to 5,876,317 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended March 31, 20212022 and 2020,2021, 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 9.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 32.0%32.3% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 208.6% for the three months ended March 31, 2020, was primarily due to a depreciationappreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.2022.
167

The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020, can be attributed to a decreasean increase in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 20212022 and 2020:2021:
 
  
Three Months Ended
March 31, 2021
   
Three Months Ended
March 31, 2020
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(1,224,804  $144,025   $(952,113  $(1,224,804
Management fee
   825,460    626,516    705,691    825,460 
Brokerage commission
   172,658    184,760    116,474    172,658 
Futures account fees
   200,657    265,146 
Net realized gain (loss)
   (76,634,593   325,737,788    53,734,224    (76,634,593
Change in net unrealized appreciation (depreciation)
   (53,430,854   67,902,244    (13,448,381   (53,430,854
Net Income (loss)
  $(131,290,251  $393,784,057   $39,333,730   $(131,290,251
The Fund’s net income decreasedincreased for the three months ended March 31, 20212022 as compared to the three months ended March 31, 2020,2021, primarily due to a decreasean increase in the value of the futures prices during the three months ended March 31, 2021.2022.
*
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.
 
162168

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 March 31, 20212022 and 2020,2021, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
 
                     
Futures Positions as of March 31, 2022
 
 
Contract
  
  Long or  

Short
  
  Expiration  
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)  Short  June 2022   33   $1.11    125,000   $(4,578,338
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   Short    June 2021    15   $1.17    125,000   $(2,201,625
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   Short    June 2020    17   $1.11    125,000   $(2,348,019
                     
Futures Positions as of March 31, 2021
 
 
Contract
  
  Long or  

Short
  
Expiration  
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)  Short  June 2021   15   $1.17    125,000   $(2,201,625
The March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
   Short    April 2021    6,607   $20.73    1,000   $(136,989,538
VIX Futures (Cboe)
   Short    May 2021    5,590    22.68    1,000    (126,757,722
                     
Futures Positions as of March 31, 2022
 
 
Contract
  
  Long or  

Short
  
  Expiration  
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Short  April 2022   4,910   $23.47    1,000   $(115,232,790
VIX Futures (Cboe)  Short  May 2022   5,324    24.99    1,000    (133,034,515
 
163
169

Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  April 2020   4,392   $46.78    1,000   $(205,435,800
VIX Futures (Cboe)
  Short  May 2020   4,878    40.93    1,000    (199,632,150
                     
Futures Positions as of March 31, 2021
 
 
Contract
  
  Long or  

Short
  
    Expiration    
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Short  April 2021   6,607   $20.73    1,000   $(136,989,538
VIX Futures (Cboe)  Short  May 2021   5,590    22.68    1,000    (126,757,722
The March 31, 20212022 and 20202021 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:
As of March 31, 20212022 and 2020,2021, 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
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  June 2021   8,933   $59.18    1,000   $528,654,940 
WTI Crude Oil (NYMEX)
  Long  December 2021   9,478    56.85    1,000    538,824,300 
WTI Crude Oil (NYMEX)
  Long  June 2022   9,857    54.72    1,000    539,375,040 
                     
Futures Positions as of March 31, 2022
 
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)  Long  June 2022   4,115   $98.52    1,000   $405,409,800 
WTI Crude Oil (NYMEX)  Long  December 2022   4,724    89.60    1,000    423,270,400 
WTI Crude Oil (NYMEX)  Long  June 2023   5,012    84.61    1,000    424,065,320 
 
Swap Agreements as of March 31, 2021
Reference Index
 
Counterparty
 
Long or
Short
 
Index Close
 
Notional Amount
at Value
Bloomberg Commodity Balanced WTI Crude Oil Index
 Goldman Sachs International Long $49.0975 $108,014,255
Bloomberg Commodity Balanced WTI Crude Oil Index
 Morgan Stanley & Co.
International PLC
 Long 49.0975 202,730,402
Bloomberg Commodity Balanced WTI Crude Oil Index
 Societe Generale Long 49.0975 104,445,210
Bloomberg Commodity Balanced WTI Crude Oil Index
 UBS AG Long 49.0975 155,489,475
             
Swap Agreements as of March 31, 2022
 
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index  Citibank, N.A.  Long  $89.7299   $202,256,578 
Bloomberg Commodity Balanced WTI Crude Oil Index  Goldman Sachs International  Long   89.7299    394,073,711 
Bloomberg Commodity Balanced WTI Crude Oil Index  Morgan Stanley & Co. International PLC  Long   89.7299    350,316,746 
Bloomberg Commodity Balanced WTI Crude Oil Index  Societe Generale  Long   89.7299    190,882,596 
Bloomberg Commodity Balanced WTI Crude Oil Index  UBS AG  Long   89.7299    284,170,376 
 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  May 2020   15,735   $20.48    1,000   $322,252,800 
164
170

Swap Agreements as of March 31, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
  Citibank, N.A.  Long  $30.1606   $103,616,044 
Bloomberg WTI Crude Oil Subindex
  Goldman Sachs International  Long   30.1606    129,822,430 
Bloomberg WTI Crude Oil Subindex
  Royal Bank of Canada  Long   30.1606    144,648,067 
Bloomberg WTI Crude Oil Subindex
  Societe Generale  Long   30.1606    32,149,931 
Bloomberg WTI Crude Oil Subindex
  UBS AG  Long   30.1606    137,973,564 
Futures Positions as of March 31, 2021
 
 
Contract  
  Long or  

Short
    Expiration    Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)  Long  June 2021   8,933   $59.18    1,000   $528,654,940 
WTI Crude Oil (NYMEX)  Long  December 2021   9,478    56.85    1,000    538,824,300 
WTI Crude Oil (NYMEX)  Long  June 2022   9,857    54.72    1,000    539,375,040 
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  Long or
Short
  Index
Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index  Goldman Sachs International  Long  $49.0975   $108,014,255 
Bloomberg Commodity Balanced WTI Crude Oil Index  Morgan Stanley & Co.
International PLC
  Long   49.0975    202,730,402 
Bloomberg Commodity Balanced WTI Crude Oil Index  Societe Generale  Long   49.0975    104,445,210 
Bloomberg Commodity Balanced WTI Crude Oil Index  UBS AG  Long   49.0975    155,489,475 
The March 31, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  May 2021   5,698   $2.61    10,000   $148,603,840 
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Long  May 2022   5,149   $5.64    10,000   $290,506,580 
 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  May 2020   3,249   $1.64    10,000   $53,283,600 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Long  May 2021   5,698   $2.61    10,000   $148,603,840 
The March 31, 20212022 and 20202021 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.
171

ProShares Ultra Euro:
As of March 31, 20212022 and 2020,2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
 
165

Foreign Currency Forward Contracts as of March 31, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   04/09/21    2,210,921   1.2082   $2,671,235 
Euro
  UBS AG  Long   04/09/21    4,249,502   1.2075    5,131,458 
Euro
  UBS AG  Short   04/09/21    (276,000  1.1884    (327,986
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  Goldman Sachs International  Long   04/08/22    4,422,921   1.1082   $4,901,569 
Euro  UBS AG  Long   04/08/22    11,991,502   1.1091    13,299,566 
Euro  UBS AG  Short   04/08/22    (5,127,000  1.1044    (5,662,186
 
Foreign Currency Forward Contracts as of March 31, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   04/03/20    5,798,921   1.1140   $6,459,710 
Euro
  UBS AG  Long   04/03/20    5,578,220   1.1120    6,202,913 
Euro
  Goldman Sachs International  Short   04/03/20    (1,190,000  1.1446    (1,362,084
Euro
  UBS AG  Short   04/03/20    (3,030,918  1.0879    (3,297,458
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  Goldman Sachs International  Long   04/09/21    2,210,921   1.2082   $2,671,235 
Euro  UBS AG  Long   04/09/21    4,249,502   1.2075    5,131,458 
Euro  UBS AG  Short   04/09/21    (276,000  1.1884    (327,986
The March 31, 20212022 and 20202021 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 March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)  Long  June 2022   1,871   $1,954.00    100   $365,593,400 
 
Swap Agreements as of March 31, 2022
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Gold Subindex  Citibank, N.A.  Long  $214.4125   $118,728,333 
Bloomberg Gold Subindex  Goldman Sachs International  Long   214.4125    102,600,526 
Bloomberg Gold Subindex  UBS AG  Long   214.4125    123,508,801 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)  Long  June 2021   722   $1,715.60    100   $123,866,320 
Swap Agreements as of March 31, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $189.7346   $105,063,244 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   189.7346    90,791,674 
Bloomberg Gold Subindex
  UBS AG  Long   189.7346    109,293,502 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  June 2020   482   $1,596.60    100   $76,956,120 
166
172

Swap Agreements as of March 31, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $181.9712   $62,978,399 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   181.9712    62,167,791 
Bloomberg Gold Subindex
  UBS AG  Long   181.9712    54,777,259 
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Gold Subindex  Citibank, N.A.  Long  $189.7346   $105,063,244 
Bloomberg Gold Subindex  Goldman Sachs International  Long   189.7346    90,791,674 
Bloomberg Gold Subindex  UBS AG  Long   189.7346    109,293,502 
The March 31, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 20212022 and 20202021 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 March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
 
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)  Long  May 2022   1,351   $25.13    5,000   $169,773,415 
Swap Agreements as of March 31, 2022
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Silver Subindex  Citibank, N.A.  Long  $227.4218   $237,998,246 
Bloomberg Silver Subindex  Goldman Sachs International  Long   227.4218    249,395,557 
Bloomberg Silver Subindex  Morgan Stanley & Co.
International PLC
  Long   227.4218    232,374,365 
Bloomberg Silver Subindex  UBS AG  Long   227.4218    227,857,585 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)  Long  May 2021   1,667   $24.53    5,000   $204,474,220 
Swap Agreements as of March 31, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $223.9196   $291,359,450 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   223.9196    218,805,087 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Long   223.9196    228,795,897 
Bloomberg Silver Subindex
  UBS AG  Long   223.9196    201,503,724 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Long  May 2020   906   $14.16    5,000   $64,126,680 
Swap Agreements as of March 31, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $133.7523   $62,269,702 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   133.7523    68,893,289 
Bloomberg Silver Subindex
  UBS AG  Long   133.7523    64,040,895 
167
173

Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  Long or
Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Silver Subindex  Citibank, N.A.  Long  $223.9196   $291,359,450 
Bloomberg Silver Subindex  Goldman Sachs International  Long   223.9196    218,805,087 
Bloomberg Silver Subindex  Morgan Stanley & Co.
International PLC
  Long   223.9196    228,795,897 
Bloomberg Silver Subindex  UBS AG  Long   223.9196    201,503,724 
The March 31, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long  April 2022   33,482   $23.47    1,000   $785,789,058 
VIX Futures (Cboe)  Long  May 2022   36,263    24.99    1,000    906,128,965 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration   Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long   April 2021    45,234   $20.73    1,000   $937,881,756 
VIX Futures (Cboe)  Long   May 2021    38,279    22.68    1,000    868,006,948 
Swap Agreements as of March 31, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs International  Long  $11.4000   $120,270,000 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  April 2020   8,867   $46.78    1,000   $414,753,925 
VIX Futures (Cboe)
  Long  May 2020   9,852    40.93    1,000    403,193,100 
Swap Agreements as of March 31, 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 International  Long  $46.1923   $71,236,931 
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
  Index
Close
   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index  Goldman Sachs & Co.  Long  $11.4000   $120,270,000 
The March 31, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 20212022 and 20202021 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
174

the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
168

ProShares Ultra Yen:
As of March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of March 31, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market
Value USD
 
Yen
  Goldman Sachs International  Long   04/09/21    332,532,517   0.009354   $3,110,368 
Yen
  UBS AG  Long   04/09/21    263,662,756   0.009355    2,466,565 
Yen
  UBS AG  Short   04/09/21    (21,110,000  0.009176    (193,709
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  Goldman Sachs International  Long   04/08/22    321,397,517   0.008653   $2,781,048 
Yen  UBS AG  Long   04/08/22    234,765,856   0.008634    2,027,006 
Yen  Goldman Sachs International  Short   04/08/22    (6,529,000  0.008177    (53,386
Yen  UBS AG  Short   04/08/22    (37,680,000  0.008411    (316,941
 
Foreign Currency Forward Contracts as of March 31, 2020
 
Reference
Currency
  
Counterparty
   
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market
Value USD
 
Yen
   Goldman Sachs International    Long    04/03/20    374,903,256   0.009352   $3,506,173 
Yen
   UBS AG    Long    04/03/20    297,882,756   0.009332    2,779,768 
Yen
   Goldman Sachs International    Short    04/03/20    (35,997,739  0.009386    (337,883
Yen
   UBS AG    Short    04/03/20    (34,490,000  0.009184    (316,747
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  Goldman Sachs International  Long   04/09/21    332,532,517   0.009354   $3,110,368 
Yen  UBS AG  Long   04/09/21    263,662,756   0.009355    2,466,565 
Yen  UBS AG  Short   04/09/21    (21,110,000  0.009176    (193,709
The March 31, 20212022 and 20202021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Australian Dollar:
As of March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Australian Dollar Fx Currency Futures (CME)
  Short  June 2021   60   $75.98    1,000   $(4,560,900
169175

Futures Positions as of March 31, 2020
 
Futures Positions as of March 31, 2022
Futures Positions as of March 31, 2022
 
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  June 2020   234   $61.53    1,000   $(14,374,620  Short      June 2022       60   $74.92    1,000   $(4,497,900
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)  Short      June 2021       60   $75.98    1,000   $(4,560,900
The March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)  Short  June 2022   2,737   $98.52    1,000   $(269,649,240
WTI Crude Oil (NYMEX)  Short  December 2022   3,147    89.60    1,000    (281,971,200
WTI Crude Oil (NYMEX)  Short  June 2023   3,339    84.61    1,000    (282,512,790
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)  Short  June 2021   1,020   $59.18    1,000   $(60,363,600
WTI Crude Oil (NYMEX)  Short  December 2021   1,082    56.85    1,000    (61,511,700
WTI Crude Oil (NYMEX)  Short  June 2022   1,125    54.72    1,000    (61,560,000
176

Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Short  June 2021   1,020   $59.18    1,000   $(60,363,600
WTI Crude Oil (NYMEX)
  Short  December 2021   1,082    56.85    1,000    (61,511,700
WTI Crude Oil (NYMEX)
  Short  June 2022   1,125    54.72    1,000    (61,560,000
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Short  May 2020   3,923   $20.48    1,000   $(80,343,040
Swap Agreements as of March 31, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
  Citibank N.A.  Short  $30.1606   $(23,689,605
Bloomberg WTI Crude Oil Subindex
  Goldman Sachs International  Short   30.1606    (37,283,308
Bloomberg WTI Crude Oil Subindex
  Royal Bank of Canada  Short   30.1606    (35,979,891
Bloomberg WTI Crude Oil Subindex
  Societe Generale  Short   30.1606    (1,886,919
Bloomberg WTI Crude Oil Subindex
  UBS AG  Short   30.1606    (21,000,790
The March 31, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. March 31, 20212022 and 20202021 short swap notional values are calculated by multiplying the
170

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 March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Short  May 2021   5,327   $2.61    10,000   $(138,928,160
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Short      May 2022       8,883   $5.64    10,000   $(501,178,860
 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Short  May 2020   2,125   $1.64    10,000   $(34,850,000
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Short      May 2021       5,327   $2.61    10,000   $(138,928,160
The March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of March 31, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  UBS AG  Long   04/09/21    12,078,000   1.1877   $14,345,411 
Euro
  Goldman Sachs International  Short   04/09/21    (37,401,263  1.2082    (45,188,206
Euro
  UBS AG  Short   04/09/21    (68,453,199  1.2035    (82,380,948
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  UBS AG  Long   04/08/22    13,916,000   1.1059   $15,390,379 
Euro  Goldman Sachs International  Short   04/08/22    (46,280,263  1.1082    (51,288,713
Euro  UBS AG  Short   04/08/22    (58,998,199  1.1072    (65,320,957
 
171
177

Foreign Currency Forward Contracts as of March 31, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   04/03/20    33,335,051   1.1208   $37,363,018 
Euro
  UBS AG  Long   04/03/20    33,759,900   1.1016    37,188,671 
Euro
  Goldman Sachs International  Short   04/03/20    (76,098,314  1.1136    (84,743,082
Euro
  UBS AG  Short   04/03/20    (160,480,099  1.1067    (177,599,175
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  UBS AG  Long   04/09/21    12,078,000   1.1877   $14,345,411 
Euro  Goldman Sachs International  Short   04/09/21    (37,401,263  1.2082    (45,188,206
Euro  UBS AG  Short   04/09/21    (68,453,199  1.2035    (82,380,948
The March 31, 20212022 and 20202021 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 March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
   Short    June 2021    247   $1,715.60    100   $(42,375,320
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)  Short  June 2022   134   $1,954.00    100   $(26,183,600
 
Swap Agreements as of March 31, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $189.7346   $(14,224,080
Bloomberg Gold Subindex
  Goldman Sachs International   Short    189.7346    (14,746,325
Bloomberg Gold Subindex
  UBS AG   Short    189.7346    (11,127,395
Swap Agreements as of March 31, 2022
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Gold Subindex  Citibank, N.A.  Short  $214.4125   $(16,074,140
Bloomberg Gold Subindex  Goldman Sachs International  Short   214.4125    (10,515,819
Bloomberg Gold Subindex  UBS AG  Short   214.4125    (12,574,684
 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
   Short    June 2020    127   $1,596.60    100   $(20,276,820
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)  Short  June 2021   247   $1,715.60    100   $(42,375,320
 
Swap Agreements as of March 31, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $181.9712   $(9,571,739
Bloomberg Gold Subindex
  Goldman Sachs International   Short    181.9712    (7,173,997
Bloomberg Gold Subindex
  UBS AG   Short    181.9712    (4,175,904
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
   Index Close   
Notional Amount

at Value
 
Bloomberg Gold Subindex  Citibank, N.A.   Short   $189.7346   $(14,224,080
Bloomberg Gold Subindex  Goldman Sachs International   Short    189.7346    (14,746,325
Bloomberg Gold Subindex  UBS AG   Short    189.7346    (11,127,395
 
172
178

The March 31, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 20212022 and 20202021 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 March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, which were sensitive to commodity price risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short    May 2021    347   $24.53    5,000   $(42,563,020
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)  Short  May 2022   167   $25.13    5,000   $(20,986,055
 
Swap Agreements as of March 31, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Short   $223.9196   $(8,308,475
Bloomberg Silver Subindex
  Goldman Sachs International   Short    223.9196    (15,457,845
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC   Short    223.9196    (8,697,261
Bloomberg Silver Subindex
  UBS AG   Short    223.9196    (15,222,974
Swap Agreements as of March 31, 2022
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Silver Subindex  Citibank, N.A.  Short  $227.4218   $(3,066,720
Bloomberg Silver Subindex  Goldman Sachs International  Short   227.4218    (11,171,645
Bloomberg Silver Subindex  Morgan Stanley & Co.
International PLC
  Short   227.4218    (8,833,290
Bloomberg Silver Subindex  UBS AG  Short   227.4218    (2,824,603
 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short    May 2020    155   $14.16    5,000   $(10,970,900
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)  Short  May 2021   347   $24.53    5,000   $(42,563,020
 
Swap Agreements as of March 31, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Short   $133.7523   $(12,296,080
Bloomberg Silver Subindex
  Goldman Sachs International   Short    133.7523    (7,543,899
Bloomberg Silver Subindex
  UBS AG   Short    133.7523    (6,961,822
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Silver Subindex  Citibank, N.A.  Short  $223.9196   $(8,308,475
Bloomberg Silver Subindex  Goldman Sachs International  Short   223.9196    (15,457,845
Bloomberg Silver Subindex  Morgan Stanley & Co.
International PLC
  Short   223.9196    (8,697,261
Bloomberg Silver Subindex  UBS AG  Short   223.9196    (15,222,974
The March 31, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 20212022 and 20202021 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
179

(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
173

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 March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of March 31, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  UBS AG   Long    04/09/21    167,310,000   0.009212   $1,541,327 
Yen
  Goldman Sachs International   Short    04/09/21    (2,009,085,165  0.009354    (18,792,128
Yen
  UBS AG   Short    04/09/21    (5,895,178,875  0.009324    (54,965,979
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  UBS AG  Long   04/08/22    2,874,020,000   0.008228   $23,648,854 
Yen  Goldman Sachs International  Short   04/08/22    (1,973,114,165  0.008595    (16,958,793
Yen  UBS AG  Short   04/08/22    (7,652,928,574  0.008428    (64,498,778
 
Foreign Currency Forward Contracts as of March 31, 2020
 
Reference
Currency
  
Counterparty
 
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long    04/03/20    1,519,059,504   0.009552   $14,509,954 
Yen
  UBS AG  Long    04/03/20    1,225,973,077   0.009320    11,425,593 
Yen
  Goldman Sachs International  Short    04/03/20    (3,356,532,669  0.009327    (31,305,097
Yen
  UBS AG  Short    04/03/20    (5,767,995,952  0.009251    (53,358,109
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  UBS AG  Long   04/09/21    167,310,000   0.009212   $1,541,327 
Yen  Goldman Sachs International  Short   04/09/21    (2,009,085,165  0.009354    (18,792,128
Yen  UBS AG  Short   04/09/21    (5,895,178,875  0.009324    (54,965,979
The March 31, 20212022 and 20202021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares VIX
Mid-Term
Futures ETF
As of March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
174
180

Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long   July 2021   550   $24.30    1,000   $13,365,000 
VIX Futures (Cboe)
   Long   August 2021   1,016    24.45    1,000    24,842,318 
VIX Futures (Cboe)
   Long   September 2021   1,016    24.85    1,000    25,249,530 
VIX Futures (Cboe)
   Long   October 2021   466    25.01    1,000    11,653,868 
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long  July 2022   593   $26.11    1,000   $15,480,562 
VIX Futures (Cboe)  Long  August 2022   1,235    26.25    1,000    32,424,802 
VIX Futures (Cboe)  Long  September 2022   1,235    26.60    1,000    32,852,729 
VIX Futures (Cboe)  Long  October 2022   642    26.86    1,000    17,245,083 
 
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long   July 2020   228   $33.93    1,000   $7,734,900 
VIX Futures (Cboe)
   Long   August 2020   481    31.68    1,000    15,235,675 
VIX Futures (Cboe)
   Long   September 2020   481    30.10    1,000    14,478,100 
VIX Futures (Cboe)
   Long   October 2020   253    29.93    1,000    7,571,025 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long  July 2021   550   $24.30    1,000   $13,365,000 
VIX Futures (Cboe)  Long  August 2021   1,016    24.45    1,000    24,842,318 
VIX Futures (Cboe)  Long  September 2021   1,016    24.85    1,000    25,249,530 
VIX Futures (Cboe)  Long  October 2021   466    25.01    1,000    11,653,868 
The March 31, 20212022 and 20202021 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 March 31, 20212022 and 2020,2021, 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 March 31, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of March 31, 2021
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long   April 2021   8,754   $20.73    1,000   $181,505,436 
VIX Futures (Cboe)
   Long   May 2021   7,407    22.68    1,000    167,959,651 
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long      April 2022       8,017   $23.47    1,000   $188,150,973 
VIX Futures (Cboe)  Long  May 2022   8,681    24.99    1,000    216,918,224 
 
Share
Futures Positions as of March 31, 2020
 
Contract
  
Long or
Short
   
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long   April 2020   2,417   $46.78    1,000   $113,055,175 
VIX Futures (Cboe)
   Long   May 2020   2,684    40.93    1,000    109,842,700 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long      April 2021       8,754   $20.73    1,000   $181,505,436 
VIX Futures (Cboe)  Long  May 2021   7,407    22.68    1,000    167,959,651 
The March 31, 20212022 and 20202021 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.
175
181

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 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 upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).
Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in
176
182

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,
1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described 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 has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort 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. As a result, the Fund’s short exposure may need to be increased.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in 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.
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 Rules
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, 2020,2021, 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
177
183

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 principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 20212022 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.
178
184

Part II. OTHER INFORMATION
 
Item 1.
Legal Proceedings.
The Sponsor and
As of March 31, 2022, 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 ofis not a party to any material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and affirmed the District Court’s judgement.legal proceedings.
 
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.
 
179185

On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or 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.
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 AprilDuring much of 2020 and the first quarter of 2021, the unemployment rate in the U.S. washas been 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
186

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.
180

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.
The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing
COVID-19
pandemic
Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The
COVID-19
pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The
COVID-19
pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.
Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.
 
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
a) None.
Not applicable.
 
181187

Title of Securities Registered
*
 
Shares Sold For the

Three Months

Ended March 31,

2022
  
Sale Price of Shares Sold

For the Three Months

Ended March 31, 2022
 
ProShares Short Euro
  
Common Units of Beneficial Interest
  50,000  $2,312,961 
ProShares Short VIX Short-Term Futures ETF
  
Common Units of Beneficial Interest
  3,000,000  $156,515,471 
ProShares Ultra Bloomberg Crude Oil
  
Common Units of Beneficial Interest
  2,150,000  $330,317,033 
ProShares Ultra Bloomberg Natural Gas
  
Common Units of Beneficial Interest
  2,600,000  $87,880,355 
ProShares Ultra Euro
  
Common Units of Beneficial Interest
  100,000  $1,316,267 
ProShares Ultra Gold
  
Common Units of Beneficial Interest
  1,500,000  $95,684,676 
ProShares Ultra Silver
  
Common Units of Beneficial Interest
  1,000,000  $39,033,941 
ProShares Ultra VIX Short-Term Futures ETF
  
Common Units of Beneficial Interest
  83,100,000  $1,171,715,867 
ProShares Ultra Yen
  
Common Units of Beneficial Interest
  —    $—   
ProShares UltraShort Australian Dollar
  
Common Units of Beneficial Interest
  —    $—   
ProShares UltraShort Bloomberg Crude Oil
  
Common Units of Beneficial Interest
  77,850,000  $510,028,879 
ProShares UltraShort Bloomberg Natural Gas
  
Common Units of Beneficial Interest
  18,560,000  $454,959,241 
ProShares UltraShort Euro
  
Common Units of Beneficial Interest
  50,000  $1,371,662 
ProShares UltraShort Gold
  
Common Units of Beneficial Interest
  450,000  $13,189,949 
ProShares UltraShort Silver
  
Common Units of Beneficial Interest
  1,100,000  $25,560,144 
ProShares UltraShort Yen
  
Common Units of Beneficial Interest
  100,000  $9,605,322 
ProShares VIX
Mid-Term
Futures ETF
  
Common Units of Beneficial Interest
  700,000  $22,135,602 
ProShares VIX Short-Term Futures ETF
  
Common Units of Beneficial Interest
  9,950,000  $161,172,915 
 
 
 
  
 
 
 
Total Trust:
 
 
202,260,000
 
 
$
3,082,800,286
 
 
 
 
  
 
 
 
Title of Securities Registered
  
Amount Registered As of
March 31, 2021
   
Shares Sold For the
Three Months Ended
March 31, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
March 31, 2021
 
ProShares Short Euro
      
Common Units of Beneficial Interest
  $ 203,055,627    —     $—   
ProShares Short VIX Short-Term Futures ETF
      
Common Units of Beneficial Interest
  $1,418,967,805    2,400,000   $98,109,468 
ProShares Ultra Bloomberg Crude Oil
      
Common Units of Beneficial Interest
  $2,698,414,797    2,350,000   $117,044,190 
ProShares Ultra Bloomberg Natural Gas
      
Common Units of Beneficial Interest
  $386,032,584    3,400,000   $76,480,823 
ProShares Ultra Euro
      
Common Units of Beneficial Interest
  $186,681,873    —     $—   
ProShares Ultra Gold
      
Common Units of Beneficial Interest
  $594,079,932    600,000   $37,062,261 
ProShares Ultra Silver
      
Common Units of Beneficial Interest
  $817,900,286    2,400,000   $120,399,635 
ProShares Ultra VIX Short-Term Futures ETF
      
Common Units of Beneficial Interest
  $6,066,240,184    196,300,000   $1,939,143,031 
ProShares Ultra Yen
      
Common Units of Beneficial Interest
  $201,792,144    —     $—   
ProShares UltraShort Australian Dollar
      
Common Units of Beneficial Interest
  $159,935,804    —     $—   
ProShares UltraShort Bloomberg Crude Oil
      
Common Units of Beneficial Interest
  $1,124,471,841    7,800,000   $64,302,979 
ProShares UltraShort Bloomberg Natural Gas
      
Common Units of Beneficial Interest
  $478,890,865    4,100,000   $142,050,186 
ProShares UltraShort Euro
      
Common Units of Beneficial Interest
  $486,592,151    200,000   $4,613,244 
ProShares UltraShort Gold
      
Common Units of Beneficial Interest
  $178,478,592    750,000   $27,291,216 
ProShares UltraShort Silver
      
Common Units of Beneficial Interest
  $454,916,081    9,800,000   $58,095,647 
ProShares UltraShort Yen
      
Common Units of Beneficial Interest
  $484,084,957    100,000   $7,132,412 
ProShares VIX
Mid-Term
Futures ETF
      
Common Units of Beneficial Interest
  $332,636,785    400,000   $15,879,994 
ProShares VIX Short-Term Futures ETF
      
Common Units of Beneficial Interest
  $1,128,860,082    25,325,000   $326,892,710 
    
 
 
   
 
 
 
Total Trust:
    
 
255,925,000
 
  
$
3,034,497,796
 
    
 
 
   
 
 
 
*
The registration statement covers an indeterminate amount of securities to be offered or sold.
 
Item 3.
Defaults Upon Senior Securities.
None.
 
Item 4.
Mine Safety Disclosures.
Not applicable.
 
188

Item 5.
Other Information.
None.
 
182189

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)
32.1*  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)
32.2*  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  Inline XBRL Instance Document (1)
101.SCH  Inline XBRL Taxonomy Extension Schema (1)
101.CAL  Inline XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF  Inline XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB  Inline XBRL Taxonomy Extension Label Linkbase (1)
101.PRE  Inline 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.
 
183190

Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PROSHARES TRUST II
 
PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: May 7, 20219, 2022
 
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: May 7, 20219, 2022
 
184191