0001415311 ck0001415311:ProsharesVixMidTermFuturesEtfMemberProsharesUltraShortBloombergCrudeOilMember us-gaap:USGovernmentAgenciesShorttermDebtSecuritiesMember 2020-07-01 2020-09-30PrivatePlacementMember 2022-01-01 2022-06-30
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
FORM
10-Q
 
 
 
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2021.
for the quarterly period ended June 30, 2022.
or
 
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from
to
.
for the transition period from
to
.
Commission file number:
001-34200
 
 
PROSHARES TRUST II
(Exact name of registrant as specified in its charter)
 
 
 
Delaware
 
87-6284802
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
c/o ProShare Capital Management LLC
7272 Wisconsin Ave, 21st Avenue, 21
st
Floor
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip Code)
(240)
497-6400497
-
6400
(Registrant’s telephone number, including area code)
 
 
Securities registered pursuant to Section 12(b) of the Act:
 
Title of each class
 
Trading
Symbol(s)
 
Name of each exchange
on which registered
ProShares Short Euro
EUFX
NYSE Arca
ProShares Short VIX Short-Term Futures ETF
 
SVXY
 
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 October 26, 2021,August 2, 2022, the registrant had
165,148,980 260,819,037 shares of common stock, $0 par value per share, outstanding.
 
 
 


Table of Contents
Part I. FINANCIAL INFORMATION
Part
I. FINANCIAL INFORMATION
Item 1. Financial Statements.
Index
 
Index
Documents
Page
 
Documents
Page
in Shareholders’ Equity, and Statements of Cash Flows:
  
4
   92 
   147 
   1912 
   2417 
   2922 
   3427 
   3932 
44
   4937 
   5442 
   5947 
   6452 
   6957 
   7462 
79
   8467 
72
   8977 
   9482 
   9886 
3
1

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

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

PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires December 2021   15   $2,175,000   $46,781 
See accompanying notes to financial statements.
5

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended

September 30,
  
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

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

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

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

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $129,993,650 and $69,998,727, respectively)  $129,992,467   $69,999,639 
Short-term U.S. government and agency obligations (Note 3) (cost $151,906,089 and $147,851,244, respectively)  $151,418,355   $147,815,719 
Cash   57,127,931    132,392,153    34,531,284    44,359,519 
Segregated cash balances with brokers for futures contracts   130,619,573    134,187,067    113,898,635    138,651,465 
Receivable on open futures contracts   71,173,354    74,226,825    105,797,631    99,544,338 
Interest receivable   1,773    4,384    76,049    2,868 
                
Total assets   388,915,098    410,810,068    405,721,954    430,373,909 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   —      6,125,130 
Payable on open futures contracts   0      996,159    1,735,890    —   
Brokerage commissions and futures account fees payable   85,856    114,522    12,121    104,312 
Payable to Sponsor   304,044    326,566    328,987    331,873 
Non-recurring
fees and expenses payable
   1,353    1,353 
                
Total liabilities   391,253    1,438,600    2,076,998    6,561,315 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   388,523,845    409,371,468    403,644,956    423,812,594 
                
Total liabilities and shareholders’ equity  $388,915,098   $410,810,068   $405,721,954   $430,373,909 
                
Shares outstanding   7,134,307    9,884,307    8,384,307    6,884,307 
                
Net asset value per share  $54.46   $41.42   $48.14   $61.56 
                
Market value per share (Note 2)  $54.39   $41.44   $48.21   $61.55 
                
See accompanying notes to financial statements.
 
9
2

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(33% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21  $20,000,000   $19,999,112 
0.029% due 11/18/21   70,000,000    69,996,731 
0.043% due 12/16/21   40,000,000    39,996,624 
       
Total short-term U.S. government and agency obligations
(cost $129,993,650)
    $129,992,467 
       
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(38% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.967% due 07/14/22  $25,000,000   $24,989,618 
1.014% due 07/21/22   50,000,000    49,970,140 
0.223% due 11/03/22   77,000,000    76,458,597 
           
Total short-term U.S. government and agency obligations
(cost $151,906,089)
       $151,418,355 
           
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   4,341   $99,269,120   $(2,399,545
VIX Futures - Cboe, expires November 2021   4,001    94,767,286    (3,782,433
         
      $(6,181,978
         
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022   3,652   $104,309,520   $809,209 
VIX Futures - Cboe, expires August 2022   3,346    97,627,580    708,405 
                
             $1,517,614 
                
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
10
3

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
   
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $8,152  $53,301  $75,729  $909,185   $225,134  $33,687  $319,477  $67,577 
                          
Expenses
            
Management fee   1,055,823   1,116,999   3,415,545   3,592,232    1,034,361   1,317,153   2,020,898   2,359,722 
Brokerage commissions   208,885   167,648   638,744   585,356    177,552   253,949   365,250   429,859 
Futures account fees   209,717   291,350   795,836   752,869    107,221   328,342   324,251   586,119 
Non-recurring
fees and expenses
   —     22,038   —     22,038 
                          
Total expenses   1,474,425   1,598,035   4,850,125   4,952,495    1,319,134   1,899,444   2,710,399   3,375,700 
                          
Net investment income (loss)   (1,466,273  (1,544,734  (4,774,396  (4,043,310   (1,094,000  (1,865,757  (2,390,922  (3,308,123
                          
Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on
         
Realized and unrealized gain (loss) on investment activity
   
Net realized gain (loss) on
   
Futures contracts   34,573,906   60,593,315   168,120,340   (129,091,526   (13,029,194  109,337,017   (54,129,808  133,546,434 
Short-term U.S. government and agency obligations   (1,303  (10  (1,303  (768   (76,018  —     (86,512  —   
                          
Net realized gain (loss)   34,572,603   60,593,305   168,119,037   (129,092,294   (13,105,212  109,337,017   (54,216,320  133,546,434 
                          
Change in net unrealized appreciation (depreciation) on
            
Futures contracts   (43,362,244  (1,463,210  (14,530,761  (2,706,204   (34,466,848  (13,290,409  (29,757,664  28,831,483 
Short-term U.S. government and agency obligations   12,400   (189  (2,095  (2,866   (40,932  (17,721  (452,209  (14,495
                          
Change in net unrealized appreciation (depreciation)   (43,349,844  (1,463,399  (14,532,856  (2,709,070   (34,507,780  (13,308,130  (30,209,873  28,816,988 
                          
Net realized and unrealized gain (loss)   (8,777,241  59,129,906   153,586,181   (131,801,364   (47,612,992  96,028,887   (84,426,193  162,363,422 
                          
Net income (loss)
  $(10,243,514 $57,585,172  $148,811,785  $(135,844,674  $(48,706,992 $94,163,130  $(86,817,115 $159,055,299 
                          
See accompanying notes to financial statements.
 
114

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
   
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $588,615,946  $509,811,853  $409,371,468  $284,437,179   $495,588,849  $527,130,851  $423,812,594  $409,371,468 
                          
Addition of 550,000, –, 3,400,000 and 25,850,000 shares, respectively   30,777,084   —     150,390,026   914,411,669 
Redemption of 4,000,000, 6,750,000, 6,150,000 and 20,700,000 shares, respectively   (220,625,671  (231,931,959  (320,049,434  (727,539,108
Addition of 1,600,000, 450,000, 4,600,000 and 2,850,000 shares, respectively   75,921,860   21,503,474   232,437,331   119,612,942 
Redemption of 2,300,000, 1,050,000, 3,100,000 and 2,150,000 shares, respectively   (119,158,761  (54,181,509  (165,787,854  (99,423,763
                          
Net addition (redemption) of (3,450,000), (6,750,000), (2,750,000) and 5,150,000 shares, respectively   (189,848,587  (231,931,959  (169,659,408  186,872,561 
Net addition (redemption) of (700,000), (600,000), 1,500,000 and 700,000 shares, respectively   (43,236,901  (32,678,035  66,649,477   20,189,179 
                          
Net investment income (loss)   (1,466,273  (1,544,734  (4,774,396  (4,043,310   (1,094,000  (1,865,757  (2,390,922  (3,308,123
Net realized gain (loss)   34,572,603   60,593,305   168,119,037   (129,092,294   (13,105,212  109,337,017   (54,216,320  133,546,434 
Change in net unrealized appreciation (depreciation)   (43,349,844  (1,463,399  (14,532,856  (2,709,070   (34,507,780  (13,308,130  (30,209,873  28,816,988 
                          
Net income (loss)   (10,243,514  57,585,172   148,811,785   (135,844,674   (48,706,992  94,163,130   (86,817,115  159,055,299 
                          
Shareholders’ equity, end of period
  $388,523,845  $335,465,066  $388,523,845  $335,465,066   $403,644,956  $588,615,946  $403,644,956  $588,615,946 
                          
See accompanying notes to financial statements.
 
12
5

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
   
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $148,811,785  $(135,844,674  $(86,817,115 $159,055,299 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (411,950,977  (509,581,499   (569,767,938  (371,956,927
Proceeds from sales or maturities of short-term U.S. government and agency obligations   351,997,423   446,998,196    565,832,801   237,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (42,672  (466,825   (206,220  (32,691
Net realized gain (loss) on investments   1,303   768 
Change in unrealized appreciation (depreciation) on investments   2,095   2,866 
Decrease (Increase) in receivable on futures contracts   3,053,471   (38,580,764
Net realized (gain) loss on investments   86,512   —   
Change in unrealized (appreciation) depreciation on investments   452,209   14,495 
Decrease (Increase) in receivable on open futures contracts   (6,253,293  (11,016,780
Decrease (Increase) in interest receivable   2,611   120,515    (73,181  1,167 
Increase (Decrease) in payable to Sponsor   (22,522  86,957    (2,886  124,617 
Increase (Decrease) in brokerage commissions and futures account fees payable   (28,666  92,881    (92,191  20,038 
Increase (Decrease) in payable on futures contracts   (996,159  1,344,400 
Increase (Decrease) in payable on open futures contracts   1,735,890   4,589,992 
              
Net cash provided by (used in) operating activities   90,827,692   (235,827,179   (95,105,412  17,799,210 
              
Cash flow from financing activities
        
Proceeds from addition of shares   150,390,026   914,411,669    232,437,331   119,612,942 
Payment on shares redeemed   (320,049,434  (697,482,198   (171,912,984  (99,423,763
              
Net cash provided by (used in) financing activities   (169,659,408  216,929,471    60,524,347   20,189,179 
              
Net increase (decrease) in cash
   (78,831,716  (18,897,708   (34,581,065  37,988,389 
Cash, beginning of period   266,579,220   167,544,087    183,010,984   266,579,220 
              
Cash, end of period  $187,747,504  $148,646,379   $148,429,919  $304,567,609 
              
See accompanying notes to financial statements.
 
13
6

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31,
2020
   
June 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $834,947,719 and $219,996,153, respectively)  $834,942,326   $219,998,394 
Short-term U.S. government and agency obligations (Note 3) (cost $527,457,948 and $848,800,309, respectively)  $526,423,284   $848,757,567 
Cash   59,467,995    491,732,847    395,184,001    86,582,912 
Segregated cash balances with brokers for futures contracts   140,365,174    175,526,749    99,271,727    130,704,477 
Segregated cash balances with brokers for swap agreements   234,394,000    —   
Unrealized appreciation on swap agreements   70,885,762    18,242,195    —      63,928,293 
Receivable on open futures contracts   2,775,359    1,611,608 
Interest receivable   14,763    21,388    213,841    3,523 
                
Total assets   1,108,451,379    907,133,181    1,255,486,853    1,129,976,772 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   16,894,746    3,627,934    20,080,952    —   
Payable on open futures contracts   21,213,241    25,317,560 
Brokerage commissions and futures account fees payable   21,834    —      12,600    24,677 
Payable to Sponsor   856,541    728,955    1,025,667    850,965 
Non-recurring
fees and expenses payable
   64,542    37,042 
Unrealized depreciation on swap agreements   152,287,155    —   
                
Total liabilities   17,837,663    4,393,931    194,619,615    26,193,202 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   1,090,613,716    902,739,250    1,060,867,238    1,103,783,570 
                
Total liabilities and shareholders’ equity  $1,108,451,379   $907,133,181   $1,255,486,853   $1,129,976,772 
                
Shares outstanding   12,910,774    24,810,774 
Shares outstanding (Note 1
)

   25,493,096    51,243,096 
                
Net asset value per share  $84.47   $36.38 
Net asset value per share (Note 1
)

  $41.61   $21.54 
                
Market value per share (Note 2)  $84.22   $36.27 
Market value per share (Note 1) (Note 2
)

  $41.86   $21.70 
                
See accompanying notes to financial statements.
 
14
7

PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(77% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.018% due 10/14/21
  $145,000,000   $144,998,695 
0.039% due 10/21/21
   90,000,000    89,996,004 
0.033% due 11/18/21
   150,000,000    149,992,995 
0.043% due 12/16/21
   325,000,000    324,972,570 
0.037% due 01/20/22   75,000,000    74,990,752 
0.028% due 02/17/22   50,000,000    49,991,310 
       
Total short-term U.S. government and agency obligations
(cost $834,947,719)
    $834,942,326 
       
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(50% of shareholders’ equity)          
Federal Home Loan Discount Notes
^^
:
          
1.000% due 07/01/22  $150,000,000   $150,000,000 
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22
   47,000,000    46,971,932 
0.706% due 08/18/22
   150,000,000    149,724,000 
0.637% due 11/03/22
   181,000,000    179,727,352 
           
Total short-term U.S. government and agency obligations
(cost $527,457,948)
       $526,423,284 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2022   2,204   $227,232,400   $(17,930,940
WTI Crude Oil - NYMEX, expires December 2022   2,535    242,244,600    64,744,247 
WTI Crude Oil - NYMEX, expires June 2023   2,688    235,522,560    11,641,492 
                
             $58,454,799 
                
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 Commodity Balanced WTI Crude Oil Index   0.35  10/06/21   $143,554,545   $10,910,833    0.35  07/06/22   $215,921,141   $(21,668,621
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/21    203,094,978    15,436,191    0.35   07/06/22    321,089,755    (42,218,820
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35  10/06/21    248,642,399    18,898,011    0.35   07/06/22    373,984,332    (37,530,948
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.25  10/06/21    135,481,695    10,305,144    0.25   07/06/22    203,778,726    (20,435,337
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.30  10/06/21    201,694,052    15,335,583    0.30   07/06/22    303,369,078    (30,433,429
                   
      

Total
Unrealized
Appreciation
 
 
 
  $70,885,762       Total Unrealized
Depreciation
    $(152,287,155
                   
 
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of SeptemberJune 30, 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 SeptemberJune 30, 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
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
   
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $86,370  $50,356  $365,778  $1,817,563   $1,264,011  $111,333  $1,572,891  $279,408 
                          
Expenses
            
Management fee   2,775,351   3,210,517   8,104,728   6,887,044    3,098,904   2,794,292   6,183,716   5,329,377 
Brokerage commissions   198,498   600,233   701,710   1,744,115    140,210   210,012   335,751   503,212 
Futures account fees   215,514   635,311   632,199   1,172,060    109,601   317,748   362,288   416,685 
Non-recurring
fees and expenses
   27,500   24,637   27,500   24,637 
                          
Total expenses   3,216,863   4,470,698   9,466,137   9,827,856    3,348,715   3,322,052   6,881,755   6,249,274 
                          
Net investment income (loss)   (3,130,493  (4,420,342  (9,100,359  (8,010,293   (2,084,704  (3,210,719  (5,308,864  (5,969,866
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Futures contracts   92,637,432   294,310,497   539,758,995   174,272,485    244,497,710   255,445,062   510,907,542   447,121,563 
Swap agreements   13,693,131   (8,356,234  221,428,455   (1,065,452,045   118,798,382   65,060,597   651,811,620   207,735,324 
Short-term U.S. government and agency obligations   (4,742  —     (4,742  159,318    (4,653  —     (7,789  —   
                          
Net realized gain (loss)   106,325,821   285,954,263   761,182,708   (891,020,242   363,291,439   320,505,659   1,162,711,373   654,856,887 
                          
Change in net unrealized appreciation (depreciation) on
            
Futures contracts   (48,048,297  (222,585,432  123,440,274   127,961,958    (187,136,364  77,503,699   (89,000,726  171,488,571 
Swap agreements   31,138,258   (10,038,323  52,643,567   (21,814,590   (24,001,881  80,496,098   (216,215,448  21,505,309 
Short-term U.S. government and agency obligations   31,451   (6,531  (7,634  (20,469   (405,864  (80,658  (991,922  (39,085
                          
Change in net unrealized appreciation (depreciation)   (16,878,588  (232,630,286  176,076,207   106,126,899    (211,544,109  157,919,139   (306,208,096  192,954,795 
                          
Net realized and unrealized gain (loss)   89,447,233   53,323,977   937,258,915   (784,893,343   151,747,330   478,424,798   856,503,277   847,811,682 
                          
Net income (loss)
  $86,316,740  $48,903,635  $928,158,556  $(792,903,636  $149,662,626  $475,214,079  $851,194,413  $841,841,816 
                          
See accompanying notes to financial statements.
 
16
9

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
   
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $1,303,530,902  $1,508,661,459  $902,739,250  $309,844,582   $1,336,980,685  $1,088,579,093  $1,103,783,570  $902,739,250 
                          
Addition of 950,000, 21,500,000, 4,350,000 and 109,662,000 shares, respectively   62,865,806   659,253,641   240,118,659   3,612,784,316 
Redemption of 4,700,000, 32,650,000, 16,250,000 and 68,659,679 shares, respectively   (362,099,732  (1,020,933,679  (980,402,749  (1,933,840,206
Addition of 1,700,000, 4,200,000, 10,300,000 and 13,600,000 shares,
respectively (Note 1)
   72,419,653   60,208,663   402,736,686   177,252,853 
Redemption of 11,450,000, 20,400,000, 36,050,000 and 46,200,000 shares,
respectively (Note 1)
   (498,195,726  (320,470,933  (1,296,847,431  (618,303,017
                          
Net addition (redemption) of (3,750,000), (11,150,000), (11,900,000) and 41,002,321 shares, respectively   (299,233,926  (361,680,038  (740,284,090  1,678,944,110 
Net addition (redemption) of (9,750,000), (16,200,000), (25,750,000) and (32,600,000) shares,
respectively (Note 1)
   (425,776,073  (260,262,270  (894,110,745  (441,050,164
                          
Net investment income (loss)   (3,130,493  (4,420,342  (9,100,359  (8,010,293   (2,084,704  (3,210,719  (5,308,864  (5,969,866
Net realized gain (loss)   106,325,821   285,954,263   761,182,708   (891,020,242   363,291,439   320,505,659   1,162,711,373   654,856,887 
Change in net unrealized appreciation (depreciation)   (16,878,588  (232,630,286  176,076,207   106,126,899    (211,544,109  157,919,139   (306,208,096  192,954,795 
                          
Net income (loss)   86,316,740   48,903,635   928,158,556   (792,903,636   149,662,626   475,214,079   851,194,413   841,841,816 
                          
Shareholders’ equity, end of period
  $1,090,613,716  $1,195,885,056  $1,090,613,716  $1,195,885,056   $1,060,867,238  $1,303,530,902  $1,060,867,238  $1,303,530,902 
                          
See accompanying notes to financial statements.
 
17
10

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $928,158,556  $(792,903,636  $851,194,413  $841,841,816 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (2,012,720,434  (609,752,656   (4,782,347,856  (1,692,766,532
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,397,994,503   611,325,151    5,104,987,142   980,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (230,377  (1,266,463   (1,304,714  (158,785
Net realized gain (loss) on investments   4,742   (159,318
Change in unrealized appreciation (depreciation) on investments   (52,635,933  21,835,059 
Decrease (Increase) in receivable on futures contracts   (1,163,751  (43,615,866
Net realized (gain) loss on investments   7,789   —   
Change in unrealized (appreciation) depreciation on investments   217,207,370   (21,466,224
Decrease (Increase) in receivable on open futures contracts   —     (4,050,185
Decrease (Increase) in interest receivable   6,625   93,028    (210,318  (38,568
Increase (Decrease) in payable to Sponsor   127,586   699,847    174,702   246,994 
Increase (Decrease) in brokerage commissions and futures account fees payable   21,834   —      (12,077  22,929 
Increase (Decrease) in payable on futures contracts   —     (266,056
Increase (Decrease) in
non-recurring
fees and expenses payable
   27,500   —   
Increase (Decrease) in payable on open futures contracts   (4,104,319  —   
Increase (Decrease) in securities purchased payable      149,968,500 
              
Net cash provided by (used in) operating activities   259,590,851   (814,010,910   1,385,592,132   253,599,945 
              
Cash flow from financing activities
        
Proceeds from addition of shares   240,118,659   3,605,599,295    402,736,686   177,252,853 
Payment on shares redeemed   (967,135,937  (1,933,840,206   (1,276,766,479  (621,930,951
              
Net cash provided by (used in) financing activities   (727,017,278  1,671,759,089    (874,029,793  (444,678,098
              
Net increase (decrease) in cash
   (467,426,427  857,748,179    511,562,339   (191,078,153
Cash, beginning of period   667,259,596   88,315,563    217,287,389   667,259,596 
              
Cash, end of period  $199,833,169  $946,063,742   $728,849,728  $476,181,443 
              
See accompanying notes to financial statements.
 
1
18
1

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,075 and $29,999,585, respectively)  $32,997,127   $29,999,889 
Short-term U.S. government and agency obligations (Note 3) (cost $105,954,114 and $90,936,719, respectively)  $105,739,904   $90,922,438 
Cash   57,275,787    92,972,312    33,945,129    6,846,634 
Segregated cash balances with brokers for futures contracts   29,792,570    44,320,410    52,657,500    47,289,091 
Receivable from capital shares sold   12,521,135    —      19,786,612    20,448,741 
Receivable on open futures contracts   12,504,114    13,775,851    13,543,290    33,998,620 
Interest receivable   1,065    4,326    39,868    1,130 
                
Total assets   145,091,798    181,072,788    225,712,303    199,506,654 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   —      11,132,546    5,988,252    —   
Payable on open futures contracts   32,204,426    5,403,658 
Brokerage commissions and futures account fees payable   145    —      6,507    63,628 
Payable to Sponsor   52,856    139,455    215,276    147,190 
Non-recurring
fees and expenses payable
   416    416 
                
Total liabilities   53,417    11,272,417    38,414,461    5,614,476 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   145,038,381    169,800,371    187,297,842    193,892,178 
                
Total liabilities and shareholders’ equity  $145,091,798   $181,072,788   $225,712,303   $199,506,654 
                
Shares outstanding   1,737,527    8,087,527    4,737,527    7,587,527 
                
Net asset value per share  $83.47   $21.00   $39.53   $25.55 
                
Market value per share (Note 2)  $82.30   $21.07   $42.10   $26.09 
                
See accompanying notes to financial statements.
 
1
192

PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(23% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 11/18/21  $8,000,000   $7,999,626 
0.044% due 12/16/21   15,000,000    14,998,734 
0.037% due 01/20/22   10,000,000    9,998,767 
       
Total short-term U.S. government and agency obligations
(cost $32,997,075)
    $32,997,127 
       
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(56% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.967% due 07/14/22  $50,000,000   $49,979,235 
0.393% due 07/21/22   24,000,000    23,985,667 
0.223% due 11/03/22   32,000,000    31,775,002 
           
Total short-term U.S. government and agency obligations
(cost $105,954,114)
       $105,739,904 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2021   4,944   $290,064,480   $42,185,730 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2022   6,954   $374,959,680   $(194,426,957
 
^^
^^  Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
201
3

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $7,355  $15,347  $32,714  $191,160   $146,470  $11,544  $186,051  $25,359 
                          
Expenses
            
Management fee   161,130   199,772   568,903   378,784    534,624   152,958   931,234   407,773 
Brokerage commissions   40,472   106,449   195,831   214,255    114,706   63,062   203,158   155,359 
Futures account fees   18,263   31,540   112,998   44,182    63,213   12,887   134,330   94,735 
Non-recurring
fees and expenses
   —     1,129   —     1,129 
                          
Total expenses   219,865   338,890   877,732   638,350    712,543   228,907   1,268,722   657,867 
                          
Net investment income (loss)   (212,510  (323,543  (845,018  (447,190   (566,073  (217,363  (1,082,671  (632,508
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Futures contracts   33,925,711   41,156,156   80,409,384   2,225,390    164,990,694   4,901,288   241,211,382   46,483,673 
Short-term U.S. government and agency obligations   12   —     563   977    —     —     (3,452  551 
                          
Net realized gain (loss)   33,925,723   41,156,156   80,409,947   2,226,367    164,990,694   4,901,288   241,207,930   46,484,224 
                          
Change in net unrealized appreciation (depreciation) on
            
Futures contracts   25,134,988   (4,754,372  35,685,009   (4,336,578   (271,251,560  28,350,804   (186,220,796  10,550,021 
Short-term U.S. government and agency obligations   720   (455  (252  (2,014   (36,909  (2,887  (199,929  (972
                          
Change in net unrealized appreciation (depreciation)   25,135,708   (4,754,827  35,684,757   (4,338,592   (271,288,469  28,347,917   (186,420,725  10,549,049 
                          
Net realized and unrealized gain (loss)   59,061,431   36,401,329   116,094,704   (2,112,225   (106,297,775  33,249,205   54,787,205   57,033,273 
                          
Net income (loss)
  $58,848,921  $36,077,786  $115,249,686  $(2,559,415  $(106,863,848 $33,031,842  $53,704,534  $56,400,765 
                          
See accompanying notes to financial statements.
 
1
21
4

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $70,213,227  $50,599,783  $169,800,371  $45,160,205   $145,069,486  $74,307,070  $193,892,178  $169,800,371 
                          
Addition of 1,150,000, 4,350,000, 5,200,000 and 5,835,000 shares, respectively   79,122,213   139,174,605   169,309,627   193,426,833 
Redemption of 1,400,000, 3,250,000, 11,550,000 and 3,485,288 shares, respectively   (63,145,980  (126,648,412  (309,321,303  (136,823,861
Addition of 6,500,000, 650,000, 9,100,000 and 4,050,000 shares, respectively   549,486,344   13,706,591   637,366,699   90,187,414 
Redemption of 4,350,000, 2,150,000, 11,950,000 and 10,150,000 shares, respectively   (400,394,140  (50,832,276  (697,665,569  (246,175,323
                          
Net addition (redemption) of (250,000), 1,100,000, (6,350,000) and 2,349,712 shares, respectively   15,976,233   12,526,193   (140,011,676  56,602,972 
Net addition (redemption) of 2,150,000, (1,500,000), (2,850,000) and (6,100,000) shares, respectively   149,092,204   (37,125,685  (60,298,870  (155,987,909
                          
Net investment income (loss)   (212,510  (323,543  (845,018  (447,190   (566,073  (217,363  (1,082,671  (632,508
Net realized gain (loss)   33,925,723   41,156,156   80,409,947   2,226,367    164,990,694   4,901,288   241,207,930   46,484,224 
Change in net unrealized appreciation (depreciation)   25,135,708   (4,754,827  35,684,757   (4,338,592   (271,288,469  28,347,917   (186,420,725  10,549,049 
                          
Net income (loss)   58,848,921   36,077,786   115,249,686   (2,559,415   (106,863,848  33,031,842   53,704,534   56,400,765 
                          
Shareholders’ equity, end of period
  $145,038,381  $99,203,762  $145,038,381  $99,203,762   $187,297,842  $70,213,227  $187,297,842  $70,213,227 
                          
See accompanying notes to financial statements.
 
1
22
5

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $115,249,686  $(2,559,415  $53,704,534  $56,400,765 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (143,979,838  (115,881,108   (520,892,453  (118,983,722
Proceeds from sales or maturities of short-term U.S. government and agency obligations   140,999,619   83,563,843    505,991,302   118,999,676 
Net amortization and accretion on short-term U.S. government and agency obligations   (16,708  (144,767   (119,696  (13,040
Net realized gain (loss) on investments   (563  (977
Change in unrealized appreciation (depreciation) on investments   252   2,014 
Decrease (Increase) in receivable on futures contracts   1,271,737   37,024 
Net realized (gain) loss on investments   3,452   (551
Change in unrealized (appreciation) depreciation on investments   199,929   972 
Decrease (Increase) in receivable on open futures contracts   20,455,330   13,775,851 
Decrease (Increase) in interest receivable   3,261   9,758    (38,738  2,763 
Increase (Decrease) in payable to Sponsor   (86,599  29,126    68,086   (91,354
Increase (Decrease) in brokerage commissions and futures account fees payable   145   —      (57,121  296 
Increase (Decrease) in payable on futures contracts   —     2,392,727 
Increase (Decrease) in payable on open futures contracts   26,800,768   210,440 
              
Net cash provided by (used in) operating activities   113,440,992   (32,551,775   86,115,393   70,302,096 
              
Cash flow from financing activities
        
Proceeds from addition of shares   156,788,492   193,426,833    638,028,828   90,187,414 
Payment on shares redeemed   (320,453,849  (136,823,861   (691,677,317  (257,307,869
              
Net cash provided by (used in) financing activities   (163,665,357  56,602,972    (53,648,489  (167,120,455
              
Net increase (decrease) in cash
   (50,224,365  24,051,197    32,466,904   (96,818,359
Cash, beginning of period   137,292,722   17,619,062    54,135,725   137,292,722 
              
Cash, end of period  $87,068,357  $41,670,259   $86,602,629  $40,474,363 
              
See accompanying notes to financial statements.
 
1
23
6

PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively)  $999,916   $—   
Short-term U.S. government and agency obligations (Note 3) (cost $4,695,823 and $998,130, respectively)  $4,690,703   $997,678 
Cash   2,644,602    4,045,092    5,061,750    6,891,458 
Segregated cash balances with brokers for foreign currency forward contracts   —      607,000    —      691,000 
Unrealized appreciation on foreign currency forward contracts   2,136    89,103    17,639    84,150 
Interest receivable   100    162    1,535    153 
                
Total assets   3,646,754    4,741,357    9,771,627    8,664,439 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable to Sponsor   2,813    3,625    5,967    3,846 
Unrealized depreciation on foreign currency forward contracts   164,822    367    350,034    1,498 
Non-recurring
fees and expenses payable
   15    15 
                
Total liabilities   167,650    4,007    356,001    5,344 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   3,479,104    4,737,350    9,415,626    8,659,095 
                
Total liabilities and shareholders’ equity  $3,646,754   $4,741,357   $9,771,627   $8,664,439 
                
Shares outstanding   250,000    300,000    850,000    650,000 
                
Net asset value per share  $13.92   $15.79   $11.08   $13.32 
                
Market value per share (Note 2)  $13.92   $15.81   $11.11   $13.33 
                
See accompanying notes to financial statements.
 
1
247

PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(29% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.043% due 12/16/21
  $1,000,000   $999,916 
           
Total short-term U.S. government and agency obligations
(cost $999,912)
       $999,916 
           
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations

(50% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22
  $4,000,000   $3,997,611 
0.554% due 11/03/22
   698,000    693,092 
           
Total short-term U.S. government and agency obligations
(cost $4,695,823)
       $4,690,703 
           
Foreign Currency Forward Contracts
^
 
  
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
   
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
            
Euro with Goldman Sachs International   10/08/21    3,388,921  $3,925,672  $(90,545   07/08/22    4,532,921  $4,750,259  $(123,538
Euro with UBS AG   10/08/21    2,801,502   3,245,215   (74,277   07/08/22    14,836,502   15,547,860   (226,496
                
       Total Unrealized
Depreciation
 
 
 $(164,822       Total Unrealized
Depreciation
 
 
 $(350,034
                
Contracts to Sell
            
Euro with Goldman Sachs International   10/08/21    (93,000 $(107,730 $941 
Euro with UBS AG   10/08/21    (84,000  (97,304  1,195    07/08/22    (1,446,000 $(1,515,331 $17,639 
                
       Total Unrealized
Appreciation
   $2,136        Total Unrealized
Appreciation
   $17,639 
                

All or partial amount pledged as collateral for foreign currency forwards.forward contracts.
^The positions and counterparties herein are as of SeptemberJune 30, 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.
 
251
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $393  $357  $1,415  $16,350   $6,522  $438  $11,109  $1,022 
                          
Expenses
            
Management fee   8,664   12,404   28,158   33,852    15,037   9,416   35,315   19,494 
Non-recurring
fees and expenses
   —     108   —     108 
                          
Total expenses   8,664   12,512   28,158   33,960    15,037   9,416   35,315   19,494 
                          
Net investment income (loss)   (8,271  (12,155  (26,743  (17,610   (8,515  (8,978  (24,206  (18,472
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Foreign currency forward contracts   (254,219  441,714   (186,149  369,811    (446,365  95,412   (887,395  68,070 
Short-term U.S. government and agency obligations   —     —     (5,949  —   
                          
Net realized gain (loss)   (254,219  441,714   (186,149  369,811    (446,365  95,412   (893,344  68,070 
                          
Change in net unrealized appreciation (depreciation) on
            �� 
Foreign currency forward contracts   72,810   (84,317  (251,422  (208,243   (282,077  (13,092  (415,047  (324,232
Short-term U.S. government and agency obligations   43   —     4   (208   787   (127  (4,668  (39
                          
Change in net unrealized appreciation (depreciation)   72,853   (84,317  (251,418  (208,451   (281,290  (13,219  (419,715  (324,271
                          
Net realized and unrealized gain (loss)   (181,366  357,397   (437,567  161,360    (727,655  82,193   (1,313,059  (256,201
                          
Net income (loss)
  $(189,637 $345,242  $(464,310 $143,750   $(736,170 $73,215  $(1,337,265 $(274,673
                          
See accompanying notes to financial statements.
 
1
26
9

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $3,668,741  $4,067,686  $4,737,350  $6,204,424   $6,236,982  $3,611,724  $8,659,095  $4,737,350 
                          
Addition of –, 100,000, 100,000 and 200,000 shares, respectively   —     1,470,669   1,488,793   2,838,707 
Redemption of –, 100,000, 150,000 and 350,000 shares, respectively   —     (1,485,922  (2,282,729  (4,789,206
Addition of 450,000, 100,000, 550,000 and 100,000 shares, respectively   5,052,555   1,488,793   6,368,822   1,488,793 
Redemption of 100,000, 100,000, 350,000 and 150,000 shares, respectively   (1,137,741  (1,504,991  (4,275,026  (2,282,729
                          
Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively   —     (15,253  (793,936  (1,950,499
Net addition (redemption) of 350,000, –, 200,000 and (50,000) shares, respectively   3,914,814   (16,198  2,093,796   (793,936
                          
Net investment income (loss)   (8,271  (12,155  (26,743  (17,610   (8,515  (8,978  (24,206  (18,472
Net realized gain (loss)   (254,219  441,714   (186,149  369,811    (446,365  95,412   (893,344  68,070 
Change in net unrealized appreciation (depreciation)   72,853   (84,317  (251,418  (208,451   (281,290  (13,219  (419,715  (324,271
                          
Net income (loss)   (189,637  345,242   (464,310  143,750    (736,170  73,215   (1,337,265  (274,673
                          
Shareholders’ equity, end of period
  $3,479,104  $4,397,675  $3,479,104  $4,397,675   $9,415,626  $3,668,741  $9,415,626  $3,668,741 
                          
See accompanying notes to financial statements.
 
27
20

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $(464,310 $143,750   $(1,337,265 $(274,673
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (3,999,381  (1,395,795   (5,984,289  (2,999,505
Proceeds from sales or maturities of short-term U.S. government and agency obligations   3,000,000   5,375,000    2,290,249   2,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (531  (9,001   (9,602  (473
Change in unrealized appreciation (depreciation) on investments   251,418   208,451 
Net realized (gain) loss on investments   5,949   —   
Change in unrealized (appreciation) depreciation on investments   419,715   324,271 
Decrease (Increase) in interest receivable   62   1,304    (1,382  40 
Increase (Decrease) in payable to Sponsor   (812  (830   2,121   (586
              
Net cash provided by (used in) operating activities   (1,213,554  4,322,879    (4,614,504  (950,926
              
Cash flow from financing activities
        
Proceeds from addition of shares   1,488,793   2,838,707    6,368,822   1,488,793 
Payment on shares redeemed   (2,282,729  (4,789,206   (4,275,026  (1,548,903
              
Net cash provided by (used in) financing activities   (793,936  (1,950,499   2,093,796   (60,110
              
Net increase (decrease) in cash
   (2,007,490  2,372,380    (2,520,708  (1,011,036
Cash, beginning of period   4,652,092   2,127,437    7,582,458   4,652,092 
              
Cash, end of period  $2,644,602  $4,499,817   $5,061,750  $3,641,056 
              
See accompanying notes to financial statements.
 
2
28
1

PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31,
2020
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $185,989,826 and $74,998,283, respectively)  $185,985,614   $74,999,467 
Short-term U.S. government and agency obligations (Note 3) (cost $208,875,314 and $207,964,168, respectively)  $208,696,447   $207,956,320 
Cash   45,172,246    164,381,859    32,582,080    9,328,332 
Segregated cash balances with brokers for futures contracts   7,404,375    11,581,250    6,922,800    6,093,750 
Segregated cash balances with brokers for swap agreements   —      7,489,000    2,207,000    —   
Unrealized appreciation on swap agreements   —      5,140,980    —      8,639,188 
Receivable on open futures contracts   2,711,621    148,784    —      944,644 
Interest receivable   2,629    6,531    32,405    690 
                
Total assets   241,276,485    263,747,871    250,440,732    232,962,924 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   2,781,899    —      2,824,550    —   
Payable on open futures contracts   1,022,544    —   
Brokerage commissions and futures account fees payable   5,068    —      —      4,034 
Payable to Sponsor   163,803    206,394    202,927    178,356 
Unrealized depreciation on swap agreements   7,406,864    —      6,451,858    —   
Non-recurring
fees and expenses payable
   1,004    1,004 
                
Total liabilities   10,358,638    207,398    10,501,879    182,390 
    ��           
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   230,917,847    263,540,473    239,938,853    232,780,534 
                
Total liabilities and shareholders’ equity  $241,276,485   $263,747,871   $250,440,732   $232,962,924 
                
Shares outstanding   4,150,000    3,900,000    4,250,000    3,900,000 
                
Net asset value per share  $55.64   $67.57   $56.46   $59.69 
                
Market value per share (Note 2)  $55.59   $68.20   $56.50   $59.81 
                
See accompanying notes to financial statements.
 
2
292

PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(81% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.013% due 10/14/21
  $50,000,000   $49,999,550 
0.006% due 10/21/21
   25,000,000    24,998,890 
0.028% due 11/18/21
   31,000,000    30,998,553 
0.037% due 01/20/22
   50,000,000    49,993,835 
0.028% due 02/17/22   30,000,000    29,994,786 
       
Total short-term U.S. government and agency obligations
(cost $185,989,826)
    $185,985,614 
       
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(87% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.967% due 07/14/22  $25,000,000   $24,989,618 
0.393% due 07/21/22
   95,000,000    94,943,266 
0.706% due 08/18/22
   75,000,000    74,862,000 
0.223% due 11/03/22
   14,000,000    13,901,563 
           
Total short-term U.S. government and agency obligations (cost $208,875,314)       $208,696,447 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2021   856   $150,399,200   $(3,936,408
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2022   954   $172,416,420   $(3,932,509
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 Gold Subindex   0.25  10/06/21   $107,235,945   $(2,550,199   0.25  07/06/22   $109,384,670   $(2,221,389
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.25  10/06/21    92,669,240    (2,203,785   0.25   07/06/22    84,543,271    (1,919,639
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25  10/06/21    111,553,685    (2,652,880   0.25   07/06/22    113,788,925    (2,310,830
                   
      

Total
Unrealized
Depreciation
 
 
 
  $(7,406,864      Total Unrealized
Depreciation
    $(6,451,858
                   
 
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of SeptemberJune 30, 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 SeptemberJune 30, 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.
 
302
3

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $14,338  $59,354  $70,259  $543,895   $319,154  $20,094  $414,267  $55,921 
                          
Expenses
            
Management fee   582,103   640,992   1,718,350   1,269,866    716,148   568,040   1,387,563   1,136,247 
Brokerage commissions   9,421   12,115   32,974   28,599    14,064   8,665   35,723   23,553 
Futures account fees   19,008   20,487   64,764   30,683    8,664   13,354   28,169   45,756 
Non-recurring
fees and expenses
   —     3,751   —     3,751 
                          
Total expenses   610,532   677,345   1,816,088   1,332,899    738,876   590,059   1,451,455   1,205,556 
                          
Net investment income (loss)   (596,194  (617,991  (1,745,829  (789,004   (419,722  (569,965  (1,037,188  (1,149,635
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Futures contracts   (3,125,004  2,752,270   (12,636,331  5,806,708    (28,896,339  7,294,570   (8,706,319  (9,511,327
Swap agreements   (18,733,085  22,990,026   (14,963,523  45,798,972    (29,004,744  38,211,797   8,623,832   3,769,562 
Short-term U.S. government and agency obligations   —     —     245   —      —     —     —     245 
                          
Net realized gain (loss)   (21,858,089  25,742,296   (27,599,609  51,605,680    (57,901,083  45,506,367   (82,487  (5,741,520
                          
Change in net unrealized appreciation (depreciation) on
            
Futures contracts   319,305   1,046,895   (6,583,282  3,086,565    3,312,504   (4,648,838  (4,587,403  (6,902,587
Swap agreements   15,245,013   (19,104,511  (12,547,844  (14,343,779   1,658,698   (28,812,307  (15,091,046  (27,792,857
Short-term U.S. government and agency obligations   9,966   3,025   (5,396  (1,725   (159  (17,158  (171,019  (15,362
                          
Change in net unrealized appreciation (depreciation)   15,574,284   (18,054,591  (19,136,522  (11,258,939   4,971,043   (33,478,303  (19,849,468  (34,710,806
                          
Net realized and unrealized gain (loss)   (6,283,805  7,687,705   (46,736,131  40,346,741    (52,930,040  12,028,064   (19,931,955  (40,452,326
                          
Net income (loss)
  $(6,879,999 $7,069,714  $(48,481,960 $39,557,737   $(53,349,762 $11,458,099  $(20,969,143 $(41,601,961
                          
See accompanying notes to financial statements.
 
2
31
4

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $243,456,703  $165,689,050  $263,540,473  $110,726,032   $355,029,822  $214,548,056  $232,780,534  $263,540,473 
                          
Addition of 250,000, 1,700,000, 1,250,000 and 3,150,000 shares, respectively   14,836,141   120,448,172   75,112,671   204,437,233 
Redemption of 350,000, 250,000, 1,000,000 and 1,400,000 shares, respectively   (20,494,998  (17,756,330  (59,253,337  (79,270,396
Addition of 100,000, 400,000, 1,600,000 and 1,000,000 shares, respectively   6,573,039   23,214,269   102,257,715   60,276,530 
Redemption of 1,150,000, 100,000, 1,250,000 and 650,000 shares, respectively   (68,314,246  (5,763,721  (74,130,253  (38,758,339
                          
Net addition (redemption) of (100,000), 1,450,000, 250,000 and 1,750,000 shares, respectively   (5,658,857  102,691,842   15,859,334   125,166,837 
Net addition (redemption) of (1,050,000), 300,000, 350,000 and 350,000 shares, respectively   (61,741,207  17,450,548   28,127,462   21,518,191 
                          
Net investment income (loss)   (596,194  (617,991  (1,745,829  (789,004   (419,722  (569,965  (1,037,188  (1,149,635
Net realized gain (loss)   (21,858,089  25,742,296   (27,599,609  51,605,680    (57,901,083  45,506,367   (82,487  (5,741,520
Change in net unrealized appreciation (depreciation)   15,574,284   (18,054,591  (19,136,522  (11,258,939   4,971,043   (33,478,303  (19,849,468  (34,710,806
                          
Net income (loss)   (6,879,999  7,069,714   (48,481,960  39,557,737    (53,349,762  11,458,099   (20,969,143  (41,601,961
                          
Shareholders’ equity, end of period
  $230,917,847  $275,450,606  $230,917,847  $275,450,606   $239,938,853  $243,456,703  $239,938,853  $243,456,703 
                          
See accompanying notes to financial statements.
 
2
32
5

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $(48,481,960 $39,557,737   $(20,969,143 $(41,601,961
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (502,945,919  (491,677,717   (704,533,509  (422,955,514
Proceeds from sales or maturities of short-term U.S. government and agency obligations   391,999,771   313,257,000    704,000,000   281,999,771 
Net amortization and accretion on short-term U.S. government and agency obligations   (45,150  (364,129   (377,637  (35,590
Net realized gain (loss) on investments   (245  —   
Change in unrealized appreciation (depreciation) on investments   12,553,240   14,345,504 
Decrease (Increase) in receivable on futures contracts   (2,562,837  170,073 
Net realized (gain) loss on investments   —     (245
Change in unrealized (appreciation) depreciation on investments   15,262,065   27,808,219 
Decrease (Increase) in receivable on open futures contracts   944,644   (520,982
Decrease (Increase) in interest receivable   3,902   44,228    (31,715  4,321 
Increase (Decrease) in payable to Sponsor   (42,591  141,074    24,571   (13,610
Increase (Decrease) in brokerage commissions and futures account fees payable   5,068   —      (4,034  4,167 
Increase (Decrease) in payable on futures contracts   —     746,800 
Increase (Decrease) in payable on open futures contracts   1,022,544   —   
              
Net cash provided by (used in) operating activities   (149,516,721  (123,779,430   (4,662,214  (155,311,424
              
Cash flow from financing activities
        
Proceeds from addition of shares   75,112,671   204,437,233    102,257,715   40,405,473 
Payment on shares redeemed   (56,471,438  (79,270,396   (71,305,703  (38,758,339
      ��       
Net cash provided by (used in) financing activities   18,641,233   125,166,837    30,952,012   1,647,134 
              
Net increase (decrease) in cash
   (130,875,488  1,387,407    26,289,798   (153,664,290
Cash, beginning of period   183,452,109   38,526,723    15,422,082   183,452,109 
              
Cash, end of period  $52,576,621  $39,914,130   $41,711,880  $29,787,819 
              
See accompanying notes to financial statements.
 
2
336

PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
              
Short-term U.S. government and agency obligations (Note 3) (cost $494,973,149 and $244,987,251, respectively)  $494,966,819   $244,993,989 
Short-term U.S. government and agency obligations (Note 3) (cost $290,825,356 and $451,896,236, respectively)  $290,458,173   $451,872,982 
Cash   62,548,518    301,951,458    38,062,175    10,985,565 
Segregated cash balances with brokers for futures contracts   15,865,625    66,062,502    6,634,250    14,502,938 
Segregated cash balances with brokers for swap agreements   —      78,388,000    82,100,000    —   
Unrealized appreciation on swap agreements   —      56,752,666    —      40,591,699 
Receivable from capital shares sold   1,240,339    —   
Receivable on open futures contracts   421,500    —      —      1,384,919 
Interest receivable   3,756    10,698    57,161    1,582 
                
Total assets   573,806,218    748,159,313    418,552,098    519,339,685 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   —      3,483,770 
Payable on open futures contracts   274,804    2,312,939    2,248,743    —   
Brokerage commissions and futures account fees payable   9,969    —      —      9,833 
Payable to Sponsor   449,040    539,986    313,910    392,488 
Unrealized depreciation on swap agreements   92,760,569    —      60,411,930    —   
Non-recurring
fees and expenses payable
   2,360    2,360 
                
Total liabilities   93,496,742    2,855,285    62,974,583    3,886,091 
                
Commitments and Contingencies (Note 2)               
Shareholders’ equity
            
Shareholders’ equity   480,309,476    745,304,028    355,577,515    515,453,594 
                
Total liabilities and shareholders’ equity  $573,806,218   $748,159,313   $418,552,098   $519,339,685 
                
Shares outstanding   15,146,526    14,696,526    14,346,526    14,796,526 
                
Net asset value per share  $31.71   $50.71   $24.78   $34.84 
                
Market value per share (Note 2)  $31.99   $51.28   $24.47   $34.74 
                
See accompanying notes to financial statements.
 
2
34
7

PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(103% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.015% due 10/14/21
  $130,000,000   $129,998,830 
0.039% due 10/21/21
   60,000,000    59,997,336 
0.032% due 11/18/21
   90,000,000    89,995,797 
0.041% due 12/16/21
   100,000,000    99,991,560 
0.037% due 01/20/22
   65,000,000    64,991,986 
0.028% due 02/17/22   50,000,000    49,991,310 
       
Total short-term U.S. government and agency obligations
(cost $494,973,149)
    $494,966,819 
       
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(82% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.967% due 07/14/22
  $50,000,000   $49,979,235 
0.818% due 07/21/22
   73,000,000    72,956,405 
0.674% due 07/28/22   50,000,000    49,962,875 
0.706% due 08/18/22
   75,000,000    74,862,000 
0.223% due 11/03/22
   43,000,000    42,697,658 
           
Total short-term U.S. government and agency obligations (cost $290,825,356)       $290,458,173 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2021   1,213   $133,715,055   $(5,439,801
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2022   773   $78,660,480   $(4,317,941
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  10/06/21   $219,572,067   $(28,588,785   0.25  07/06/22   $153,262,171   $(14,941,465
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.30   10/06/21    219,657,055    (23,220,141   0.30   07/06/22    177,466,859    (18,119,916
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   10/06/21    204,665,509    (21,635,372   0.30   07/06/22    168,307,407    (15,214,853
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   10/06/21    182,787,599    (19,316,271   0.25   07/06/22    134,298,894    (12,135,696
                   
      
 
Total
Unrealized
Depreciation
 
 
 
  $(92,760,569      
 
Total
Unrealized
Depreciation
 
 
 
  $(60,411,930
                   
 
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of SeptemberJune 30, 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 SeptemberJune 30, 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.
 
352
8

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $421,514  $65,529  $561,963  $163,658 
                  
Expenses
                 
Management fee   1,082,340   1,615,157   2,299,939   3,246,292 
Brokerage commissions   28,732   40,715   59,283   87,297 
Futures account fees   6,188   48,893   26,693   211,080 
                  
Total expenses   1,117,260   1,704,765   2,385,915   3,544,669 
                  
Net investment income (loss)   (695,746  (1,639,236  (1,823,952  (3,381,011
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (10,869,422  10,593,269   (16,614,384  17,489,539 
Swap agreements   (145,324,753  105,777,210   (22,942,764  103,791,491 
Short-term U.S. government and agency obligations   (1,174  —     (1,164  191 
                  
Net realized gain (loss)   (156,195,349  116,370,479   (39,558,312  121,281,221 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (13,510,319  372,122   (6,824,486  (52,219,911
Swap agreements   (36,561,200  (48,708,892  (101,003,629  (133,882,561
Short-term U.S. government and agency obligations   (64,280  (57,475  (343,929  (35,554
                  
Change in net unrealized appreciation (depreciation)   (50,135,799  (48,394,245  (108,172,044  (186,138,026
                  
Net realized and unrealized gain (loss)   (206,331,148  67,976,234   (147,730,356  (64,856,805
                  
Net income (loss)
  $(207,026,894 $66,336,998  $(149,554,308 $(68,237,816
                  
See accompanying notes to financial statements.
2
9

PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONSCHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended

September 30,
  
Nine Months Ended

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $558,375,841  $572,501,249  $515,453,594  $745,304,028 
                  
Addition of 800,000, 1,000,000, 1,800,000 and 3,400,000 shares, respectively   26,625,358   46,374,159   65,659,299   166,773,794 
Redemption of 750,000, 450,000, 2,250,000 and 3,700,000 shares, respectively   (22,396,790  (23,433,679  (75,981,070  (182,061,279
                  
Net addition (redemption) of 50,000, 550,000, (450,000) and (300,000) shares, respectively   4,228,568   22,940,480   (10,321,771  (15,287,485
                  
Net investment income (loss)   (695,746  (1,639,236  (1,823,952  (3,381,011
Net realized gain (loss)   (156,195,349  116,370,479   (39,558,312  121,281,221 
Change in net unrealized appreciation (depreciation)   (50,135,799  (48,394,245  (108,172,044  (186,138,026
                  
Net income (loss)   (207,026,894  66,336,998   (149,554,308  (68,237,816
                  
Shareholders’ equity, end of period
  $355,577,515  $661,778,727  $355,577,515  $661,778,727 
                  
See accompanying notes to financial statements.
 
3630


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

September 30,
  
Nine Months Ended

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

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $(277,000,841 $81,298,287   $(149,554,308 $(68,237,816
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (1,369,823,802  (874,359,830   (1,255,430,782  (1,149,854,685
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,119,994,333   465,705,000    1,416,997,680   804,999,794 
Net amortization and accretion on short-term U.S. government and agency obligations   (160,958  (692,431   (497,182  (125,027
Net realized gain (loss) on investments   4,529   —   
Change in unrealized appreciation (depreciation) on investments   149,526,303   162,218,218 
Decrease (Increase) in receivable on futures contracts   (421,500  —   
Net realized (gain) loss on investments   1,164   (191
Change in unrealized (appreciation) depreciation on investments   101,347,558   133,918,115 
Decrease (Increase) in receivable on open futures contracts   1,384,919   (1,452,315
Decrease (Increase) in interest receivable   6,942   84,307    (55,579  4,936 
Increase (Decrease) in payable to Sponsor   (90,946  391,121    (78,578  4,844 
Increase (Decrease) in brokerage commissions and futures account fees payable   9,969   —      (9,833  17,899 
Increase (Decrease) in payable on futures contracts   (2,038,135  9,328,727 
Increase (Decrease) in payable on open futures contracts   2,248,743   (2,312,939
              
Net cash provided by (used in) operating activities   (379,994,106  (156,026,601   116,353,802   (283,037,385
              
Cash flow from financing activities
        
Proceeds from addition of shares   205,312,655   439,990,085    64,418,960   166,773,794 
Payment on shares redeemed   (193,306,366  (135,435,342   (79,464,840  (182,061,279
              
Net cash provided by (used in) financing activities   12,006,289   304,554,743    (15,045,880  (15,287,485
              
Net increase (decrease) in cash
   (367,987,817  148,528,142    101,307,922   (298,324,870
Cash, beginning of period   446,401,960   79,058,662    25,488,503   446,401,960 
              
Cash, end of period  $78,414,143  $227,586,804   $126,796,425  $148,077,090 
              
See accompanying notes to financial statements.
 
3
38
1

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $274,983,511 and $244,990,791, respectively)  $274,984,707   $244,995,969 
Short-term U.S. government and agency obligations (Note 3) (cost $243,860,580 and $221,725,609, respectively)  $243,251,317   $221,660,593 
Cash   175,755,806    181,991,996    82,159,514    108,688,034 
Segregated cash balances with brokers for futures contracts   531,626,515    879,704,000    389,544,785    463,432,845 
Segregated cash balances with brokers for swap agreements   —      7,976,000 
Unrealized appreciation on swap agreements   7,933,765    —   
Receivable from capital shares sold   —      49,086,388    2,179,827    —   
Receivable on open futures contracts   64,382,858    16,422,512    259,159,176    33,597,688 
Interest receivable   5,331    7,054    198,453    5,060 
                
Total assets   1,054,688,982    1,380,183,919    976,493,072    827,384,220 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   26,870,187    —   
Payable on open futures contracts   5,927,604    22,424,475    —      9,447,456 
Brokerage commissions and futures account fees payable   244,898    485,039    71,435    167,855 
Payable to Sponsor   795,603    1,040,582    738,104    611,836 
Unrealized depreciation on swap agreements   —      24,807    —      477,437 
Non-recurring
fees and expenses payable
   4,817    4,817 
                
Total liabilities   33,843,109    23,979,720    809,539    10,704,584 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   1,020,845,873    1,356,204,199    975,683,533    816,679,636 
                
Total liabilities and shareholders’ equity  $1,054,688,982   $1,380,183,919   $976,493,072   $827,384,220 
                
Shares outstanding (Note 1)   41,778,420    12,713,091    67,228,420    65,828,420 
                
Net asset value per share (Note 1)  $24.43   $106.68   $14.51   $12.41 
                
Market value per share (Note 1)(Note 2)  $24.55   $106.50 
Market value per share (Note 1) (Note 2)  $14.53   $12.43 
                
See accompanying notes to financial statements.
 
3
39
2

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(27% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.030% due 10/14/21  $100,000,000   $99,999,100 
0.042% due 11/18/21   10,000,000    9,999,533 
0.043% due 12/16/21
   165,000,000    164,986,074 
       
Total short-term U.S. government and agency obligations
(cost $274,983,511)
    $274,984,707 
       
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(25% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.967% due 07/14/22  $50,000,000   $49,979,235 
0.393% due 07/21/22   50,000,000    49,970,140 
0.674% due 07/28/22   50,000,000    49,962,875 
0.223% due 11/03/22   94,000,000    93,339,067 
           
Total short-term U.S. government and agency obligations (cost $243,860,580)       $243,251,317 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   32,595   $745,375,941   $62,929,777 
VIX Futures - Cboe, expires November 2021   30,104    713,040,334    27,089,105 
         
      $90,018,882 
         
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022   26,481   $756,358,266   $41,121,658 
VIX Futures - Cboe, expires August 2022   24,277    708,339,740    (5,677,140
                
             $35,444,518 
                
^^Rates shown represent discount rate at the time of purchase.
Total Return Swap Agreements
^See accompanying notes to financial statements.
 
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

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

Total
Unrealized
Appreciation
 
 
 
  $7,933,765 
          
3
3

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $430,670  $202,556  $525,931  $316,525 
                  
Expenses
                 
Management fee   2,293,738   2,293,121   4,254,915   6,676,198 
Brokerage commissions   970,211   1,173,276   1,906,969   3,129,904 
Futures account fees   444,123   711,443   1,226,811   2,555,256 
                  
Total expenses   3,708,072   4,177,840   7,388,695   12,361,358 
                  
Net investment income (loss)   (3,277,402  (3,975,284  (6,862,764  (12,044,833
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   91,039,435   (811,706,279  349,477,533   (1,464,769,961
Swap agreements      (42,822,782  22,556,586   (94,277,124
Short-term U.S. government and agency obligations   (337,934  2,137   (353,087  20,657 
                  
Net realized gain (loss)   90,701,501   (854,526,924  371,681,032   (1,559,026,428
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   196,657,178   244,143,655   161,801,275   (40,259,928
Swap agreements   —     —     477,437   24,807 
Short-term U.S. government and agency obligations   78,171   (28,407  (544,247  (8,962
                  
Change in net unrealized appreciation (depreciation)   196,735,349   244,115,248   161,734,465   (40,244,083
                  
Net realized and unrealized gain (loss)   287,436,850   (610,411,676  533,415,497   (1,599,270,511
                  
Net income (loss)
  $284,159,448  $(614,386,960 $526,552,733  $(1,611,315,344
                  
See accompanying notes to financial statements.
3
4

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $1,127,608,641  $1,284,373,170  $816,679,636  $1,356,204,199 
                  
Addition of 58,400,000, 12,955,000, 141,500,000 and 32,585,000 shares, respectively (Note 1)   799,757,076   434,635,046   1,971,472,943   2,373,778,077 
Redemption of 74,700,000, 5,629,671, 140,100,000 and 15,169,671 shares, respectively (Note 1)   (1,235,841,632  (263,750,553  (2,339,021,779  (1,277,796,229
                  
Net addition (redemption) of (16,300,000), 7,325,329, 1,400,000 and 17,415,329 shares, respectively (Note 1)   (436,084,556  170,884,493   (367,548,836  1,095,981,848 
                  
Net investment income (loss)   (3,277,402  (3,975,284  (6,862,764  (12,044,833
Net realized gain (loss)   90,701,501   (854,526,924  371,681,032   (1,559,026,428
Change in net unrealized appreciation (depreciation)   196,735,349   244,115,248   161,734,465   (40,244,083
                  
Net income (loss)   284,159,448   (614,386,960  526,552,733   (1,611,315,344
                  
Shareholders’ equity, end of period
  $975,683,533  $840,870,703  $975,683,533  $840,870,703 
                  
See accompanying notes to financial statements.
3
5

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

June 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $526,552,733  $(1,611,315,344
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   (1,476,792,269  (921,859,566
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,454,556,289   956,989,987 
Net amortization and accretion on short-term U.S. government and agency obligations   (252,157  (111,822
Net realized (gain) loss on investments   353,166   (20,657
Change in unrealized (appreciation) depreciation on investments   66,810   (15,845
Decrease (Increase) in receivable on open futures contracts   (225,561,488  3,699,493 
Decrease (Increase) in interest receivable   (193,393  3,866 
Increase (Decrease) in payable to Sponsor   126,268   (385,457
Increase (Decrease) in brokerage commissions and futures account fees payable   (96,420  (230,052
Increase (Decrease) in payable on open futures contracts   (9,447,456  (15,175,224
Increase (Decrease) in securities purchased payable   —     17,072,317 
          
Net cash provided by (used in) operating activities   269,312,083   (1,571,348,304
          
Cash flow from financing activities
         
Proceeds from addition of shares   1,969,293,116   2,417,278,189 
Payment on shares redeemed   (2,339,021,779  (1,277,796,229
          
Net cash provided by (used in) financing activities   (369,728,663  1,139,481,960 
          
Net increase (decrease) in cash
   (100,416,580  (431,866,344
Cash, beginning of period   572,120,879   1,069,671,996 
          
Cash, end of period  $471,704,299  $637,805,652 
          
See accompanying notes to financial statements.
3
6

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $998,111 and $–, respectively)  $992,969   $—   
Cash   4,110,683    2,232,820 
Segregated cash balances with brokers for foreign currency forward contracts   —      225,000 
Unrealized appreciation on foreign currency forward contracts   2,012    821 
Interest receivable   1,364    95 
           
Total assets   5,107,028    2,458,736 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   3,093    1,954 
Unrealized depreciation on foreign currency forward contracts   79,162    93,933 
           
Total liabilities   82,255    95,887 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   5,024,773    2,362,849 
           
Total liabilities and shareholders’ equity  $5,107,028   $2,458,736 
           
Shares outstanding   149,970    49,970 
           
Net asset value per share  $33.51   $47.29 
           
Market value per share (Note 2)  $33.49   $47.29 
           
See accompanying notes to financial statements.
3
7

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(20% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.554% due 11/03/22
  $1,000,000   $992,969 
           
Total short-term U.S. government and agency obligations
(cost $998,111)
       $992,969 
           
Foreign Currency Forward Contracts
^
  
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                  
Yen with Goldman Sachs International   07/08/22    333,241,517  $2,456,755  $(34,398
Yen with UBS AG   07/08/22    1,080,855,856   7,968,387   (44,764
                   
             Total Unrealized
Depreciation
 
 
 $(79,162
                   
Contracts to Sell
                  
Yen with UBS AG   07/08/22    (54,170,000 $(399,357 $2,012 
                   
             Total Unrealized
Appreciation
 
 
 $2,012 
                   
 
All or partial amount pledged as collateral for futuresforeign currency forward contracts.
^The positions and counterparties herein are as of June 30, 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.
3
8

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

June 30,
  
Six Months Ended

June 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $3,064  $307  $3,937  $663 
                  
Expenses
                 
Management fee   8,036   6,262   13,465   12,911 
                  
Total expenses   8,036   6,262   13,465   12,911 
                  
Net investment income (loss)   (4,972  (5,955  (9,528  (12,248
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   (761,478  (140,007  (880,249  (279,474
Short-term U.S. government and agency obligations   —     —     1,548   —   
                  
Net realized gain (loss)   (761,478  (140,007  (878,701  (279,474
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   154,501   118,748   15,962   (137,341
Short-term U.S. government and agency obligations   (2,316  (132  (5,142  (88
                  
Change in net unrealized appreciation (depreciation)   152,185   118,616   10,820   (137,429
                  
Net realized and unrealized gain (loss)   (609,293  (21,391  (867,881  (416,903
                  
Net income (loss)
  $(614,265 $(27,346 $(877,409 $(429,151
                  
See accompanying notes to financial statements.
3
9
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $2,099,705  $2,587,694  $2,362,849  $2,989,499 
                  
Addition of 100,000, –, 100,000 and – shares, respectively   3,539,333   —     3,539,333   —   
                  
Net addition (redemption) of 100,000, –, 100,000 and – shares, respectively   3,539,333   —     3,539,333   —   
                  
Net investment income (loss)   (4,972  (5,955  (9,528  (12,248
Net realized gain (loss)   (761,478  (140,007  (878,701  (279,474
Change in net unrealized appreciation (depreciation)   152,185   118,616   10,820   (137,429
                  
Net income (loss)   (614,265  (27,346  (877,409  (429,151
                  
Shareholders’ equity, end of period
  $5,024,773  $2,560,348  $5,024,773  $2,560,348 
                  
See accompanying notes to financial statements.
40


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

June 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(877,409 $(429,151
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  (1,499,740
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,548   500,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (2,342  (173
Net realized (gain) loss on investments   (1,548  —   
Change in unrealized (appreciation) depreciation on investments   (10,820  137,429 
Decrease (Increase) in interest receivable   (1,269  44 
Increase (Decrease) in payable to Sponsor   1,139   (346
          
Net cash provided by (used in) operating activities   (1,886,470  (1,291,937
          
Cash flow from financing activities
         
Proceeds from addition of shares   3,539,333   —   
          
Net cash provided by (used in) financing activities   3,539,333   —   
          
Net increase (decrease) in cash
   1,652,863   (1,291,937
Cash, beginning of period   2,457,820   2,924,696 
          
Cash, end of period  $4,110,683  $1,632,759 
          
See accompanying notes to financial statements.
4
1

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $232,892,020 and $55,932,300, respectively)  $232,635,606   $55,916,023 
Cash   90,387,278    29,602,412 
Segregated cash balances with brokers for futures contracts   157,055,967    24,841,141 
Receivable on open futures contracts   33,012,400    4,064,439 
Interest receivable   99,815    1,359 
           
Total assets   513,191,066    114,425,374 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   11,682,748    175,557 
Brokerage commissions and futures account fees payable   12,618    7,944 
Payable to Sponsor   338,396    74,271 
           
Total liabilities   12,033,762    257,772 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   501,157,304    114,167,602 
           
Total liabilities and shareholders’ equity  $513,191,066   $114,425,374 
           
Shares outstanding (Note 1)   21,755,220    1,776,760 
           
Net asset value per share (Note 1)  $23 .04   $64 .26 
           
Market value per share (Note 1) (Note 2)  $22 .93   $63 .75 
           
See accompanying notes to financial statements.
4
2

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(46% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.967% due 07/14/22  $75,000,000   $74,968,852 
0.824% due 07/21/22   72,000,000    71,957,002 
0.674% due 07/28/22   50,000,000    49,962,875 
0.223% due 11/03/22   36,000,000    35,746,877 
           
Total short-term U.S. government and agency obligations
(cost $232,892,020)
       $232,635,606 
           
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2022   3,134   $323,115,400   $23,341,763 
WTI Crude Oil - NYMEX, expires December 2022   3,605    344,493,800    (352,389
WTI Crude Oil - NYMEX, expires June 2023   3,824    335,058,880    5,527,457 
                
             $28,516,831 
                
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
4
3

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $289,299  $18,343  $343,206  $29,178 
                  
Expenses
                 
Management fee   946,110   181,035   1,438,757   402,298 
Brokerage commissions   107,079   28,581   184,135   71,625 
Futures account fees   85,802   17,468   155,979   65,180 
                  
Total expenses   1,138,991   227,084   1,778,871   539,103 
                  
Net investment income (loss)   (849,692  (208,741  (1,435,665  (509,925
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (102,594,000  (26,010,421  (209,076,101  (75,188,186
                  
Net realized gain (loss)   (102,594,000  (26,010,421  (209,076,101  (75,188,186
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   34,810,301   (9,944,438  36,926,293   (4,307,804
Short-term U.S. government and agency obligations   (53,187  (2,994  (240,137  (784
                  
Change in net unrealized appreciation (depreciation)   34,757,114   (9,947,432  36,686,156   (4,308,588
                  
Net realized and unrealized gain (loss)   (67,836,886  (35,957,853  (172,389,945  (79,496,774
                  
Net income (loss)
  $(68,686,578 $(36,166,594 $(173,825,610 $(80,006,699
                  
See accompanying notes to financial statements.
4
4

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $416,799,231  $91,718,390  $114,167,602  $96,839,233 
                  
Addition of 12,320,000, 387,500, 27,890,000 and 777,500 shares, respectively (Note 1)   278,861,920   43,181,460   788,890,799   107,484,439 
Redemption of 4,851,540, 147,734, 7,911,540 and 317,734 shares, respectively (Note 1)   (125,817,269  (19,333,197  (228,075,487  (44,916,914
                  
Net addition (redemption) of 7,468,460, 239,766, 19,978,460 and 459,766 shares, respectively (Note 1)   153,044,651   23,848,263   560,815,312   62,567,525 
                  
Net investment income (loss)   (849,692  (208,741  (1,435,665  (509,925
Net realized gain (loss)   (102,594,000  (26,010,421  (209,076,101  (75,188,186
Change in net unrealized appreciation (depreciation)   34,757,114   (9,947,432  36,686,156   (4,308,588
                  
Net income (loss)   (68,686,578  (36,166,594  (173,825,610  (80,006,699
                  
Shareholders’ equity, end of period
  $501,157,304  $79,400,059  $501,157,304  $79,400,059 
                  
See accompanying notes to financial statements.
4
5

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

June 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(173,825,610 $(80,006,699
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   (988,742,468  (92,987,219
Proceeds from sales or maturities of short-term U.S. government and agency obligations   812,000,000   60,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (217,252  (9,935
Change in unrealized (appreciation) depreciation on investments   240,137   784 
Decrease (Increase) in receivable on open futures contracts   (28,947,961  32,573 
Decrease (Increase) in interest receivable   (98,456  1,820 
Increase (Decrease) in payable to Sponsor   264,125   (22,244
Increase (Decrease) in brokerage commissions and futures account fees payable   4,674   12,516 
Increase (Decrease) in payable on open futures contracts   11,507,191   242,424 
          
Net cash provided by (used in) operating activities   (367,815,620  (112,735,980
          
Cash flow from financing activities
         
Proceeds from addition of shares   788,890,799   107,484,439 
Payment on shares redeemed   (228,075,487  (44,916,914
          
Net cash provided by (used in) financing activities   560,815,312   62,567,525 
          
Net increase (decrease) in cash
   192,999,692   (50,168,455
Cash, beginning of period   54,443,553   97,113,373 
          
Cash, end of period  $247,443,245  $46,944,918 
          
See accompanying notes to financial statements.
4
6

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $59,954,167 and $123,855,553, respectively)  $59,578,128   $123,821,548 
Cash   49,173,153    53,547,476 
Segregated cash balances with brokers for futures contracts   61,959,000    59,453,451 
Receivable on open futures contracts   73,179,660    30,090,351 
Interest receivable   37,048    1,749 
           
Total assets   243,926,989    266,914,575 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   25,091,911    15,986,002 
Payable on open futures contracts   6,843,311    8,542,438 
Brokerage commissions and futures account fees payable   11,280    46,867 
Payable to Sponsor   157,041    194,138 
           
Total liabilities   32,103,543    24,769,445 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   211,823,446    242,145,130 
           
Total liabilities and shareholders’ equity  $243,926,989   $266,914,575 
           
Shares outstanding (Note 1)   4,966,856    978,742 
           
Net asset value per share (Note 1)  $42.65   $247.40 
           
Market value per share (Note 1) (Note 2)  $40.02   $242.20 
           
See accompanying notes to financial statements.
4
7

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(28% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22  $60,000,000   $59,578,128 
           
Total short-term U.S. government and agency obligations
(cost $59,954,167)
       $59,578,128 
           
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2022   7,871   $424,404,320   $154,070,341 
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
4
8

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

June 30,
  
Six Months Ended

June 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $122,188  $7,750  $178,013  $15,633 
                  
Expenses
                 
Management fee   510,704   191,311   1,053,068   350,648 
Brokerage commissions   144,907   96,343   365,858   182,023 
Futures account fees   76,956   33,853   206,885   57,126 
                  
Total expenses   732,567   321,507   1,625,811   589,797 
                  
Net investment income (loss)   (610,379  (313,757  (1,447,798  (574,164
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (282,646,685  (10,305,304  (397,312,383  (16,664,698
Short-term U.S. government and agency obligations   (199  —     (58,809  —   
                  
Net realized gain (loss)   (282,646,884  (10,305,304  (397,371,192  (16,664,698
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   228,166,248   (33,691,003  140,634,090   (17,797,456
Short-term U.S. government and agency obligations   (87,121  (2,758  (342,034  (1,241
                  
Change in net unrealized appreciation (depreciation)   228,079,127   (33,693,761  140,292,056   (17,798,697
                  
Net realized and unrealized gain (loss)   (54,567,757  (43,999,065  (257,079,136  (34,463,395
                  
Net income (loss)
  $(55,178,136 $(44,312,822 $(258,526,934 $(35,037,559
                  
See accompanying notes to financial statements.
4
9
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $250,340,837  $69,459,275  $242,145,130  $24,977,745 
                  
Addition of 18,700,000, 172,500, 23,340,000 and 377,500 shares, respectively (Note 1)   489,076,501   93,913,245   944,035,742   235,963,431 
Redemption of 17,601,764, 35,000, 19,351,886 and 177,500 shares, respectively (Note 1)   (472,415,756  (21,534,398  (715,830,492  (128,378,317
                  
Net addition (redemption) of 1,098,236, 137,500, 3,988,114 and 200,000 shares, respectively (Note 1)   16,660,745   72,378,847   228,205,250   107,585,114 
                  
Net investment income (loss)   (610,379  (313,757  (1,447,798  (574,164
Net realized gain (loss)   (282,646,884  (10,305,304  (397,371,192  (16,664,698
Change in net unrealized appreciation (depreciation)   228,079,127   (33,693,761  140,292,056   (17,798,697
                  
Net income (loss)   (55,178,136  (44,312,822  (258,526,934  (35,037,559
                  
Shareholders’ equity, end of period
  $211,823,446  $97,525,300  $211,823,446  $97,525,300 
                  
See accompanying notes to financial statements.
50


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

June 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $(258,526,934 $(35,037,559
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   (346,906,626  (94,989,543
Proceeds from sales or maturities of short-term U.S. government and agency obligations   410,859,860   64,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (110,657  (7,481
Net realized (gain) loss on investments   58,809   —   
Change in unrealized (appreciation) depreciation on investments   342,034   1,241 
Decrease (Increase) in receivable on open futures contracts   (43,089,309  —   
Decrease (Increase) in interest receivable   (35,299  (1,297
Increase (Decrease) in payable to Sponsor   (37,097  43,211 
Increase (Decrease) in brokerage commissions and futures account fees payable   (35,587  9,927 
Increase (Decrease) in payable on open futures contracts   (1,699,127  469,496 
          
Net cash provided by (used in) operating activities   (239,179,933  (65,512,005
          
Cash flow from financing activities
         
Proceeds from addition of shares   944,035,742   235,963,431 
Payment on shares redeemed   (706,724,583  (130,982,494
          
Net cash provided by (used in) financing activities   237,311,159   104,980,937 
          
Net increase (decrease) in cash
   (1,868,774  39,468,932 
Cash, beginning of period   113,000,927   19,147,382 
          
Cash, end of period  $111,132,153  $58,616,314 
          
See accompanying notes to financial statements.
5
1

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $19,986,920 and $46,968,288, respectively)  $19,885,112   $46,961,125 
Cash   39,223,441    7,554,065 
Unrealized appreciation on foreign currency forward contracts   3,382,293    135,118 
Interest receivable   17,859    603 
           
Total assets   62,508,705    54,650,911 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   51,398    44,707 
Unrealized depreciation on foreign currency forward contracts   187,210    343,159 
           
Total liabilities   238,608    387,866 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   62,270,097    54,263,045 
           
Total liabilities and shareholders’ equity  $62,508,705   $54,650,911 
           
Shares outstanding   2,050,000    2,100,000 
           
Net asset value per share  $30.38   $25.84 
           
Market value per share (Note 2)  $30.41   $25.86 
           
See accompanying notes to financial statements.
5
2

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(32% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22
  $4,000,000   $3,997,611 
0.223% due 11/03/22
   16,000,000    15,887,501 
           
Total short-term U.S. government and agency obligations
(cost $19,986,920)
       $19,885,112 
           
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount
in Local
Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                  
Euro with Goldman Sachs International   07/08/22    12,080,000  $12,659,194  $(101,019
Euro with UBS AG   07/08/22    12,060,000   12,638,235   (86,191
                   
             
 
Total
Unrealized
Depreciation
 
 
 
 $(187,210
                   
Contracts to Sell
                  
Euro with Goldman Sachs International   07/08/22    (51,635,263 $(54,110,993 $1,346,162 
Euro with UBS AG   07/08/22    (91,489,199  (95,875,786  2,036,131 
                   
             
 
Total
Unrealized
Appreciation
 
 
 
 $3,382,293 
                   
All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of SeptemberJune 30, 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.
5
3

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $39,011  $5,640  $54,416  $12,806 
                  
Expenses
                 
Management fee   146,934   114,680   264,390   238,718 
                  
Total expenses   146,934   114,680   264,390   238,718 
                  
Net investment income (loss)   (107,923  (109,040  (209,974  (225,912
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   3,065,129   (795,757  5,607,263   (725,230
Short-term U.S. government and agency obligations   —     —     210,974   —   
                  
Net realized gain (loss)   3,065,129   (795,757  5,818,237   (725,230
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   3,061,048   (509,443  3,403,124   3,881,954 
Short-term U.S. government and agency obligations   (21,310  (1,727  (94,645  (887
                  
Change in net unrealized appreciation (depreciation)   3,039,738   (511,170  3,308,479   3,881,067 
                  
Net realized and unrealized gain (loss)   6,104,867   (1,306,927  9,126,716   3,155,837 
                  
Net income (loss)
  $5,996,944  $(1,415,967 $8,916,742  $2,929,925 
                  
See accompanying notes to financial statements.
5
4

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $50,498,084  $54,932,137  $54,263,045  $52,953,339 
                  
Addition of 500,000, –, 550,000 and 200,000 shares, respectively   14,656,401   —     16,028,063   4,613,244 
Redemption of 300,000, 200,000, 600,000 and 500,000 shares, respectively   (8,881,332  (4,695,730  (16,937,753  (11,676,068
                  
Net addition (redemption) of 200,000, (200,000), (50,000) and (300,000) shares, respectively   5,775,069   (4,695,730  (909,690  (7,062,824
                  
Net investment income (loss)   (107,923  (109,040  (209,974  (225,912
Net realized gain (loss)   3,065,129   (795,757  5,818,237   (725,230
Change in net unrealized appreciation (depreciation)   3,039,738   (511,170  3,308,479   3,881,067 
                  
Net income (loss)   5,996,944   (1,415,967  8,916,742   2,929,925 
                  
Shareholders’ equity, end of period
  $62,270,097  $48,820,440  $62,270,097  $48,820,440 
                  
See accompanying notes to financial statements.
5
5

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

June 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $8,916,742  $2,929,925 
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   (44,986,222  (69,991,234
Proceeds from sales or maturities of short-term U.S. government and agency obligations   72,210,974   52,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (32,410  (6,372
Net realized (gain) loss on investments   (210,974  —   
Change in unrealized (appreciation) depreciation on investments   (3,308,479  (3,881,067
Decrease (Increase) in interest receivable   (17,256  970 
Increase (Decrease) in payable to Sponsor   6,691   (7,018
          
Net cash provided by (used in) operating activities   32,579,066   (18,954,796
          
Cash flow from financing activities
         
Proceeds from addition of shares   16,028,063   4,613,244 
Payment on shares redeemed   (16,937,753  (11,676,068
          
Net cash provided by (used in) financing activities   (909,690  (7,062,824
          
Net increase (decrease) in cash
   31,669,376   (26,017,620
Cash, beginning of period   7,554,065   44,132,228 
          
Cash, end of period  $39,223,441  $18,114,608 
          
See accompanying notes to financial statements.
5
6

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $13,992,602 and $25,984,097, respectively)  $13,940,167   $25,980,516 
Cash   17,059,170    1,287,229 
Segregated cash balances with brokers for futures contracts   1,338,300    703,125 
Unrealized appreciation on swap agreements   720,984    —   
Receivable from capital shares sold   1,579,684    —   
Receivable on open futures contracts   5,100    —   
Interest receivable   6,819    434 
           
Total assets   34,650,224    27,971,304 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   14,954    92,537 
Brokerage commissions and futures account fees payable   —      294 
Payable to Sponsor   23,986    25,512 
Unrealized depreciation on swap agreements   —      993,117 
           
Total liabilities   38,940    1,111,460 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   34,611,284    26,859,844 
           
Total liabilities and shareholders’ equity  $34,650,224   $27,971,304 
           
Shares outstanding   1,096,977    846,977 
           
Net asset value per share  $31.55   $31.71 
           
Market value per share (Note 2)  $31.59   $31.66 
           
See accompanying notes to financial statements.
5
7

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(40% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22
  $6,000,000   $5,996,417 
0.223% due 11/03/22
   8,000,000    7,943,750 
           
Total short-term U.S. government and agency obligations          
(cost $13,992,602)       $13,940,167 
           
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2022   184   $33,254,320   $811,562 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25  07/06/22   $(14,809,140 $295,777 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.20   07/06/22    (9,688,247  193,824 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25   07/06/22    (11,585,084  231,383 
                   
             Total Unrealized
Appreciation
   $720,984 
                   
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of June 30, 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 SeptemberJune 30, 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.
 
405
8

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $19,975  $3,176  $29,660  $6,138 
                  
Expenses
                 
Management fee   75,676   69,968   141,814   133,695 
Brokerage commissions   2,985   2,283   5,796   5,873 
Futures account fees   580   1,802   2,446   6,488 
                  
Total expenses   79,241   74,053   150,056   146,056 
                  
Net investment income (loss)   (59,266  (70,877  (120,396  (139,918
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   1,310,720   (2,050,237  (680,529  (715,255
Swap agreements   3,247,150   (4,934,310  (1,070,274  (2,266,102
Short-term U.S. government and agency obligations   —     —     4   169 
                  
Net realized gain (loss)   4,557,870   (6,984,547  (1,750,799  (2,981,188
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   485,575   546,794   653,483   782,869 
Swap agreements   (187,339  3,260,286   1,714,101   2,843,547 
Short-term U.S. government and agency obligations   (8,285  (1,027  (48,854  (216
                  
Change in net unrealized appreciation (depreciation)   289,951   3,806,053   2,318,730   3,626,200 
                  
Net realized and unrealized gain (loss)   4,847,821   (3,178,494  567,931   645,012 
                  
Net income (loss)
  $4,788,555  $(3,249,371 $447,535  $505,094 
                  
See accompanying notes to financial statements.
5
9
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFULTRASHORT GOLD
STATEMENTS OF OPERATIONSCHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Three Months Ended

September 30,
  
Nine Months Ended

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $32,598,451  $41,243,515  $26,859,844  $20,337,376 
                  
Addition of 700,000, 300,000, 1,150,000 and 1,050,000 shares, respectively   20,554,617   10,071,690   33,744,566   37,362,906 
Redemption of 800,000, 450,000, 900,000 and 750,000 shares, respectively   (23,330,339  (15,230,820  (26,440,661  (25,370,362
                  
Net addition (redemption) of (100,000), (150,000), 250,000 and 300,000 shares, respectively   (2,775,722  (5,159,130  7,303,905   11,992,544 
                  
Net investment income (loss)   (59,266  (70,877  (120,396  (139,918
                  
Net realized gain (loss)   4,557,870   (6,984,547  (1,750,799  (2,981,188
Change in net unrealized appreciation (depreciation)   289,951   3,806,053   2,318,730   3,626,200 
                  
Net income (loss)   4,788,555   (3,249,371  447,535   505,094 
                  
Shareholders’ equity, end of period
  $34,611,284  $32,835,014  $34,611,284  $32,835,014 
                  
See accompanying notes to financial statements.
 
4160


PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITYCASH FLOWS
(unaudited)
 
   
Three Months Ended

September 30,
  
Nine Months Ended

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

June 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $447,535  $505,094 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (17,987,491  (30,995,460
Proceeds from sales or maturities of short-term U.S. government and agency obligations   29,999,990   18,999,936 
Net amortization and accretion on short-term U.S. government and agency obligations   (21,000  (2,843
Net realized (gain) loss on investments   (4  (169
Change in unrealized (appreciation) depreciation on investments   (1,665,247  (2,843,331
Decrease (Increase) in receivable on open futures contracts   (5,100  1,317 
Decrease (Increase) in interest receivable   (6,385  89 
Increase (Decrease) in payable to Sponsor   (1,526  4,798 
Increase (Decrease) in brokerage commissions and futures account fees payable   (294  406 
Increase (Decrease) in payable on open futures contracts   (77,583  81,805 
          
Net cash provided by (used in) operating activities   10,682,895   (14,248,358
          
Cash flow from financing activities
         
Proceeds from addition of shares   32,164,882   37,362,906 
Payment on shares redeemed   (26,440,661  (25,370,362
          
Net cash provided by (used in) financing activities   5,724,221   11,992,544 
          
Net increase (decrease) in cash
   16,407,116   (2,255,814
Cash, beginning of period   1,990,354   20,633,371 
          
Cash, end of period  $18,397,470  $18,377,557 
          
See accompanying notes to financial statements.
 
6
421

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

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(1,626,947,912 $117,033,738 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (1,136,829,195  (965,269,478
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,106,989,987   701,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (132,855  (901,502
Net realized gain (loss) on investments   (20,657  —   
Change in unrealized appreciation (depreciation) on investments   (7,954,590  (197,310
Decrease (Increase) in securities sold receivable   —     (246,192
Decrease (Increase) in receivable on futures contracts   (47,960,346  (72,257,550
Decrease (Increase) in interest receivable   1,723   203,751 
Increase (Decrease) in payable to Sponsor   (244,979  633,542 
Increase (Decrease) in brokerage commissions and futures account fees payable   (240,141  419,056 
Increase (Decrease) in payable on futures contracts   (16,496,871  (34,019,820
          
Net cash provided by (used in) operating activities   (1,729,835,836  (253,601,765
          
Cash flow from financing activities
         
Proceeds from addition of shares   3,346,492,863   2,248,489,431 
Payment on shares redeemed   (1,978,946,702  (1,613,684,177
          
Net cash provided by (used in) financing activities   1,367,546,161   634,805,254 
          
Net increase (decrease) in cash
   (362,289,675  381,203,489 
Cash, beginning of period   1,069,671,996   361,561,329 
          
Cash, end of period  $707,382,321  $742,764,818 
          
See accompanying notes to financial statements.
43

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,970 and $–, respectively)  $999,953   $—   
Cash   1,601,167    2,618,696 
Segregated cash balances with brokers for foreign currency forward contracts   —      306,000 
Unrealized appreciation on foreign currency forward contracts   757    67,235 
Interest receivable   66    111 
           
Total assets   2,601,943    2,992,042 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   2,029    2,384 
Unrealized depreciation on foreign currency forward contracts   60,023    148 
Non-recurring
fees and expenses payable
   11    11 
           
Total liabilities   62,063    2,543 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   2,539,880    2,989,499 
           
Total liabilities and shareholders’ equity  $2,601,943   $2,992,042 
           
Shares outstanding   49,970    49,970 
           
Net asset value per share  $50.83   $59.83 
           
Market value per share (Note 2)  $50.82   $59.82 
           
See accompanying notes to financial statements.
44

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
39
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.023
% due
11/18/21
  $1,000,000   $999,953 
           
Total short-term U.S. government and agency obligations
(cost $
999,970
)
       $999,953 
           
Foreign Currency Forward Contracts
^
                 
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

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

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

Total
Unrealized
Appreciation
 
 
 
 $757 
                   
All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
45

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $260  $171  $923  $9,100 
                  
Expenses
                 
Management fee   6,233   6,813   19,144   20,655 
Non-recurring
fees and expenses
   —     78   —     78 
                  
Total expenses   6,233   6,891   19,144   20,733 
                  
Net investment income (loss)   (5,973  (6,720  (18,221  (11,633
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   (25,554  126,569   (305,028  11,333 
                  
Net realized gain (loss)   (25,554  126,569   (305,028  11,333 
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   10,988   (1,524  (126,353  48,104 
Short-term U.S. government and agency obligations   71   —     (17  (74
                  
Change in net unrealized appreciation (depreciation)   11,059   (1,524  (126,370  48,030 
                  
Net realized and unrealized gain (loss)   (14,495  125,045   (431,398  59,363 
                  
Net income (loss)
  $(20,468 $118,325  $(449,619 $47,730 
                  
See accompanying notes to financial statements.
46

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

September 30,
  
Nine Months Ended

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

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

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

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Cash  $4,739,816   $2,133,707 
Segregated cash balances with brokers for futures contracts   239,360    100,320 
Interest receivable   187    119 
           
Total assets   4,979,363    2,234,146 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   61,327    9,118 
Payable to Sponsor   3,748    2,370 
Non-recurring
fees and expenses payable
   19    19 
           
Total liabilities   65,094    11,507 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   4,914,269    2,222,639 
           
Total liabilities and shareholders’ equity  $4,979,363   $2,234,146 
           
Shares outstanding   100,000    50,000 
           
Net asset value per share  $49.14   $44.45 
           
Market value per share (Note 2)  $49.16   $43.89 
           
See accompanying notes to financial statements.
49

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires December 2021   136   $9,838,240   $182,163 
See accompanying notes to financial statements.
50

PROSHARES ULTRASHORT AUSTRALIAN DOLLARSILVER
STATEMENTS OF OPERATIONS
(unaudited)FINANCIAL CONDITION
 
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $443  $289  $961  $20,385 
                  
Expenses
                 
Management fee   8,860   12,478   19,191   42,496 
Brokerage commissions   962   928   1,722   3,766 
Non-recurring
fees and expenses
   —     177   —     177 
                  
Total expenses   9,822   13,583   20,913   46,439 
                  
Net investment income (loss)   (9,379  (13,294  (19,952  (26,054
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   188,884   (432,100  17,207   (799,054
                  
Net realized gain (loss)   188,884   (432,100  17,207   (799,054
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   56,770   5,020   321,113   390,370 
Short-term U.S. government and agency obligations   —     —     —     (206
                  
Change in net unrealized appreciation (depreciation)   56,770   5,020   321,113   390,164 
                  
Net realized and unrealized gain (loss)   245,654   (427,080  338,320   (408,890
                  
Net income (loss)
  $236,275  $(440,374 $318,368  $(434,944
                  
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $12,996,113 and $22,995,121, respectively)  $12,979,368   $22,994,261 
Cash   12,637,173    1,829,901 
Segregated cash balances with brokers for futures contracts   3,798,437    1,081,575 
Segregated cash balances with brokers for swap agreements   —      2,572,000 
Unrealized appreciation on swap agreements   1,873,038    —   
Receivable from capital shares sold   1,587,633    —   
Receivable on open futures contracts   191,494    15,446 
Interest receivable   5,185    378 
           
Total assets   33,072,328    28,493,561 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   —      5,840 
Brokerage commissions and futures account fees payable   —      747 
Payable to Sponsor   19,488    28,560 
Unrealized depreciation on swap agreements   —      1,921,414 
           
Total liabilities   19,488    1,956,561 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   33,052,840    26,537,000 
           
Total liabilities and shareholders’ equity  $33,072,328   $28,493,561 
           
Shares outstanding (Note 1)   1,041,329    991,329 
           
Net asset value per share (Note 1)  $31.74   $26.77 
           
Market value per share (Note 1) (Note 2)  $32.19   $26.84 
           
See accompanying notes to financial statements.
 
6
512

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $2,304,732  $5,614,042  $2,222,639  $5,608,612 
                  
Addition of 50,000, –, 50,000 and – shares, respectively   2,373,262   —     2,373,262   —   
                  
Net addition (redemption) of 50,000, –, 50,000 and – shares, respectively   2,373,262   —     2,373,262   —   
                  
Net investment income (loss)   (9,379  (13,294  (19,952  (26,054
Net realized gain (loss)   188,884   (432,100  17,207   (799,054
Change in net unrealized appreciation (depreciation)   56,770   5,020   321,113   390,164 
                  
Net income (loss)   236,275   (440,374  318,368   (434,944
                  
Shareholders’ equity, end of period
  $4,914,269  $5,173,668  $4,914,269  $5,173,668 
                  
See accompanying notes to financial statements.
52

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

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $318,368  $(434,944
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   —     (498,498
Proceeds from sales or maturities of short-term U.S. government and agency obligations   —     4,436,000 
Net amortization and accretion on short-term U.S. government and agency obligations   —     (6,234
Change in unrealized appreciation (depreciation) on investments   —     206 
Decrease (Increase) in interest receivable   (68  1,510 
Increase (Decrease) in payable to Sponsor   1,378   (759
Increase (Decrease) in payable on futures contracts   52,209   6,830 
          
Net cash provided by (used in) operating activities   371,887   3,504,111 
          
Cash flow from financing activities
         
Proceeds from addition of shares   2,373,262   —   
          
Net cash provided by (used in) financing activities   2,373,262   —   
          
Net increase (decrease) in cash
   2,745,149   3,504,111 
Cash, beginning of period   2,234,027   1,717,873 
          
Cash, end of period  $4,979,176  $5,221,984 
          
See accompanying notes to financial statements.
53

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,250 and $
, respectively)
  $32,997,116   $—   
Cash   37,673,178    74,317,150 
Segregated cash balances with brokers for futures contracts   23,127,496    22,608,223 
Segregated cash balances with brokers for swap agreements   —      188,000 
Receivable on open futures contracts   —      60,902 
Interest receivable   1,383    3,299 
           
Total assets   93,799,173    97,177,574 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   143,515    257,410 
Brokerage commissions and futures account fees payable   12,910    —   
Payable to Sponsor   67,184    80,580 
Non-recurring
fees and expenses payable
   351    351 
           
Total liabilities   223,960    338,341 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   93,575,213    96,839,233 
           
Total liabilities and shareholders’ equity  $93,799,173   $97,177,574 
           
Shares outstanding (Note 1)   6,183,799    2,084,971 
           
Net asset value per share (Note 1)  $15.13   $46.45 
           
Market value per share (Note 1)(Note 2)  $15.18   $46.56 
           
See accompanying notes to financial statements.
54

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(35% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21  $5,000,000   $4,999,955 
0.043% due 11/18/21   8,000,000    7,999,627 
0.037% due 01/20/22   20,000,000    19,997,534 
       
Total short-term U.S. government and agency obligations
(cost $32,997,250)
    $32,997,116 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

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

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $6,891  $4,832  $36,069  $259,750 
                  
Expenses
                 
Management fee   201,146   238,038   603,444   789,307 
Brokerage commissions   29,277   64,657   100,902   488,442 
Futures account fees   18,193   39,565   83,373   132,868 
Non-recurring
fees and expenses
   —     4,892   —     4,892 
                  
Total expenses   248,616   347,152   787,719   1,415,509 
                  
Net investment income (loss)   (241,725  (342,320  (751,650  (1,155,759
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (11,449,562  (12,932,125  (86,637,748  (13,146,261
Swap agreements   —     (3,364,704  —     41,576,107 
Short-term U.S. government and agency obligations   —     —     —     (20
                  
Net realized gain (loss)   (11,449,562  (16,296,829  (86,637,748  28,429,826 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (1,521,543  3,752,436   (5,829,347  3,196,977 
Swap agreements   —     2,095,678   —     4,033,931 
Short-term U.S. government and agency obligations   650   0     (134  (3,162
                  
Change in net unrealized appreciation (depreciation)   (1,520,893  5,848,114   (5,829,481  7,227,746 
                  
Net realized and unrealized gain (loss)   (12,970,455  (10,448,715  (92,467,229  35,657,572 
                  
Net income (loss)
  $(13,212,180 $(10,791,035 $(93,218,879 $34,501,813 
                  
See accompanying notes to financial statements.
56

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

September 30,
  
Nine Months Ended

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

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

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

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $56,994,979 and $9,999,612, respectively)  $56,993,148   $9,999,861 
Cash   84,342,212    12,600,775 
Segregated cash balances with brokers for futures contracts   29,635,820    6,546,607 
Interest receivable   2,662    548 
           
Total assets   170,973,842    29,147,791 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   16,371,629    2,604,177 
Payable on open futures contracts   15,998,799    1,543,700 
Brokerage commissions and futures account fees payable   27,103    —   
Payable to Sponsor   107,494    22,029 
Non-recurring
fees and expenses payable
   140    140 
           
Total liabilities   32,505,165    4,170,046 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   138,468,677    24,977,745 
           
Total liabilities and shareholders’ equity  $170,973,842   $29,147,791 
           
Shares outstanding   19,724,832    524,832 
           
Net asset value per share  $7.02   $47.59 
           
Market value per share (Note 2)  $7.12   $47.38 
           
See accompanying notes to financial statements.
59

PROSHARES ULTRASHORT BLOOMBERG NATURAL GASSILVER
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
41
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.043
% due
10/14/21
  $5,000,000   $4,999,955 
0.043
% due
11/18/21
   7,000,000    6,999,673 
0.044
% due
12/16/21
   15,000,000    14,998,734 
0.028
% due
02/17/22
   30,000,000    29,994,786 
           
Total short-term U.S. government and agency obligations
(cost $
56,994,979
)
       $56,993,148 
           
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(39% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22
  $11,000,000   $10,993,430 
0.223% due 11/03/22
   2,000,000    1,985,938 
           
Total short-term U.S. government and agency obligations (cost $12,996,113)       $12,979,368 
           
Futures Contracts Sold
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2021   4,720   $276,922,400   $(35,288,843
^^
Rates shown represent discount rate at the time of purchase.
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2022   445   $45,283,200   $2,516,890 
See accompanying notes to financial statements.
60

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $9,879  $8,136  $25,512  $51,939 
                  
Expenses
                 
Management fee   258,824   138,507   609,472   207,544 
Brokerage commissions   67,808   98,416   249,831   177,159 
Futures account fees   42,064   20,454   99,190   25,803 
Non-recurring
fees and expenses
   —     345   —     345 
                  
Total expenses   368,696   257,722   958,493   410,851 
                  
Net investment income (loss)   (358,817  (249,586  (932,981  (358,912
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (95,609,878  (31,450,011  (112,274,576  (20,587,193
Short-term U.S. government and agency obligations   —     19   —     (531
                  
Net realized gain (loss)   (95,609,878  (31,449,992  (112,274,576  (20,587,724
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (17,870,697  8,968,702   (35,668,153  9,530,001 
Short-term U.S. government and agency obligations   (839  435   (2,080  108 
                  
Change in net unrealized appreciation (depreciation)   (17,871,536  8,969,137   (35,670,233  9,530,109 
                  
Net realized and unrealized gain (loss)   (113,481,414  (22,480,855  (147,944,809  (11,057,615
                  
Net income (loss)
  $(113,840,231 $(22,730,441 $(148,877,790 $(11,416,527
                  
See accompanying notes to financial statements.
61

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

September 30,
  
Nine Months Ended

September 30,
 
   
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $97,525,300  $28,552,210  $24,977,745  $12,515,603 
                  
Addition of 20,500,000, 3,200,000, 28,050,000 and 4,400,000 shares, respectively   210,189,776   130,455,301   446,153,207   198,730,524 
Redemption of 5,300,000, 2,400,000, 8,850,000 and 3,500,000 shares, respectively   (55,406,168  (89,339,084  (183,784,485  (152,891,614
                  
Net addition (redemption) of 15,200,000, 800,000, 19,200,000 and 900,000 shares, respectively   154,783,608   41,116,217   262,368,722   45,838,910 
                  
Net investment income (loss)   (358,817  (249,586  (932,981  (358,912
Net realized gain (loss)   (95,609,878  (31,449,992  (112,274,576  (20,587,724
Change in net unrealized appreciation (depreciation)   (17,871,536  8,969,137   (35,670,233  9,530,109 
                  
Net income (loss)   (113,840,231  (22,730,441  (148,877,790  (11,416,527
                  
Shareholders’ equity, end of period
  $138,468,677  $46,937,986  $138,468,677  $46,937,986 
                  
See accompanying notes to financial statements.
62

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

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

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $34,997,966 and $9,999,612, respectively)  $34,997,817   $9,999,861 
Cash   11,552,843    42,133,228 
Segregated cash balances with brokers for foreign currency forward contracts   —      1,999,000 
Unrealized appreciation on foreign currency forward contracts   2,284,006    5,705 
Interest receivable   396    2,148 
           
Total assets   48,835,062    54,139,942 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   36,822    43,974 
Unrealized depreciation on foreign currency forward contracts   157,203    1,142,409 
Non-recurring
fees and expenses payable
   220    220 
           
Total liabilities   194,245    1,186,603 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   48,640,817    52,953,339 
           
Total liabilities and shareholders’ equity  $48,835,062   $54,139,942 
           
Shares outstanding   1,950,000    2,350,000 
           
Net asset value per share  $24.94   $22.53 
           
Market value per share (Note 2)  $24.93   $22.52 
           
See accompanying notes to financial statements.
64

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(72% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21
  $5,000,000   $4,999,955 
0.039% due 10/21/21
   10,000,000 ��  9,999,555 
0.043% due 11/18/21
   5,000,000    4,999,767 
0.044% due 12/16/21   10,000,000    9,999,156 
0.037% due 01/20/22   5,000,000    4,999,384 
       
Total short-term U.S. government and agency obligations
(cost $34,997,966)
    $34,997,817 
       
Foreign Currency Forward ContractsTotal Return Swap Agreements
^
 
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

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


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


Total
Unrealized
Appreciation
 
 
 
 $2,284,006 
         
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25  07/06/22   $(2,464,774 $221,841 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.25   07/06/22    (8,978,838  808,139 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   07/06/22    (7,099,463  638,732 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   07/06/22    (2,270,181  204,326 
                   
             Total Unrealized
Appreciation
   $1,873,038 
                   
 
All or partial amount pledged as collateral for foreign currency forward contracts.swap agreements.
^The positions and counterparties herein are as of SeptemberJune 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
65

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

September 30,
  
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

September 30,
 
   
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $48,820,440  $78,848,965  $52,953,339  $120,581,173 
                  
Addition of 100,000, 1,000,000, 300,000 and 1,350,000 shares, respectively   2,387,142   24,186,298   7,000,386   34,244,548 
Redemption of 200,000, 1,150,000, 700,000 and 3,050,000 shares, respectively   (4,811,548  (28,327,526  (16,487,616  (80,790,578
                  
Net addition (redemption) of (100,000), (150,000), (400,000) and (1,700,000) shares, respectively   (2,424,406  (4,141,228  (9,487,230  (46,546,030
                  
Net investment income (loss)   (111,725  (144,828  (337,637  (154,217
Net realized gain (loss)   2,974,466   (7,511,167  2,249,236   (8,749,752
Change in net unrealized appreciation (depreciation)   (617,958  1,525,791   3,263,109   3,446,359 
                  
Net income (loss)   2,244,783   (6,130,204  5,174,708   (5,457,610
                  
Shareholders’ equity, end of period
  $48,640,817  $68,577,533  $48,640,817  $68,577,533 
                  
See accompanying notes to financial statements.
67

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

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

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $17,999,022 and $–, respectively)  $17,998,972   $—   
Cash   8,368,137    16,935,121 
Segregated cash balances with brokers for futures contracts   860,625    1,503,750 
Segregated cash balances with brokers for swap agreements   —      2,194,500 
Unrealized appreciation on swap agreements   830,123    —   
Receivable on open futures contracts   —      1,317 
Interest receivable   299    742 
           
Total assets   28,058,156    20,635,430 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   306,991    12,410 
Brokerage commissions and futures account fees payable   211    —   
Payable to Sponsor   19,851    16,835 
Unrealized depreciation on swap agreements   —      268,728 
Non-recurring
fees and expenses payable
   81    81 
           
Total liabilities   327,134    298,054 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   27,731,022    20,337,376 
           
Total liabilities and shareholders’ equity  $28,058,156   $20,635,430 
           
Shares outstanding   796,977    646,977 
           
Net asset value per share  $34.80   $31.43 
           
Market value per share (Note 2)  $34.82   $31.14 
           
See accompanying notes to financial statements.
69

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(65% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21  $5,000,000   $4,999,955 
0.039% due 10/21/21
   3,000,000    2,999,867 
0.043% due 11/18/21
   5,000,000    4,999,767 
0.037% due 01/20/22   5,000,000    4,999,383 
       
Total short-term U.S. government and agency obligations
(cost $17,999,022)
    $17,998,972 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

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

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

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

Total
Unrealized
Appreciation
 
 
 
 $830,123 
         
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021.2022. 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 SeptemberJune 30, 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.
 
706
3

PROSHARESROSHARES ULTRASHORT GOLDSILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
  
Three Months Ended

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $3,075  $1,831  $9,213  $65,111   $18,743  $2,678  $27,663  $5,795 
                          
Expenses
            
Management fee   66,304   45,591   199,999   129,451    62,381   72,831   123,334   157,576 
Brokerage commissions   3,301   1,980   9,174   5,743    6,677   3,824   11,978   11,268 
Futures account fees   1,856   1,232   8,344   2,597    1,169   4,207   4,443   14,198 
Non-recurring
fees and expenses
   —     499   —     499 
                          
Total expenses   71,461   49,302   217,517   138,290    70,227   80,862   139,755   183,042 
                          
Net investment income (loss)   (68,386  (47,471  (208,304  (73,179   (51,484  (78,184  (112,092  (177,247
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Futures contracts   (883,113  (1,305,687  (1,598,368  (5,001,545   5,944,050   (216,957  4,650,280   (1,453,150
Swap agreements   2,096,834   (2,715,850  (169,268  (7,040,145   3,467,182   (5,659,499  (2,612,794  (7,355,657
Short-term U.S. government and agency obligations   —     —     169   —      —     —     (190  85 
                          
Net realized gain (loss)   1,213,721   (4,021,537  (1,767,467  (12,041,690   9,411,232   (5,876,456  2,037,296   (8,808,722
                          
Change in net unrealized appreciation (depreciation) on
            
Futures contracts   (153,889  782,022   628,980   893,052    2,249,743   (3,005,003  1,864,397   491,967 
Swap agreements   (1,744,696  1,906,708   1,098,851   1,834,548    1,599,944   2,081,517   3,794,452   6,050,311 
Short-term U.S. government and agency obligations   166   331   (50  (496   3,625   (1,834  (15,885  (1,087
                          
Change in net unrealized appreciation (depreciation)   (1,898,419  2,689,061   1,727,781   2,727,104    3,853,312   (925,320  5,642,964   6,541,191 
                          
Net realized and unrealized gain (loss)   (684,698  (1,332,476  (39,686  (9,314,586   13,264,544   (6,801,776  7,680,260   (2,267,531
                          
Net income (loss)
  $(753,084 $(1,379,947 $(247,990 $(9,387,765  $13,213,060  $(6,879,960 $7,568,168  $(2,444,778
                          
See accompanying notes to financial statements.
 
6
714

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $32,835,014  $15,851,043  $20,337,376  $21,047,560   $23,406,516  $45,144,664  $26,537,000  $28,885,775 
                          
Addition of 650,000, 750,000, 1,700,000 and 1,100,000 shares, respectively   21,916,482   23,162,997   59,279,388   38,594,844 
Redemption of 800,000, 350,000, 1,550,000 and 650,000 shares, respectively   (26,267,390  (10,494,112  (51,637,752  (23,114,658
Addition of 700,000, 300,000, 1,800,000 and 2,750,000 shares, respectively (Note 1)   17,707,417   7,086,666   43,267,561   65,182,313 
Redemption of 750,000, 425,415, 1,750,000 and 2,300,415 shares, respectively (Note 1)   (21,274,153  (10,491,607  (44,319,889  (56,763,547
                          
Net addition (redemption) of (150,000), 400,000, 150,000 and 450,000 shares, respectively   (4,350,908  12,668,885   7,641,636   15,480,186 
Net addition (redemption) of (50,000), (125,415), 50,000 and 449,585 shares, respectively (Note 1)   (3,566,736  (3,404,941  (1,052,328  8,418,766 
                          
Net investment income (loss)   (68,386  (47,471  (208,304  (73,179   (51,484  (78,184  (112,092  (177,247
Net realized gain (loss)   1,213,721   (4,021,537  (1,767,467  (12,041,690   9,411,232   (5,876,456  2,037,296   (8,808,722
Change in net unrealized appreciation (depreciation)   (1,898,419  2,689,061   1,727,781   2,727,104    3,853,312   (925,320  5,642,964   6,541,191 
                          
Net income (loss)   (753,084  (1,379,947  (247,990  (9,387,765   13,213,060   (6,879,960  7,568,168   (2,444,778
                          
Shareholders’ equity, end of period
  $27,731,022  $27,139,981  $27,731,022  $27,139,981   
$
33,052,840
 
 
$
34,859,763
 
 
$
33,052,840
 
 
$
34,859,763
 
                          
See accompanying notes to financial statements.
 
6
725

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

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

PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $21,999,135 and $–, respectively)  $21,998,799   $—   
Cash   11,285,816    18,919,314 
Segregated cash balances with brokers for futures contracts   4,768,750    1,503,250 
Segregated cash balances with brokers for swap agreements   —      11,732,485 
Unrealized appreciation on swap agreements   4,090,510    —   
Receivable from capital shares sold   1,563,293    —   
Receivable on open futures contracts   —      39,445 
Interest receivable   479    814 
           
Total assets   43,707,647    32,195,308 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   3,126,586    —   
Payable on open futures contracts   176,667    86,282 
Brokerage commissions and futures account fees payable   1,471    —   
Payable to Sponsor   28,913    25,557 
Unrealized depreciation on swap agreements   —      3,197,561 
Non-recurring
fees and expenses payable
   133    133 
           
Total liabilities   3,333,770    3,309,533 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   40,373,877    28,885,775 
           
Total liabilities and shareholders’ equity  $43,707,647   $32,195,308 
           
Shares outstanding (Note 1)   1,291,329    1,041,744 
           
Net asset value per share (Note 1)  $31.27   $27.73 
           
Market value per share (Note 1)(Note 2)  $30.97   $27.40 
           
See accompanying notes to financial statements.
74

PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(54% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.043% due 10/14/21
  $5,000,000   $4,999,955 
0.013% due 10/21/21
   9,000,000    8,999,600 
0.043% due 11/18/21
   3,000,000    2,999,860 
0.037% due 01/20/22   5,000,000    4,999,384 
       
Total short-term U.S. government and agency obligations
(cost $21,999,135)
    $21,998,799 
       
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

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

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25  10/06/21   $(7,432,206 $782,817 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.25   10/06/21    (9,839,512  1,036,372 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   10/06/21    (7,779,988  819,178 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   10/06/21    (13,786,912  1,452,143 
         
      
 
Total
Unrealized
Appreciation
 
 
 
 $4,090,510 
         
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
75

PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONSCASH FLOWS
(unaudited)
 
   
Three Months Ended

September 30,
  
Nine Months Ended

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

June 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $7,568,168  $(2,444,778
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   (20,979,051  (39,995,436
Proceeds from sales or maturities of short-term U.S. government and agency obligations   30,999,081   22,999,988 
Net amortization and accretion on short-term U.S. government and agency obligations   (21,212  (3,358
Net realized (gain) loss on investments   190   (85
Change in unrealized (appreciation) depreciation on investments   (3,778,567  (6,049,224
Decrease (Increase) in receivable on open futures contracts   (176,048  38,813 
Decrease (Increase) in interest receivable   (4,807  304 
Increase (Decrease) in payable to Sponsor   (9,072  (3,427
Increase (Decrease) in brokerage commissions and futures account fees payable   (747  620 
Increase (Decrease) in payable on open futures contracts   (5,840  (80,422
          
Net cash provided by (used in) operating activities   13,592,095   (25,537,005
          
Cash flow from financing activities
         
Proceeds from addition of shares   41,679,928   65,182,313 
Payment on shares redeemed   (44,319,889  (56,763,547
          
Net cash provided by (used in) financing activities   (2,639,961  8,418,766 
          
Net increase (decrease) in cash
   10,952,134   (17,118,239
Cash, beginning of period   5,483,476   32,155,049 
          
Cash, end of period  $16,435,610  $15,036,810 
          
See accompanying notes to financial statements.
 
6
76
6

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $34,859,763  $10,145,625  $28,885,775  $13,834,163 
                  
Addition of 1,000,000, 2,825,000, 3,750,000 and 3,025,000 shares, respectively (Note 1)   26,169,229   102,544,682   91,351,542   122,851,884 
Redemption of 1,200,000, 1,637,500, 3,500,415 and 1,837,500 shares, respectively (Note 1)   (31,137,324  (56,772,556  (87,900,871  (79,141,888
                  
Net addition (redemption) of (200,000), 1,187,500, 249,585 and 1,187,500 shares, respectively (Note 1)   (4,968,095  45,772,126   3,450,671   43,709,996 
                  
Net investment income (loss)   (102,532  (94,990  (279,779  (122,284
Net realized gain (loss)   6,662,145   (15,896,820  (2,146,577  (18,932,319
Change in net unrealized appreciation (depreciation)   3,922,596   11,129,734   10,463,787   12,566,119 
                  
Net income (loss)   10,482,209   (4,862,076  8,037,431   (6,488,484
                  
Shareholders’ equity, end of period
  $40,373,877  $51,055,675  $40,373,877  $51,055,675 
                  
See accompanying notes to financial statements.
77

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

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $8,037,431  $(6,488,484
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (49,994,362  (19,382,698
Proceeds from sales or maturities of short-term U.S. government and agency obligations   27,999,988   13,574,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,676  (27,476
Net realized gain (loss) on investments   (85  —   
Change in unrealized appreciation (depreciation) on investments   (7,287,735  (8,024,323
Decrease (Increase) in receivable on futures contracts   39,445   (499,230
Decrease (Increase) in interest receivable   335   3,740 
Increase (Decrease) in payable to Sponsor   3,356   22,693 
Increase (Decrease) in brokerage commissions and futures account fees payable   1,471   —   
Increase (Decrease) in payable on futures contracts   90,385   774,314 
          
Net cash provided by (used in) operating activities   (21,114,447  (20,047,464
          
Cash flow from financing activities
         
Proceeds from addition of shares   89,788,249   122,851,884 
Payment on shares redeemed   (84,774,285  (79,141,888
          
Net cash provided by (used in) financing activities   5,013,964   43,709,996 
          
Net increase (decrease) in cash
   (16,100,483  23,662,532 
Cash, beginning of period   32,155,049   6,646,212 
          
Cash, end of period  $16,054,566  $30,308,744 
          
See accompanying notes to financial statements.
78

PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively)  $16,998,447   $—   
Short-term U.S. government and agency obligations (Note 3) (cost $10,994,894 and $20,990,068, respectively)  $10,961,261   $20,987,825 
Cash   5,846,465    21,470,564    33,655,143    3,003,251 
Segregated cash balances with brokers for foreign currency forward contracts   —      2,804,000 
Unrealized appreciation on foreign currency forward contracts   549,354    7,008    1,127,711    1,237,168 
Interest receivable   361    914    12,600    339 
                
Total assets   23,394,627    24,282,486    45,756,715    25,228,583 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable to Sponsor   17,831    19,348    31,627    20,211 
Unrealized depreciation on foreign currency forward contracts   47,780    571,974    156,206    367,588 
Non-recurring
fees and expenses payable
   94    94 
                
Total liabilities   65,705    591,416    187,833    387,799 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   23,328,922    23,691,070    45,568,882    24,840,784 
                
Total liabilities and shareholders’ equity  $23,394,627   $24,282,486   $45,756,715   $25,228,583 
                
Shares outstanding   299,290    349,290 
Shares outstanding (Note 1
)

   798,580    598,580 
                
Net asset value per share  $77.95   $67.83 
Net asset value per share (Note 1
)

  $57.06   $41.50 
                
Market value per share (Note 2)  $77.96   $67.81 
Market value per share (Note 1) (Note 2
)

  $57.13   $41.50 
                
See accompanying notes to financial statements.
 
6
79
7

PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(73% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21
  $3,000,000   $2,999,867 
0.043% due 11/18/21   4,000,000    3,999,813 
0.037% due 01/20/22   10,000,000    9,998,767 
       
Total short-term U.S. government and agency obligations
(cost $16,998,654)
    $16,998,447 
       
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(24% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22
  $6,000,000   $5,996,417 
0.223% due 11/03/22
   5,000,000    4,964,844 
           
Total short-term U.S. government and agency obligations (cost $10,994,894)       $10,961,261 
           
Foreign Currency Forward Contracts
^
 
  
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
   
Settlement
Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
            
Yen with Goldman Sachs International   10/08/21    32,600,000  $292,895  $(5,286
Yen with UBS AG   10/08/21    373,110,000   3,352,216   (42,494   07/08/22    1,505,180,000  $11,096,632  $(156,206
                
      
Total Unrealized
Depreciation
 
 
 $(47,780       Total Unrealized
Depreciation
 
 
 $(156,206
                
Contracts to Sell
            
Yen with Goldman Sachs International   10/08/21    (1,558,854,165 $(14,005,562 $143,685    07/08/22    (1,658,463,165 $(12,226,680 $164,849 
Yen with UBS AG   10/08/21    (4,049,118,875  (36,379,405  405,669    07/08/22    (12,207,008,574  (89,993,668  962,862 
                
      
Total Unrealized
Appreciation
 
 
 $549,354        Total Unrealized
Appreciation
   $1,127,711 
                
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of SeptemberJune 30, 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.
 
806
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $2,392  $5,085  $9,558  $136,411   $26,913  $3,570  $36,312  $7,166 
                          
Expenses
            
Management fee   57,037   60,238   196,036   209,105    93,181   72,446   153,001   138,999 
Non-recurring
fees and expenses
   —     717   —     717 
                          
Total expenses   57,037   60,955   196,036   209,822    93,181   72,446   153,001   138,999 
                          
Net investment income (loss)   (54,645  (55,870  (186,478  (73,411   (66,268  (68,876  (116,689  (131,833
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Foreign currency forward contracts   197,444   (1,451,651  3,055,103   (1,847,423   7,917,170   1,598,086   8,997,343   2,857,659 
Short-term U.S. government and agency obligations   —     —     102,971   —   
                          
Net realized gain (loss)   197,444   (1,451,651  3,055,103   (1,847,423   7,917,170   1,598,086   9,100,314   2,857,659 
                          
Change in net unrealized appreciation (depreciation) on
            
Foreign currency forward contracts   (190,261  200,915   1,066,540   (427,974   (1,364,477  (1,644,087  101,925   1,256,801 
Short-term U.S. government and agency obligations   329   606   (207  (1,113   (3,452  (1,390  (31,390  (536
                          
Change in net unrealized appreciation (depreciation)   (189,932  201,521   1,066,333   (429,087   (1,367,929  (1,645,477  70,535   1,256,265 
                          
Net realized and unrealized gain (loss)   7,512   (1,250,130  4,121,436   (2,276,510   6,549,241   (47,391  9,170,849   4,113,924 
                          
Net income (loss)
  $(47,133 $(1,306,000 $3,934,958  $(2,349,921  
$
6,482,973
 
 
$
(116,267
 
$
9,054,160
 
 
$
3,982,091
 
                          
See accompanying notes to financial statements.
 
6
819

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $27,231,748  $29,787,034  $23,691,070  $38,132,320   $27,726,701  $34,921,840  $24,840,784  $23,691,070 
                          
Addition of –, –, 100,000 and 100,000 shares, respectively   —     —     7,132,412   7,806,745 
Redemption of 50,000, 50,000, 150,000 and 250,000 shares, respectively   (3,855,693  (3,700,271  (11,429,518  (18,808,381
Addition of 650,000, –, 850,000 and 200,000 shares,
respectively (Note 1)
   34,515,397   —     44,120,719   7,132,412 
Redemption of 450,000, 200,000, 650,000 and 200,000 shares,
respectively (Note 1)
   (23,156,189  (7,573,825  (32,446,781  (7,573,825
                          
Net addition (redemption) of (50,000), (50,000), (50,000) and (150,000) shares, respectively   (3,855,693  (3,700,271  (4,297,106  (11,001,636
Net addition (redemption) of 200,000, (200,000), 200,000 and – shares,
respectively (Note 1)
   11,359,208   (7,573,825  11,673,938   (441,413
                          
Net investment income (loss)   (54,645  (55,870  (186,478  (73,411   (66,268  (68,876  (116,689  (131,833
Net realized gain (loss)   197,444   (1,451,651  3,055,103   (1,847,423   7,917,170   1,598,086   9,100,314   2,857,659 
Change in net unrealized appreciation (depreciation)   (189,932  201,521   1,066,333   (429,087   (1,367,929  (1,645,477  70,535   1,256,265 
                          
Net income (loss)   (47,133  (1,306,000  3,934,958   (2,349,921   6,482,973   (116,267  9,054,160   3,982,091 
                          
Shareholders’ equity, end of period
  $23,328,922  $24,780,763  $23,328,922  $24,780,763   $45,568,882  $27,231,748  $45,568,882  $27,231,748 
                          
See accompanying notes to financial statements.
 
82
70

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $3,934,958  $(2,349,921  $9,054,160  $3,982,091 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (43,494,229  (46,753,062   (17,984,733  (33,495,479
Proceeds from sales or maturities of short-term U.S. government and agency obligations   26,500,000   59,374,000    28,102,971   21,500,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,425  (78,419   (20,093  (3,456
Change in unrealized appreciation (depreciation) on investments   (1,066,333  429,087 
Net realized (gain) loss on investments   (102,971  —   
Change in unrealized (appreciation) depreciation on investments   (70,535  (1,256,265
Decrease (Increase) in interest receivable   553   18,897    (12,261  184 
Increase (Decrease) in payable to Sponsor   (1,517  (13,487   11,416   1,932 
              
Net cash provided by (used in) operating activities   (14,130,993  10,627,095    18,977,954   (9,270,993
              
Cash flow from financing activities
        
Proceeds from addition of shares   7,132,412   7,806,745    44,120,719   7,132,412 
Payment on shares redeemed   (11,429,518  (18,808,381   (32,446,781  (7,573,825
              
Net cash provided by (used in) financing activities   (4,297,106  (11,001,636   11,673,938   (441,413
              
Net increase (decrease) in cash
   (18,428,099  (374,541   30,651,892   (9,712,406
Cash, beginning of period   24,274,564   12,507,112    3,003,251   24,274,564 
              
Cash, end of period  $5,846,465  $12,132,571   $33,655,143  $14,562,158 
              
See accompanying notes to financial statements.
 
7
83
1

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $61,995,381 and $44,999,073, respectively)  $61,995,036   $44,999,732 
Short-term U.S. government and agency obligations (Note 3) (cost $31,975,556 and $85,937,303, respectively)  $31,775,002   $85,922,969 
Cash   43,870,674    14,723,084    48,979,153    8,130,069 
Segregated cash balances with brokers for futures contracts   21,337,800    13,079,750    14,189,600    18,941,750 
Receivable on open futures contracts   551,816    247,077    815,775    63,397 
Interest receivable   1,638    643    22,932    1,097 
                
Total assets   127,756,964    73,050,286    95,782,462    113,059,282 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   —      915,787 
Payable on open futures contracts   —      94,495 
Brokerage commissions and futures account fees payable   9,018    10,395    —      7,124 
Payable to Sponsor   74,809    49,009    61,191    81,983 
                
Total liabilities   83,827    975,191    61,191    183,602 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   127,673,137    72,075,095    95,721,271    112,875,680 
                
Total liabilities and shareholders’ equity  $127,756,964   $73,050,286   $95,782,462   $113,059,282 
                
Shares outstanding   3,962,403    1,962,403    2,712,403    3,687,403 
                
Net asset value per share  $32.22   $36.73   $35.29   $30.61 
                
Market value per share (Note 2)  $32.31   $36.70   $35.38   $30.57 
                
See accompanying notes to financial statements.
 
7
84
2

PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20212022
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(49% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21  $10,000,000   $9,999,556 
0.042% due 11/18/21   12,000,000    11,999,440 
0.043% due 12/16/21   25,000,000    24,997,890 
0.037% due 01/20/22   15,000,000    14,998,150 
       
Total short-term U.S. government and agency obligations
(cost $61,995,381)
    $61,995,036 
       
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(33% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22  $32,000,000   $31,775,002 
           
Total short-term U.S. government and agency obligations (cost $31,975,556)       $31,775,002 
           
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2022   872   $21,626,210   $1,256,557 
VIX Futures - Cboe, expires February 2022   1,677    42,304,841    1,690,707 
VIX Futures - Cboe, expires March 2022   1,677    43,023,603    1,475,197 
VIX Futures - Cboe, expires April 2022   804    20,765,953    394,387 
         
      $4,816,848 
         
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2022   569   $16,944,251   $1,648,250 
VIX Futures - Cboe, expires November 2022   1,089    32,144,884    1,059,336 
VIX Futures - Cboe, expires December 2022   1,090    31,400,611    444,206 
VIX Futures - Cboe, expires January 2023   521    15,420,610    (71,125
                
             $3,080,667 
                
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
857
3

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $8,914  $13,590  $27,487  $199,491   $52,826  $8,349  $76,749  $18,573 
                          
Expenses
            
Management fee   221,356   172,587   586,702   391,147    210,584   187,266   426,247   365,346 
Brokerage commissions   20,803   19,350   48,211   51,973    15,500   16,096   40,369   27,408 
Futures account fees   28,911   26,113   86,674   46,624    10,906   32,131   46,394   57,763 
                          
Total expenses   271,070   218,050   721,587   489,744    236,990   235,493   513,010   450,517 
                          
Net investment income (loss)   (262,156  (204,460  (694,100  (290,253   (184,164  (227,144  (436,261  (431,944
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Futures contracts   (4,024,133  755,845   (14,890,359  21,708,785    7,862,052   (14,405,542  12,653,885   (10,866,226
Short-term U.S. government and agency obligations   —     —     (336  —   
                          
Net realized gain (loss)   (4,024,133  755,845   (14,890,359  21,708,785    7,862,052   (14,405,542  12,653,549   (10,866,226
                          
Change in net unrealized appreciation (depreciation) on
            
Futures contracts   10,651,835   1,751,675   5,950,464   5,422,315    4,040,230   3,575,301   3,705,055   (4,701,371
Short-term U.S. government and agency obligations   1,117   405   (1,004  (898   (47,560  (3,271  (186,220  (2,121
                          
Change in net unrealized appreciation (depreciation)   10,652,952   1,752,080   5,949,460   5,421,417    3,992,670   3,572,030   3,518,835   (4,703,492
      ��                    
Net realized and unrealized gain (loss)   6,628,819   2,507,925   (8,940,899  27,130,202    11,854,722   (10,833,512  16,172,384   (15,569,718
                          
Net income (loss)
  $6,366,663  $2,303,465  $(9,634,999 $26,839,949   $11,670,558  $(11,060,656 $15,736,123  $(16,001,662
                          
See accompanying notes to financial statements.
 
7
864

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $92,662,734  $59,085,470  $72,075,095  $45,986,584   $97,869,914  $75,122,747  $112,875,680  $72,075,095 
                          
Addition of 1,200,000, 1,150,000, 2,625,000 and 2,250,000 shares, respectively   37,425,551   45,600,053   87,035,790   85,866,144 
Redemption of 275,000, 125,000, 625,000 and 1,925,000 shares, respectively   (8,781,811  (5,031,468  (21,802,749  (56,735,157
Addition of 300,000, 1,025,000, 1,000,000 and 1,425,000 shares, respectively   10,043,451   33,730,245   32,179,053   49,610,239 
Redemption of 700,000, 150,000, 1,975,000 and 350,000 shares, respectively   (23,862,652  (5,129,602  (65,069,585  (13,020,938
                          
Net addition (redemption) of 925,000, 1,025,000, 2,000,000 and 325,000 shares, respectively   28,643,740   40,568,585   65,233,041   29,130,987 
Net addition (redemption) of (400,000), 875,000, (975,000) and 1,075,000 shares, respectively   (13,819,201  28,600,643   (32,890,532  36,589,301 
                          
Net investment income (loss)   (262,156  (204,460  (694,100  (290,253   (184,164  (227,144  (436,261  (431,944
Net realized gain (loss)   (4,024,133  755,845   (14,890,359  21,708,785    7,862,052   (14,405,542  12,653,549   (10,866,226
Change in net unrealized appreciation (depreciation)   10,652,952   1,752,080   5,949,460   5,421,417    3,992,670   3,572,030   3,518,835   (4,703,492
                          
Net income (loss)   6,366,663   2,303,465   (9,634,999  26,839,949    11,670,558   (11,060,656  15,736,123   (16,001,662
                          
Shareholders’ equity, end of period
  $127,673,137  $101,957,520  $127,673,137  $101,957,520   $95,721,271  $92,662,734  $95,721,271  $92,662,734 
                          
See accompanying notes to financial statements.
 
7
87
5

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $(9,634,999 $26,839,949   $15,736,123  $(16,001,662
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (112,984,923  (116,503,878   (51,992,010  (72,990,517
Proceeds from sales or maturities of short-term U.S. government and agency obligations   96,000,000   70,600,000    105,998,548   93,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (11,385  (104,027   (45,127  (8,188
Change in unrealized appreciation (depreciation) on investments   1,004   898 
Decrease (Increase) in receivable on futures contracts   (304,739  (1,087,170
Net realized (gain) loss on investments   336   —   
Change in unrealized (appreciation) depreciation on investments   186,220   2,121 
Decrease (Increase) in receivable on open futures contracts   (752,378  136,487 
Decrease (Increase) in interest receivable   (995  32,512    (21,835  (1,364
Increase (Decrease) in payable to Sponsor   25,800   40,237    (20,792  7,645 
Increase (Decrease) in brokerage commissions and futures account fees payable   (1,377  12,012    (7,124  2,100 
Increase (Decrease) in payable on futures contracts   —     (1,129,877
Increase (Decrease) in payable on open futures contracts   (94,495  102,601 
              
Net cash provided by (used in) operating activities   (26,911,614  (21,299,344   68,987,466   4,249,223 
              
Cash flow from financing activities
        
Proceeds from addition of shares   87,035,790   85,866,144    32,179,053   48,084,371 
Payment on shares redeemed   (22,718,536  (56,735,157   (65,069,585  (13,936,725
              
Net cash provided by (used in) financing activities   64,317,254   29,130,987    (32,890,532  34,147,646 
              
Net increase (decrease) in cash
   37,405,640   7,831,643    36,096,934   38,396,869 
Cash, beginning of period   27,802,834   33,130,653    27,071,819   27,802,834 
              
Cash, end of period  $65,208,474  $40,962,296   $63,168,753  $66,199,703 
              
See accompanying notes to financial statements.
 
7
88
6

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $127,990,453 and $84,998,436, respectively)  $127,990,204   $84,999,583 
Short-term U.S. government and agency obligations (Note 3) (cost $169,905,842 and $150,887,871, respectively)  $169,526,219   $150,861,898 
Cash   107,057,042    71,736,247    36,024,677    11,013,736 
Segregated cash balances with brokers for futures contracts   133,904,930    134,825,900    97,881,220    104,947,080 
Receivable from capital shares sold   —      3,026,614 
Receivable on open futures contracts   1,461,435    2,295,585    38,448,080    2,115,232 
Interest receivable   3,891    2,815    72,133    1,774 
                
Total assets   370,417,502    293,860,130    341,952,329    271,966,334 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable on open futures contracts   1,413,813    231,900    —      2,037,391 
Brokerage commissions and futures account fees payable   52,197    81,049    18,674    38,926 
Payable to Sponsor   174,159    156,632    219,339    186,853 
                
Total liabilities   1,640,169    469,581    238,013    2,263,170 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   368,777,333    293,390,549    341,714,316    269,703,164 
                
Total liabilities and shareholders’ equity  $370,417,502   $293,860,130   $341,952,329   $271,966,334 
                
Shares outstanding (Note 1)   16,257,826    5,331,579    18,757,826    17,832,826 
                
Net asset value per share (Note 1)  $22.68   $55.03   $18.22   $15.12 
                
Market value per share (Note 1)(Note 2)  $22.80   $54.96 
Market value per share (Note 1) (Note 2)  $18.25   $15.17 
                
See accompanying notes to financial statements.
 
7
897

PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
35
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.016
% due
10/14/21
  $30,000,000   $29,999,730 
0.043
% due
11/18/21
   8,000,000    7,999,626 
0.043
% due
12/16/21
   50,000,000    49,995,780 
0.037
% due
01/20/22
   40,000,000    39,995,068 
           
Total short-term U.S. government and agency obligations
(cost $
127,990,453
)
       $127,990,204 
           
Futures Contracts Purchased
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021   8,245   $188,545,011   $15,851,921 
VIX Futures - Cboe, expires November 2021   7,617    180,415,500    5,515,175 
                
             $21,367,096 
                
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
90

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTSSCHEDULE OF OPERATIONSINVESTMENTS
JUNE 30, 2022
(unaudited)
 
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $11,739  $34,770  $91,187  $1,117,617 
                  
Expenses
                 
Management fee   660,051   560,301   2,154,874   1,584,861 
Brokerage commissions   97,516   66,969   365,013   311,826 
Futures account fees   151,758   165,725   591,272   278,752 
                  
Total expenses   909,325   792,995   3,111,159   2,175,439 
                  
Net investment income (loss)   (897,586  (758,225  (3,019,972  (1,057,822
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   (51,868,433  (75,120,135  (304,349,667  249,771,936 
                  
Net realized gain (loss)   (51,868,433  (75,120,135  (304,349,667  249,771,936 
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   42,164,263   555,267   27,731,186   16,595,465 
Short-term U.S. government and agency obligations   4,034   1,199   (1,396  (5,725
                  
Change in net unrealized appreciation (depreciation)   42,168,297   556,466   27,729,790   16,589,740 
                  
Net realized and unrealized gain (loss)   (9,700,136  (74,563,669  (276,619,877  266,361,676 
                  
Net income (loss)
  $(10,597,722 $(75,321,894 $(279,639,849 $265,303,854 
                  
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(50% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.967% due 07/14/22  $25,000,000   $24,989,618 
0.894% due 07/21/22   62,000,000    61,962,973 
0.674% due 07/28/22   25,000,000    24,981,438 
0.223% due 11/03/22   58,000,000    57,592,190 
           
Total short-term U.S. government and agency obligations
(cost $169,905,842)
       $169,526,219 
           
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022   6,185   $176,657,825   $5,185,782 
VIX Futures - Cboe, expires August 2022   5,672    165,494,213    (1,810,355
                
             $3,375,427 
                
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
7
91
8

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

June 30,
  
Six Months Ended

June 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest  $207,903  $40,988  $278,612  $79,448 
                  
Expenses
                 
Management fee   773,717   669,363   1,479,408   1,494,823 
Brokerage commissions   171,182   94,839   287,656   267,497 
Futures account fees   115,783   174,368   316,440   439,514 
                  
Total expenses   1,060,682   938,570   2,083,504   2,201,834 
                  
Net investment income (loss)   (852,779  (897,582  (1,804,892  (2,122,386
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   23,659,182   (175,846,641  77,393,309   (252,481,234
Short-term U.S. government and agency obligations   (397  —     (300  —   
                  
Net realized gain (loss)   23,658,785   (175,846,641  77,393,009   (252,481,234
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   46,680,364   39,005,837   33,506,046   (14,433,077
Short-term U.S. government and agency obligations   (79,587  (13,490  (353,650  (5,430
                  
Change in net unrealized appreciation (depreciation)   46,600,777   38,992,347   33,152,396   (14,438,507
                  
Net realized and unrealized gain (loss)   70,259,562   (136,854,294  110,545,405   (266,919,741
                  
Net income (loss)
  $69,406,783  $(137,751,876 $108,740,513  $(269,042,127
                  
See accompanying notes to financial statements.
7
9
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
  
Three Months Ended

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020
 
2021
 
2020
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $272,352,675  $221,343,175  $293,390,549  $279,792,503   $404,950,400  $349,578,758  $269,703,164  $293,390,549 
Addition of 8,175,000, 3,925,000, 18,125,000 and 10,256,250 shares, respectively (Note 1)   141,195,554   124,484,014   302,368,469   451,376,724 
Redemption of 13,800,000, 1,992,503, 17,200,000 and 4,280,003 shares, respectively (Note 1)   (273,838,421  (63,958,221  (339,097,830  (203,372,471
                          
Addition of 6,300,000, 1,662,500, 16,556,250 and 4,331,250 shares, respectively (Note 1)   142,476,815   156,332,956   593,853,539   342,792,630 
Redemption of 1,350,000, 243,750, 5,630,003 and 6,618,750 shares, respectively (Note 1)   (35,454,435  (23,081,940  (238,826,906  (608,616,690
             
Net addition (redemption) of 4,950,000, 1,418,750, 10,926,247 and (2,287,500) shares, respectively (Note 1)   107,022,380   133,251,016   355,026,633   (265,824,060
Net addition (redemption) of (5,625,000), 1,932,497, 925,000 and 5,976,247 shares, respectively (Note 1)   (132,642,867  60,525,793   (36,729,361  248,004,253 
                          
Net investment income (loss)   (897,586  (758,225  (3,019,972  (1,057,822   (852,779  (897,582  (1,804,892  (2,122,386
Net realized gain (loss)   (51,868,433  (75,120,135  (304,349,667  249,771,936    23,658,785   (175,846,641  77,393,009   (252,481,234
Change in net unrealized appreciation (depreciation)   42,168,297   556,466   27,729,790   16,589,740    46,600,777   38,992,347   33,152,396   (14,438,507
                          
Net income (loss)   (10,597,722  (75,321,894  (279,639,849  265,303,854    69,406,783   (137,751,876  108,740,513   (269,042,127
                          
Shareholders’ equity, end of period
  $368,777,333  $279,272,297  $368,777,333  $279,272,297   $341,714,316  $272,352,675  $341,714,316  $272,352,675 
                          
See accompanying notes to financial statements.
 
92
80

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

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $(279,639,849 $265,303,854   $108,740,513  $(269,042,127
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (425,941,319  (390,519,095   (772,834,858  (330,954,205
Proceeds from sales or maturities of short-term U.S. government and agency obligations   383,000,000   348,000,000    753,998,870   308,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (50,698  (589,708   (182,283  (43,465
Change in unrealized appreciation (depreciation) on investments   1,396   5,725 
Decrease (Increase) in receivable on futures contracts   834,150   (6,431,358
Net realized (gain) loss on investments   300   —   
Change in unrealized (appreciation) depreciation on investments   353,650   5,430 
Decrease (Increase) in receivable on open futures contracts   (36,332,848  317,767 
Decrease (Increase) in interest receivable   (1,076  120,780    (70,359  1,122 
Increase (Decrease) in payable to Sponsor   17,527   52,310    32,486   (12,148
Increase (Decrease) in brokerage commissions and futures account fees payable   (28,852  59,366    (20,252  (15,157
Increase (Decrease) in payable on futures contracts   1,181,913   (12,920,593
Increase (Decrease) in payable on open futures contracts   (2,037,391  2,355,834 
              
Net cash provided by (used in) operating activities   (320,626,808  203,081,281    51,647,828   (289,386,949
              
Cash flow from financing activities
        
Proceeds from addition of shares   593,853,539   342,792,630    305,395,083   451,376,724 
Payment on shares redeemed   (238,826,906  (608,616,690   (339,097,830  (203,372,471
              
Net cash provided by (used in) financing activities   355,026,633   (265,824,060   (33,702,747  248,004,253 
              
Net increase (decrease) in cash
   34,399,825   (62,742,779   17,945,081   (41,382,696
Cash, beginning of period   206,562,147   194,935,341    115,960,816   206,562,147 
              
Cash, end of period  $240,961,972  $132,192,562   $133,905,897  $165,179,451 
              
See accompanying notes to financial statements.
 
8
93
1

PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2021

(unaudited)
   
December 31, 2020
   
June 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively)  $2,327,838,468   $1,034,986,384 
Short-term U.S. government and agency obligations (Note 3) (cost $2,087,271,449 and $2,505,722,885, respectively)  $2,082,952,015   $2,505,429,337 
Cash   778,499,094    1,651,161,384    952,775,804    394,413,910 
Segregated cash balances with brokers for futures contracts   1,069,584,913    1,491,618,088    1,005,152,221    1,010,799,328 
Segregated cash balances with brokers for foreign currency forward contracts   —      5,716,000    —      916,000 
Segregated cash balances with brokers for swap agreements   —      107,967,985    318,701,000    2,572,000 
Unrealized appreciation on swap agreements   83,740,160    80,135,841    2,594,022    113,159,180 
Unrealized appreciation on foreign currency forward contracts   2,836,253    169,051    4,529,655    1,457,257 
Receivable from capital shares sold   14,084,428    49,086,388    26,374,095    23,475,355 
Receivable on open futures contracts   155,985,619    108,851,000    524,152,606    205,819,074 
Interest receivable   40,866    66,871    895,067    22,943 
                
Total assets   4,432,609,801    4,529,758,992    4,918,126,485    4,258,064,384 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   66,045,047    18,280,444    53,985,665    25,594,902 
Payable on open futures contracts   24,303,801    27,874,393    76,965,857    51,142,167 
Brokerage commissions and futures account fees payable   470,680    691,005    145,235    476,241 
Payable to Sponsor   3,159,235    3,407,672    3,736,397    3,178,585 
Unrealized depreciation on swap agreements   100,167,433    3,491,096    219,150,943    3,391,968 
Unrealized depreciation on foreign currency forward contracts   429,828    1,714,898    772,612    806,178 
Non-recurring
fees and expenses payable
   75,570    48,070 
                
Total liabilities   194,651,594    55,507,578    354,756,709    84,590,041 
                
Commitments and Contingencies (Note 2)                
Shareholders’ equity
            
Shareholders’ equity   4,237,958,207    4,474,251,414    4,563,369,776    4,173,474,343 
                
Total liabilities and shareholders’ equity  $4,432,609,801   $4,529,758,992   $4,918,126,485   $4,258,064,384 
                
Shares outstanding (Note 1)   133,773,980    228,676,695    178,619,037    151,164,114 
                
See accompanying notes to financial statements.
 
8
94
2

PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONSOPERATIONS*
(unaudited)
 
  
Three Months Ended

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020*
 
2021
 
2020*
 
2022
 
2021
 
2022
 
2021
 
Investment Income
            
Interest  $225,068  $462,274  $1,311,362  $8,985,252   $3,593,473  $536,552  $4,620,355  $1,086,294 
             
Expenses
            
Management fee   9,892,153   11,098,146   32,386,686   24,755,322    11,608,051   10,325,523   22,225,008   22,494,533 
Brokerage commissions   1,808,557   2,304,413   6,704,455   6,308,753    1,894,153   1,992,098   3,802,918   4,895,898 
Futures account fees   1,447,030   2,459,918   5,996,930   4,208,471    1,030,206   1,696,496   2,835,129   4,549,900 
Non-recurring
fees and expenses
   27,500   75,802   27,500   75,802 
                          
Total expenses   13,175,240   15,938,279   45,115,571   35,348,348    14,532,410   14,014,117   28,863,055   31,940,331 
                          
Net investment income (loss)   (12,950,172  (15,476,005  (43,804,209  (26,363,096   (10,938,937  (13,477,565  (24,242,700  (30,854,037
                          
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Futures contracts   (240,784,887  (171,502,419  (1,427,934,171  110,215,750    101,692,223   (653,015,480  510,140,998   (1,187,149,284
Swap agreements   (160,769,089  173,110,242   50,628,405   (794,321,232   (48,816,783  155,633,013   656,366,206   211,397,494 
Options   —     —     —     (9,707,000   —     —     —     —   
Foreign currency forward contracts   2,892,137   (8,394,521  4,813,162   (10,216,017   9,774,456   757,734   12,836,962   1,921,025 
Short-term U.S. government and agency obligations   (10,753  (5  11,145   296,893    (420,375  2,137   (192,800  21,898 
                          
Net realized gain (loss)   (398,672,592  (6,786,703  (1,372,481,459  (703,731,606   62,229,521   (496,622,596  1,179,151,366   (973,808,867
                          
Change in net unrealized appreciation (depreciation) on
            
Futures contracts   158,443,180   (249,176,198  230,326,477   178,965,282    10,131,053   328,994,435   62,770,119   71,883,297 
Swap agreements   38,179,426   (160,810,119  (93,072,018  (184,272,631   (57,491,778  8,316,702   (326,324,133  (131,251,444
Foreign currency forward contracts   (724,910  1,639,005   3,952,272   2,861,284    1,568,995   (2,047,874  3,105,964   4,677,182 
Short-term U.S. government and agency obligations   88,814   9,658   (38,045  (61,092   (768,379  (233,144  (4,025,886  (126,859
                          
Change in net unrealized appreciation (depreciation)   195,986,510   (408,337,654  141,168,686   (2,507,157   (46,560,109  335,030,119   (264,473,936  (54,817,824
                          
Net realized and unrealized gain (loss)   (202,686,082  (415,124,357  (1,231,312,773  (706,238,763   15,669,412   (161,592,477  914,677,430   (1,028,626,691
                          
Net income (loss)
  $(215,636,254 $(430,600,362 $(1,275,116,982 $(732,601,859  $4,730,475  $(175,070,042 $890,434,730  $(1,059,480,728
                          
 
*
The operations include the activity of ProShares UltraPro 3x Crude OilShort Euro
ETF and ProShares UltraShort Australian Dollar ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020,May 12, 2022, the date of liquidation, respectively.liquidation. 
See accompanying notes to financial statements.
 
8
953

PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITYEQUITY*
(unaudited)
 
  
Three Months Ended

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended

June 30,
 
Six Months Ended

June 30,
 
2021
 
2020*
 
2021
 
2020*
 
2022
 
2021
 
2022
 
2021
 
Shareholders’ equity, beginning of period
  $4,404,846,864  $4,052,758,690  $4,474,251,414  $2,356,325,101   $5,338,066,570  $4,534,203,653  $4,173,474,343  $4,474,251,414 
                          
Addition of 74,900,000, 51,642,500, 149,503,750 and 373,420,750 shares, respectively (Note 1)   1,649,296,999   2,922,142,022   5,597,393,110   9,686,341,059 
Redemption of 47,625,000, 53,036,250, 104,613,761 and 328,406,123 shares, respectively (Note 1)   (1,600,549,402  (2,015,018,595  (4,558,569,335  (6,780,782,546
Addition of 111,695,000, 25,865,000, 244,305,000 and
74,621,250 shares, respectively
(Note 1)
   2,545,986,476   913,598,315   5,628,786,761   3,948,096,111 
Redemption of 134,203,304, 33,480,323, 245,538,426 and
87,095,323 shares, respectively
(Note 1)
   (3,325,413,745  (867,885,062  (6,129,326,058  (2,958,019,933
                          
Net addition (redemption) of 27,275,000, (1,393,750), 44,889,989 and 45,014,627 shares, respectively
(Note 1)
   48,747,597   907,123,427   1,038,823,775   2,905,558,513 
Net addition (redemption) of (22,508,304), (7,615,323),
(1,233,426) and (12,474,073) shares, respectively
(Note
1)
   (779,427,269  45,713,253   (500,539,297  990,076,178 
                          
Net investment income (loss)   (12,950,172  (15,476,005  (43,804,209  (26,363,096   (10,938,937  (13,477,565  (24,242,700  (30,854,037
Net realized gain (loss)   (398,672,592  (6,786,703  (1,372,481,459  (703,731,606   62,229,521   (496,622,596  1,179,151,366   (973,808,867
Change in net unrealized appreciation (depreciation)   195,986,510   (408,337,654  141,168,686   (2,507,157   (46,560,109  335,030,119   (264,473,936  (54,817,824
                          
Net income (loss)   (215,636,254  (430,600,362  (1,275,116,982  (732,601,859   4,730,475   (175,070,042  890,434,730   (1,059,480,728
                          
Shareholders’ equity, end of period
  $4,237,958,207  $4,529,281,755  $4,237,958,207  $4,529,281,755   $4,563,369,776  $4,404,846,864  $4,563,369,776  $4,404,846,864 
                          
 
*
The operations include the activity of ProShares UltraPro 3x Crude OilShort Euro ETF and ProShares UltraShort Australian Dollar ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020,May 12, 2022, the date of liquidation, respectively.liquidation.
See accompanying notes to financial statements.
 
8
96
4

PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWSFLOWS*
(unaudited)
 
  
Nine Months Ended

September 30,
   
Six Months Ended

June 30,
 
2021
 
2020*
 
2022
 
2021
 
Cash flow from operating activities
        
Net income (loss)  $(1,275,116,982 $(732,601,859  $890,434,730  $(1,059,480,728
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:        
Purchases of short-term U.S. government and agency obligations   (6,612,113,856  (4,582,922,901   (11,579,158,324  (5,451,274,846
Proceeds from sales or maturities of short-term U.S. government and agency obligations   5,319,975,559   3,736,919,081    12,000,836,596   4,024,989,152 
Net amortization and accretion on short-term U.S. government and agency obligations   (740,687  (5,453,567   (3,419,714  (563,137
Net realized gain (loss) on investments   (11,145  (296,893
Change in unrealized appreciation (depreciation) on investments   89,157,791   181,472,439 
Decrease (Increase) in securities sold receivable   —     (242,309
Net realized (gain) loss on investments   192,879   (21,898
Change in unrealized (appreciation) depreciation on investments   327,244,055   126,701,121 
Decrease (Increase) in receivable on futures contracts   (47,134,619  (161,192,003   (318,333,532  964,203 
Decrease (Increase) in interest receivable   26,005   916,323    (872,124  (19,482
Increase (Decrease) in payable to Sponsor   (248,437  1,913,708    557,811   (104,518
Increase (Decrease) in brokerage commissions and futures account fees payable   (220,325  583,315    (331,006  (154,311
Increase (Decrease) in payable on futures contracts   (3,570,592  (32,538,644   25,823,690   (9,525,111
Increase (Decrease) in
non-recurring
fees and expenses payable
   27,500   —   
Increase (Decrease) in securities purchased payable   —     167,040,817 
              
Net cash provided by (used in) operating activities   (2,529,969,788  (1,593,443,310   1,342,975,061   (2,201,448,738
              
Cash flow from financing activities
        
Proceeds from addition of shares   5,632,395,070   9,655,286,527    5,625,888,021   3,970,199,298 
Payment on shares redeemed   (4,510,804,732  (6,721,603,064   (6,100,935,295  (2,975,566,551
              
Net cash provided by (used in) financing activities   1,121,590,338   2,933,683,463    (475,047,274  994,632,747 
              
Net increase (decrease) in cash
   (1,408,379,450  1,340,240,153    867,927,787   (1,206,815,991
Cash, beginning of period   3,256,463,457   1,190,195,205    1,408,701,238   3,256,463,457 
              
Cash, end of period  $1,848,084,007  $2,530,435,358   $2,276,629,025  $2,049,647,466 
              
 
*
The operations include the activity of ProShares UltraPro 3x Crude OilShort Euro ETF and ProShares UltraShort Australian Dollar ETF through April 3, 2020, and ProShares 3x UltraPro Short Crude Oil ETF through April 13, 2020,May 12, 2022, the date of liquidation, respectively.liquidation.
See accompanying notes to financial statements.
 
8
97
5

PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
SeptemberJune 30, 20212022
(unaudited)
NOTE 1 - 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 SeptemberJune 30, 2021,2022, the following 1816 series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares 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, ProShare11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude OilUltraShort Australian Dollar ETF (ticker symbol: OILU)CROC) and ProShares UltraPro 3x Short Crude OilEuro ETF (ticker symbol: OILD)EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020.May 2, 2022. Trading in each liquidated fund was suspended prior to market open on March 30, 2020.May 3, 2022. Proceeds of the liquidation were sent to shareholders on April 3, 2020May 12, 2022 (the “Distribution Date”). From March 30, 2020May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.May 12, 2022.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of 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.
 
8
986

Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the ninesix months ended SeptemberJune 30, 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.
Execution Date
     
Date Trading
   
(Prior to Opening
Resumed at Post-
Fund
  
Execution Date
(Prior to Opening
of Trading)
  
Type of Split
  
Date Trading
Resumed at Post-
Split Price
ProShares Ultra Bloomberg Crude OilApril 20, 2020
1-for-25 reverse Share split
April 21, 2020
ProShares Ultra Bloomberg Natural GasApril 20, 2020
1-for-10 reverse Share split
April 21, 2020
ProShares Ultra VIX Short-Term Futures ETF  May 25, 2021  
1-for-10 reverse Share split
  May 26, 2021
ProShares UltraShort Bloomberg Crude Oil  May 25, 2021  
1-for-4 reverse Share split
  May 26, 2021
ProShares UltraShort Silver  May 25, 2021  
1-for-4 reverse Share split
  May 26, 2021
ProShares VIX Short-Term Futures ETF  May 25, 2021  
1-for-4 reverse Share split
  May 26, 2021
ProShares UltraShort Bloomberg Natural GasJanuary 13, 20221-for-5 reverse Share splitJanuary 14, 2022
ProShares UltraShort YenMay 25, 20222-for-1 forward Share splitMay 26, 2022
ProShares Ultra Bloomberg Crude OilMay 25, 20224-for-1 forward Share splitMay 26, 2022
ProShares UltraShort Bloomberg Natural GasMay 25, 20221-for-4 reverse Share splitMay 26, 2022
ProShares UltraShort Bloomberg Crude OilMay 25, 20221-for-5 reverse Share splitMay 26, 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.
The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split.
NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form
10-Q
and the rules and regulations of the 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.
8
7

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

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 SeptemberJune 30, 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.
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 ninesix months ended SeptemberJune 30, 20212022 were typically as follows. All times are Eastern Standard Time:
   
Create/Redeem
  
NAV Calculation
  
NAV
Fund
  
Cut-off*
  
Time
  
Calculation Date
Ultra Silver and UltraShort Silver  1:00 p.m.  1:25 p.m.  SeptemberJune 30, 20212022
    
Ultra Gold and UltraShort Gold  1:00 p.m.  1:30 p.m.  SeptemberJune 30, 20212022
    
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.  SeptemberJune 30, 20212022
Short Euro,    
Ultra Euro,         
Ultra Yen,
UltraShort Australian Dollar,         
UltraShort Euro and         
UltraShort Yen  3:00 p.m.  4:00 p.m.  SeptemberJune 30, 20212022
    
Short VIX Short-Term Futures ETF**,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.  SeptemberJune 30, 20212022
 
8
8

*Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the ninesix months ended SeptemberJune 30, 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 ninesix months ended SeptemberJune 30, 2021.2022.
100

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. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
8
9

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
101

TableThe following table summarizes the valuation of Contentsinvestments at June 30, 2022 using the fair value hierarchy:
The following table summarizes the valuation of investments at September 30, 2021 using the fair value hierarchy:
 
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short Euro  $—     $46,781  $—    $—    $46,781 
ProShares Short VIX Short-Term Fut
u
res ETF
   129,992,467    (6,181,978  —     —     123,810,489 
ProShares Ultra Bloomberg Crude Oil   834,942,326    268,004,313   —     70,885,762   1,173,832,401 
ProShares Ultra Bloomberg Natural Gas   32,997,127    42,185,730   —     —     75,182,857 
ProShares Ultra Euro   999,916    —     (162,686  —     837,230 
ProShares Ultra Gold   185,985,614    (3,936,408  —     (7,406,864  174,642,342 
ProShares Ultra Silver   494,966,819    (5,439,801  —     (92,760,569  396,766,449 
ProShares Ultra VIX Short-Term Futures ETF   274,984,707    90,018,882   —     7,933,765   372,937,354 
ProShares Ultra Yen   999,953    —     (59,266  —     940,687 
ProShares UltraShort Australian Dollar   —      182,163   —     —     182,163 
ProShares UltraShort Bloomberg Crude Oil   32,997,116    (20,466,160  —     —     12,530,956 
ProShares UltraShort Bloomberg Natural Gas   56,993,148    (35,288,843  —     —     21,704,305 
ProShares UltraShort Euro   34,997,817    —     2,126,803   —     37,124,620 
ProShares UltraShort Gold   17,998,972    432,050   —     830,123   19,261,145 
ProShares UltraShort Silver   21,998,799    2,955,976   —     4,090,510   29,045,285 
ProShares UltraShort Yen   16,998,447    —     501,574   —     17,500,021 
ProShares VIX
Mid-Term
Futures ETF
   61,995,036    4,816,848   —     —     66,811,884 
ProShares VIX Short-Term Futures ETF   127,990,204    21,367,096   —     —     149,357,300 
                       
Total Trust
  
$
2,327,838,468
 
  
$
358,696,649
 
 
$
2,406,425
 
 
$
(16,427,273
 
$
2,672,514,269
 
*
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, 2020 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
ProShares Short VIX Short-Term Futures ETF   69,999,639    8,348,783   —     —     78,348,422   $151,418,355   $1,517,614  $—    $—    $152,935,969 
ProShares Ultra Bloomberg Crude Oil   219,998,394    144,564,039   —     18,242,195   382,804,628    526,423,284    58,454,799   —     (152,287,155  432,590,928 
ProShares Ultra Bloomberg Natural Gas   29,999,889    6,500,721   —     —     36,500,610    105,739,904    (194,426,957  —     —     (88,687,053
ProShares Ultra Euro   —      —     88,736   —     88,736    4,690,703    —     (332,395  —     4,358,308 
ProShares Ultra Gold   74,999,467    2,646,874   —     5,140,980   82,787,321    208,696,447    (3,932,509  —     (6,451,858  198,312,080 
ProShares Ultra Silver   244,993,989    37,190,212   —     56,752,666   338,936,867    290,458,173    (4,317,941  —     (60,411,930  225,728,302 
ProShares Ultra VIX Short-Term Futures ETF   244,995,969    (48,524,666  —     (24,807  196,446,496    243,251,317    35,444,518   —     —     278,695,835 
ProShares Ultra Yen   —      —     67,087   —     67,087    992,969    —     (77,150  —     915,819 
ProShares UltraShort Australian Dollar   —      (138,950  —     —     (138,950
ProShares UltraShort Bloomberg Crude Oil   —      (14,636,813  —     —     (14,636,813   232,635,606    28,516,831   —     —     261,152,437 
ProShares UltraShort Bloomberg Natural Gas   9,999,861    379,310   —     —     10,379,171    59,578,128    154,070,341   —     —     213,648,469 
ProShares UltraShort Euro   9,999,861    —     (1,136,704  —     8,863,157    19,885,112    —     3,195,083   —     23,080,195 
ProShares UltraShort Gold   —      (196,930  —     (268,728  (465,658   13,940,167    811,562   —     720,984   15,472,713 
ProShares UltraShort Silver   —      (220,076  —     (3,197,561  (3,417,637   12,979,368    2,516,890   —     1,873,038   17,369,296 
ProShares UltraShort Yen   —      —     (564,966  —     (564,966   10,961,261    —     971,505   —     11,932,766 
ProShares VIX
Mid-Term
Futures ETF
   44,999,732    (1,133,616  —     —     43,866,116    31,775,002    3,080,667   —     —     34,855,669 
ProShares VIX Short-Term Futures ETF   84,999,583    (6,364,090  —     —     78,635,493    169,526,219    3,375,427   —     —     172,901,646 
                                  
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
 
$
76,644,745
 
 
$
1,238,455,454
 
Combined Trust:
  
$
2,082,952,015
 
  
$
85,111,242
 
 
$
3,757,043
 
 
$
(216,556,921
 
$
1,955,263,379
 
 
*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.
9
1020

The following table summarizes the valuation of investments at December 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
  $ —     $(5,400 $ —    $ —    $(5,400
ProShares Short VIX Short-Term Futures ETF  
147,815,719   31,275,278  
 —    
 —    
179,090,997 
ProShares Ultra Bloomberg Crude Oil   848,757,567    147,455,525   —     63,928,293   1,060,141,385 
ProShares Ultra Bloomberg Natural Gas   90,922,438    (8,206,161  —     —     82,716,277 
ProShares Ultra Euro   997,678    —     82,652   —     1,080,330 
ProShares Ultra Gold   207,956,320    654,894   —     8,639,188   217,250,402 
ProShares Ultra Silver   451,872,982    2,506,545   —     40,591,699   494,971,226 
ProShares Ultra VIX Short-Term Futures ETF   221,660,593    (126,356,757  —     (477,437  94,826,399 
ProShares Ultra Yen   —      —     (93,112  —     (93,112
ProShares UltraShort Australian Dollar   1,999,875    (65,155  —     —     1,934,720 
ProShares UltraShort Bloomberg Crude Oil   55,916,023    (8,409,462  —     —     47,506,561 
ProShares UltraShort Bloomberg Natural Gas   123,821,548    13,436,251   —     —     137,257,799 
ProShares UltraShort Euro   46,961,125    —     (208,041  —     46,753,084 
ProShares UltraShort Gold   25,980,516    158,079   —     (993,117  25,145,478 
ProShares UltraShort Silver   22,994,261    652,493   —     (1,921,414  21,725,340 
ProShares UltraShort Yen   20,987,825    —     869,580   —     21,857,405 
ProShares VIX Mid-Term Futures ETF   85,922,969    (624,388  —     —     85,298,581 
ProShares VIX Short-Term Futures ETF   150,861,898    (30,130,619  —     —     120,731,279 
                       
Combined Trust:
  
$
2,505,429,337
 
  
$
22,341,123
 
 
$
651,079
 
 
$
109,767,212
 
 
$
2,638,188,751
 
*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 transf
e
rs into or out of Level 3 for the fiscal year end.
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.
9
1

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.
103

New Accounting Pronouncement
In March 2020, the FASB issued Accounting Standards Update
No. 2020-04
(“ASU
2020-04”),
“Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU
2020-04
provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU
2020-04
allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
From the beginning of the reporting period until the close of business on May 2, 2022, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective.
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.
9
2

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.
104

Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
9
3

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.
105

Swap Agreements
Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are
two-party
contracts that have traditionally been entered into primarily with institutional investors in
over-the-counter
(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.
Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund 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.
9
4

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 SeptemberJune 30, 2021
2022 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.
106

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with 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.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of SeptemberJune 30, 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
9
5

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 SeptemberJune 30, 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.
107

A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of September 30, 2021
               
      
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not Accounted
for as Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts     Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements     
   ProShares Short VIX Short-Term Futures ETF     $—       $6,181,978
   ProShares Ultra VIX Short-Term Futures ETF      97,952,647     —   
   ProShares VIX
Mid-Term
Futures ETF
      4,816,848     —   
   ProShares VIX Short-Term Futures ETF      21,367,096     —   
Commodities Contracts     Receivables on open futures contracts and/or unrealized appreciation on swap agreements      Payable on open futures contracts and/or unrealized depreciation on swap agreements     
   ProShares Ultra Bloomberg Crude Oil      338,890,075     —   
   ProShares Ultra Bloomberg Natural Gas      42,185,730     —   
   ProShares Ultra Gold      —        11,343,272
   ProShares Ultra Silver      —        98,200,370
   ProShares UltraShort Bloomberg Crude Oil      —        20,466,160
   ProShares UltraShort Bloomberg Natural Gas      —        35,288,843
   ProShares UltraShort Gold      1,262,173     —   
   ProShares UltraShort Silver      7,046,486     —   
Foreign Exchange Contracts     Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts      Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts     
   ProShares Short Euro      46,781     –   
   ProShares Ultra Euro      2,136      164,822 
   ProShares Ultra Yen      757      60,023 
   ProShares UltraShort Australian Dollar      182,163     –   
   ProShares UltraShort Euro      2,284,006      157,203 
   ProShares UltraShort Yen      549,354      47,780 
                   
      
Total Trust
  
$
516,586,252
*
 
    
$
171,910,451
*
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on
open
futures.
 
108

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
   ProShares UltraShort Euro      5,705      1,142,409 
   ProShares UltraShort Yen      7,008      571,974 
                   
      
Total Trust
  
$
280,082,746
*
 
    
$
76,613,676
*
 
109

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2021
Fair Value of Derivative Instruments as of June 30, 2022
Fair Value of Derivative Instruments as of June 30, 2022
 
             
Asset Derivatives
 
Liability Derivatives
 
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
   
Fund
  
Statements of
Financial Condition Location
  
Unrealized

Appreciation
 
Statements of
Financial Condition Location
  
Unrealized

Depreciation
 
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          Receivables on open futures contracts   Payable on open futures contracts  
     ProShares Short VIX Short-Term Futures ETF  $34,573,906  $(43,362,244  ProShares Short VIX Short-Term Futures ETF    $1,517,614   $—   
     ProShares Ultra VIX Short-Term Futures ETF   (198,380,990 186,737,241   ProShares Ultra VIX Short-Term Futures ETF     41,121,658    5,677,140
     
ProShares VIX
Mid-Term
Futures ETF
   (4,024,133 10,651,835   ProShares VIX Mid-Term Futures ETF     3,151,792    71,125
     ProShares VIX Short-Term Futures ETF   (51,868,433 42,164,263   ProShares VIX Short-Term Futures ETF     5,185,782    1,810,355
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements          Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements  
     ProShares Ultra Bloomberg Crude Oil   106,330,563  (16,910,039  ProShares Ultra Bloomberg Crude Oil     76,385,739    170,218,095
     ProShares Ultra Bloomberg Natural Gas   33,925,711  25,134,988   ProShares Ultra Bloomberg Natural Gas     —       194,426,957
     ProShares Ultra Gold   (21,858,089 15,564,318   ProShares Ultra Gold     —       10,384,367
     ProShares Ultra Silver   (201,315,310 (6,040,776  ProShares Ultra Silver     —       64,729,871
*
 
     ProShares UltraShort Bloomberg Crude Oil   (11,449,562 (1,521,543 ��ProShares UltraShort       
     ProShares UltraShort Bloomberg Natural Gas   (95,609,878 (17,870,697  Bloomberg Crude Oil     28,869,220    352,389
     ProShares UltraShort Gold   1,213,721  (1,898,585  ProShares UltraShort Bloomberg Natural Gas     154,070,341    —   
     ProShares UltraShort Silver   6,662,145  3,921,845   ProShares UltraShort Gold     1,532,546    —   
  ProShares UltraShort Silver     4,389,928    —   
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          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   57,489  (4,770  ProShares Ultra Euro     17,639     350,034 
     ProShares Ultra Euro   (254,219 72,810   ProShares Ultra Yen     2,012     79,162 
     ProShares Ultra Yen   (25,554 10,988   ProShares UltraShort Euro     3,382,293     187,210 
     ProShares UltraShort Australian Dollar   188,884  56,770   ProShares UltraShort Yen     1,127,711     156,206 
     ProShares UltraShort Euro   2,974,466  (618,447             
     ProShares UltraShort Yen   197,444  (190,261    
Combined Trust:
  
$
320,754,275
*
 
   
$
448,442,911
*
 
             
     
Total Trust
  
$
(398,661,839
 
$
195,897,696
 
 
*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
 
9
1106

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
*
 
9
7
The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 30, 2021
             
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $168,120,340  $(14,530,761
      ProShares Ultra VIX Short-Term Futures ETF   (1,757,428,075  146,502,120 
      
ProShares VIX
Mid-Term
Futures ETF
   (14,890,359  5,950,464 
      ProShares VIX Short-Term Futures ETF   (304,349,667  27,731,186 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   761,187,450   176,083,841 
      ProShares Ultra Bloomberg Natural Gas   80,409,384   35,685,009 
      ProShares Ultra Gold   (27,599,854  (19,131,126
      ProShares Ultra Silver   (80,034,280  (192,143,248
      ProShares UltraShort Bloomberg Crude Oil   (86,637,748  (5,829,347
      ProShares UltraShort Bloomberg Natural Gas   (112,274,576  (35,668,153
      ProShares UltraShort Gold   (1,767,636  1,727,831 
      ProShares UltraShort Silver   (2,146,662  10,464,123 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   88,710   91,407 
      ProShares Ultra Euro   (186,149  (251,422
      ProShares Ultra Yen   (305,028  (126,353
      ProShares UltraShort Australian Dollar   17,207   321,113 
      ProShares UltraShort Euro   2,249,236   3,263,507 
      ProShares UltraShort Yen   3,055,103   1,066,540 
                
      
Total Trust
  
$
(1,372,492,604
 
$
141,206,731
 
111

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended SeptemberJune 30, 20202022
 
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
   
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          Net realized gain (loss) on futures contracts/ changes in unrealized appreciation (depreciation) on futures contracts     
     ProShares Short VIX Short-Term Futures ETF  $60,593,315  $(1,463,210    ProShares Short VIX Short-Term Futures ETF  $(13,029,194 $(34,466,848
     ProShares Ultra VIX Short-Term Futures ETF   (559,537,850  15,302,015     ProShares Ultra VIX Short-Term Futures ETF   91,039,435   196,657,178 
     
ProShares VIX
Mid-Term
Futures ETF
   755,845   1,751,675     ProShares VIX Mid-Term Futures ETF   7,862,052   4,040,230 
     ProShares VIX Short-Term Futures ETF   (75,120,135  555,267     ProShares VIX Short-Term Futures ETF   23,659,182   46,680,364 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements          Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
     ProShares Ultra Bloomberg Crude Oil   285,954,263   (232,623,755    ProShares Ultra Bloomberg Crude Oil   363,296,092   (211,138,245
     ProShares Ultra Bloomberg Natural Gas   41,156,156   (4,754,372    ProShares Ultra Bloomberg Natural Gas   164,990,694   (271,251,560
     ProShares Ultra Gold   25,742,296   (18,057,616    ProShares Ultra Gold   (57,901,083  4,971,202 
     ProShares Ultra Silver   290,238,797   (199,321,544    ProShares Ultra Silver   (156,194,175  (50,071,519
     ProShares UltraShort Bloomberg Crude Oil   (16,296,829  5,848,114     ProShares UltraShort Bloomberg Crude Oil   (102,594,000  34,810,301 
     ProShares UltraShort Bloomberg Natural Gas   (31,450,011  8,968,702     ProShares UltraShort Bloomberg Natural Gas   (282,646,685  228,166,248 
     ProShares UltraShort Gold   (4,021,537  2,688,730     ProShares UltraShort Gold   4,557,870   298,236 
     ProShares UltraShort Silver   (15,896,820  11,129,646     ProShares UltraShort Silver   9,411,232   3,849,687 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts          Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
     ProShares Short Euro   (77,567  (14,989    ProShares Ultra Euro   (446,365  (282,077
     ProShares Ultra Euro   441,714   (84,317    ProShares Ultra Yen   (761,478  154,501 
     ProShares Ultra Yen   126,569   (1,524    ProShares UltraShort Euro   3,065,129   3,061,048 
     ProShares UltraShort Australian Dollar   (432,100  5,020     ProShares UltraShort Yen   7,917,170   (1,364,477
     ProShares UltraShort Euro   (7,511,153  1,523,931            
     ProShares UltraShort Yen   (1,451,651  200,915     
Combined Trust
  
$
62,225,876
 
 
$
(45,885,731
             
     
Total Trust
  
$
(6,786,698
 
$
(408,347,312
*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.
 
9
112
8

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 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  $(54,129,808 $(29,757,664
    ProShares Ultra VIX Short-Term Futures ETF   372,034,119   162,278,712 
    ProShares VIX Mid-Term Futures ETF   12,653,885   3,705,055 
    ProShares VIX Short-Term Futures ETF   77,393,309   33,506,046 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
    ProShares Ultra Bloomberg Crude Oil   1,162,719,162   (305,216,174
    ProShares Ultra Bloomberg Natural Gas   241,211,382   (186,220,796
    ProShares Ultra Gold   (82,487  (19,678,449
    ProShares Ultra Silver   (39,557,148  (107,828,115
    ProShares UltraShort Bloomberg Crude Oil   (209,076,101  36,926,293 
    ProShares UltraShort Bloomberg Natural Gas   (397,312,383  140,634,090 
    ProShares UltraShort Gold   (1,750,803  2,367,584 
    ProShares UltraShort Silver   2,037,486   5,658,849 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Ultra Euro   (887,395  (415,047
    ProShares Ultra Yen   (880,249  15,962 
    ProShares UltraShort Euro   5,607,263   3,403,124 
    ProShares UltraShort Yen   8,997,343   101,925 
             
    
Combined Trust:
  
$
1,178,977,575
 
 
$
(260,518,605
9
9

The Effect of Derivative Instruments on the Statement of Operations
For the ninethree months ended SeptemberJune 30, 20202021
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
 
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
   
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          Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
     ProShares Short VIX Short-Term Futures ETF  $(129,091,526 $(2,706,204    ProShares Short VIX Short-Term Futures ETF  $109,337,017  $(13,290,409
     ProShares Ultra VIX Short-Term Futures ETF   58,666,590   66,331,637     ProShares Ultra VIX Short-Term Futures ETF   (854,529,061  244,143,655 
     
ProShares VIX
Mid-Term
Futures ETF
   21,708,785   5,422,315     ProShares VIX Mid-Term Futures ETF   (14,405,542  3,575,301 
     ProShares VIX Short-Term Futures ETF   249,771,936   16,595,465     ProShares VIX Short-Term Futures ETF   (175,846,641  39,005,837 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements          Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
     ProShares Ultra Bloomberg Crude Oil   (891,179,560  106,147,368     ProShares Ultra Bloomberg Crude Oil   320,505,659   157,999,797 
     ProShares Ultra Bloomberg Natural Gas   2,225,390   (4,336,578    ProShares Ultra Bloomberg Natural Gas   4,901,288   28,350,804 
     ProShares Ultra Gold   51,605,680   (11,257,214    ProShares Ultra Gold   45,506,367   (33,461,145
     ProShares Ultra Silver   297,927,456   (215,072,789    ProShares Ultra Silver   116,370,479   (48,336,770
     ProShares UltraShort Bloomberg Crude Oil   28,429,846   7,230,908     ProShares UltraShort Bloomberg Crude Oil   (26,010,421  (9,944,438
     ProShares UltraShort Bloomberg Natural Gas   (20,587,193  9,530,001     ProShares UltraShort Bloomberg Natural Gas   (10,305,304  (33,691,003
     ProShares UltraShort Gold   (12,041,690  2,727,600     ProShares UltraShort Gold   (6,984,547  3,807,080 
     ProShares UltraShort Silver   (18,932,319  12,566,735     ProShares UltraShort Silver   (5,876,456  (923,486
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts          Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
     ProShares Short Euro   (116,225  31,531     ProShares Short Euro   (38,172  17,623 
     ProShares Ultra Euro   369,811   (208,243    ProShares Ultra Euro   95,412   (13,092
     ProShares Ultra Yen   11,333   48,104     ProShares Ultra Yen   (140,007  118,748 
     ProShares UltraShort Australian Dollar   (799,054  390,370     ProShares UltraShort Australian Dollar   (7,133  58,291 
     ProShares UltraShort Euro   (8,749,738  3,449,397     ProShares UltraShort Euro   (795,757  (509,443
     ProShares UltraShort Yen   (1,847,423  (427,974    ProShares UltraShort Yen   1,598,086   (1,644,087
                        
     
Total Trust
  
$
(372,627,901
 
$
(3,537,571
    
Combined Trust
  
$
(496,624,733
 
$
335,263,263
 
 
113
100

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2021
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
    ProShares Short VIX Short-Term Futures ETF  $133,546,434  $28,831,483 
    ProShares Ultra VIX Short-Term Futures ETF   (1,559,047,085  (40,235,121
    ProShares VIX Mid-Term Futures ETF   (10,866,226  (4,701,371
    ProShares VIX Short-Term Futures ETF   (252,481,234  (14,433,077
Commodities Contracts  Net 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   654,856,887   192,993,880 
    ProShares Ultra Bloomberg Natural Gas   46,483,673   10,550,021 
    ProShares Ultra Gold   (5,741,765  (34,695,444
    ProShares Ultra Silver   121,281,030   (186,102,472
    ProShares UltraShort Bloomberg Crude Oil   (75,188,186  (4,307,804
    ProShares UltraShort Bloomberg Natural Gas   (16,664,698  (17,797,456
    ProShares UltraShort Gold   (2,981,357  3,626,416 
    ProShares UltraShort Silver   (8,808,807  6,542,278 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Short Euro   31,221   96,177 
    ProShares Ultra Euro   68,070   (324,232
    ProShares Ultra Yen   (279,474  (137,341
    ProShares UltraShort Australian Dollar   (171,677  264,343 
    ProShares UltraShort Euro   (725,230  3,881,954 
    ProShares UltraShort Yen   2,857,659   1,256,801 
             
    
Combined Trust:
  
$
(973,830,765)
 
 
$
(54,690,965)
 
10
1

Offsetting Assets and Liabilities
Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of SeptemberJune 30, 2021.2022.
 
Fair Values of Derivative Instruments as of September 30, 2021
 
Fair Values of Derivative Instruments as of June 30, 2022
Fair Values of Derivative Instruments as of June 30, 2022
 
  
Assets
   
Liabilities
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil                  
ProShares Ultra Bloomberg            
Crude Oil            
Swap agreements  $70,885,762   $0     $70,885,762   $0     $0     $0     $—     $—     $—     $152,287,155   $—     $152,287,155 
ProShares Ultra Euro                              
Foreign currency forward contracts   2,136    0      2,136    164,822    0      164,822    17,639    —      17,639    350,034    —      350,034 
ProShares Ultra Gold                              
Swap agreements   0      0      0      7,406,864    0      7,406,864    —      —      —      6,451,858    —      6,451,858 
ProShares Ultra Silver                              
Swap agreements   0      0      0      92,760,569    0      92,760,569 
ProShares Ultra VIX Short-Term Futures ETF                  
Swap agreements   7,933,765    0      7,933,765    0      0      0      —      —      —      60,411,930    —      60,411,930 
ProShares Ultra Yen                              
Foreign currency forward contracts   757    0      757    60,023    0      60,023    2,012    —      2,012    79,162    —      79,162 
ProShares UltraShort Euro                              
Foreign currency forward contracts   2,284,006    0      2,284,006    157,203    0      157,203    3,382,293    —      3,382,293    187,210    —      187,210 
ProShares UltraShort Gold                              
Swap agreements   830,123    0      830,123    0      0      0      720,984    —      720,984    —      —      —   
ProShares UltraShort Silver                              
Swap agreements   4,090,510    0      4,090,510    0      0      0      1,873,038    —      1,873,038    —      —      —   
ProShares UltraShort Yen                              
Foreign currency forward contracts   549,354    0      549,354    47,780    0      47,780    1,127,711    —      1,127,711    156,206    —      156,206 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at SeptemberJune 30, 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”.
10
2

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 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.  $(21,668,621  $—     $21,668,621   $—   
Goldman Sachs International   (42,218,820   —      42,218,820    —   
Morgan Stanley & Co. International PLC   (37,530,948   —      37,530,948    —   
Societe Generale   (20,435,337   18,175,337    2,260,000    —   
UBS AG   (30,433,429   22,524,429    7,909,000    —   
ProShares Ultra Euro        
Goldman Sachs International   (123,538   123,538    —      —   
UBS AG   (208,857   208,857    —      —   
ProShares Ultra Gold        
Citibank, N.A.   (2,221,389   1,781,389    440,000    —   
Goldman Sachs International   (1,919,639   1,919,639    —      —   
UBS AG   (2,310,830   543,830    1,767,000    —   
ProShares Ultra Silver        
Citibank, N.A.   (14,941,465   —      14,941,465    —   
Goldman Sachs International   (18,119,916   18,119,916    —      —   
Morgan Stanley & Co. International PLC   (15,214,853   —      15,214,853    —   
UBS AG   (12,135,696   9,307,696    2,828,000    —   
ProShares Ultra Yen        
Goldman Sachs International   (34,398   34,398    —      —   
UBS AG   (42,752   42,752    —      —   
ProShares UltraShort Euro        
Goldman Sachs International   1,245,143    (1,245,143   —      —   
UBS AG   1,949,940    (1,892,423)   —     57,517 
ProShares UltraShort Gold        
Citibank, N.A.   295,777    —      —      295,777 
Goldman Sachs International   193,824    —      —      193,824 
UBS AG   231,383    —      —      231,383 
ProShares UltraShort Silver        
Citibank, N.A.   221,841    —      —      221,841 
Goldman Sachs International   808,139    (510,736   —      297,403 
Morgan Stanley & Co. International PLC   638,732    —      (381,000   257,732 
UBS AG   204,326    —      —      204,326 
ProShares UltraShort Yen        
Goldman Sachs International   162,849    —      —      162,849 
UBS AG   806,656    (806,656   —      —   
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:
10
3

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   $—     $63,928,293   $—     $—     $—   
ProShares Ultra Euro                              
Foreign currency forward contracts   84,150    —      84,150    1,498    —      1,498 
ProShares Ultra Gold                              
Swap agreements   8,639,188    —      8,639,188    —      —      —   
ProShares Ultra Silver                              
Swap agreements   40,591,699    —      40,591,699    —      —      —   
ProShares Ultra VIX Short-Term                              
Futures ETF                              
Swap agreements   —      —      —      477,437    —      477,437 
ProShares Ultra Yen                              
Foreign currency forward contracts   821    —      821    93,933    —      93,933 
ProShares UltraShort Euro                              
Foreign currency forward contracts   135,118    —      135,118    343,159    —      343,159 
ProShares UltraShort Gold                              
Swap agreements   —      —      —      993,117    —      993,117 
ProShares UltraShort Silver                              
Swap agreements   —      —      —      1,921,414    —      1,921,414 
ProShares UltraShort Yen                              
Foreign currency forward contracts   1,237,168    —��     1,237,168    367,588    —      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”.
 
10
114
4

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2021
 
Fund
  
Amounts of Recognized Assets /
(Liabilities) presented in the
Statements of Financial Condition
  
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
  
Cash Collateral
for the Benefit
of (the Funds) / the
Counterparties
  
Net
Amount
 
ProShares Ultra Bloomberg Crude Oil                 
Citibank, N.A.  $10,910,833  $0    $(10,820,000 $90,833 
Goldman Sachs International   15,436,191   (15,436,191  0     0   
Morgan Stanley & Co. International PLC   18,898,011   0     (18,898,011  0   
Societe Generale   10,305,144   (10,302,497  (2,648)  0   
UBS AG   15,335,583   0     (15,200,000  135,583 
ProShares Ultra Euro                 
Goldman Sachs International   (89,604  89,604   0     0   
UBS AG   (73,082  73,082   0     0   
ProShares Ultra Gold                 
Citibank, N.A.   (2,550,199  2,550,199   0     0   
Goldman Sachs International   (2,203,785  2,203,785   0     0   
UBS AG   (2,652,880  2,652,880   0     0   
ProShares Ultra Silver                 
Citibank, N.A.   (28,588,785  28,588,785   0     0   
Goldman Sachs International   (23,220,141  23,220,141   0     0   
Morgan Stanley & Co. International PLC   (21,635,372  21,635,372   0     0   
UBS AG   (19,316,271  19,316,271   0     0   
ProShares Ultra VIX Short-Term Futures ETF                 
Goldman Sachs & Co.   7,933,765   (7,933,765  0     0   
ProShares Ultra Yen                 
Goldman Sachs International   (34,487  34,487   0     0   
UBS AG   (24,779  24,779   0     0   
ProShares UltraShort Euro                 
Goldman Sachs International   1,000,511   (970,612  0     29,899 
UBS AG   1,126,292   0     (1,070,000  56,292 
ProShares UltraShort Gold                 
Citibank, N.A.   340,577   0     (340,577  0   
Goldman Sachs International   223,115   (223,115  0     0   
UBS AG   266,431   0     (266,431  0   
ProShares UltraShort Silver                 
Citibank, N.A.   782,817   0     (782,817  0   
Goldman Sachs International   1,036,372   (1,036,372  0     0   
Morgan Stanley & Co. International PLC   819,178   0     (819,178  0   
UBS AG   1,452,143   0     (1,452,143  0   
ProShares UltraShort Yen                 
Goldman Sachs International   138,399   0     0     138,399 
UBS AG   363,175   0     (363,175  0   
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, 2020:
Fair Values of Derivative Instruments as of December 31, 2020
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts

of Recognized

Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts
Offset in the
Statements of
Financial

Condition
   
Net Amounts of
Assets
presented

in the

Statements of
Financial

Condition
   
Gross Amounts

of Recognized
Liabilities

presented in
the Statements
of Financial

Condition
   
Gross Amounts
Offset in the
Statements of
Financial

Condition
   
Net Amounts of
Liabilities

presented in
the Statements
of Financial

Condition
 
ProShares Ultra Bloomberg Crude Oil Swap agreements  $18,242,195   $0     $18,242,195   $0     $0     $0   
ProShares Ultra Euro Foreign currency forward contracts   89,103    0      89,103    367    0      367 
ProShares Ultra Gold Swap agreements   5,140,980    0      5,140,980    0      0      0   
ProShares Ultra Silver Swap agreements   56,752,666    0      56,752,666    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF Swap agreements   0      0      0      24,807    0      24,807 
ProShares Ultra Yen Foreign currency forward contracts   67,235    0      67,235    148    0      148 
ProShares UltraShort Euro Foreign currency forward contracts   5,705    0      5,705    1,142,409    0      1,142,409 
ProShares UltraShort Gold Swap agreements   0      0      0      268,728    0      268,728 
ProShares UltraShort Silver Swap agreements   0      0      0      3,197,561    0      3,197,561 
ProShares UltraShort Yen Foreign currency forward contracts   7,008    0      7,008    571,974    0      571,974 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 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”.
116

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   $—     $(9,839,441  $—   
Goldman Sachs International  $1,377,243  $(1,281,309 $0    $95,934    13,920,431    (13,889,225   (31,206   —   
Morgan Stanley & Co. Internatio
n
al PLC
   10,959,227   0     (10,629,000  330,227 
Morgan Stanley & Co. International PLC   17,042,319    —      (17,042,319   —   
Societe Generale   1,679,334   (1,679,334  0     0      9,295,046    (9,292,398   (2,648   —   
UBS AG   4,226,391   (4,151,442  (6,270  68,679    13,831,056    —      (13,831,056)    —   
ProShares Ultra Euro                     
Goldman Sachs International   22,950   0     0     22,950    10,301    —      —      10,301 
UBS AG   65,786   0     0     65,786    72,351    —      —      72,351 
ProShares Ultra Gold                     
Citibank, N.A.   1,770,050   0     (1,670,000  100,050    2,974,490    —      (2,100,000   874,490 
Goldman Sachs International   1,529,612   (1,497,203  0     32,409    2,570,443    (1,877,749   (250   692,444 
UBS AG   1,841,318   0     0     1,841,318    3,094,255    —      (2,180,000   914,255 
ProShares Ultra Silver                     
Citibank, N.A.   18,010,776   0     (18,010,776  0      10,785,304    —      (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    —      (7,306,000   2,740,034 
UBS AG   13,457,610   (4,126,610  (9,331,000  0      8,978,464    —      (6,570,000   2,408,464 
ProShares Ultra VIX Short-Term Futures ETF                     
Goldman Sachs & Co.   (24,807  0     24,807   0      (477,437   —      —      (477,437
ProShares Ultra Yen                     
Goldman Sachs International   34,265   0     0     34,265    (54,919   —      54,919    —   
UBS AG   32,822   0     0     32,822    (38,193   —      —      (38,193
ProShares UltraShort Euro                     
Goldman Sachs International   (388,233  0     388,233   0      (83,325   83,325    —      —   
UBS AG   (748,471  748,471   0     0      (124,716   124,716    —      —   
ProShares UltraShort Gold                     
Citibank, N.A.   (80,068  0     80,068   0      (407,735   407,735    —      —   
Goldman Sachs International   (82,645  0     82,645   0      (266,413   266,413    —      —   
UBS AG   (106,015  0     106,015   0      (318,969   318,969    —      —   
ProShares UltraShort Silver                     
Citibank, N.A.   (1,208,988  0     1,208,988   0      (367,632   367,632    —      —   
Goldman Sachs International   (927,829  0     927,829   0      (486,710   368,710    118,000    —   
Morgan Stanley & Co. International PLC   (579,421  0     579,421   0      (385,104   —      385,104    —   
UBS AG   (481,323  0     481,323   0      (681,968   681,968    —      —   
ProShares UltraShort Yen                     
Goldman Sachs International   (207,021  0     207,021   0      312,169    (302,523   —      9,646 
UBS AG   (357,945  0     357,945   0      557,411    —      (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 Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.
The Sponsor stopped charging the Management Fee to the liquidated funds on May 2, 2022, the date it was determined that liquidation was imminent.
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.
 
10
1175

Non-Recurring
Fees and Expenses
Each Fund pays all its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
The Custodian
BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – OFFERING COSTS
Offering costs will be amortized by the Funds over a
twelve month
period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each
Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
10
6

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.
118

Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
Transaction fees for the three and ninesix months ended SeptemberJune 30, 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
September 30, 2021
   
Nine Months Ended
September 30, 2021
   
Three Months Ended
June 30, 2022
   
Six Months Ended
June 30, 2022
 
ProShares Short Euro  $0     $0   
ProShares Short VIX Short-Term Futures ETF   75,629    139,978   $58,615   $118,759 
ProShares Ultra Bloomberg Crude Oil   0      0      —      —   
ProShares Ultra Bloomberg Natural Gas   0      0      —      —   
ProShares Ultra Euro   0      0      —      —   
ProShares Ultra Gold   0      0      —      —   
ProShares Ultra Silver   0      0      —      —   
ProShares Ultra VIX Short-Term Futures ETF   908,895    2,277,545    956,110    2,182,872 
ProShares Ultra Yen   0      0      —      —   
ProShares UltraShort Australian Dollar   0      0   
ProShares UltraShort Bloomberg Crude Oil   0      0      —      —   
ProShares UltraShort Bloomberg Natural Gas   0      0      —      —   
ProShares UltraShort Euro   0      0      —      —   
ProShares UltraShort Gold   0      0      —      —   
ProShares UltraShort Silver   0      0      —      —   
ProShares UltraShort Yen   0      0      —      —   
ProShares VIX
Mid-Term
Futures ETF
   13,723    32,535    10,258    29,225 
ProShares VIX Short-Term Futures ETF   81,985    314,310    149,306    250,276 
                
Total Trust
  $1,080,232   $2,764,368 
Combined Trust:
  $1,174,289   $2,581,132 
 
10
1197

NOTE 76 – FINANCIAL HIGHLIGHTS
Selected data isData for a Share outstanding throughout the three months ended September 30, 2021
ForOutstanding Throughout the Three Months Ended SeptemberJune 30, 2021 (unaudited)2022
 
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at June 30, 2021  $43.18  $55.61  $78.24  $35.33  $14.67  $57.28 
Net investment income (loss)   (0.10  (0.19  (0.20  (0.14  (0.03  (0.14
Net realized and unrealized gain (loss)#   1.06   (0.96  6.43   48.28   (0.72  (1.50
Change in net asset value from operations   0.96   (1.15  6.23   48.14   (0.75  (1.64
Net asset value, at September 30, 2021  $44.14  $54.46  $84.47  $83.47  $13.92  $55.64 
Market value per share, at June 30, 2021
  $43.14  $55.55  $78.23  $37.17  $14.66  $57.22 
Market value per share, at September 30, 2021
  $44.16  $54.39  $84.22  $82.30  $13.92  $55.59 
Total Return, at net asset value^
   2.3  (2.1)%   8.0  136.3  (5.1)%   (2.9)% 
Total Return, at market value^
   2.4  (2.1)%   7.7  121.4  (5.1)%   (2.9)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.96  1.33  1.10  1.30  0.95  1.00
Net investment income gain (loss)   (0.92)%   (1.32)%   (1.07)%   (1.25)%   (0.91)%   (0.97)% 
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2021.
^^
The expense ratio would be
0.95
%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
120

For the Three Months Ended September 30, 2021 (unaudited)
For the Three Months Ended June 30, 2022 (unaudited)
For the Three Months Ended June 30, 2022 (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
   
Short VIX
Short-Term

Futures ETF
 
Ultra
Bloomberg
Crude Oil*
 
Ultra
Bloomberg
Natural Gas
 
Ultra Euro
 
Ultra Gold
 
              
Net asset value, at June 30, 2021  $45.97  $27.91  $51.24  $46.09  $18.11  $21.55 
Net asset value, at March 31, 2022  $54.55  $37.94  $56.06  $12.47  $66.99 
Net investment income (loss)   (0.10  (0.11  (0.12  (0.12  (0.05  (0.05   (0.13  (0.07  (0.21  (0.02  (0.09
Net realized and unrealized gain (loss)#   (14.16  (3.37  (0.29  3.17   (2.93  (14.48   (6.28  3.74   (16.32  (1.37  (10.44
Change in net asset value from operations   (14.26  (3.48  (0.41  3.05   (2.98  (14.53   (6.41  3.67   (16.53  (1.39  (10.53
Net asset value, at September 30, 2021  $31.71  $24.43  $50.83  $49.14  $15.13  $7.02 
Market value per share, at June 30, 2021
  $46.12  $27.98  $51.26  $45.96  $18.11  $20.44 
Market value per share, at September 30, 2021
  $31.99  $24.55  $50.82  $49.16  $15.18  $7.12 
Net asset value, at June 30, 2022  $48.14  $41.61  $39.53  $11.08  $56.46 
Market value per share, at March 31, 2022
  $54.56  $38.33  $56.31  $12.46  $66.14 
Market value per share, at June 30, 2022
  $48.21  $41.86  $42.10  $11.11  $56.50 
Total Return, at net asset value^
   (31.0)%   (12.5)%   (0.8)%   6.6  (16.5)%   (67.4)%    (11.8)%   9 .7  (29.5)%   (11.1)%   (15.7)% 
Total Return, at market value^
   (30.6)%   (12.3)%   (0.9)%   7.0  (16.2)%   (65.2)%    (11.6)%   9 .2  (25.2)%   (10.8)%   (14.6)% 
Ratios to Average Net Assets**
                
Expense ratio^^   1.00  1.71  0.95  1.05  1.17  1.35   1.21  1.01  1 .26  0.95  0 .98
Net investment income gain (loss)   (0.97)%   (1.71)%   (0.91)%   (1.01)%   (1.14)%   (1.32)%    (1.00)%   (0.64)%   (1.01)%   (0.54)%   (0.56)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended SeptemberJune 30, 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.
121
108

For the Three Months Ended September 30, 2021 (unaudited)
For the Three Months Ended June 30, 2022 (unaudited)
For the Three Months Ended June 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
   
Ultra Silver
 
Ultra VIX
Short-Term

Futures ETF
 
Ultra Yen
 
UltraShort
Bloomberg
Crude Oil*
 
UltraShort
Bloomberg
Natural Gas*
 
              
Net asset value, at June 30, 2021  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Net asset value, at March 31, 2022  $39.06  $13.50  $42.02  $29.17  $64.71 
Net investment income (loss)   (0.06  (0.08  (0.07  (0.17  (0.08  (0.07   (0.05  (0.05  (0.05  (0.05  (0.08
Net realized and unrealized gain (loss)#   1.19   0.21   7.97   0.16   1.79   (1.34   (14.23  1.06   (8.46  (6.08  (21.98
Change in net asset value from operations   1.13   0.13   7.90   (0.01  1.71   (1.41   (14.28  1.01   (8.51  (6.13  (22.06
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at June 30, 2021
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Market value per share, at September 30, 2021
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Net asset value, at June 30, 2022  $24.78  $14.51  $33.51  $23.04  $42.65 
Market value per share, at March 31, 2022
  $38.53  $13.46  $42.09  $28.95  $64.56 
Market value per share, at June 30, 2022
  $24.47  $14.53  $33.49  $22.93  $40.02 
Total Return, at net asset value^
   4.8  0.4  33.8  (0.0)%
@
 
  5.6  (5.8)%    (36.6)%   7 .5  (20.3)%   (21.0)%   (34.1)% 
Total Return, at market value^
   4.7  0.4  33.0  (0.0)%
@
 
  5.8  (5.3)%    (36.5)%   8 .0  (20.4)%   (20.8)%   (38.0)% 
Ratios to Average Net Assets**
                
Expense ratio^^   0.95  1.02  1.10  0.95  1.04  1.17   0.98  1.53  0.95  1.14  1.36
Net investment income gain (loss)   (0.91)%   (0.98)%   (1.07)%   (0.91)%   (1.01)%   (1.16)%    (0.61)%   (1.36)%   (0.59)%   (0.85)%   (1.14)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended SeptemberJune 30, 2021.2022.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
@Amount represents greater than (0.05)%.
122
109

Selected data for a Share outstanding throughout the three months ended September 30, 2020
For the Three Months Ended September 30, 2020 (unaudited)
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at June 30, 2020  $45.73  $31.40  $28.59  $28.31  $13.56  $64.98 
Net investment income (loss)   (0.11  (0.11  (0.10  (0.14  (0.03  (0.17
Net realized and unrealized gain (loss)#   (1.85  4.08   0.25   6.19   1.13   4.05 
Change in net asset value from operations   (1.96  3.97   0.15   6.05   1.10   3.88 
Net asset value, at September 30, 2020  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at June 30, 2020
  $44.83  $31.50  $28.68  $28.36  $13.57  $64.83 
Market value per share, at September 30, 2020
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   (4.3)%   12.6  0.5  21.4  8.1  6.0
Total Return, at market value^
   (3.5)%   12.7  (0.8)%   22.1  7.9  5.8
Ratios to Average Net Assets**
                         
Expense ratio^^   0.98  1.36  1.32  1.61  0.96  1.00
Net investment income gain (loss)   (0.95)%   (1.31)%   (1.31)%   (1.54)%   (0.93)%   (0.92)% 
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2020.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
123

For the Three Months Ended September 30, 2020 (unaudited)
For the Three Months Ended June 30, 2022 (unaudited)
For the Three Months Ended June 30, 2022 (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
   
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
 
UltraShort
Yen*
 
VIX Mid-
Term Futures
ETF
 
VIX Short-
Term Futures
ETF
 
              
Net asset value, at June 30, 2020  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Net asset value, at March 31, 2022  $27.30  $27.23  $21.45  $46.32  $31.45  $16.61 
Net investment income (loss)   (0.12  (0.97  (0.13  (0.13  (0.22  (0.16   (0.05  (0.05  (0.05  (0.09  (0.06  (0.04
Net realized and unrealized gain (loss)#   12.81   (126.77  2.50   (4.27  (6.50  (28.73   3.13   4.37   10.34   10.83   3.90   1.65 
Change in net asset value from operations   12.69   (127.74  2.37   (4.40  (6.72  (28.89   3.08   4.32   10.29   10.74   3.84   1.61 
Net asset value, at September 30, 2020  $42.25  $201.54  $57.69  $51.74  $66.46  $38.32 
Market value per share, at June 30, 2020
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Market value per share, at September 30, 2020
  $41.77  $199.20  $57.69  $51.67  $67.08  $38.01 
Net asset value, at June 30, 2022  $30.38  $31.55  $31.74  $57.06  $35.29  $18.22 
Market value per share, at March 31, 2022
  $27.31  $27.61  $21.78  $46.37  $31.50  $16.57 
Market value per share, at June 30, 2022
  $30.41  $31.59  $32.19  $57.13  $35.38  $18.25 
Total Return, at net asset value^
   42.9  (38.8)%   4.3  (7.8)%   (9.2)%   (43.0)%    11.3  15.9  48.0  23.2  12.2  9 .6
Total Return, at market value^
   42.4  (39.2)%   4.3  (7.8)%   (8.1)%   (43.5)%    11.4  14.4  47.8  23.2  12.3  10.1
Ratios to Average Net Assets**
                
Expense ratio^^   1.04  1.67  0.96  1.03  1.39  1.77   0.95  0.99  1.06  0.95  0.96  1.16
Net investment income gain (loss)   (0.97)%   (1.64)%   (0.94)%   (1.01)%   (1.37)%   (1.71)%    (0.70)%   (0.74)%   (0.78)%   (0.68)%   (0.74)%   (0.94)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended SeptemberJune 30, 2020.2022.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%0.85% and 0.95%0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
 
1
12410

ForSelected data for a Share outstanding throughout the Three Months Ended Septemberthree months ended June 30, 2020 (unaudited)
2021
 
For the Three Months Ended June 30, 2021 (unaudited)
For the Three Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
   
Short VIX
Short-Term

Futures ETF
 
Ultra
Bloomberg
Crude Oil*
 
Ultra
Bloomberg
Natural Gas
 
Ultra Euro
 
Ultra Gold
 
              
Net asset value, at June 30, 2020  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Net asset value, at March 31, 2021  $47.13  $13.14  $21.31  $14.45  $54.32 
Net investment income (loss)   (0.05  (0.08  (0.09  (0.16  (0.10  (0.26   (0.17  (0.04  (0.08  (0.03  (0.14
Net realized and unrealized gain (loss)#   (2.19  (3.34  (39.64  (3.49  0.69 �� (29.31   8.65   6.46   14.10   0.25   3.10 
Change in net asset value from operations   (2.24  (3.42  (39.73  (3.65  0.59   (29.57   8.48   6.42   14.02   0.22   2.96 
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at June 30, 2020
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Market value per share, at September 30, 2020
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Net asset value, at June 30, 2021  $55.61  $19.56  $35.33  $14.67  $57.28 
Market value per share, at March 31, 2021
  $47.10  $13.21  $21.20  $14.47  $53.91 
Market value per share, at June 30, 2021
  $55.55  $19.56  $37.17  $14.66  $57.22 
Total Return, at net asset value^
   (8.4)%   (9.7)%   (50.6)%   (4.9)%   1.5  (26.5)%    18.0  48.9  65.8  1.6  5.5
Total Return, at market value^
   (8.4)%   (9.5)%   (50.4)%   (4.9)%   1.1  (26.5)%    17.9  48.0  75.3  1.3  6.1
Ratios to Average Net Assets**
                   
Expense ratio^^   0.97  1.03  1.11  0.96  1.07  1.20   1.37  1.13  1.42  0.95  0.99
Net investment income gain (loss)   (0.85)%   (0.99)%   (1.07)%   (0.88)%   (1.01)%   (1.15)%    (1.35)%   (1.09)%   (1.35)%   (0.91)%   (0.95)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2020.
^^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.
125

Selected data for a Share outstanding throughout the nine months ended September 30, 2021
For the Nine Months Ended September 30, 2021 (unaudited)
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at December 31, 2020  $41.92  $41.42  $36.38  $21.00  $15.79  $67.57 
Net investment income (loss)   (0.29  (0.49  (0.49  (0.29  (0.10  (0.43
Net realized and unrealized gain (loss)#   2.51   13.53   48.58   62.76   (1.77  (11.50
Change in net asset value from operations   2.22   13.04   48.09   62.47   (1.87  (11.93
Net asset value, at September 30, 2021  $44.14  $54.46  $84.47  $83.47  $13.92  $55.64 
Market value per share, at December 31, 2020
  $41.35  $41.44  $36.27  $21.07  $15.81  $68.20 
Market value per share, at September 30, 2021
  $44.16  $54.39  $84.22  $82.30  $13.92  $55.59 
Total Return, at net asset value^
   5.2  31.5  132.2  297.6  (11.9)%   (17.7)% 
Total Return, at market value^
   6.8  31.3  132.2  290.7  (11.9)%   (18.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97  1.35  1.11  1.47  0.95  1.00
Net investment income gain (loss)   (0.91)%   (1.33)%   (1.07)%   (1.41)%   (0.90)%   (0.97)% 
**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 SeptemberJune 30, 2021.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
126
11

For the Nine Months Ended September 30, 2021 (unaudited)
For the Three Months Ended June 30, 2021 (unaudited)
For the Three Months Ended June 30, 2021 (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
   
Ultra Silver
 
Ultra VIX
Short-Term

Futures ETF
*
 
Ultra Yen
 
UltraShort
Bloomberg
Crude Oil
*
 
UltraShort
Bloomberg
Natural Gas*
 
              
Net asset value, at December 31, 2020  $50.71  $106.68  $59.83  $44.45  $46.45  $47.59 
Net asset value, at March 31, 2021  $41.35  $56.32  $51.78  $143.99  $782.71 
Net investment income (loss)   (0.33  (0.59  (0.36  (0.34  (0.21  (0.23   (0.12  (0.17  (0.12  (0.31  (2.47
Net realized and unrealized gain (loss)#   (18.67  (81.66  (8.64  5.03   (31.11  (40.34   4.74   (28.24  (0.42  (53.12  (349.17
Change in net asset value from operations   (19.00  (82.25  (9.00  4.69   (31.32  (40.57   4.62   (28.41  (0.54  (53.43  (351.64
Net asset value, at September 30, 2021  $31.71  $24.43  $50.83  $49.14  $15.13  $7.02 
Market value per share, at December 31, 2020
  $51.28  $106.50  $59.82  $43.89  $46.56  $47.38 
Market value per share, at September 30, 2021
  $31.99  $24.55  $50.82  $49.16  $15.18  $7.12 
Net asset value, at June 30, 2021  $45.97  $27.91  $51.24  $90.56  $431.07 
Market value per share, at March 31, 2021
  $41.10  $56.50  $51.78  $143.00  $786.40 
Market value per share, at June 30, 2021
  $46.12  $27.98  $51.26  $90.55  $408.80 
Total Return, at net asset value^
   (37.5)%   (77.1)%   (15.0)%   10.6  (67.4)%   (85.3)%    11.2  (50.5)%   (1.1)%   (37.1)%   (44.9)% 
Total Return, at market value^
   (37.6)%   (77.0)%   (15.1)%   12.0  (67.4)%   (85.0)%    12.2  (50.5)%   (1.0)%   (36.7)%   (48.0)% 
Ratios to Average Net Assets**
                   
Expense ratio^^   1.03  1.75  0.95  1.04  1.24  1.49   1.00  1.73  0.95  1.19  1.60
Net investment income gain (loss)   (0.98)%   (1.71)%   (0.90)%   (0.99)%   (1.18)%   (1.45)%    (0.96)%   (1.65)%   (0.90)%   (1.10)%   (1.56)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended SeptemberJune 30, 2021.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
1272

For the Nine Months Ended September 30, 2021 (unaudited)
For the Three Months Ended June 30, 2021 (unaudited)
For the Three Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
   
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 asset value, at March 31, 2021  $24.41  $37.60  $27.92  $38.86  $34.74  $37.29 
Net investment income (loss)   (0.16  (0.25  (0.20  (0.50  (0.25  (0.28   (0.05  (0.08  (0.06  (0.09  (0.08  (0.09
Net realized and unrealized gain (loss)#   2.57   3.62   3.74   10.62   (4.26  (32.07   (0.55  (2.85  (4.49  0.21   (4.15  (13.11
Change in net asset value from operations   2.41   3.37   3.54   10.12   (4.51  (32.35   (0.60  (2.93  (4.55  0.12   (4.23  (13.20
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at December 31, 2020
  $22.52  $31.14  $27.40  $67.81  $36.70  $54.96 
Market value per share, at September 30, 2021
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Net asset value, at June 30, 2021  $23.81  $34.67  $23.37  $38.98  $30.51  $24.09 
Market value per share, at March 31, 2021
  $24.42  $37.89  $28.04  $38.88  $35.06  $37.40 
Market value per share, at June 30, 2021
  $23.82  $34.69  $23.28  $38.99  $30.54  $24.08 
Total Return, at net asset value^
   10.7  10.7  12.8  14.9  (12.3)%   (58.8)%    (2.5)%   (7.8)%   (16.3)%   0.3  (12.2)%   (35.6)% 
Total Return, at market value^
   10.7  11.8  13.0  15.0  (12.0)%   (58.5)%    (2.5)%   (8.4)%   (17.0)%   0.3  (12.9)%   (35.4)% 
Ratios to Average Net Assets**
                    
Expense ratio^^   0.95  1.03  1.10  0.95  1.05  1.23   0.95  1.01  1.05  0.95  1.07  1.19
Net investment income gain (loss)   (0.90)%   (0.99)%   (1.07)%   (0.90)%   (1.01)%   (1.19)%    (0.90)%   (0.96)%   (1.02)%   (0.90)%   (1.03)%   (1.14)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended SeptemberJune 30, 2021.
^^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.
 
11
1283

Selected dataData for a Share outstanding throughoutOutstanding Throughout the nine months ended September 30, 2020
For the Ninesix Months Ended SeptemberJune 30, 2020 (unaudited)
2022
 
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at December 31, 2019  $45.64  $65.62  $509.23  $83.97  $13.79  $49.21 
Net investment income (loss)   (0.18  (0.28  (0.25  (0.35  (0.05  (0.28
Net realized and unrealized gain (loss)#   (1.69  (29.97  (480.24  (49.26  0.92   19.93 
Change in net asset value from operations   (1.87  (30.25  (480.49  (49.61  0.87   19.65 
Net asset value, at September 30, 2020  $43.77  $35.37  $28.74  $34.36  $14.66  $68.86 
Market value per share, at December 31, 2019
  $45.69  $65.23  $511.50  $83.40  $13.77  $49.05 
Market value per share, at September 30, 2020
  $43.28  $35.50  $28.45  $34.63  $14.64  $68.58 
Total Return, at net asset value^
   (4.1)%   (46.1)%   (94.4)%   (59.1)%   6.3  39.9
Total Return, at market value^
   (5.3)%   (45.6)%   (94.4)%   (58.5)%   6.3  39.8
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97  1.31  1.35  1.60  0.95  1.00
Net investment income gain (loss)   (0.52)%   (1.07)%   (1.10)%   (1.12)%   (0.49)%   (0.59)% 
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2020.
^^The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
129

For the Nine Months Ended September 30, 2020 (unaudited)
For the Six Months Ended June 30, 2022 (unaudited)
For the Six Months Ended June 30, 2022 (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
   
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  $31.70  $126.74  $55.83  $56.09  $48.77  $38.53 
Net asset value, at December 31, 2021  $61.56  $21.54  $25.55  $13.32  $59.69 
Net investment income (loss)   (0.17  (2.43  (0.22  (0.26  (0.86  (0.52   (0.29  (0.15  (0.29  (0.04  (0.22
Net realized and unrealized gain (loss)#   10.72   77.23   2.08   (4.09  18.55   0.31    (13.13  20.22   14.27   (2.20  (3.01
Change in net asset value from operations   10.55   74.80   1.86   (4.35  17.69   (0.21   (13.42  20.07   13.98   (2.24  (3.23
Net asset value, at September 30, 2020  $42.25  $201.54  $57.69  $51.74  $66.46  $38.32 
Market value per share, at December 31, 2019
  $31.65  $128.90  $55.83  $55.88  $48.60  $38.82 
Market value per share, at September 30, 2020
  $41.77  $199.20  $57.69  $51.67  $67.08  $38.01 
Net asset value, at June 30, 2022  $48.14  $41.61  $39.53  $11.08  $56.46 
Market value per share, at December 31, 2021
  $61.55  $21.70  $26.09  $13.33  $59.81 
Market value per share, at June 30, 2022
  $48.21  $41.86  $42.10  $11.11  $56.50 
Total Return, at net asset value^
   33.3  59.0  3.3  (7.8)%   36.3  (0.5)%    (21.8)%   93.2  54.7  (16.8)%   (5.4)% 
Total Return, at market value^
   32.0  54.5  3.3  (7.5)%   38.0  (2.1)%    (21.7)%   92.9  61.4  (16.7)%   (5.5)% 
Ratios to Average Net Assets**
                   
Expense ratio^^   1.03  1.61  0.95  1.04  1.70  1.88   1.28  1.05  1.29  0.95  0.99
Net investment income gain (loss)   (0.62)%   (1.34)%   (0.54)%   (0.58)%   (1.39)%   (1.64)%    (1.12)%   (0.82)%   (1.10)%   (0.65)%   (0.71)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended SeptemberJune 30, 2020.2022.
^^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.
 
11
130
4

For the Nine Months Ended September 30, 2020 (unaudited)
For the Six Months Ended June 30, 2022 (unaudited)
For the Six Months Ended June 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
   
Ultra Silver
 
Ultra VIX
Short-Term

Futures ETF
*
 
Ultra Yen
 
UltraShort
Bloomberg
Crude Oil
*
 
UltraShort
Bloomberg
Natural Gas
*
 
              
Net asset value, at December 31, 2019  $26.80  $53.02  $107.04  $76.37  $21.27  $49.19 
Net asset value, at December 31, 2021  $34.84  $12.41  $47.29  $64.26  $247.40 
Net investment income (loss)   (0.05  (0.15  (0.29  (0.19  (0.16  (0.34   (0.13  (0.11  (0.13  (0.12  (0.31
Net realized and unrealized gain (loss)#   (2.26  (20.83  (67.98  (5.23  19.88   33.28    (9.93  2.21   (13.65  (41.10  (204.44
Change in net asset value from operations   (2.31  (20.98  (68.27  (5.42  19.72   32.94    (10.06  2.10   (13.78  (41.22  (204.75
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at December 31, 2019
  $26.80  $53.21  $107.20  $76.35  $21.29  $49.72 
Market value per share, at September 30, 2020
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Net asset value, at June 30, 2022  $24.78  $14.51  $33.51  $23.04  $42.65 
Market value per share, at December 31, 2021
  $34.74  $12.43  $47.29  $63.75  $242.20 
Market value per share, at June 30, 2022
  $24.47  $14.53  $33.49  $22.93  $40.02 
Total Return, at net asset value^
   (8.6)%   (39.6)%   (63.8)%   (7.1)%   92.8  67.0   (28.9)%   17.0  (29.2)%   (64.2)%   (82.8)% 
Total Return, at market value^
   (8.6)%   (39.5)%   (63.4)%   (7.1)%   91.1  64.2   (29.6)%   16.9  (29.2)%   (64.0)%   (83.5)% 
Ratios to Average Net Assets**
                   
Expense ratio^^   0.95  1.02  1.10  0.95  1.06  1.17   0.98  1.65  0.95  1.18  1.47
Net investment income gain (loss)   (0.23)%   (0.54)%   (0.79)%   (0.33)%   (0.63)%   (0.57)%    (0.75)%   (1.53)%   (0.67)%   (0.95)%   (1.30)% 
 
*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 SeptemberJune 30, 2020.2022.
^^The expense ratio would be 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.
11
5

For the Six Months Ended June 30, 2022 (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  $41.50  $30.61  $15.12 
Net investment income (loss)   (0.11  (0.12  (0.11  (0.17  (0.14  (0.09
Net realized and unrealized gain (loss)#   4.65   (0.04  5.08   15.73   4.82   3.19 
Change in net asset value from operations   4.54   (0.16  4.97   15.56   4.68   3.10 
Net asset value, at June 30, 2022  $30.38  $31.55  $31.74  $57.06  $35.29  $18.22 
Market value per share, at December 31, 2021
  $25.86  $31.66  $26.84  $41.50  $30.57  $15.17 
Market value per share, at June 30, 2022
  $30.41  $31.59  $32.19  $57.13  $35.38  $18.25 
Total Return, at net asset value^
   17.5  (0.5)%   18.6  37.5  15.3  20.4
Total Return, at market value^
   17.6  (0.2)%   19.9  37.7  15.7  20.3
Ratios to Average Net Assets**
       
Expense ratio^^   0.95  1.00  1.07  0.95  1.02  1.20
Net investment income gain (loss)   (0.75)%   (0.81)%   (0.86)%   (0.72)%   (0.87)%   (1.04)% 
*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 June 30, 2022.
^^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.
 
11
1316

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2021
For the Six Months Ended June 30, 2021 (unaudited)
Per Share Operating
Performance
  
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  $41.42  $9.10  $21.00  $15.79  $67.57 
Net investment income (loss)   (0.31  (0.07  (0.17  (0.07  (0.29
Net realized and unrealized gain (loss)#   14.50   10.53   14.50   (1.05  (10.00
Change in net asset value from operations   14.19   10.46   14.33   (1.12  (10.29
Net asset value, at June 30, 2021  $55.61  $19.56  $35.33  $14.67  $57.28 
Market value per share, at December 31, 2020
  $41.44  $9.07  $21.07  $15.81  $68.20 
Market value per share, at June 30, 2021
  $55.55  $19.56  $37.17  $14.66  $57.22 
Total Return, at net asset value^
   34.3  115.0  68.3  (7.1)%   (15.2)% 
Total Return, at market value^
   34.1  115.7  76.4  (7.3)%   (16.1)% 
Ratios to Average Net Assets**
      
Expense ratio^^   1.36  1.11  1.53  0.95  1.01
Net investment income gain (loss)   (1.33)%   (1.06)%   (1.47)%   (0.90)%   (0.96)% 
*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 June 30, 2021.
^^The expense ratio would be 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.
11
7

For the Six Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
*
 
Net asset value, at December 31, 2020  $50.71  $106.68  $59.83  $232.23  $951.82 
Net investment income (loss)   (0.24  (0.55  (0.25  (0.81  (5.26
Net realized and unrealized gain (loss)#   (4.50  (78.22  (8.34  (140.86  (515.49
Change in net asset value from operations   (4.74  (78.77  (8.59  (141.67  (520.75
Net asset value, at June 30, 2021  $45.97  $27.91  $51.24  $90.56  $431.07 
Market value per share, at December 31, 2020
  $51.28  $106.50  $59.82  $232.80  $947.60 
Market value per share, at June 30, 2021
  $46.12  $27.98  $51.26  $90.55  $408.80 
Total Return, at net asset value^
   (9.4)%   (73.8)%   (14.4)%   (61.0)%   (54.7)% 
Total Return, at market value^
   (10.1)%   (73.7)%   (14.3)%   (61.1)%   (56.9)% 
Ratios to Average Net Assets**
      
Expense ratio^^   1.04  1.76  0.95  1.27  1.60
Net investment income gain (loss)   (0.99)%   (1.71)%   (0.90)%   (1.20)%   (1.56)% 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the 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 June 30, 2021.
^^The expense ratio would be 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.
11
8

For the Six Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen*
  
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2020  $22.53  $31.43  $27.73  $33.91  $36.73  $55.03 
Net investment income (loss)   (0.10  (0.17  (0.13  (0.16  (0.18  (0.23
Net realized and unrealized gain (loss)#   1.38   3.41   (4.23  5.22   (6.04  (30.71
Change in net asset value from operations   1.28   3.24   (4.36  5.06   (6.22  (30.94
Net asset value, at June 30, 2021  $23.81  $34.67  $23.37  $38.98  $30.51  $24.09 
Market value per share, at December 31, 2020
  $22.52  $31.14  $27.40  $33.91  $36.70  $54.96 
Market value per share, at June 30, 2021
  $23.82  $34.69  $23.28  $38.99  $30.54  $24.08 
Total Return, at net asset value^
   5.7  10.3  (15.7)%   15.0  (16.9)%   (56.2)% 
Total Return, at market value^
   5.8  11.4  (15.0)%   14.9  (16.8)%   (56.2)% 
Ratios to Average Net Assets**
       
Expense ratio^^   0.95  1.04  1.10  0.95  1.05  1.25
Net investment income gain (loss)   (0.90)%   (0.99)%   (1.07)%   (0.90)%   (1.00)%   (1.21)% 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#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 June 30, 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.
11
9

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.
 
1
13220

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 the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.
Counterparty Credit Risk
The Funds will be subject to the credit risk 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
133

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.
1
21

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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2

“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 20192021 may specify a January 20202022 expiration. As that contract nears expiration, it may be replaced by selling the January 20202022 contract and purchasing the contract expiring in March 2020.2022. 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.
InThere 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.12
3
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
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Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse
(-2x),
as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to 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) 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
136

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 20210, 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 hereofCOVID-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 losses.
Change to the VIX Funds Benchmark Indices
Change to VIX Futures Contracts Settlement Time \ Index Methodology.
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX
Mid-Term
Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, and the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information
about the calculation of NAV is included in each Fund’s Prospectus.
Change to the VIX Funds Exchange Listing.
On December 16, 2020, each of the Matching VIX Funds and Geared VIX Funds transferred its listing from the NYSE Arca to the Cboe BZX Exchange.unexpected losses.
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.
 
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4

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form
10-Q.
The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
Introduction
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of SeptemberJune 30, 2021,2022, the following eighteensixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares 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, the Trust announced a
1-for-25
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a
1-for-10
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulting in a proportionate increase in the price per share and per share information of these funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On May 11, 2021, the Trust announced a
1-for-10
reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a
1-for-4
reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a
1-for-4
reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a
1-for-4
reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
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.
On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.
 
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On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment.
Forward Split
ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding.
Reverse Split
ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
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.
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.
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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
“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 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 and ninesix months ended SeptemberJune 30, 20212022 and 2020,2021, each of the Funds earned interest income as follows:
 
Fund
  
Interest Income

Three Months

Ended

September 30, 2021
   
Interest Income

Three Months

Ended

September 30, 2020
   
Interest Income

Nine Months

Ended

September 30, 2021
   
Interest Income

Nine Months

Ended

September 30, 2020
 
                 
ProShares Short Euro
  $269   $127   $1,175   $7,776 
ProShares Short VIX Short-Term Futures ETF
   8,152    53,301    75,729    909,185 
ProShares Ultra Bloomberg Crude Oil
   86,370    50,356    365,778    1,817,563 
ProShares Ultra Bloomberg Natural Gas
   7,355    15,347    32,714    191,160 
ProShares Ultra Euro
   393    357    1,415    16,350 
ProShares Ultra Gold
   14,338    59,354    70,259    543,895 
ProShares Ultra Silver
   44,511    103,976    208,169    1,018,578 
ProShares Ultra VIX Short-Term Futures ETF
   11,979    88,621    328,504    1,601,884 
ProShares Ultra Yen
   260    171    923    9,100 
ProShares UltraPro 3x Crude Oil ETF*
   —      —      —      346,326 
ProShares UltraPro 3x Short Crude Oil ETF*
   —      —      —      166,789 
ProShares UltraShort Australian Dollar
   443    289    961    20,385 
ProShares UltraShort Bloomberg Crude Oil
   6,891    4,832    36,069    259,750 
ProShares UltraShort Bloomberg Natural Gas
   9,879    8,136    25,512    51,939 
ProShares UltraShort Euro
   5,008    18,939    17,814    486,623 
ProShares UltraShort Gold
   3,075    1,831    9,213    65,111 
ProShares UltraShort Silver
   3,100    3,192    8,895    48,379 
ProShares UltraShort Yen
   2,392    5,085    9,558    136,411 
ProShares VIX
Mid-Term
Futures ETF
   8,914    13,590    27,487    199,491 
ProShares VIX Short-Term Futures ETF
   11,739    34,770    91,187    1,117,617 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
Fund
  
Interest Income

Three Months

Ended

June 30, 2022
   
Interest Income

Three Months

Ended

June 30, 2021
   
Interest Income

Six Months

Ended

June 30, 2022
   
Interest Income

Six Months

Ended

June 30, 2021
 
ProShares Short VIX Short-Term Futures ETF
   225,134    33,687    319,477    67,577 
ProShares Ultra Bloomberg Crude Oil
   1,264,011    111,333    1,572,891    279,408 
ProShares Ultra Bloomberg Natural Gas
   146,470    11,544    186,051    25,359 
ProShares Ultra Euro
   6,522    438    11,109    1,022 
ProShares Ultra Gold
   319,154    20,094    414,267    55,921 
ProShares Ultra Silver
   421,514    65,529    561,963    163,658 
ProShares Ultra VIX Short-Term Futures ETF
   430,670    202,556    525,931    316,525 
ProShares Ultra Yen
   3,064    307    3,937    663 
 
140127

ProShares UltraShort Bloomberg Crude Oil
   289,299    18,343    343,206    29,178 
ProShares UltraShort Bloomberg Natural Gas
   122,188    7,750    178,013    15,633 
ProShares UltraShort Euro
   39,011    5,640    54,416    12,806 
ProShares UltraShort Gold
   19,975    3,176    29,660    6,138 
ProShares UltraShort Silver
   18,743    2,678    27,663    5,795 
ProShares UltraShort Yen
   26,913    3,570    36,312    7,166 
ProShares VIX Mid-Term Futures ETF
   52,826    8,349    76,749    18,573 
ProShares VIX Short-Term Futures ETF
   207,903    40,988    278,612    79,448 
Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed
“off-exchange”
“off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying 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.
128

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.
141

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
 
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
 
limiting the outstanding amounts due from counterparties to the Funds;
 
not posting margin directly with a counterparty;
 
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
 
limiting the amount of margin or premium posted at a FCM; and
 
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance
Sheet Arrangements and Contractual Obligations
As of November 5, 2021,August 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 SeptemberJune 30, 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.
129

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
142

determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.
Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures 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.
 
143130

Results of Operations for the Three Months Ended SeptemberJune 30, 20212022 Compared to the Three Months Ended SeptemberJune 30, 20202021
ProShares Short EuroVIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $2,159,102  $2,286,467   $495,588,849  $527,130,851 
NAV end of period
  $2,206,818  $2,188,644   $403,644,956  $588,615,946 
Percentage change in NAV
   2.2  (4.3)%    (18.6)%   11.7
Shares outstanding beginning of period
   50,000   50,000    9,084,307   11,184,307 
Shares outstanding end of period
   50,000   50,000    8,384,307   10,584,307 
Percentage change in shares outstanding
   —    —     (7.7)%   (5.4)% 
Shares created
   —     —      1,600,000   450,000 
Shares redeemed
   —     —      2,300,000   1,050,000 
Per share NAV beginning of period
  $43.18  $45.73   $54.55  $47.13 
Per share NAV end of period
  $44.14  $43.77   $48.14  $55.61 
Percentage change in per share NAV
   2.3  (4.3)%    (11.8)%   18.0
Percentage change in benchmark
   (2.3)%   4.4   10.3  (35.2)% 
Benchmark annualized volatility
   4.5  6.3   90.4  70.4
During the three months ended SeptemberJune 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse
(-1x)
(-0.5x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the decreaseS&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV resulted primarilywas offset by a decrease 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’s11,184,307 outstanding Shares fromat March 31, 2021 to 10,584,307 outstanding Shares at June 30, 2020 to September 30, 2020.2021.
For the three months ended SeptemberJune 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 ofto one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increasedecrease of 2.3%11.8% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decreaseincrease of 4.3%18.0% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to appreciationdepreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
The benchmark’s declinerise of 2.3%10.3% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 4.4%35.2% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to a decreasean increase in the value of near-term futures contracts on the euro versus the U.S. dollarVIX futures curve during the period ended SeptemberJune 30, 2021.2022.
 
144131

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(5,003  $(5,267  $(1,094,000  $(1,865,757
Management fee
   5,193    5,247    1,034,361    1,317,153 
Brokerage commission
   79    82    177,552    253,949 
Non-recurring
fees and expenses
   —      65 
Futures account fees
   107,221    328,342 
Net realized gain (loss)
   57,489    (77,567   (13,105,212   109,337,017 
Change in net unrealized appreciation (depreciation)
   (4,770   (14,989   (34,507,780   (13,308,130
Net Income (loss)
  $47,716   $(97,823  $(48,706,992  $94,163,130 
The Fund’s net income increaseddecreased for the three months ended SeptemberJune 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a decreasean increase in the value of the euro versus the U.S. dollarfutures prices during the three months ended SeptemberJune 30, 2021.2022.
ProShares Short VIX Short-Term Futures ETFUltra Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $588,615,946  $509,811,853   $1,336,980,685  $1,088,579,093 
NAV end of period
  $388,523,845  $335,465,066   $1,060,867,238  $1,303,530,902 
Percentage change in NAV
   (34.0)%   (34.2)%    (20.7)%   19.7
Shares outstanding beginning of period
   10,584,307   16,234,307    35,243,096   82,843,096 
Shares outstanding end of period
   7,134,307   9,484,307    25,493,096   66,643,096 
Percentage change in shares outstanding
   (32.6)%   (41.6)%    (27.7)%   (19.6)% 
Shares created
   550,000   —      1,700,000   4,200,000 
Shares redeemed
   4,000,000   6,750,000    11,450,000   20,400,000 
Per share NAV beginning of period
  $55.61  $31.40   $37.94  $13.14 
Per share NAV end of period
  $54.46  $35.37   $41.61  $19.56 
Percentage change in per share NAV
   (2.1)%   12.6   9.7  48.9
Percentage change in benchmark
   (5,6)%   (26.3)%    6.8  23.1
Benchmark annualized volatility
   69.6  56.2   37.5  23.9
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
 
145132

During the three months ended SeptemberJune 30, 2021,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021due to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of two times (2x) the daily performance of the S&P 500 VIX Short-Term Futures Index. Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV offset by an increase from 8,810,774 outstanding Shares at March 31, 2022 to 25,493,096 outstanding Shares at June 30, 2022.
By comparison, during the three months ended SeptemberJune 30, 2020,2021, the decreaseincrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 16,234,30782,843,096 outstanding Shares at March 31, 2021 to 66,643,096 outstanding Shares at June 30, 20202021.
For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 9,484,3072x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.7% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 48.9% for the three months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 6.8% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 23.1% for the three months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(2,084,704  $(3,210,719
Management fee
   3,098,904    2,794,292 
Brokerage commission
   140,210    210,012 
Futures account fees
   109,601    317,748 
Net realized gain (loss)
   363,291,439    320,505,659 
Change in net unrealized appreciation (depreciation)
   (211,544,109   157,919,139 
Net Income (loss)
  $149,662,626   $475,214,079 
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 30, 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 forward Share split for ProShares Ultra Bloomberg Crude Oil.
133

ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
  
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $145,069,486  $74,307,070 
NAV end of period
  $187,297,842  $70,213,227 
Percentage change in NAV
   29.1  (5.5)% 
Shares outstanding beginning of period
   2,587,527   3,487,527 
Shares outstanding end of period
   4,737,527   1,987,527 
Percentage change in shares outstanding
   83.1  (43.0)% 
Shares created
   6,500,000   650,000 
Shares redeemed
   4,350,000   2,150,000 
Per share NAV beginning of period
  $56.06  $21.31 
Per share NAV end of period
  $39.53  $35.33 
Percentage change in per share NAV
   (29.5)%   65.8
Percentage change in benchmark
   (6.0)%   30.3
Benchmark annualized volatility
   37.5  27.8
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,587,527 outstanding Shares at SeptemberMarch 31, 2022 to 4,737,527 outstanding Shares at June 30, 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
one-half
the inverse
(-0.5x)
of two times (2x) the daily performance of the S&P 500 VIX Short-Term Futures Index.Bloomberg Natural Gas Subindex
SM
.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to
one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 12.6% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the FundBy comparison, during the three months ended September 30, 2021.
The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,466,273  $(1,544,734
Management fee
   1,055,823    1,116,999 
Brokerage commission
   208,885    167,648 
Non-recurring
fees and expenses
   —      22,038 
Net realized gain (loss)
   34,572,603    60,593,305 
Change in net unrealized appreciation (depreciation)
   (43,349,844   (1,463,399
Net Income (loss)
  $(10,243,514  $57,585,172 
The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2021.
146

ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $1,303,530,902  $1,508,661,459 
NAV end of period
  $1,090,613,716  $1,195,885,056 
Percentage change in NAV
   (16.3)%   (20.7)% 
Shares outstanding beginning of period
   16,660,774   52,760,774 
Shares outstanding end of period
   12,910,774   41,610,774 
Percentage change in shares outstanding
   (22.5)%   (21.1)% 
Shares created
   950,000   21,500,000 
Shares redeemed
   4,700,000   32,650,000 
Per share NAV beginning of period
  $78.24  $28.59 
Per share NAV end of period
  $84.47  $28.74 
Percentage change in per share NAV
   8.0  0.5
Percentage change in benchmark
   5.4  2.6
Benchmark annualized volatility
   30.9  26.3
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,660,7743,487,527 outstanding Shares at June 30,March 31, 2021 to 12,910,7741,987,527 outstanding Shares at SeptemberJune 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 52,760,774 outstanding Shares at June 30, 2020 to 41,610,774 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexNatural Gas Subindex
SM
.
For the three months ended SeptemberJune 30, 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 increasedecrease of 8.0%29.5% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 0.5%65.8% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to greater appreciationdepreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
147

The benchmark’s risedecline of 5.4%6% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s rise of 2.6%30.3% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to a greater increasedecrease in the value of WTI Crude OilHenry Hub Natural Gas during the period ended SeptemberJune 30, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
   
Three Months Ended

September 30, 2021
   
Three Months Ended

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

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $70,213,227  $50,599,783 
NAV end of period
  $145,038,381  $99,203,762 
Percentage change in NAV
   106.6  96.1
Shares outstanding beginning of period
   1,987,527   1,787,527 
Shares outstanding end of period
   1,737,527   2,887,527 
Percentage change in shares outstanding
   (12.6)%   61.5
Shares created
   1,150,000   4,350,000 
Shares redeemed
   1,400,000   3,250,000 
Per share NAV beginning of period
  $35.33  $28.31 
Per share NAV end of period
  $83.47  $34.36 
Percentage change in per share NAV
   136.3  21.4
Percentage change in benchmark
   58.6  15.0
Benchmark annualized volatility
   48.6  58.7
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(566,073  $(217,363
Management fee
   534,624    152,958 
Brokerage commission
   114,706    63,062 
Futures account fees
   63,213    12,887 
Net realized gain (loss)
   164,990,694    4,901,288 
Change in net unrealized appreciation (depreciation)
   (271,288,469   28,347,917 
Net Income (loss)
  $(106,863,848  $33,031,842 
 
148134

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,787,527 outstanding Shares at June 30, 2020 to 2,887,527 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 136.3%net income decreased for the three months ended SeptemberJune 30, 2021, as compared to the Fund’s per Share NAV increase of 21.4% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(212,510  $(323,543
Management fee
   161,130    199,772 
Brokerage commission
   40,472    106,449 
Non-recurring
fees and expenses
   —      1,129 
Net realized gain (loss)
   33,925,723    41,156,156 
Change in net unrealized appreciation (depreciation)
   25,135,708    (4,754,827
Net Income (loss)
  $58,848,921   $36,077,786 
The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a greater increasedecrease in the value of Henry Hub Natural Gas during the three months ended SeptemberJune 30, 2021.2022.
149

ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $3,668,741  $4,067,686   $6,236,982  $3,611,724 
NAV end of period
  $3,479,104  $4,397,675   $9,415,626  $3,668,741 
Percentage change in NAV
   (5.2)%   8.1   51.0  1.6
Shares outstanding beginning of period
   250,000   300,000    500,000   250,000 
Shares outstanding end of period
   250,000   300,000    850,000   250,000 
Percentage change in shares outstanding
   —    —     70.0  —  
Shares created
   —     100,000    450,000   100,000 
Shares redeemed
   —     100,000    100,000   100,000 
Per share NAV beginning of period
  $14.67  $13.56   $12.47  $14.45 
Per share NAV end of period
  $13.92  $14.66   $11.08  $14.67 
Percentage change in per share NAV
   (5.1)%   8.1   (11.1)%   1.6
Percentage change in benchmark
   (2.3)%   4.4   (5.3)%   1.1
Benchmark annualized volatility
   4.5  6.3   9.1  5.9
During the three months ended SeptemberJune 30, 2021,2022, the decreaseincrease in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021.
By comparison, during the three months ended SeptemberJune 30, 2020,2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2020 to September 30, 2020.2021.
For the three months ended SeptemberJune 30, 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 5.1%11.1% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 8.1%1.6% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 2.3%5.3% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s rise of 4.4%1.1% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended SeptemberJune 30, 2021.2022.
135

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(8,271  $(12,155  $(8,515  $(8,978
Management fee
   8,664    12,404    15,037    9,416 
Non-recurring
fees and expenses
   —      108 
Net realized gain (loss)
   (254,219   441,714    (446,365   95,412 
Change in net unrealized appreciation (depreciation)
   72,853    (84,317   (281,290   (13,219
Net Income (loss)
  $(189,637  $345,242   $(736,170  $73,215 
150

The Fund’s net income decreased for the three months ended SeptemberJune 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended SeptemberJune 30, 2021.2022.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $243,456,703  $165,689,050   $355,029,822  $214,548,056 
NAV end of period
  $230,917,847  $275,450,606   $239,938,853  $243,456,703 
Percentage change in NAV
   (5.2)%   66.2   (32.4)%   13.5
Shares outstanding beginning of period
   4,250,000   2,550,000    5,300,000   3,950,000 
Shares outstanding end of period
   4,150,000   4,000,000    4,250,000   4,250,000 
Percentage change in shares outstanding
   (2.4)%   56.9   (19.8)%   7.6
Shares created
   250,000   1,700,000    100,000   400,000 
Shares redeemed
   350,000   250,000    1,150,000   100,000 
Per share NAV beginning of period
  $57.28  $64.98   $66.99  $54.32 
Per share NAV end of period
  $55.64  $68.86   $56.46  $57.28 
Percentage change in per share NAV
   (2.9)%   6.0   (15.7)%   5.5
Percentage change in benchmark
   (1.0)%   3.6   (7.6)%   3.2
Benchmark annualized volatility
   13.8  25.4   13.8  14.6
During the three months ended SeptemberJune 30, 2021,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021.
By comparison, during the three months ended SeptemberJune 30, 2020,2021, the increase in the Fund’s NAV resulted primarily from an increase from 2,550,0003,950,000 outstanding Shares at March 31, 2021 to 4,250,000 outstanding Shares at June 30, 2020 to 4,000,000 outstanding Shares at September 30, 2020.2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
For the three months ended SeptemberJune 30, 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 2.9%15.7% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 6.0%5.5% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 1.0%7.6% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s rise of 3.6%3.2% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to a decrease in the value of gold futures contracts during the period ended SeptemberJune 30, 2021.2022.
 
151136

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(596,194  $(617,991  $(419,722  $(569,965
Management fee
   582,103    640,992    716,148    568,040 
Brokerage commission
   9,421    12,115    14,064    8,665 
Non-recurring
fees and expenses
   —      3,751 
Futures account fees
   8,664    13,354 
Net realized gain (loss)
   (21,858,089   25,742,296    (57,901,083   45,506,367 
Change in net unrealized appreciation (depreciation)
   15,574,284    (18,054,591   4,971,043    (33,478,303
Net Income (loss)
  $(6,879,999  $7,069,714   $(53,349,762  $11,458,099 
The Fund’s net income decreased for the three months ended SeptemberJune 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a decrease in the value of futures prices during the three months ended SeptemberJune 30, 2021.2022.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $661,778,727  $249,671,968   $558,375,841  $572,501,249 
NAV end of period
  $480,309,476  $620,883,156   $355,577,515  $661,778,727 
Percentage change in NAV
   (27.4)%   148.7   (36.3)%   15.6
Shares outstanding beginning of period
   14,396,526   8,446,526    14,296,526   13,846,526 
Shares outstanding end of period
   15,146,526   14,696,526    14,346,526   14,396,526 
Percentage change in shares outstanding
   5.2  74.0   0.3  4.0
Shares created
   1,050,000   8,050,000    800,000   1,000,000 
Shares redeemed
   300,000   1,800,000    750,000   450,000 
Per share NAV beginning of period
  $45.97  $29.56   $39.06  $41.35 
Per share NAV end of period
  $31.71  $42.25   $24.78  $45.97 
Percentage change in per share NAV
   (31.0)%   42.9   (36.6)%   11.2
Percentage change in benchmark
   (16.0)%   25.1   (19.4)%   6.5
Benchmark annualized volatility
   26.7  33.8   23.7  25.5
During the three months ended SeptemberJune 30, 2021,2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 14,396,52614,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021. 2022.
By comparison, during the three months ended SeptemberJune 30, 2020,2021, the increase in the Fund’s NAV resulted primarily from an increase from 8,446,526 outstanding Shares at June 30, 2020 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 13,846,526 outstanding Shares at March 31, 2021 to 14,396,526 outstanding Shares at June 30, 2021.
152

For the three months ended SeptemberJune 30, 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 31.0%36.6% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 42.9%11.2% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
137

The benchmark’s decline of 16.0%19.4% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s rise of 25.1%6.5% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to a decrease in the value of silver futures contracts during the period ended SeptemberJune 30, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(1,424,705  $(1,497,215  $(695,746  $(1,639,236
Management fee
   1,394,627    1,462,400    1,082,340    1,615,157 
Brokerage commission
   27,419    54,812    28,732    40,715 
Non-recurring
fees and expenses
   —      3,943 
Futures account fees
   6,188    48,893 
Net realized gain (loss)
   (201,320,030   290,238,797    (156,195,349   116,370,479 
Change in net unrealized appreciation (depreciation)
   (6,018,290   (199,313,772   (50,135,799   (48,394,245
Net Income (loss)
  $(208,763,025  $89,427,810   $(207,026,894  $66,336,998 
The Fund’s net income decreased for the three months ended SeptemberJune 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a decrease in the value of futures prices during the three months ended SeptemberJune 30, 2021.2022.
153

ProShares Ultra VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $840,870,703  $992,156,607   $1,127,608,641  $1,284,373,170 
NAV end of period
  $1,020,845,873  $1,307,611,521   $975,683,533  $840,870,703 
Percentage change in NAV
   21.4  31.8   (13.5)%   (34.5)% 
Shares outstanding beginning of period
   30,128,420   3,013,091    83,528,420   22,803,091 
Shares outstanding end of period
   41,778,420   6,488,091    67,228,420   30,128,420 
Percentage change in shares outstanding
   38.7  115.3   (19.5)%   32.1
Shares created
   37,800,000   4,280,000    58,400,000   12,955,000 
Shares redeemed
   26,150,000   805,000    74,700,000   5,629,671 
Per share NAV beginning of period
  $27.91  $329.28   $13.50  $56.32 
Per share NAV end of period
  $24.43  $201.54   $14.51  $27.91 
Percentage change in per share NAV
   (12.5)%   (38.8)%    7.5  (50.5)% 
Percentage change in benchmark
   (5.6)%   (26.3)%    10.3  (35.2)% 
Benchmark annualized volatility
   69.6  56.2   90.4  70.4
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result138

During the three months ended SeptemberJune 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 83,528,420 outstanding Shares at March 31, 2022 to 67,228,420 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 22,803,091 outstanding Shares at March 31, 2021 to 30,128,420 outstanding Shares at June 30, 2021.
For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 50.5% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 35.2% for the three months ended June 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(3,277,402  $(3,975,284
Management fee
   2,293,738    2,293,121 
Brokerage commission
   970,211    1,173,276 
Futures account fees
   444,123    711,443 
Net realized gain (loss)
   90,701,501    (854,526,924
Change in net unrealized appreciation (depreciation)
   196,735,349    244,115,248 
Net Income (loss)
  $284,159,448   $(614,386,960
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of futures prices during the three months ended June 30, 2022.
139

ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
  
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $2,099,705  $2,587,694 
NAV end of period
  $5,024,773  $2,560,348 
Percentage change in NAV
   139.3  (1.1)% 
Shares outstanding beginning of period
   49,970   49,970 
Shares outstanding end of period
   149,970   49,970 
Percentage change in shares outstanding
   200.1  —  
Shares created
   100,000   —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $42.02  $51.78 
Per share NAV end of period
  $33.51  $51.24 
Percentage change in per share NAV
   (20.3)%   (1.1)% 
Percentage change in benchmark
   (10.3)%   (0.3)% 
Benchmark annualized volatility
   11.5  4.9
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,42049,970 outstanding Shares at March 31, 2022 to 149,970 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021.2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
two times (1.5x)(2x) the daily performance of the S&P 500 VIX Short-Term Futures Index. spot price of the Japanese yen versus the U.S. dollar.
By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 3,013,091 outstanding Shares at June 30, 2020 to 6,488,091 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 38.8% for the three months ended September 30, 2020, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.
154

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(3,993,799  $(5,136,994
Management fee
   2,221,755    2,969,740 
Brokerage commission
   1,095,975    1,102,235 
Non-recurring
fees and expenses
   —      10,480 
Net realized gain (loss)
   (198,380,990   (559,537,850
Change in net unrealized appreciation (depreciation)
   186,742,221    15,303,127 
Net Income (loss)
  $(15,632,568  $(549,371,717
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,560,348  $2,764,355 
NAV end of period
  $2,539,880  $2,882,680 
Percentage change in NAV
   (0.8)%   4.3
Shares outstanding beginning of period
   49,970   49,970 
Shares outstanding end of period
   49,970   49,970 
Percentage change in shares outstanding
   —    —  
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $51.24  $55.32 
Per share NAV end of period
  $50.83  $57.69 
Percentage change in per share NAV
   (0.8)%   4.3
Percentage change in benchmark
   (0.2)%   2.4
Benchmark annualized volatility
   5.5  5.8
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.
155

For the three months ended SeptemberJune 30, 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 0.8%20.3% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increasedecrease of 4.3%1.1% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 0.2%10.3% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 2.4%0.3% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended SeptemberJune 30, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(5,973  $(6,720  $(4,972  $(5,955
Management fee
   6,233    6,813    8,036    6,262 
Non-recurring
fees and expenses
   —      78 
Net realized gain (loss)
   (25,554   126,569    (761,478   (140,007
Change in net unrealized appreciation (depreciation)
   11,059    (1,524   152,185    118,616 
Net Income (loss)
  $(20,468  $118,325   $(614,265  $(27,346
The Fund’s net income decreased for the three months ended SeptemberJune 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2021.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,304,732  $5,614,042 
NAV end of period
  $4,914,269  $5,173,668 
Percentage change in NAV
   113.2  (7.8)% 
Shares outstanding beginning of period
   50,000   100,000 
Shares outstanding end of period
   100,000   100,000 
Percentage change in shares outstanding
   100.0  —  
Shares created
   50,000   —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $46.09  $56.14 
Per share NAV end of period
  $49.14  $51.74 
Percentage change in per share NAV
   6.6  (7.8)% 
Percentage change in benchmark
   (3.6)%   3.8
Benchmark annualized volatility
   8.8  9.0
156

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at June 30, 2021 to 100,000 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.6% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 3.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.8% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(9,379  $(13,294
Management fee
   8,860    12,478 
Brokerage commission
   962    928 
Non-recurring
fees and expenses
   —      177 
Net realized gain (loss)
   188,884    (432,100
Change in net unrealized appreciation (depreciation)
   56,770    5,020 
Net Income (loss)
  $236,275   $(440,374
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2021.2022.
 
157140

ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $79,400,059  $117,821,898   $416,799,231  $91,718,390 
NAV end of period
  $93,575,213  $80,418,166   $501,157,304  $79,400,059 
Percentage change in NAV
   17.9  (31.7)%    20.2  (13.4)% 
Shares outstanding beginning of period
   4,383,799   1,609,971    14,286,760   636,994 
Shares outstanding end of period
   6,183,799   1,209,971    21,755,220   876,760 
Percentage change in shares outstanding
   41.1  (24.8)%    52.3  37.6
Shares created
   3,350,000   1,075,000    12,320,000   387,500 
Shares redeemed
   1,550,000   1,475,000    4,851,540   147,734 
Per share NAV beginning of period
  $18.11  $73.18   $29.17  $143.99 
Per share NAV end of period
  $15.13  $66.46   $23.04  $90.56 
Percentage change in per share NAV
   (16.5)%   (9.2)%    (21.0)%   (37.1)% 
Percentage change in benchmark
   5.4  2.6   6.8  23.1
Benchmark annualized volatility
   30.9  26.3   37.5  23.9
On
During the three months ended June 25, 2020,30, 2022, the Trust announced thatincrease in the ProShares UltraShort Bloomberg Crude OilFund’s NAV resulted primarily due to increase in shares outstanding and 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.
The New Benchmark aims to track the performance of three separate contract schedules forBloomberg Commodity Balanced 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 increase from 14,286,760 outstanding Shares at each semi-annual resetMarch 31, 2022 to 21,755,220 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 30, 2021, the decrease in March and September. At each reset date,
one-third
the Fund’s NAV resulted primarily from the cumulative effect of the New Benchmark is designatedFund seeking daily investment results, before fees and expenses, that correspond to follow a monthly roll schedule. Each month this portiontwo times the inverse (-2x) of the New Benchmark rolls fromdaily performance of 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)Commodity Balanced WTI Crude Oil Index
SM
. The second portiondecrease in the Fund’s NAV was offset by an increase from 636,994 outstanding Shares at March 31, 2021 to 876,760 outstanding Shares at June 30, 2021.
141

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the New Benchmark is always designatedinverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.0% for the three months ended June 30, 2022, as compared to be in athe Fund’s per Share NAV decrease of 37.1% for the three months ended June contract, and follows an annual roll schedule in March of each year in which the June contract expiring30, 2021, was primarily due to lesser depreciation in the current year is rolled intovalue of the assets held by the Fund during the three months ended June contract expiring30, 2022.
The benchmark’s rise of 6.8% for the following year. The remaining portion is always designatedthree months ended June 30, 2022, as compared to the benchmark’s rise of 23.1% for the three months ended June 30, 2021, can be inattributed to a December contract, and follows an annual roll schedule in September of each year in which the December contract expiringlesser increase in the current year is rolled intovalue of WTI Crude Oil during the December contract expiringperiod ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the following year. The weighting (i.e., percentage) of each ofFund for the three contract schedules includedmonths ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(849,692  $(208,741
Management fee
   946,110    181,035 
Brokerage commission
   107,079    28,581 
Futures account fees
   85,802    17,468 
Net realized gain (loss)
   (102,594,000   (26,010,421
Change in net unrealized appreciation (depreciation)
   34,757,114    (9,947,432
Net Income (loss)
  $(68,686,578  $(36,166,594
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a lesser increase 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” pricevalue of WTI crude oil.Crude Oil during the three months ended June 30, 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.
ProShares UltraShort Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
  
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $250,340,837  $69,459,275 
NAV end of period
  $211,823,446  $97,525,300 
Percentage change in NAV
   (15.4)%   40.4
Shares outstanding beginning of period
   3,868,619   88,742 
Shares outstanding end of period
   4,966,856   226,242 
Percentage change in shares outstanding
   28.4  154.9
Shares created
   18,700,000   172,500 
Shares redeemed
   17,601,764   35,000 
Per share NAV beginning of period
  $64.71  $782.71 
Per share NAV end of period
  $42.65  $431.07 
Percentage change in per share NAV
   (34.1)%   (44.9)% 
Percentage change in benchmark
   (6.0)%   30.3
Benchmark annualized volatility
   87.3  27.8
142

During the three months ended SeptemberJune 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,619 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,383,79988,742 outstanding Shares at June 30,March 31, 2021 to 6,183,799226,242 outstanding Shares at SeptemberJune 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexNatural Gas Subindex
SM
. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,609,971 outstanding Shares at June 30, 2020 to 1,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the three months ended SeptemberJune 30, 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 16.5%34.1% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 9.2%44.9% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to greaterlesser depreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
158

The benchmark’s risedecline of 5.4%6.0% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s rise of 2.6%30.3% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to a greater increasedecrease in the value of WTI Crude OilHenry Hub Natural Gas during the period ended SeptemberJune 30, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(241,725  $(342,320  $(610,379  $(313,757
Management fee
   201,146    238,038    510,704    191,311 
Brokerage commission
   29,277    64,657    144,907    96,343 
Non-recurring
fees and expenses
   —      4,892 
Futures account fees
   76,956    33,853 
Net realized gain (loss)
   (11,449,562   (16,296,829   (282,646,884   (10,305,304
Change in net unrealized appreciation (depreciation)
   (1,520,893   5,848,114    228,079,127    (33,693,761
Net Income (loss)
  $(13,212,180  $(10,791,035  $(55,178,136  $(44,312,822
The Fund’s net income decreased for the three months ended SeptemberJune 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a greater increasedecrease in the value of WTI Crude OilHenry Hub Natural Gas during the three months ended SeptemberJune 30, 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 Crude Oil.Natural Gas.
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $97,525,300  $28,552,210 
NAV end of period
  $138,468,677  $46,937,986 
Percentage change in NAV
   42.0  64.4
Shares outstanding beginning of period
   4,524,832   424,832 
Shares outstanding end of period
   19,724,832   1,224,832 
Percentage change in shares outstanding
   335.9  188.3
Shares created
   20,500,000   3,200,000 
Shares redeemed
   5,300,000   2,400,000 
Per share NAV beginning of period
  $21.55  $67.21 
Per share NAV end of period
  $7.02  $38.32 
Percentage change in per share NAV
   (67.4)%   (43.0)% 
Percentage change in benchmark
   58.6  15.0
Benchmark annualized volatility
   48.6  58.7
 
159

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,524,832 outstanding Shares at June 30, 2021 to 19,724,832 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 424,832 outstanding Shares at June 30, 2020 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 67.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 43.0% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(358,817  $(249,586
Management fee
   258,824    138,507 
Brokerage commission
   67,808    98,416 
Non-recurring
fees and expenses
   —      345 
Net realized gain (loss)
   (95,609,878   (31,449,992
Change in net unrealized appreciation (depreciation)
   (17,871,536   8,969,137 
Net Income (loss)
  $(113,840,231  $(22,730,441
The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.
160143

ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $48,820,440  $78,848,965   $50,498,084  $54,932,137 
NAV end of period
  $48,640,817  $68,577,533   $62,270,097  $48,820,440 
Percentage change in NAV
   (0.4)%   (13.0)%    23.3  (11.1)% 
Shares outstanding beginning of period
   2,050,000   2,950,000    1,850,000   2,250,000 
Shares outstanding end of period
   1,950,000   2,800,000    2,050,000   2,050,000 
Percentage change in shares outstanding
   (4.9)%   (5.1)%    10.8  (8.9)% 
Shares created
   100,000   1,000,000    500,000   —   
Shares redeemed
   200,000   1,150,000    300,000   200,000 
Per share NAV beginning of period
  $23.81  $26.73   $27.30  $24.41 
Per share NAV end of period
  $24.94  $24.49   $30.38  $23.81 
Percentage change in per share NAV
   4.8  (8.4)%    11.3  (2.5)% 
Percentage change in benchmark
   (2.3)%   4.4   (5.3)%   1.1
Benchmark annualized volatility
   4.5  6.3   9.1  5.9
During the three months ended SeptemberJune 30, 2021,2022, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 1,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021.2022. 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 spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2020, the decreasealso resulted in the Fund’s NAV resulted primarilypart from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,950,000 outstanding Shares at June 30, 2020 to 2,800,000 outstanding Shares at September 30, 2020.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the FundBy comparison, during the three months ended September 30, 2021.
The benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(111,725  $(144,828
Management fee
   116,733    161,145 
Non-recurring
fees and expenses
   —      2,622 
Net realized gain (loss)
   2,974,466    (7,511,167
Change in net unrealized appreciation (depreciation)
   (617,958   1,525,791 
Net Income (loss)
  $2,244,783   $(6,130,204
161

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $32,835,014  $15,851,043 
NAV end of period
  $27,731,022  $27,139,981 
Percentage change in NAV
   (15.5)%   71.2
Shares outstanding beginning of period
   946,977   446,977 
Shares outstanding end of period
   796,977   846,977 
Percentage change in shares outstanding
   (15.8)%   89.5
Shares created
   650,000   750,000 
Shares redeemed
   800,000   350,000 
Per share NAV beginning of period
  $34.67  $35.46 
Per share NAV end of period
  $34.80  $32.04 
Percentage change in per share NAV
   0.4  (9.6)% 
Percentage change in benchmark
   (1.0)%   3.6
Benchmark annualized volatility
   13.8  19.1
During the three months ended SeptemberJune 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,9772,250,000 outstanding Shares at June 30,March 31, 2021 to 796,9772,050,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at June 30, 2020 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 1.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.
162

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

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

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $34,859,763  $10,145,625 
NAV end of period
  $40,373,877  $51,055,675 
Percentage change in NAV
   15.8  403.2
Shares outstanding beginning of period
   1,491,329   129,244 
Shares outstanding end of period
   1,291,329   1,316,744 
Percentage change in shares outstanding
   (13.4)%   918.8
Shares created
   1,000,000   2,825,000 
Shares redeemed
   1,200,000   1,637,500 
Per share NAV beginning of period
  $23.37  $78.50 
Per share NAV end of period
  $31.27  $38.77 
Percentage change in per share NAV
   33.8  (50.6)% 
Percentage change in benchmark
   (16.0)%   25.1
Benchmark annualized volatility
   26.7  57.7
During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at June 30, 2020 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
163

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 50.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
The benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

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

ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $27,231,748  $29,787,034 
NAV end of period
  $23,328,922  $24,780,763 
Percentage change in NAV
   (14.3)%   (16.8)% 
Shares outstanding beginning of period
   349,290   399,290 
Shares outstanding end of period
   299,290   349,290 
Percentage change in shares outstanding
   (14.3)%   (12.5)% 
Shares created
   —     —   
Shares redeemed
   50,000   50,000 
Per share NAV beginning of period
  $77.96  $74.60 
Per share NAV end of period
  $77.95  $70.95 
Percentage change in per share NAV
   (0.0)%@   (4.9)% 
Percentage change in benchmark
   (0.2)%   2.4
Benchmark annualized volatility
   5.5  5.8
@
Amount represents greater than (0.05)%.
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 349,290 outstanding Shares at June 30, 2021 to 299,290 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yeneuro versus the U.S. dollar.
For the three months ended June 30, 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 increase of 11.3% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.5% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 5.3% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 1.1% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(107,923  $(109,040
Management fee
   146,934    114,680 
Net realized gain (loss)
   3,065,129    (795,757
Change in net unrealized appreciation (depreciation)
   3,039,738    (511,170
Net Income (loss)
  $5,996,944   $(1,415,967
144

The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2022.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
  
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $32,598,451  $41,243,515 
NAV end of period
  $34,611,284  $32,835,014 
Percentage change in NAV
   6.2  (20.4)% 
Shares outstanding beginning of period
   1,196,977   1,096,977 
Shares outstanding end of period
   1,096,977   946,977 
Percentage change in shares outstanding
   (8.4)%   (13.7)% 
Shares created
   700,000   300,000 
Shares redeemed
   800,000   450,000 
Per share NAV beginning of period
  $27.23  $37.60 
Per share NAV end of period
  $31.55  $34.67 
Percentage change in per share NAV
   15.9  (7.8)% 
Percentage change in benchmark
   (7.6)%   3.2
Benchmark annualized volatility
   13.8  14.6
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,196,977 outstanding Shares at March 31, 2022 to 1,096,977 outstanding Shares at June 30, 2022.
By comparison, during the three months ended SeptemberJune 30, 2020,2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,2901,096,977 outstanding Shares at March 31, 2021 to 946,977 outstanding Shares at June 30, 2020 to 349,290 outstanding Shares at September 30, 2020.2021. 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 the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.Bloomberg Gold Subindex
SM
.
For the three months ended SeptemberJune 30, 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 decreaseincrease of 0.0%15.9% for the three months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 4.9%7.8% for the three months ended SeptemberJune 30, 2020,2021, was primarily due to lesser depreciationappreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 0.2%7.6% for the three months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s rise of 2.4%3.2% for the three months ended SeptemberJune 30, 2020,2021, can be attributed to decrease in the value of gold futures contracts during the period ended June 30, 2022.
145

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(59,266  $(70,877
Management fee
   75,676    69,968 
Brokerage commission
   2,985    2,283 
Futures account fees
   580    1,802 
Net realized gain (loss)
   4,557,870    (6,984,547
Change in net unrealized appreciation (depreciation)
   289,951    3,806,053 
Net Income (loss)
  $4,788,555   $(3,249,371
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to decrease in the value of the futures prices during the three months ended June 30, 2022.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
  
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $23,406,516  $45,144,664 
NAV end of period
  $33,052,840  $34,859,763 
Percentage change in NAV
   41.2  (22.8)% 
Shares outstanding beginning of period
   1,091,329   1,616,744 
Shares outstanding end of period
   1,041,329   1,491,329 
Percentage change in shares outstanding
   (4.6)%   (7.8)% 
Shares created
   700,000   300,000 
Shares redeemed
   750,000   425,415 
Per share NAV beginning of period
  $21.45  $27.92 
Per share NAV end of period
  $31.74  $23.37 
Percentage change in per share NAV
   48.0  (16.3)% 
Percentage change in benchmark
   (19.4)%   6.5
Benchmark annualized volatility
   23.7  25.5
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,091,329 outstanding Shares at March 31, 2022 to 1,041,329 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 1,616,744 outstanding Shares at March 31, 2021 to 1,491,329 outstanding Shares at June 30, 2021.
For the three months ended June 30, 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 increase of 48.0% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.3% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
146

The benchmark’s decline of 19.4% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 6.5% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollarsilver futures contracts during the period ended SeptemberJune 30, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(54,645  $(55,870  $(51,484  $(78,184
Management fee
   57,037    60,238    62,381    72,831 
Non-recurring
fees and expenses
   —      717 
Brokerage commission
   6,677    3,824 
Futures account fees
   1,169    4,207 
Net realized gain (loss)
   197,444    (1,451,651   9,411,232    (5,876,456
Change in net unrealized appreciation (depreciation)
   (189,932   201,521    3,853,312    (925,320
Net Income (loss)
  $(47,133  $(1,306,000  $13,213,060   $(6,879,960
165

The Fund’s net income increased for the three months ended SeptemberJune 30, 20212022 as compared to the three months ended SeptemberJune 30, 2020,2021, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollarfutures prices during the three months ended SeptemberJune 30, 2021.2022.
ProShares VIX
Mid-Term
Futures ETFUltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Three Months Ended

September 30, 2021
 
Three Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
 
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $92,662,734  $59,085,470   $27,726,701  $34,921,840 
NAV end of period
  $127,673,137  $101,957,520   $45,568,882  $27,231,748 
Percentage change in NAV
   37.7  72.6   64.4  (22.0)% 
Shares outstanding beginning of period
   3,037,403   1,462,403    598,580   898,580 
Shares outstanding end of period
   3,962,403   2,487,403    798,580   698,580 
Percentage change in shares outstanding
   30.5  70.1   33.4  (22.3)% 
Shares created
   1,200,000   1,150,000    650,000   —   
Shares redeemed
   275,000   125,000    450,000   200,000 
Per share NAV beginning of period
  $30.51  $40.40   $46.32  $38.86 
Per share NAV end of period
  $32.22  $40.99   $57.06  $38.98 
Percentage change in per share NAV
   5.6  1.5   23.2  0.3
Percentage change in benchmark
   6.0  1.8   (10.3)%   (0.3)% 
Benchmark annualized volatility
   22.9  26.2   11.4  4.9
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended SeptemberJune 30, 2021,2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403598,580 outstanding Shares at March 31, 2022 to 798,580 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021.2022. 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 two times the inverse (-2x) of the daily performance of the S&P 500 VIXspot price of the Japanese yen versus the U.S. dollar.
Mid-Term
Futures Index.
147

By comparison, during the three months ended SeptemberJune 30, 2020,2021, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 1,462,403898,580 outstanding Shares at March 31, 2021 to 698,580 outstanding Shares at June 30, 2020 to 2,487,403 outstanding Shares at September 30, 2020.2021. The increasedecrease in the Fund’s NAV alsowas offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended June 30, 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 increase of 23.2% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 0.3% for the three months ended June 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 0.3% for the three months ended June 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(66,268  $(68,876
Management fee
   93,181    72,446 
Net realized gain (loss)
   7,917,170    1,598,086 
Change in net unrealized appreciation (depreciation)
   (1,367,929   (1,645,477
Net Income (loss)
  $6,482,973   $(116,267
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 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 forward Share split for ProShares UltraShort Yen.
ProShares VIX Mid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
  
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $97,869,914  $75,122,747 
NAV end of period
  $95,721,271  $92,662,734 
Percentage change in NAV
   (2.2)%   23.3
Shares outstanding beginning of period
   3,112,403   2,162,403 
Shares outstanding end of period
   2,712,403   3,037,403 
Percentage change in shares outstanding
   (12.9)%   40.5
Shares created
   300,000   1,025,000 
Shares redeemed
   700,000   150,000 
Per share NAV beginning of period
  $31.45  $34.74 
Per share NAV end of period
  $35.29  $30.51 
Percentage change in per share NAV
   12.2  (12.2)% 
Percentage change in benchmark
   12.9  (11.9)% 
Benchmark annualized volatility
   37.1  31.1
148

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,112,403 outstanding Shares at March 31, 2022 to 2,712,403 outstanding Shares at June 30, 2022. The decrease in part fromthe 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.
166

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2020, was primarily due to a greater appreciation in the value of the assets held by the FundBy comparison, during the three months ended September 30, 2021.
The benchmark’s rise of 6.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(262,156  $(204,460
Management fee
   221,356    172,587 
Brokerage commission
   20,803    19,350 
Net realized gain (loss)
   (4,024,133   755,845 
Change in net unrealized appreciation (depreciation)
   10,652,952    1,752,080 
Net Income (loss)
  $6,366,663   $2,303,465 
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of the futures prices during the three months ended September 30, 2021.
ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $272,352,675  $221,343,175 
NAV end of period
  $368,777,333  $279,272,297 
Percentage change in NAV
   35.3  26.2
Shares outstanding beginning of period
   11,307,826   1,981,579 
Shares outstanding end of period
   16,257,826   3,400,329 
Percentage change in shares outstanding
   43.8  71.6
Shares created
   6,300,000   1,662,500 
Shares redeemed
   1,350,000   243,750 
Per share NAV beginning of period
  $24.09  $111.70 
Per share NAV end of period
  $22.68  $82.13 
Percentage change in per share NAV
   (5.8)%   (26.5)% 
Percentage change in benchmark
   (5.6)%   (26.3)% 
Benchmark annualized volatility
   69.6  56.2
167

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended SeptemberJune 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,8262,162,403 outstanding Shares at June 30,March 31, 2021 to 16,257,8263,037,403 outstanding Shares at SeptemberJune 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-TermMid-Term Futures Index. By comparison,
For the three months ended June 30, 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 12.2% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.2% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended SeptemberJune 30, 2020,2022.
The benchmark’s rise of 12.9% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 11.9% for the three months ended June 30, 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(184,164  $(227,144
Management fee
   210,584    187,266 
Brokerage commission
   15,500    16,096 
Futures account fees
   10,906    32,131 
Net realized gain (loss)
   7,862,052    (14,405,542
Change in net unrealized appreciation (depreciation)
   3,992,670    3,572,030 
Net Income (loss)
  $11,670,558   $(11,060,656
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the three months ended June 30, 2022.
149

ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
   
Three Months Ended

June 30, 2022
  
Three Months Ended

June 30, 2021
 
NAV beginning of period
  $404,950,400  $349,578,758 
NAV end of period
  $341,714,316  $272,352,675 
Percentage change in NAV
   (15.6)%   (22.1)% 
Shares outstanding beginning of period
   24,382,826   9,375,329 
Shares outstanding end of period
   18,757,826   11,307,826 
Percentage change in shares outstanding
   (23.1)%   20.6
Shares created
   8,175,000   3,925,000 
Shares redeemed
   13,800,000   1,992,503 
Per share NAV beginning of period
  $16.61  $37.29 
Per share NAV end of period
  $18.22  $24.09 
Percentage change in per share NAV
   9.6  (35.6)% 
Percentage change in benchmark
   10.3  (35.2)% 
Benchmark annualized volatility
   90.4  70.5
During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from an increasea decrease from 1,981,57924,382,826 outstanding Shares at March 31, 2022 to 18,757,826 outstanding Shares at June 30, 2020 to 3,400,329 outstanding Shares at September 30, 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 the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.5% for the three months ended September 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the FundBy comparison, during the three months ended SeptemberJune 30, 2021.
The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(897,586  $(758,225
Management fee
   660,051    560,301 
Brokerage commission
   97,516    66,969 
Net realized gain (loss)
   (51,868,433   (75,120,135
Change in net unrealized appreciation (depreciation)
   42,168,297    556,466 
Net Income (loss)
  $(10,597,722  $(75,321,894
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
168

Results of Operations for the Nine Months Ended September 30, 2021 Compared to the Nine Months Ended September 30, 2020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $4,191,955  $2,282,195 
NAV end of period
  $2,206,818  $2,188,644 
Percentage change in NAV
   (47.4)%   (4.1)% 
Shares outstanding beginning of period
   100,000   50,000 
Shares outstanding end of period
   50,000   50,000 
Percentage change in shares outstanding
   (50.0)%   
Shares created
   —     —   
Shares redeemed
   50,000   —   
Per share NAV beginning of period
  $41.92  $45.64 
Per share NAV end of period
  $44.14  $43.77 
Percentage change in per share NAV
   5.2  (4.1)% 
Percentage change in benchmark
   (5.2)%   4.5
Benchmark annualized volatility
   5.6  7.9
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net changeS&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 9,375,329 outstanding Shares from Decemberat March 31, 20192021 to September11,307,826 outstanding Shares at June 30, 2020.2021.
For the ninethree months ended SeptemberJune 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse ofto the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.2%9.6% for the ninethree months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 4.1%35.6% for the ninethree months ended SeptemberJune 30, 2020,2021, was primarily due to an appreciation in the value of the assets held by the Fund during the ninethree months ended SeptemberJune 30, 2021.2022.
The benchmark’s declinerise of 5.2%10.3% for the ninethree months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 4.5%35.2% for the ninethree months ended SeptemberJune 30, 2020,2021, can be attributed to a decreasean increase in the value of the euro versusnear-term futures contracts on the U.S. dollarVIX futures curve during the period ended SeptemberJune 30, 2021.2022.
 
169150

Net Income/Loss
The following table provides summary income information for the Fund for the ninethree months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
Net investment income (loss)
  $(18,442  $(8,827  $(852,779  $(897,582
Management fee
   19,278    16,266    773,717    669,363 
Brokerage commission
   339    272    171,182    94,839 
Non-recurring
fees and expenses
   —      65 
Futures account fees
   115,783    174,368 
Net realized gain (loss)
   88,710    (116,225   23,658,785    (175,846,641
Change in net unrealized appreciation (depreciation)
   91,407    31,501    46,600,777    38,992,347 
Net Income (loss)
  $161,675   $(93,551  $69,406,783   $(137,751,876
The Fund’s net income increased for the ninethree months ended SeptemberJune 30, 20212022 as compared to the ninethree months ended SeptemberJune 30, 2020,2021, primarily due to a decreasean increase in the value of the euro versus the U.S. dollarfutures prices during the ninethree months ended SeptemberJune 30, 2021.
2022.
 
170151

Results of Operations for the Six Months Ended June 30, 2022 Compared to the Six Months Ended June 30, 2021
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $409,371,468  $284,437,179   $423,812,594  $409,371,468 
NAV end of period
  $388,523,845  $335,465,066   $403,644,956  $588,615,946 
Percentage change in NAV
   (5.1)%   17.9   (4.8)%   43.8
Shares outstanding beginning of period
   9,884,307   4,334,307    6,884,307   9,884,307 
Shares outstanding end of period
   7,134,307   9,484,307    8,384,307   10,584,307 
Percentage change in shares outstanding
   (27.8)%   118.8   21.8  7.1
Shares created
   3,400,000   25,850,000    4,600,000   2,850,000 
Shares redeemed
   6,150,000   20,700,000    3,100,000   2,150,000 
Per share NAV beginning of period
  $41.42  $65.62   $61.56  $41.42 
Per share NAV end of period
  $54.46  $35.37   $48.14  $55.61 
Percentage change in per share NAV
   31.5  (46.1)%    (21.8)%   34.3
Percentage change in benchmark
   (58.4)%   68.5   21.6  (56.0)% 
Benchmark annualized volatility
   73.8  112.9   88.1  76.0
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the ninesix months ended SeptemberJune 30, 2021,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 6,884,307 outstanding Shares at December 31, 2021 to 8,384,307 outstanding Shares at June 30, 2022.
152

By comparison, during the ninesix months ended SeptemberJune 30, 2020,2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 9,484,307 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 10,584,307 outstanding Shares at June 30, 2021.
For the ninesix months ended SeptemberJune 30, 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 increasedecrease of 31.5%21.8% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decreaseincrease of 46.1%34.3% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to appreciationdepreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s declinerise of 58.4%21.6% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 68.5%56.0% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to a decreasean increase in the value of near-term futures contracts on the VIX futures curve during the period ended SeptemberJune 30, 2021.2022.
171

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(4,774,396  $(4,043,310  $(2,390,922  $(3,308,123
Management fee
   3,415,545    3,592,232    2,020,898    2,359,722 
Brokerage commission
   638,744    585,356    365,250    429,859 
Non-recurring
fees and expenses
   —      22,038 
Futures account fees
   324,251    586,119 
Net realized gain (loss)
   168,119,037    (129,092,294   (54,216,320   133,546,434 
Change in net unrealized appreciation (depreciation)
   (14,532,856   (2,709,070   (30,209,873   28,816,988 
Net Income (loss)
  $148,811,785   $(135,844,674  $(86,817,115  $159,055,299 
The Fund’s net income increaseddecreased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to a decreasean increase in the value of futures prices during the ninesix months ended SeptemberJune 30, 2021.2022.
 
172153

ProShares Ultra Bloomberg Crude OilOil*
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $902,739,250  $309,844,582   $1,103,783,570  $902,739,250 
NAV end of period
  $1,090,613,716  $1,195,885,056   $1,060,867,238  $1,303,530,902 
Percentage change in NAV
   20.8  286.0   (3.9)%   44.4
Shares outstanding beginning of period
   24,810,774   608,453    51,243,096   99,243,096 
Shares outstanding end of period
   12,910,774   41,610,774    25,493,096   66,643,096 
Percentage change in shares outstanding
   (48.0)%   6,738.8   (50.3)%   (32.8)% 
Shares created
   4,350,000   109,662,000    10,300,000   13,600,000 
Shares redeemed
   16,250,000   68,659,679    36,050,000   46,200,000 
Per share NAV beginning of period
  $36.38  $509.23   $21.54  $9.10 
Per share NAV end of period
  $84.47  $28.74   $41.61  $19.56 
Percentage change in per share NAV
   132.2  (94.4)%    93.2  115.0
Percentage change in benchmark
   58.2  (33.6)%    45.9  50.1
Benchmark annualized volatility
   29.1  90.6   41.9  28.2
OnDuring the six months ended June 25, 2020,30, 2022, the Trust announced thatdecrease in the ProShares Ultra Bloomberg Crude OilFund’s NAV resulted primarily due to the change in shares outstanding and offset by 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 Balanced WTI Crude Oil futures traded on NYMEX.Index
SM
. The contract schedules are equally-weighteddecrease in the New Benchmark (1/3 each) at each semi-annual resetFund’s NAV also resulted 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 rollspart from the current futures contract (called “Lead”timing of shareholder activity, which was offset by Bloomberg, and which expires one month out) intoan decrease from 51,243,096 outstanding Shares at December 31, 2021 to 25,493,096 outstanding Shares at June 30, 2022
By comparison, during the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the ninesix months ended SeptemberJune 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 24,810,77499,243,096 outstanding Shares at December 31, 2020 to 12,910,77466,643,096 outstanding Shares at SeptemberJune 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 41,610,774 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
173

For the ninesix months ended SeptemberJune 30, 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 132.2%93.2% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decreaseincrease of 94.4%115.0% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s rise of 58.2%45.9% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s declinerise of 33.6%50.1% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to ana lesser increase in the value of WTI Crude Oil during the period ended SeptemberJune 30, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(9,100,359  $(8,010,293  $(5,308,864  $(5,969,866
Management fee
   8,104,728    6,887,044    6,183,716    5,329,377 
Brokerage commission
   701,710    1,744,115    335,751    503,212 
Non-recurring
fees and expenses
   27,500    24,637 
Futures account fees
   362,288    416,685 
Net realized gain (loss)
   761,182,708    (891,020,242   1,162,711,373    654,856,887 
Change in net unrealized appreciation (depreciation)
   176,076,207    106,126,899    (306,208,096   192,954,795 
Net Income (loss)
  $928,158,556   $(792,903,636  $851,194,413   $841,841,816 
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the nine months ended September 30, 2021.
 
174154

The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the six months ended June 30, 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 forward 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 ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $169,800,371  $45,160,205   $193,892,178  $169,800,371 
NAV end of period
  $145,038,381  $99,203,762   $187,297,842  $70,213,227 
Percentage change in NAV
   (14.6)%   119.7   (3.4)%   (58.6)% 
Shares outstanding beginning of period
   8,087,527   537,815    7,587,527   8,087,527 
Shares outstanding end of period
   1,737,527   2,887,527    4,737,527   1,987,527 
Percentage change in shares outstanding
   (78.5)%   436.9   (37.6)%   (75.4)% 
Shares created
   5,200,000   5,835,000    9,100,000   4,050,000 
Shares redeemed
   11,550,000   3,485,288    11,950,000   10,150,000 
Per share NAV beginning of period
  $21.00  $83.97   $25.55  $21.00 
Per share NAV end of period
  $83.47  $34.36   $39.53  $35.33 
Percentage change in per share NAV
   297.6  (59.1)%    54.7  68.3
Percentage change in benchmark
   113.0  (28.5)%    48.9  34.2
Benchmark annualized volatility
   40.5  53.5   80.3  35.5
During the ninesix months ended SeptemberJune 30, 2021,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,5277,587,527 outstanding Shares at December 31, 20202021 to 1,737,5274,737,527 outstanding Shares at SeptemberJune 30, 2021.2022. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
By comparison, during the ninesix months ended SeptemberJune 30, 2020,2021, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,987,527 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by a decrease from 537,815 outstanding Shares at December 31, 2019 to 2,887,527 outstanding Shares at September 30, 2020.
For the ninesix months ended SeptemberJune 30, 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 297.6%54.7% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decreaseincrease of 59.1%68.3% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
175

The benchmark’s rise of 113.0%48.9% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s declinerise of 28.5%34.2% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to ana greater increase in the value of Henry Hub Natural Gas during the period ended SeptemberJune 30, 2021.2022.
155

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(845,018  $(447,190  $(1,082,671  $(632,508
Management fee
   568,903    378,784    931,234    407,773 
Brokerage commission
   195,831    214,255    203,158    155,359 
Non-recurring
fees and expenses
   —      1,129 
Futures account fees
   134,330    94,735 
Net realized gain (loss)
   80,409,947    2,226,367    241,207,930    46,484,224 
Change in net unrealized appreciation (depreciation)
   35,684,757    (4,338,592   (186,420,725   10,549,049 
Net Income (loss)
  $115,249,686   $(2,559,415  $53,704,534   $56,400,765 
The Fund’s net income increaseddecreased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to ana greater increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the ninesix months ended SeptemberJune 30, 2021.2022.
176

ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
 
        
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $4,737,350  $6,204,424   $8,659,095  $4,737,350 
NAV end of period
  $3,479,104  $4,397,675   $9,415,626  $3,668,741 
Percentage change in NAV
   (26.6)%   (29.1)%    8.7  (22.6)% 
Shares outstanding beginning of period
   300,000   450,000    650,000   300,000 
Shares outstanding end of period
   250,000   300,000    850,000   250,000 
Percentage change in shares outstanding
   (16.7)%   (33.3)%    30.8  (16.7)% 
Shares created
   100,000   200,000    550,000   100,000 
Shares redeemed
   150,000   350,000    350,000   150,000 
Per share NAV beginning of period
  $15.79  $13.79   $13.32  $15.79 
Per share NAV end of period
  $13.92  $14.66   $11.08  $14.67 
Percentage change in per share NAV
   (11.9)%   6.3   (16.8)%   (7.1)% 
Percentage change in benchmark
   (5.2)%   4.5   (7.9)%   (2.9)% 
Benchmark annualized volatility
   5.6  7.9   8.8  6.1
During the ninesix months ended SeptemberJune 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at SeptemberJune 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison,
For the six months ended June 30, 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 16.8% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 7.1% for the six months ended June 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2020,2022.
156

The benchmark’s decline of 7.9% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 2.9% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(24,206  $(18,472
Management fee
   35,315    19,494 
Net realized gain (loss)
   (893,344   68,070 
Change in net unrealized appreciation (depreciation)
   (419,715   (324,271
Net Income (loss)
  $(1,337,265  $(274,673
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2022.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
  
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $232,780,534  $263,540,473 
NAV end of period
  $239,938,853  $243,456,703 
Percentage change in NAV
   3.1  (7.6)% 
Shares outstanding beginning of period
   3,900,000   3,900,000 
Shares outstanding end of period
   4,250,000   4,250,000 
Percentage change in shares outstanding
   9.0  9.0
Shares created
   1,600,000   1,000,000 
Shares redeemed
   1,250,000   650,000 
Per share NAV beginning of period
  $59.69  $67.57 
Per share NAV end of period
  $56.46  $57.28 
Percentage change in per share NAV
   (5.4)%   (15.2)% 
Percentage change in benchmark
   (1.5)%   (7.0)% 
Benchmark annualized volatility
   15.7  16.6
During the six months ended June 30, 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 300,0004,250,000 outstanding Shares at SeptemberJune 30, 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar.Bloomberg Gold Subindex
SM
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.3% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021..
 
177157

The benchmark’s decline of 5.2% forBy comparison, during the ninesix months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(26,743  $(17,610
Management fee
   28,158    33,852 
Non-recurring
fees and expenses
   —      108 
Net realized gain (loss)
   (186,149   369,811 
Change in net unrealized appreciation (depreciation)
   (251,418   (208,451
Net Income (loss)
  $(464,310  $143,750 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.
178

ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $263,540,473  $110,726,032 
NAV end of period
  $230,917,847  $275,450,606 
Percentage change in NAV
   (12.4)%   148.8
Shares outstanding beginning of period
   3,900,000   2,250,000 
Shares outstanding end of period
   4,150,000   4,000,000 
Percentage change in shares outstanding
   6.4  77.8
Shares created
   1,250,000   3,150,000 
Shares redeemed
   1,000,000   1,400,000 
Per share NAV beginning of period
  $67.57  $49.21 
Per share NAV end of period
  $55.64  $68.86 
Percentage change in per share NAV
   (17.7)%   39.9
Percentage change in benchmark
   (7.9)%   21.4
Benchmark annualized volatility
   15.7  22.6
During the nine months ended SeptemberJune 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,150,0004,250,000 outstanding Shares at SeptemberJune 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
For the ninesix months ended SeptemberJune 30, 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 17.7%5.4% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increasedecrease of 39.9%15.2% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 7.9%1.5% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 21.4%7.0% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended SeptemberJune 30, 2021.2022.
179

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(1,745,829  $(789,004  $(1,037,188  $(1,149,635
Management fee
   1,718,350    1,269,866    1,387,563    1,136,247 
Brokerage commission
   32,974    28,599    35,723    23,553 
Non-recurring
fees and expenses
   —      3,751 
Futures account fees
   28,169    45,756 
Net realized gain (loss)
   (27,599,609   51,605,680    (82,487   (5,741,520
Change in net unrealized appreciation (depreciation)
   (19,136,522   (11,258,939   (19,849,468   (34,710,806
Net Income (loss)
  $(48,481,960  $39,557,737   $(20,969,143  $(41,601,961
The Fund’s net income decreasedincreased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to a lesser decrease in the value of futures prices during the ninesix months ended SeptemberJune 30, 2021.2022.
 
180158

ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $745,304,028  $239,254,842   $515,453,594  $745,304,028 
NAV end of period
  $480,309,476  $620,883,156   $355,577,515  $661,778,727 
Percentage change in NAV
   (35.6)%   159.5   (31.0)%   (11.2)% 
Shares outstanding beginning of period
   14,696,526   7,546,526    14,796,526   14,696,526 
Shares outstanding end of period
   15,146,526   14,696,526    14,346,526   14,396,526 
Percentage change in shares outstanding
   3.1  94.7   (3.0)%   (2.0)% 
Shares created
   4,450,000   10,300,000    1,800,000   3,400,000 
Shares redeemed
   4,000,000   3,150,000    2,250,000   3,700,000 
Per share NAV beginning of period
  $50.71  $31.70   $34.84  $50.71 
Per share NAV end of period
  $31.71  $42.25   $24.78  $45.97 
Percentage change in per share NAV
   (37.5)%   33.3   (28.9)%   (9.4)% 
Percentage change in benchmark
   (17.0)%   27.4   (13.4)%   (1.2)% 
Benchmark annualized volatility
   33.0  48.6   28.2  35.9
During the ninesix months ended SeptemberJune 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,346,526 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increasealso resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,52614,396,526 outstanding Shares at SeptemberJune 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,526 outstanding Shares at December 31, 2019 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
.
For the ninesix months ended SeptemberJune 30, 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 37.5%28.9% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increasedecrease of 33.3%9.4% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 17.0%13.4% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 27.4%1.2% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended SeptemberJune 30, 2021.2022.
181

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(4,805,716  $(1,555,626  $(1,823,952  $(3,381,011
Management fee
   4,640,919    2,369,293    2,299,939    3,246,292 
Brokerage commission
   114,716    99,986    59,283    87,297 
Non-recurring
fees and expenses
   —      3,943 
Futures account fees
   26,693    211,080 
Net realized gain (loss)
   (80,038,809   297,927,456    (39,558,312   121,281,221 
Change in net unrealized appreciation (depreciation)
   (192,156,316   (215,073,543   (108,172,044   (186,138,026
Net Income (loss)
  $(277,000,841  $81,298,287   $(149,554,308  $(68,237,816
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.
 
182159

The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of futures prices during the six months ended June 30, 2022.
ProShares Ultra VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $1,356,204,199  $527,636,003   $816,679,636  $1,356,204,199 
NAV end of period
  $1,020,845,873  $1,307,611,521   $975,683,533  $840,870,703 
Percentage change in NAV
   (24.7)%   147.8   19.5  (38.0)% 
Shares outstanding beginning of period
   12,713,091   4,163,091    65,828,420   12,713,091 
Shares outstanding end of period
   41,778,420   6,488,091    67,228,420   30,128,420 
Percentage change in shares outstanding
   228.6  55.8   2.1  137.0
Shares created
   70,385,000   7,755,000    141,500,000   32,585,000 
Shares redeemed
   41,319,671   5,430,000    140,100,000   15,169,671 
Per share NAV beginning of period
  $106.68  $126.74   $12.41  $106.68 
Per share NAV end of period
  $24.43  $201.54   $14.51  $27.91 
Percentage change in per share NAV
   (77.1)%   59.0   17.0  (73.8)% 
Percentage change in benchmark
   (58.4)%   68.5   21.6  (56.0)% 
Benchmark annualized volatility
   73.8  112.9   88.1%%   76.0
On Monday, October 26, 2020,During the Chicago Futures Exchange (a subsidiarysix months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily 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 includedIndex. The increase in the Fund’s Prospectus.NAV also resulted in part from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 67,228,420 outstanding Shares at June 30, 2022.
During
By comparison, during the ninesix months ended SeptemberJune 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 41,778,42030,128,420 outstanding Shares at SeptemberJune 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,163,091 outstanding Shares at December 31, 2019 to 6,488,091 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the ninesix months ended SeptemberJune 30, 20212022 and 2020,2021, 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 decreaseincrease of 77.1%17.0% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increasedecrease of 59.0%73.8% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to depreciationappreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
160

The benchmark’s declinerise of 58.4%21.6% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 68.5%56.0% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to a decreasean increase in the value of near-term futures contracts on the VIX futures curve during the period ended SeptemberJune 30, 2021.2022.
183

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(16,038,632  $(7,952,015  $(6,862,764  $(12,044,833
Management fee
   8,897,953    5,646,893    4,254,915    6,676,198 
Brokerage commission
   4,225,879    2,282,095    1,906,969    3,129,904 
Non-recurring
fees and expenses
   —      10,480 
Futures account fees
   1,226,811    2,555,256 
Net realized gain (loss)
   (1,757,407,418   58,666,590    371,681,032    (1,559,026,428
Change in net unrealized appreciation (depreciation)
   146,498,138    66,319,163    161,734,465    (40,244,083
Net Income (loss)
  $(1,626,947,912  $117,033,738   $526,552,733   $(1,611,315,344
The Fund’s net income decreasedincreased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to a decreasean increase in the value of futures prices during the ninesix months ended SeptemberJune 30, 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 Ultra VIX Short-Term Futures ETF.
184

ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $2,989,499  $5,580,964   $2,362,849  $2,989,499 
NAV end of period
  $2,539,880  $2,882,680   $5,024,773  $2,560,348 
Percentage change in NAV
   (15.0)%   (48.3)%    112.7  (14.4)% 
Shares outstanding beginning of period
   49,970   99,970    49,970   49,970 
Shares outstanding end of period
   49,970   49,970    149,970   49,970 
Percentage change in shares outstanding
   —    (50.0)%    200.1  —  
Shares created
   —     —      100,000   —   
Shares redeemed
   —     50,000    —     —   
Per share NAV beginning of period
  $59.83  $55.83   $47.29  $59.83 
Per share NAV end of period
  $50.83  $57.69   $33.51  $51.24 
Percentage change in per share NAV
   (15.0)%   3.3   (29.2)%   (14.4)% 
Percentage change in benchmark
   (7.2)%   3.0   (15.2)%   (7.1)% 
Benchmark annualized volatility
   5.2  10.2   9.5  5.0
During the ninesix months ended SeptemberJune 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to SeptemberJune 30, 2021.
For the six months ended June 30, 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 29.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 14.4% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s decline of 15.2% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 7.1% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2022.
161

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(9,528  $(12,248
Management fee
   13,465    12,911 
Net realized gain (loss)
   (878,701   (279,474
Change in net unrealized appreciation (depreciation)
   10,820    (137,429
Net Income (loss)
  $(877,409  $(429,151
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2022.
ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
  
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $114,167,602  $96,839,233 
NAV end of period
  $501,157,304  $79,400,059 
Percentage change in NAV
   339.0  (18.0)% 
Shares outstanding beginning of period
   1,776,760   416,994 
Shares outstanding end of period
   21,755,220   876,760 
Percentage change in shares outstanding
   1,124.4  110.3
Shares created
   27,890,000   777,500 
Shares redeemed
   7,911,540   317,734 
Per share NAV beginning of period
  $64.26  $232.23 
Per share NAV end of period
  $23.04  $90.56 
Percentage change in per share NAV
   (64.2)%   (61.0)% 
Percentage change in benchmark
   45.9  50.1
Benchmark annualized volatility
   41.9  28.2
162

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 21,755,220 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
By comparison, during the ninesix months ended SeptemberJune 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 416,994 outstanding Shares at December 31, 2020 to 876,760 outstanding Shares at June 30, 2021.
For the six months ended June 30, 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 64.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 61.0% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 45.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 50.1% for the six months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)  $(1,435,665  $(509,925
Management fee   1,438,757    402,298 
Brokerage commission   184,135    71,625 
Futures account fees   155,979    65,180 
Net realized gain (loss)   (209,076,101   (75,188,186
Change in net unrealized appreciation (depreciation)   36,686,156    (4,308,588
Net Income (loss)  $(173,825,610  $(80,006,699
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the six months ended June 30, 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.
163

ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
  
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $242,145,130  $24,977,745 
NAV end of period
  $211,823,446  $97,525,300 
Percentage change in NAV
   (12.5)%   290.4
Shares outstanding beginning of period
   978,742   26,242 
Shares outstanding end of period
   4,966,856   226,242 
Percentage change in shares outstanding
   407.5  762.1
Shares created
   23,340,000   377,500 
Shares redeemed
   19,351,886   177,500 
Per share NAV beginning of period
  $247.40  $951.82 
Per share NAV end of period
  $42.65  $431.07 
Percentage change in per share NAV
   (82.8)%   (54.7)% 
Percentage change in benchmark
   48.9  34.2
Benchmark annualized volatility
   80.3  35.5
During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 26,242 outstanding Shares at December 31, 2020 to 226,242 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the six months ended June 30, 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 82.8% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 54.7% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 48.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 34.2% for the six months ended June 30, 2021, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(1,447,798  $(574,164
Management fee
   1,053,068    350,648 
Brokerage commission
   365,858    182,023 
Futures account fees
   206,885    57,126 
Net realized gain (loss)
   (397,371,192   (16,664,698
Change in net unrealized appreciation (depreciation)
   140,292,056    (17,798,697
Net Income (loss)
  $(258,526,934  $(35,037,559
164

The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas, during the six months ended June 30, 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.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
  
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $54,263,045  $52,953,339 
NAV end of period
  $62,270,097  $48,820,440 
Percentage change in NAV
   14.8  (7.8)% 
Shares outstanding beginning of period
   2,100,000   2,350,000 
Shares outstanding end of period
   2,050,000   2,050,000 
Percentage change in shares outstanding
   (2.4)%   (12.8)% 
Shares created
   550,000   200,000 
Shares redeemed
   600,000   500,000 
Per share NAV beginning of period
  $25.84  $22.53 
Per share NAV end of period
  $30.38  $23.81 
Percentage change in per share NAV
   17.5  5.7
Percentage change in benchmark
   (7.9)%   (2.9)% 
Benchmark annualized volatility
   8.8  6.1
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,9702,350,000 outstanding Shares at December 31, 20192020 to 49,9702,050,000 outstanding Shares at SeptemberJune 30, 2020.2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x)the inverse (-2x) of the daily performance of the spot price of the Japanese yeneuro versus the U.S. dollar.
For the ninesix months ended SeptemberJune 30, 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 decreaseincrease of 15.0%17.5% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 3.3%5.7% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to depreciationgreater appreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.
The benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.2022.
 
185165

The benchmark’s decline of 7.9% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 2.9% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(18,221  $(11,633  $(209,974  $(225,912
Management fee
   19,144    20,655    264,390    238,718 
Non-recurring
fees and expenses
   —      78 
Net realized gain (loss)
   (305,028   11,333    5,818,237    (725,230
Change in net unrealized appreciation (depreciation)
   (126,370   48,030    3,308,479    3,881,067 
Net Income (loss)
  $(449,619  $47,730   $8,916,742   $2,929,925 
The Fund’s net income decreasedincreased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to a greater decrease in the value of the Japanese yeneuro versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2021.2022.
186

ProShares UltraShort Australian DollarGold
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $2,222,639  $5,608,612   $26,859,844  $20,337,376 
NAV end of period
  $4,914,269  $5,173,668   $34,611,284  $32,835,014 
Percentage change in NAV
   121.1  (7.8)%    28.9  61.5
Shares outstanding beginning of period
   50,000   100,000    846,977   646,977 
Shares outstanding end of period
   100,000   100,000    1,096,977   946,977 
Percentage change in shares outstanding
   100.0  —     29.5  46.4
Shares created
   50,000   —      1,150,000   1,050,000 
Shares redeemed
   —     —      900,000   750,000 
Per share NAV beginning of period
  $44.45  $56.09   $31.71  $31.43 
Per share NAV end of period
  $49.14  $51.74   $31.55  $34.67 
Percentage change in per share NAV
   10.6  (7.8)%    (0.5)%   10.3
Percentage change in benchmark
   (6.2)%   2.1   (1.5)%   (7.0)% 
Benchmark annualized volatility
   9.5  13.0   15.7  16.6
During the ninesix months ended SeptemberJune 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,096,977 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
.
166

By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000646,977 outstanding Shares at December 31, 2020 to 100,000946,977 outstanding Shares at SeptemberJune 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020.
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 6.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 2.1% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2021.
187

Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(19,952  $(26,054
Management fee
   19,191    42,496 
Brokerage commission
   1,722    3,766 
Non-recurring
fees and expenses
   —      177 
Net realized gain (loss)
   17,207    (799,054
Change in net unrealized appreciation (depreciation)
   321,113    390,164 
Net Income (loss)
  $318,368   $(434,944
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2021.
188

ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $96,839,233  $125,451,681 
NAV end of period
  $93,575,213  $80,418,166 
Percentage change in NAV
   (3.4)%   (35.9)% 
Shares outstanding beginning of period
   2,084,971   2,572,471 
Shares outstanding end of period
   6,183,799   1,209,971 
Percentage change in shares outstanding
   196.6  (53.0)% 
Shares created
   7,237,500   6,662,500 
Shares redeemed
   3,138,672   8,025,000 
Per share NAV beginning of period
  $46.45  $48.77 
Per share NAV end of period
  $15.13  $66.46 
Percentage change in per share NAV
   (67.4)%   36.3
Percentage change in benchmark
   58.2  (33.6)% 
Benchmark annualized volatility
   29.1  90.6
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 2,084,971 outstanding Shares at December 31, 2020 to 6,183,799 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,572,471 outstanding Shares at December 31, 2019 to 1,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexGold Subindex
SM
.
189

For the ninesix months ended SeptemberJune 30, 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 67.4%0.5% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 36.3%10.3% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to depreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s risedecline of 58.2%1.5% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s decline of 33.6%7.0% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to an increasea lesser decrease in the value of WTI Crude Oilgold futures contracts during the period ended SeptemberJune 30, 2021.2022.
Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(751,650  $(1,155,759  $(120,396  $(139,918
Management fee
   603,444    789,307    141,814    133,695 
Brokerage commission
   100,902    488,442    5,796    5,873 
Non-recurring
fees and expenses
   —      4,892 
Futures account fees
   2,446    6,488 
Net realized gain (loss)
   (86,637,748   28,429,826    (1,750,799   (2,981,188
Change in net unrealized appreciation (depreciation)
   (5,829,481   7,227,746    2,318,730    3,626,200 
Net Income (loss)
  $(93,218,879  $34,501,813   $447,535   $505,094 
The Fund’s net income decreased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to an increasea lesser decrease in the value of WTI Crude Oilthe futures prices during the ninesix months ended SeptemberJune 30, 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 Crude Oil.
 
190167

ProShares UltraShort Bloomberg Natural GasSilver
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $24,977,745  $12,515,603   $26,537,000  $28,885,775 
NAV end of period
  $138,468,677  $46,937,986   $33,052,840  $34,859,763 
Percentage change in NAV
   454.4  275.0   24.6  20.7
Shares outstanding beginning of period
   524,832   324,832    991,329   1,041,744 
Shares outstanding end of period
   19,724,832   1,224,832    1,041,329   1,491,329 
Percentage change in shares outstanding
   3,658.3  277.1   5.0  43.2
Shares created
   28,050,000   4,400,000    1,800,000   2,750,000 
Shares redeemed
   8,850,000   3,500,000    1,750,000   2,300,415 
Per share NAV beginning of period
  $47.59  $38.53   $26.77  $27.73 
Per share NAV end of period
  $7.02  $38.32   $31.74  $23.37 
Percentage change in per share NAV
   (85.3)%   (0.5)%    18.6  (15.7)% 
Percentage change in benchmark
   113.0  (28.5)%    (13.4)%   (1.2)% 
Benchmark annualized volatility
   40.5  53.5   28.2  35.9
During the ninesix months ended SeptemberJune 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,8321,041,744 outstanding Shares at December 31, 2020 to 19,724,8321,491,329 outstanding Shares at SeptemberJune 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural GasSilver Subindex
SM
. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 324,832 outstanding Shares at December 31, 2019 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the ninesix months ended SeptemberJune 30, 20212022 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 85.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.5% for the nine months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s rise of 113.0% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 28.5% for the nine months ended September 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
191

Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(932,981  $(358,912
Management fee
   609,472    207,544 
Brokerage commission
   249,831    177,159 
Non-recurring
fees and expenses
   —      345 
Net realized gain (loss)
   (112,274,576   (20,587,724
Change in net unrealized appreciation (depreciation)
   (35,670,233   9,530,109 
Net Income (loss)
  $(148,877,790  $(11,416,527
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2021.
192

ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $52,953,339  $120,581,173 
NAV end of period
  $48,640,817  $68,577,533 
Percentage change in NAV
   (8.1)%   (43.1)% 
Shares outstanding beginning of period
   2,350,000   4,500,000 
Shares outstanding end of period
   1,950,000   2,800,000 
Percentage change in shares outstanding
   (17.0)%   (37.8)% 
Shares created
   300,000   1,350,000 
Shares redeemed
   700,000   3,050,000 
Per share NAV beginning of period
  $22.53  $26.80 
Per share NAV end of period
  $24.94  $24.49 
Percentage change in per share NAV
   10.7  (8.6)% 
Percentage change in benchmark
   (5.2)%   4.5
Benchmark annualized volatility
   5.6  7.9
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,800,000 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.7%18.6% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 8.6%15.7% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to an appreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 5.2%13.4% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 4.5%1.2% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollarsilver futures contracts during the period ended SeptemberJune 30, 2021.2022.
193

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(337,637  $(154,217  $(112,092  $(177,247
Management fee
   355,451    638,218    123,334    157,576 
Non-recurring
fees and expenses
   —      2,622 
Brokerage commission
   11,978    11,268 
Futures account fees
   4,443    14,198 
Net realized gain (loss)
   2,249,236    (8,749,752   2,037,296    (8,808,722
Change in net unrealized appreciation (depreciation)
   3,263,109    3,446,359    5,642,964    6,541,191 
Net Income (loss)
  $5,174,708   $(5,457,610  $7,568,168   $(2,444,778
The Fund’s net income increased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollarfutures prices during the ninesix months ended SeptemberJune 30, 2021.2022.
 
194168

ProShares UltraShort GoldYen*
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $20,337,376  $21,047,560   $24,840,784  $23,691,070 
NAV end of period
  $27,731,022  $27,139,981   $45,568,882  $27,231,748 
Percentage change in NAV
   36.4  28.9   83.4  14.9
Shares outstanding beginning of period
   646,977   396,977    598,580   698,580 
Shares outstanding end of period
   796,977   846,977    798,580   698,580 
Percentage change in shares outstanding
   23.2  113.4   33.4  —  
Shares created
   1,700,000   1,100,000    850,000   200,000 
Shares redeemed
   1,550,000   650,000    650,000   200,000 
Per share NAV beginning of period
  $31.43  $53.02   $41.50  $33.91 
Per share NAV end of period
  $34.80  $32.04   $57.06  $38.98 
Percentage change in per share NAV
   10.7  (39.6)%    37.5  15.0
Percentage change in benchmark
   (7.9)%   3.6   (15.2)%   (7.1)% 
Benchmark annualized volatility
   15.7  22.6   9.5  5.0
During the ninesix months ended SeptemberJune 30, 2021,2022, the increase in the Fund’s NAV resulted primarily from an increase from 646,977598,980 outstanding Shares at December 31, 20202021 to 796,977798,580 outstanding Shares at SeptemberJune 30, 2021.2022. 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 two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindexspot price of the Japanese yen versus the U.S. dollar.
SM
.
By comparison, during the ninesix months ended SeptemberJune 30, 2020,2021, the increase in the Fund’s NAV resulted primarily from an increase from 396,977 outstanding Shares at December 31, 2019 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SMspot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021.
.
For the ninesix months ended SeptemberJune 30, 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 10.7%37.5% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV decreaseincrease of 39.6%15.0% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s decline of 7.9%15.2% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 3.6%7.1% for the ninesix months ended SeptemberJune 30, 2020,2021, can be attributed to a greater decrease in the value of gold futures contractsthe Japanese yen versus the U.S. dollar during the period ended SeptemberJune 30, 2021.2022.
 
195169

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(208,304  $(73,179  $(116,689  $(131,833
Management fee
   199,999    129,451    153,001    138,999 
Brokerage commission
   9,174    5,743 
Non-recurring
fees and expenses
   —      499 
Net realized gain (loss)
   (1,767,467   (12,041,690   9,100,314    2,857,659 
Change in net unrealized appreciation (depreciation)
   1,727,781    2,727,104    70,535    1,256,265 
Net Income (loss)
  $(247,990  $(9,387,765  $9,054,160   $3,982,091 
The Fund’s net income increased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to a greater decrease in the value of the futures pricesJapanese yen versus the U.S. dollar during the ninesix months ended SeptemberJune 30, 2021.
196

ProShares UltraShort Silver
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $28,885,775  $13,834,163 
NAV end of period
  $40,373,877  $51,055,675 
Percentage change in NAV
   39.8  269.1
Shares outstanding beginning of period
   1,041,744   129,244 
Shares outstanding end of period
   1,291,329   1,316,744 
Percentage change in shares outstanding
   24.0  918.8
Shares created
   3,750,000   3,025,000 
Shares redeemed
   3,500,415   1,837,500 
Per share NAV beginning of period
  $27.73  $107.04 
Per share NAV end of period
  $31.27  $38.77 
Percentage change in per share NAV
   12.8  (63.8)% 
Percentage change in benchmark
   (17.0)%   27.4
Benchmark annualized volatility
   33.0  48.6
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,291,329 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at December 31, 2019 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 63.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 17.0% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.
197

Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(279,779  $(122,284
Management fee
   248,539    147,262 
Brokerage commission
   19,409    16,460 
Non-recurring
fees and expenses
   —      321 
Net realized gain (loss)
   (2,146,577   (18,932,319
Change in net unrealized appreciation (depreciation)
   10,463,787    12,566,119 
Net Income (loss)
  $8,037,431   $(6,488,484
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.2022.
 
*
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 reverseforward Share split for ProShares UltraShort Silver.Yen.
198

ProShares UltraShort YenVIX Mid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
 
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
 
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $23,691,070  $38,132,320   $112,875,680  $72,075,095 
NAV end of period
  $23,328,922  $24,780,763   $95,721,271  $92,662,734 
Percentage change in NAV
   (1.5)%   (35.0)%    (15.2)%   28.6
Shares outstanding beginning of period
   349,290   499,290    3,687,403   1,962,403 
Shares outstanding end of period
   299,290   349,290    2,712,403   3,037,403 
Percentage change in shares outstanding
   (14.3)%   (30.0)%    (26.4)%   54.8
Shares created
   100,000   100,000    1,000,000   1,425,000 
Shares redeemed
   150,000   250,000    1,975,000   350,000 
Per share NAV beginning of period
  $67.83  $76.37   $30.61  $36.73 
Per share NAV end of period
  $77.95  $70.95   $35.29  $30.51 
Percentage change in per share NAV
   14.9  (7.1)%    15.3  (16.9)% 
Percentage change in benchmark
   (7.2)%   3.0   16.5  (16.4)% 
Benchmark annualized volatility
   5.2  10.2   34.9  30.8
During the ninesix months ended SeptemberJune 30, 2021,2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 349,2903,687,403 outstanding Shares at December 31, 20202021 to 299,2902,712,403 outstanding Shares at SeptemberJune 30, 2021.2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. S&P 500 VIX Mid-Term Futures Index.
By comparison, during the ninesix months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 349,290 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(186,478  $(73,411
Management fee
   196,036    209,105 
Non-recurring
fees and expenses
   —      717 
Net realized gain (loss)
   3,055,103    (1,847,423
Change in net unrealized appreciation (depreciation)
   1,066,333    (429,087
Net Income (loss)
  $3,934,958   $(2,349,921
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.
199

ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $72,075,095  $45,986,584 
NAV end of period
  $127,673,137  $101,957,520 
Percentage change in NAV
   77.1  121.7
Shares outstanding beginning of period
   1,962,403   2,162,403 
Shares outstanding end of period
   3,962,403   2,487,403 
Percentage change in shares outstanding
   101.9  15.0
Shares created
   2,625,000   2,250,000 
Shares redeemed
   625,000   1,925,000 
Per share NAV beginning of period
  $36.73  $21.27 
Per share NAV end of period
  $32.22  $40.99 
Percentage change in per share NAV
   (12.3)%   92.8
Percentage change in benchmark
   (11.4)%   94.3
Benchmark annualized volatility
   28.3  63.0
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended SeptemberJune 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,4033,037,403 outstanding Shares at SeptemberJune 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison,
170

For the six months ended June 30, 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 15.3% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.9% for the six months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2020,2022.
The benchmark’s rise of 16.5% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 16.4% for the six months ended June 30, 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(436,261  $(431,944
Management fee
   426,247    365,346 
Brokerage commission
   40,369    27,408 
Futures account fees
   46,394    57,763 
Net realized gain (loss)
   12,653,549    (10,866,226
Change in net unrealized appreciation (depreciation)
   3,518,835    (4,703,492
Net Income (loss)
  $15,736,123   $(16,001,662
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the six months ended June 30, 2022.
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
   
Six Months Ended

June 30, 2022
  
Six Months Ended

June 30, 2021
 
NAV beginning of period
  $269,703,164  $293,390,549 
NAV end of period
  $341,714,316  $272,352,675 
Percentage change in NAV
   26.7  (7.2)% 
Shares outstanding beginning of period
   17,832,826   5,331,579 
Shares outstanding end of period
   18,757,826   11,307,826 
Percentage change in shares outstanding
   5.2  112.1
Shares created
   18,125,000   10,256,250 
Shares redeemed
   17,200,000   4,280,003 
Per share NAV beginning of period
  $15.12  $55.03 
Per share NAV end of period
  $18.22  $24.09 
Percentage change in per share NAV
   20.4  (56.2)% 
Percentage change in benchmark
   21.6  (56.0)% 
Benchmark annualized volatility
   88.1  76.0
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 2,162,40317,832,826 outstanding Shares at December 31, 20192021 to 2,487,40318,757,826 outstanding Shares at SeptemberJune 30, 2020.2022.
For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 92.8% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 11.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 94.3% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended September 30, 2021.
 
200171

Net Income/Loss
The following table provides summary income information forBy comparison, during the Fund for the ninesix months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(694,100  $(290,253
Management fee
   586,702    391,147 
Brokerage commission
   48,211    51,973 
Net realized gain (loss)
   (14,890,359   21,708,785 
Change in net unrealized appreciation (depreciation)
   5,949,460    5,421,417 
Net Income (loss)
  $(9,634,999  $26,839,949 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.
201

ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $293,390,549  $279,792,503 
NAV end of period
  $368,777,333  $279,272,297 
Percentage change in NAV
   25.7  (0.2)% 
Shares outstanding beginning of period
   5,331,579   5,687,829 
Shares outstanding end of period
   16,257,826   3,400,329 
Percentage change in shares outstanding
   204.9  (40.2)% 
Shares created
   16,556,250   4,331,250 
Shares redeemed
   5,630,003   6,618,750 
Per share NAV beginning of period
  $55.03  $49.19 
Per share NAV end of period
  $22.68  $82.13 
Percentage change in per share NAV
   (58.8)%   67.0
Percentage change in benchmark
   (58.4)%   68.5
Benchmark annualized volatility
   73.8  112.9
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended SeptemberJune 30, 2021, the increasedecrease in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,687,829 outstanding Shares at December 31, 2019 to 3,400,329 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspondan increase from 5,331,579 outstanding Shares at December 31, 2020 to the daily performance of the S&P 500 VIX Short-Term Futures Index.11,307,826 outstanding Shares at June 30, 2021.
For the ninesix months ended SeptemberJune 30, 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 decreaseincrease of 58.8%20.4% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the Fund’s per Share NAV increasedecrease of 67.0%56.2% for the ninesix months ended SeptemberJune 30, 2020,2021, was primarily due to a depreciationappreciation in the value of the assets held by the Fund during the ninesix months ended SeptemberJune 30, 2021.2022.
The benchmark’s declinerise of 58.4%21.6% for the ninesix months ended SeptemberJune 30, 2021,2022, as compared to the benchmark’s risedecline of 68.5%56.0% for the ninesix months ended SeptemberJune 30, 2020,2021, 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 SeptemberJune 30, 2021.2022.
202

Net Income/Loss
The following table provides summary income information for the Fund for the ninesix months ended SeptemberJune 30, 20212022 and 2020:2021:
 
  
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
   
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
Net investment income (loss)
  $(3,019,972  $(1,057,822  $(1,804,892  $(2,122,386
Management fee
   2,154,874    1,584,861    1,479,408    1,494,823 
Brokerage commission
   365,013    311,826    287,656    267,497 
Futures account fees
   316,440    439,514 
Net realized gain (loss)
   (304,349,667   249,771,936    77,393,009    (252,481,234
Change in net unrealized appreciation (depreciation)
   27,729,790    16,589,740    33,152,396    (14,438,507
Net Income (loss)
  $(279,639,849  $265,303,854   $108,740,513   $(269,042,127
The Fund’s net income decreasedincreased for the ninesix months ended SeptemberJune 30, 20212022 as compared to the ninesix months ended SeptemberJune 30, 2020,2021, primarily due to a decreasean increase in the value of the futures prices during the ninesix months ended SeptemberJune 30, 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.
 
203172

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 SeptemberJune 30, 20212022 and 2020,2021, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of September 30, 2021 and 2020, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Futures Positions as of September 30, 2021
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)
  Short  December 2020   15   $1.17    125,000   $(2,200,406
The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $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 SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2022
Futures Positions as of June 30, 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
 
VIX Futures (Cboe)
  Short  October 2021   4,341   $22.87    1,000   $(99,269,120   Short   July 2022   3,652   $28.56    1,000   $(104,309,520
VIX Futures (Cboe)
  Short  November 2021   4,001    23.69    1,000    (94,767,286   Short   August 2022   3,346    29.18    1,000    (97,627,580
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional
Amount

at Value
 
VIX Futures (Cboe)
   Short   July 2021   8,517   $17.90    1,000   $(152,482,406
VIX Futures (Cboe)
   Short   August 2021   7,201    19.75    1,000    (142,210,389
204

Futures Positions as of SeptemberThe June 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Short  October 2020   2,972   $30.38    1,000   $(90,274,500
VIX Futures (Cboe)
  Short  November 2020   2,335    32.88    1,000    (76,763,125
The September 30,2022 and 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. 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 September 30, 2021 and 2020, 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 September 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Long  December 2021   5,657   $74.70    1,000   $422,577,900 
WTI Crude Oil (NYMEX)
  Long  June 2022   5,843    71.15    1,000    415,729,450 
WTI Crude Oil (NYMEX)
  Long  December 2022   6,063    67.70    1,000    410,465,100 
Swap Agreements as of September 30, 2021
Reference Index
  
Counterparty
  
Long or
Short
   
Index
Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.   Long   $63.6871   $143,554,545 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International   Long    63.6871    203,094,978 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
   Long    63.6871    248,642,399 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale   Long    63.6871    135,481,695 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG   Long    63.6871    201,694,052 
 
205173

ProShares Ultra Bloomberg Crude Oil:
Futures Positions
As of June 30, 2022 and 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
. The following tables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 2020
2022 and 2021, which were sensitive to commodity price risk.
 
                                                                                                                                                                  
Futures Positions as of June 30, 2022
Futures Positions as of June 30, 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
 
                      
WTI Crude Oil (NYMEX)
  Long  December 2020   19,296   $40.47    1,000   $780,909,120    Long   September 2022   2,204   $103.10    1,000   $227,232,400 
WTI Crude Oil (NYMEX)
  Long  June 2021   18,635    42.28    1,000    787,887,800    Long   December 2022   2,535    95.56    1,000    242,244,600 
WTI Crude Oil (NYMEX)
  Long  December 2021   18,385    43.12    1,000    792,761,200    Long   June 2023   2,688    87.62    1,000    235,522,560 
Swap Agreements as of September 30, 2020
 
Swap Agreements as of June 30, 2022
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
   
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
               
Bloomberg Commodity Balanced WTI Crude Oil Subindex
  Societe Generale   Long   $35.2114   $30,255,607 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.   Long   $95.7921   $215,921,141 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International   Long    95.7921    321,089,755 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
   Long    95.7921    373,984,332 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale   Long    95.7921    203,778,726 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG   Long    95.7921    303,369,078 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Long   September 2021   8,113   $72.77    1,000   $590,383,010 
WTI Crude Oil (NYMEX)
   Long   December 2021   8,603    70.13    1,000    603,328,390 
WTI Crude Oil (NYMEX)
   Long   June 2022   8,948    66.54    1,000    595,399,920 
174

Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.   Long   $60.4445   $54,331,869 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International   Long    60.4445    192,754,488 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
   Long    60.4445    249,583,741 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale   Long    60.4445    128,583,706 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG   Long    60.4445    191,424,891 
The SeptemberJune 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The SeptemberJune 30, 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 SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Long   September 2022   6,954   $5.39    10,000   $374,959,680 
 
                                 
                                 
                                 
                                 
                                 
                                 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
                      
Natural Gas (NYMEX)
  Long  November 2020   7,854   $2.53    10,000   $198,470,580    Long   September 2021   3,875   $3.62    10,000   $140,430,000 
The SeptemberJune 30, 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.
 
206175

ProShares Ultra Euro:
As of SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2021
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International   Long    07/08/22    4,532,921   1.0752   $4,873,797 
Euro
  UBS AG   Long    07/08/22    14,836,502   1.0632    15,774,356 
Euro
  UBS AG   Short    07/08/22    (1,446,000  1.0601   $(1,532,970
 
                                                                                                                                                            
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/08/21    3,388,921   1.1851   $4,016,217 
Euro
  UBS AG  Long   10/08/21    2,801,502   1.1849    3,319,491 
Euro
  Goldman Sachs International  Short   10/08/21    (93,000  1.1685    (108,671
Euro
  UBS AG  Short   10/08/21    (84,000  1.1726    (98,499
Foreign Currency Forward Contracts as of September 30, 2020
                                                                                                                                                            
Foreign Currency Forward Contracts as of June 30, 2021
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
 
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/09/20    3,440,921   1.1835   $4,072,330   Goldman Sachs International   Long    07/09/21    3,450,921   1.2118   $4,181,993 
Euro
  UBS AG  Long   10/09/20    6,830,302   1.1845    8,090,716   UBS AG   Long    07/09/21    4,235,502   1.2213    5,172,812 
Euro
  UBS AG  Short   10/09/20    (2,760,000  1.1801    (3,257,049  UBS AG   Short    07/09/21    (1,496,000  1.1883   $(1,777,623
The SeptemberJune 30, 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 SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
   
Expiration
   
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
   Long    August 2022    954   $1,807.30    100   $172,416,420 
 
                     
                     
                     
                     
                     
                     
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2021   856   $1,757.00    100   $150,399,200 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Long   $197.5387   $109,384,670 
Bloomberg Gold Subindex
  Goldman Sachs International   Long    197.5387    84,543,271 
Bloomberg Gold Subindex
  UBS AG   Long    197.5387    113,788,925 
Swap Agreements as of September 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $193.6583   $107,235,945 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   193.6583    92,669,240 
Bloomberg Gold Subindex
  UBS AG  Long   193.6583    111,553,685 
Futures Positions as of September 30, 2020
                     
                     
                     
                     
                     
                     
Futures Positions as of June 30, 2021
Futures Positions as of June 30, 2021
 
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
 
Gold Futures (COMEX)
  Long  December 2020   1,114   $1,895.50    100   $211,158,700    Long    August 2021    972   $1,771.60    100   $172,199,520 
 
207176

Swap Agreements as of September 30, 2020
Swap Agreements as of June 30, 2021
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
   
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $211.1862   $116,941,808   Citibank, N.A.   Long   $195.7033   $108,368,339 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   211.1862    101,056,679   Goldman Sachs International   Long    195.7033    93,647,812 
Bloomberg Gold Subindex
  UBS AG  Long   211.1862    121,650,344   UBS AG   Long    195.7033    112,731,674 
The SeptemberJune 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The SeptemberJune 30, 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 SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2022
Contract
  
Long or

Short
   
Expiration
   
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
   Long    September 2022    773   $20.35    5,000   $78,660,480 
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  December 2021   1,213   $22.05    5,000   $133,715,055 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Long   $182.7827   $153,262,171 
Bloomberg Silver Subindex
  Goldman Sachs International   Long    182.7827    177,466,859 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
   Long    182.7827    168,307,407 
Bloomberg Silver Subindex
  UBS AG   Long    182.7827    134,298,894 
Swap Agreements as of September 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $200.3035   $219,572,067 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   200.3035    219,657,055 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Long   200.3035    204,665,509 
Bloomberg Silver Subindex
  UBS AG  Long   200.3035    182,787,599 
Futures Positions as of September 30, 2020
Futures Positions as of June 30, 2021
Futures Positions as of June 30, 2021
 
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
 
Silver Futures (COMEX)
  Long  December 2020   3,288   $23.49    5,000   $386,241,359    Long    September 2021    2,217   $26.19    5,000   $290,360,490 
 
208177

Swap Agreements as of September 30, 2020
                                                                                    
Swap Agreements as of June 30, 2021
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
   
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $215.9803   $257,181,535   Citibank, N.A.   Long   $238.4964   $310,326,474 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   215.9803    223,086,085   Goldman Sachs International   Long    238.4964    261,540,197 
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Long   215.9803    205,360,117   Morgan Stanley & Co.
International PLC
   Long    238.4964    243,690,136 
Bloomberg Silver Subindex
  UBS AG  Long   215.9803    169,907,857   UBS AG   Long    238.4964    217,640,652 
The SeptemberJune 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The SeptemberJune 30, 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 SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2021
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2021   32,595   $22.87    1,000   $745,375,941 
VIX Futures (Cboe)
  Long  November 2021   30,104    23.69    1,000    713,040,334 
Swap Agreements as of September 30, 2021
                                                                                                                
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs International  Long  $27.8300   $73,401,625 
Futures Positions as of September 30, 2020
Futures Positions as of June 30, 2022
Futures Positions as of June 30, 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
 
VIX Futures (Cboe)
  Long  October 2020   34,258   $30.38    1,000   $1,040,586,750    Long   July 2022   26,481   $28.56    1,000   $756,358,266 
VIX Futures (Cboe)
  Long  November 2020   26,919    32.88    1,000    884,962,125    Long   August 2022   24,277    29.18    1,000    708,339,740 
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
   
Expiration
   
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long    July 2021    34,175   $17.90    1,000   $611,845,278 
VIX Futures (Cboe)
   Long    August 2021    28,926    19.75    1,000    571,250,896 
209

Swap Agreements as of September 30, 2020
 
Swap Agreements as of June 30, 2021
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount

at Value
   
Counterparty
   
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  Goldman Sachs & Co.  Long  $25.0468   $38,626,764    Goldman Sachs & Co.    Long   $29.4600   $77,700,750 
The SeptemberJune 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The SeptemberJune 30, 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
178

subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Yen:
As of SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2021
   
Foreign Currency Forward Contracts as of June 30, 2022
        
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International   Long    07/08/22    333,241,517   0.007476   $2,491,153 
Yen
  UBS AG   Long    07/08/22    1,080,855,856   0.007414    8,013,151 
Yen
  UBS AG   Short    07/08/22    (54,170,000  0.007409   $(401,369
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/08/21    327,930,517   0.009089   $2,980,604 
Yen
  UBS AG  Long   10/08/21    253,562,756   0.009086    2,303,860 
Yen
  Goldman Sachs International  Short   10/08/21    (6,319,000  0.008956    (56,590
Yen
  UBS AG  Short   10/08/21    (10,090,000  0.009078    (91,593
Foreign Currency Forward Contracts as of September 30, 2020
  
Foreign Currency Forward Contracts as of June 30, 2021
       
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/09/20    332,532,517   0.009418   $3,131,929   Goldman Sachs International   Long    07/09/21    336,192,517   0.009125   $3,067,633 
Yen
  UBS AG  Long   10/09/20    278,602,756   0.009425    2,625,726   UBS AG   Long    07/09/21    246,112,756   0.009124    2,245,458 
Yen
  UBS AG  Short   10/09/20    (2,680,000  0.009488    (25,429  UBS AG   Short    07/09/21    (13,400,000  0.009047   $(121,227
The SeptemberJune 30, 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.
210

ProShares UltraShort Australian Dollar:Bloomberg Crude Oil:
As of SeptemberJune 30, 20212022 and 2020,2021, the ProShares UltraShort Australian DollarBloomberg Crude Oil Fund was exposed to inverse exchange ratecommodity price risk through its holdingsholding of AUD/USD foreign currencyCrude Oil futures contracts. The following table providestables provide information about the Fund’s positions in these Financial Instruments as of SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to exchange ratecommodity price risk.
Futures Positions as
179

Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short   September 2022   3,134   $103.10    1,000   $(323,115,400
WTI Crude Oil (NYMEX)
   Short   December 2022   3,605    95.56    1,000    (344,493,800
WTI Crude Oil (NYMEX)
   Short   June 2023   3,824    87.62    1,000    (335,058,880
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)
  Short  December 2020   145   $71.63    1,000   $(10,386,350
WTI Crude Oil (NYMEX)
   Short   September 2021   720   $72.77    1,000   $(52,394,400
WTI Crude Oil (NYMEX)
   Short   December 2021   764    70.13    1,000    (53,579,320
WTI Crude Oil (NYMEX)
   Short   June 2022   794    66.54    1,000    (52,832,760
The SeptemberJune 30, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. TheThese short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Crude Oil:
As of September 30, 2021 and 2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Short  December 2021   848   $74.70    1,000   $(63,345,600
WTI Crude Oil (NYMEX)
  Short  June 2022   876    71.15    1,000    (62,327,400
WTI Crude Oil (NYMEX)
  Short  December 2022   909    67.70    1,000    (61,539,300
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
  Short  December 2020   1,314   $40.47    1,000   $(53,177,580
WTI Crude Oil (NYMEX)
  Short  June 2021   1,269    42.28    1,000    (53,653,320
WTI Crude Oil (NYMEX)
  Short  December 2021   1,252    43.12    1,000    (53,986,240
211

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 2021 and 2020 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Natural Gas:
As of SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short   September 2022   7,871   $5.39    10,000   $(424,404,320
 
Futures Positions as of June 30, 2021
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Short  November 2021   4,720   $5.87    10,000   $(276,922,400   Short   September 2021   5,382   $3.62    10,000   $(195,043,680
Futures Positions as of SeptemberThe June 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Short  November 2020   3,715   $2.53    10,000   $(93,878,050
The September 30,2022 and 2021 and 2020 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent
180

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 SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International   Long    07/08/22    12,080,000   1.0563   $12,760,213 
Euro
  UBS AG   Long    07/08/22    12,060,000   1.0551    12,724,426 
Euro
  Goldman Sachs International   Short    07/08/22    (51,635,263  1.0740   $(55,457,155
Euro
  UBS AG   Short    07/08/22    (91,489,199  1.0702    (97,911,917
212

Foreign Currency Forward Contracts as of September 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  UBS AG  Long   10/08/21    5,650,000   1.1862   $6,702,072 
Euro
  Goldman Sachs International  Short   10/08/21    (39,458,263  1.1837    (46,708,330
Euro
  UBS AG  Short   10/08/21    (49,895,199  1.1841    (59,081,294
Foreign Currency Forward Contracts as of September 30, 2020
Foreign Currency Forward Contracts as of June 30, 2021
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
   
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/09/20    3,698,000   1.1727   $4,336,534   Goldman Sachs International   Long    07/09/21    950,000   1.2101   $1,149,583 
Euro
  UBS AG  Long   10/09/20    6,700,000   1.1787    7,897,485   UBS AG   Long    07/09/21    2,380,000   1.2022    2,861,261 
Euro
  Goldman Sachs International  Short   10/09/20    (41,689,263  1.1835    (49,339,243  Goldman Sachs International   Short    07/09/21    (37,911,263  1.2211   $(46,293,004
Euro
  UBS AG  Short   10/09/20    (85,627,199  1.1818    (101,193,803  UBS AG   Short    07/09/21    (47,835,199  1.2168    (58,206,953
The SeptemberJune 30, 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.
181

ProShares UltraShort Gold:
As of SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $193.6583   $(14,518,233
Bloomberg Gold Subindex
  Goldman Sachs International  Short   193.6583    (9,497,933
Bloomberg Gold Subindex
  UBS AG  Short   193.6583    (11,357,509
Futures Positions as of September 30, 2020
Futures Positions as of June 30, 2022
Futures Positions as of June 30, 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
 
Gold Futures (COMEX)
  Short  December 2020   111   $1,895.50    100   $(21,040,050   Short    August 2022    184   $1,807.30    100   $(33,254,320
 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $197.5387   $(14,809,140
Bloomberg Gold Subindex
  Goldman Sachs International   Short    197.5387    (9,688,247
Bloomberg Gold Subindex
  UBS AG   Short    197.5387    (11,585,084
213

Swap Agreements as of September 30, 2020
 
                                                                                                                    
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $211.1862   $(10,138,690
Bloomberg Gold Subindex
  Goldman Sachs International  Short   211.1862    (8,325,763
Bloomberg Gold Subindex
  UBS AG  Short   211.1862    (14,773,987
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
   
Expiration
   
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
   Short    August 2021    169   $1,771.60    100   $(29,940,040
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.   Short   $195.7033   $(14,671,543
Bloomberg Gold Subindex
  Goldman Sachs International   Short    195.7033    (9,598,230
Bloomberg Gold Subindex
  UBS AG   Short    195.7033    (11,477,443
The SeptemberJune 30, 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 SeptemberJune 30, 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.
182

ProShares UltraShort Silver:
As of SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2021
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2021   380   $22.05    5,000   $(41,889,300
Swap Agreements as of September 30, 2021
                                                                                    
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $200.3035   $(7,432,206
Bloomberg Silver Subindex
  Goldman Sachs International  Short   200.3035    (9,839,512
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Short   200.3035    (7,779,988
Bloomberg Silver Subindex
  UBS AG  Short   200.3035    (13,786,912
Futures Positions as of September 30, 2020
Futures Positions as of June 30, 2022
Futures Positions as of June 30, 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
 
Silver Futures (COMEX)
  Short  December 2020   296   $23.49    5,000   $(34,771,120   Short   September 2022   445   $20.35    5,000   $(45,283,200
 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Short   $182.7827   $(2,464,774
Bloomberg Silver Subindex
  Goldman Sachs International   Short    182.7827    (8,978,838
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
   Short    182.7827    (7,099,463
Bloomberg Silver Subindex
  UBS AG   Short    182.7827    (2,270,181
214

Swap Agreements as of September 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $215.9803   $(26,820,589
Bloomberg Silver Subindex
  Goldman Sachs International  Short   215.9803    (22,073,190
Bloomberg Silver Subindex
  Morgan Stanley & Co. International PLC  Short   215.9803    (4,366,690
Bloomberg Silver Subindex
  UBS AG  Short   215.9803    (14,081,291
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
   Short   September 2021   179   $26.19    5,000   $(23,443,630
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
   
Index Close
   
Notional Amount

at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.   Short   $238.4964   $(8,849,343
Bloomberg Silver Subindex
  Goldman Sachs International   Short    238.4964    (11,715,662
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
   Short    238.4964    (9,263,439
Bloomberg Silver Subindex
  UBS AG   Short    238.4964    (16,415,733
The SeptemberJune 30, 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 SeptemberJune 30, 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 short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
183

ProShares UltraShort Yen:
As of SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2021
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  UBS AG  Long   07/08/22    1,505,180,000   0.007476   $11,252,838 
Yen
  Goldman Sachs International  Short   07/08/22    (1,658,463,165  0.007476   $(12,389,197
Yen
  UBS AG  Short   07/08/22    (12,207,008,574  0.007451    (90,956,530
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/08/21    32,600,000   0.009147   $298,181 
Yen
  UBS AG  Long   10/08/21    373,110,000   0.009098    3,394,710 
Yen
  Goldman Sachs International  Short   10/08/21    (1,558,854,165  0.009077    (14,149,247
Yen
  UBS AG  Short   10/08/21    (4,049,118,875  0.009085    (36,785,074
Foreign Currency Forward Contracts as of September 30, 2020
Foreign Currency Forward Contracts as of June 30, 2021
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
   
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
 
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/09/20    23,643,000   0.009483   $224,207   Goldman Sachs International  Long   07/09/21    995,120,000   0.009133   $9,088,259 
Yen
  UBS AG  Long   10/09/20    223,810,000   0.009506    2,127,624   UBS AG  Long   07/09/21    152,800,000   0.009096    1,389,896 
Yen
  Goldman Sachs International  Short   10/09/20    (2,032,728,165  0.009418    (19,145,073  Goldman Sachs International  Short   07/09/21    (2,069,325,165  0.009121   $(18,874,773
Yen
  UBS AG  Short   10/09/20    (3,439,162,875  0.009426    (32,416,476  UBS AG  Short   07/09/21    (5,125,948,875  0.009118    (46,736,956
The SeptemberJune 30, 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.
215

ProShares VIX
Mid-Term
Futures ETF
As of SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2021
 
Futures Positions as of June 30, 2022
Futures Positions as of June 30, 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
 
VIX Futures (Cboe)
  Long  January 2022   872   $24.80    1,000   $21,626,210    Long   October 2022   569   $29.78    1,000   $16,944,251 
VIX Futures (Cboe)
  Long  February 2022   1,677    25.23    1,000    42,304,841    Long   November 2022   1,089    29.52    1,000    32,144,884 
VIX Futures (Cboe)
  Long  March 2022   1,677    25.66    1,000    43,023,603    Long   December 2022   1,090    28.81    1,000    31,400,611 
VIX Futures (Cboe)
  Long  April 2022   804    25.83    1,000    20,765,953    Long   January 2023   521    29.60    1,000    15,420,610 
Futures Positions as of September 30, 2020
 
Futures Positions as of June 30, 2021
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  January 2021   652   $29.88    1,000   $19,478,500    Long   October 2021   747   $21.85    1,000   $16,325,237 
VIX Futures (Cboe)
  Long  February 2021   1,165    29.40    1,000    34,251,000    Long   November 2021   1,379    22.26    1,000    30,695,161 
VIX Futures (Cboe)
  Long  March 2021   1,165    28.93    1,000    33,697,625    Long   December 2021   1,379    22.38    1,000    30,859,951 
VIX Futures (Cboe)
  Long  April 2021   512    28.38    1,000    14,528,000    Long   January 2022   632    23.38    1,000    14,775,781 
184

The SeptemberJune 30, 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 SeptemberJune 30, 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 SeptemberJune 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long   July 2022   6,185   $28.56    1,000   $176,657,825 
VIX Futures (Cboe)
   Long   August 2022   5,672    29.18    1,000    165,494,213 
216

Futures Positions as of September 30, 2021
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
   
Long or

Short
   
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2020   4,979   $30.38    1,000   $151,237,125    Long   July 2021   7,861   $17.90    1,000   $140,737,841 
VIX Futures (Cboe)
  Long  November 2020   3,912    32.88    1,000    128,607,000    Long   August 2021   6,655    19.75    1,000    131,427,599 
The SeptemberJune 30, 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.
 
217185

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) *0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).
218

Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect
186

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) *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,
(-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 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.
 
219187

Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended SeptemberJune 30, 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.
 
220188

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
The Sponsor and
As of June 30, 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.
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.
 
221189

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 performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the
COVID-19
pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
 
222190

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.
 
223191

Title of Securities
Registered
  
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
ProShares Short Euro
          
Common Units of Beneficial Interest
  $35,191,282    —     $—      —     $—   
Title of Securities Registered*
  
Shares Sold For the
Three Months Ended
June 30, 2022
   
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2022
   
Shares Sold For the
Six Months Ended
June 30, 2022
   
Sale Price of Shares
Sold For the Six Months
Ended June 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
                  
Common Units of Beneficial Interest
  $1,389,373,514    550,000   $30,777,084    3,400,000   $150,390,026    1,600,000   $75,921,860    4,600,000   $232,437,331 
ProShares Ultra Bloomberg Crude Oil
                  
Common Units of Beneficial Interest
  $1,385,606,139    950,000   $62,865,806    4,350,000   $240,118,659    1,700,000   $72,419,653    10,300,000   $402,736,686 
ProShares Ultra Bloomberg Natural Gas
                  
Common Units of Beneficial Interest
  $548,831,164    1,150,000   $79,122,213    5,200,000   $169,309,627    6,500,000   $549,486,344    9,100,000   $637,366,699 
ProShares Ultra Euro
                  
Common Units of Beneficial Interest
  $12,965,765    —     $—      100,000   $1,488,793    450,000   $5,052,555    550,000   $6,368,822 
ProShares Ultra Gold
                  
Common Units of Beneficial Interest
  $437,056,102    250,000   $14,836,141    1,250,000   $75,112,671    100,000   $6,573,039    1,600,000   $102,257,715 
ProShares Ultra Silver
                  
Common Units of Beneficial Interest
  $382,208,757    1,050,000   $38,538,861    4,450,000   $205,312,655    800,000   $26,625,358    1,800,000   $65,659,299 
ProShares Ultra VIX Short-Term Futures ETF
                  
Common Units of Beneficial Interest
  $6,664,421,573    37,800,000   $923,628,398    70,385,000   $3,297,406,475    58,400,000   $799,757,076    141,500,000   $1,971,472,943 
ProShares Ultra Yen
                  
Common Units of Beneficial Interest
  $21,407,176    —     $—      —     $—      100,000   $3,539,333    100,000   $3,539,333 
ProShares UltraShort Australian Dollar
          
Common Units of Beneficial Interest
  $51,054,751    50,000   $2,373,262    50,000   $2,373,262 
ProShares UltraShort Bloomberg Crude Oil
                  
Common Units of Beneficial Interest
  $447,139,262    3,350,000   $56,590,239    7,237,500   $164,074,678    12,320,000   $278,861,920    27,890,000   $788,890,799 
ProShares UltraShort Bloomberg Natural Gas
          
ProShares UltraShort Bloomberg Natural Gas
*
        
Common Units of Beneficial Interest
  $1,546,810,909    20,500,000   $210,189,776    28,050,000   $446,153,207    18,700,000   $489,076,501    23,340,000   $944,035,742 
ProShares UltraShort Euro
                  
Common Units of Beneficial Interest
  $115,002,443    100,000   $2,387,142    300,000   $7,000,386    500,000   $14,656,401    550,000   $16,028,063 
ProShares UltraShort Gold
                  
Common Units of Beneficial Interest
  $75,106,370    650,000   $21,916,482    1,700,000   $59,279,388    700,000   $20,554,617    1,150,000   $33,744,566 
 
224192

Title of Securities
Registered
  
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
Title of Securities Registered*
  
Shares Sold For the
Three Months Ended
June 30, 2022
   
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2022
   
Shares Sold For the
Six Months Ended
June 30, 2022
   
Sale Price of Shares
Sold For the Six Months
Ended June 30, 2022
 
ProShares UltraShort Silver
                  
Common Units of Beneficial Interest
  $316,715,689    1,000,000   $26,169,229    3,750,000   $91,351,542    700,000   $17,707,417    1,800,000   $43,267,561 
ProShares UltraShort Yen
                  
Common Units of Beneficial Interest
  $114,882,391    —     $—      100,000   $7,132,412    650,000   $34,515,397    850,000   $44,120,719 
ProShares VIX
Mid-Term
Futures ETF
                  
Common Units of Beneficial Interest
  $269,455,873    1,200,000   $37,425,551    2,625,000   $87,035,790    300,000   $10,043,451    1,000,000   $32,179,053 
ProShares VIX Short-Term Futures ETF
                  
Common Units of Beneficial Interest
  $1,884,359,393    6,300,000   $142,476,815    16,556,250   $593,853,539    8,175,000   $141,195,554    18,125,000   $302,368,469 
  
 
   
 
   
 
   
 
   
 
   
 
   
 
   
 
   
 
 
Total Trust:
  
$
15,697,588,553
 
  
 
74,900,000
 
  
$
1,649,296,999
 
  
 
149,503,750
 
  
$
5,597,393,110
 
  
 
111,695,000
 
  
$
2,545,986,476
 
  
 
244,255,000
 
  
$
5,626,473,800
 
*
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.
Item 5. Other Information.
None.
 
225193

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
  XBRL Instance Document (1)
101.SCH
  XBRL Taxonomy Extension Schema (1)
101.CAL
  XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF
  XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB
  XBRL Taxonomy Extension Label Linkbase (1)
101.PRE
  XBRL Taxonomy Extension Presentation Linkbase (1)
104.1
  Cover Page Interactive Data File - 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.
 
(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.
 
226194

Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 5, 2021August 9, 2022
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 5, 2021August 9, 2022
 
227195