0001415311 ck0001415311:ProsharesVixMidTermFuturesEtfMemberProsharesUltraShortSilverMember us-gaap:USGovernmentAgenciesShorttermDebtSecuritiesMember 2020-07-01 2020-09-30PrivatePlacementMember 2022-01-01 2022-09-30
Table of Contents
 
 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM
10-Q
 
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2021.
for the quarterly period ended September 30, 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)
497-6400
(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, 2021,31
, 2022, the registrant had
165,148,980 183,944,037 shares of common stock, $0 par value per share, outstanding.
 
 
 



2
Part I. FINANCIAL INFORMATION
PROSHARES SHORT EUROVIX SHORT-TERM FUTURES ETF
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 
           
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $136,764,766 and $147,851,244, respectively)
  $136,590,474   $147,815,719 
Cash
   20,797,038    44,359,519 
Segregated cash balances with brokers for futures contracts
   89,792,144    138,651,465 
Receivable on open futures contracts
   77,902,927    99,544,338 
Interest receivable
   234,601    2,868 
   
 
 
   
 
 
 
Total assets
   325,317,184    430,373,909 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      6,125,130 
Payable on open futures contracts
   2,882,905    —   
Brokerage commissions and futures account fees payable
   8,444    104,312 
Payable to Sponsor
   588,662    331,873 
Non-recurring
fees and expenses payable
   6,122    —   
   
 
 
   
 
 
 
Total liabilities
   3,486,133    6,561,315 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   321,831,051    423,812,594 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $325,317,184   $430,373,909 
   
 
 
   
 
 
 
Shares outstanding
   6,634,307    6,884,307 
   
 
 
   
 
 
 
Net asset value per share
  $48.51   $61.56 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $48.59   $61.55 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
4

PROSHARES SHORT EURO2
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

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
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $129,993,650 and $69,998,727, respectively)  $129,992,467   $69,999,639 
Cash   57,127,931    132,392,153 
Segregated cash balances with brokers for futures contracts   130,619,573    134,187,067 
Receivable on open futures contracts   71,173,354    74,226,825 
Interest receivable   1,773    4,384 
           
Total assets   388,915,098    410,810,068 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   0      996,159 
Brokerage commissions and futures account fees payable   85,856    114,522 
Payable to Sponsor   304,044    326,566 
Non-recurring
fees and expenses payable
   1,353    1,353 
           
Total liabilities   391,253    1,438,600 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   388,523,845    409,371,468 
           
Total liabilities and shareholders’ equity  $388,915,098   $410,810,068 
           
Shares outstanding   7,134,307    9,884,307 
           
Net asset value per share  $54.46   $41.42 
           
Market value per share (Note 2)  $54.39   $41.44 
           
See accompanying notes to financial statements.
9

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 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
          
(42% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $77,000,000   $76,818,657 
2.682% due 11/17/22
   50,000,000    49,820,000 
3.026% due 12/01/22
   10,000,000    9,951,817 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $136,764,766)
       $136,590,474 
        
 
 
 
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 October 2022
   3,083   $97,163,828   $(12,969,545
VIX Futures - Cboe, expires November 2022
   2,052    63,759,128    (3,296,473
             
 
 
 
             $(16,266,018
             
 
 
 
 
^^
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,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $8,152  $53,301  $75,729  $909,185 
                  
Expenses
                 
Management fee   1,055,823   1,116,999   3,415,545   3,592,232 
Brokerage commissions   208,885   167,648   638,744   585,356 
Futures account fees   209,717   291,350   795,836   752,869 
Non-recurring
fees and expenses
   —     22,038   —     22,038 
                  
Total expenses   1,474,425   1,598,035   4,850,125   4,952,495 
                  
Net investment income (loss)   (1,466,273  (1,544,734  (4,774,396  (4,043,310
                  
Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on
                 
Futures contracts   34,573,906   60,593,315   168,120,340   (129,091,526
Short-term U.S. government and agency obligations   (1,303  (10  (1,303  (768
                  
Net realized gain (loss)   34,572,603   60,593,305   168,119,037   (129,092,294
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (43,362,244  (1,463,210  (14,530,761  (2,706,204
Short-term U.S. government and agency obligations   12,400   (189  (2,095  (2,866
                  
Change in net unrealized appreciation (depreciation)   (43,349,844  (1,463,399  (14,532,856  (2,709,070
                  
Net realized and unrealized gain (loss)   (8,777,241  59,129,906   153,586,181   (131,801,364
                  
Net income (loss)
  $(10,243,514 $57,585,172  $148,811,785  $(135,844,674
                  
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $1,006,499  $8,152  $1,325,976  $75,729 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   914,054   1,055,823   2,934,952   3,415,545 
Brokerage commissions
   152,661   208,885   517,911   638,744 
Futures account fees
   23,966   209,717   348,217   795,836 
Non-recurring
fees and expenses
   6,122   —     6,122   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,096,803   1,474,425   3,807,202   4,850,125 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (90,304  (1,466,273  (2,481,226  (4,774,396
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   27,694,574   34,573,906   (26,435,234  168,120,340 
Short-term U.S. government and agency obligations
   —     (1,303  (86,512  (1,303
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   27,694,574   34,572,603   (26,521,746  168,119,037 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (17,783,632  (43,362,244  (47,541,296  (14,530,761
Short-term U.S. government and agency obligations
   313,442   12,400   (138,767  (2,095
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (17,470,190  (43,349,844  (47,680,063  (14,532,856
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   10,224,384   (8,777,241  (74,201,809  153,586,181 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $10,134,080  $(10,243,514 $(76,683,035 $148,811,785 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
11
4

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $403,644,956  $588,615,946  $423,812,594  $409,371,468 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 450,000, 550,000, 5,050,000 and 3,400,000 shares, respectively
   23,538,063   30,777,084   255,975,394   150,390,026 
Redemption of 2,200,000, 4,000,000, 5,300,000 and 6,150,000 shares, respectively
   (115,486,048  (220,625,671  (281,273,902  (320,049,434
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (1,750,000), (3,450,000), (250,000) and (2,750,000) shares, respectively
   (91,947,985  (189,848,587  (25,298,508  (169,659,408
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (90,304  (1,466,273  (2,481,226  (4,774,396
Net realized gain (loss)
   27,694,574   34,572,603   (26,521,746  168,119,037 
Change in net unrealized appreciation (depreciation)
   (17,470,190  (43,349,844  (47,680,063  (14,532,856
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   10,134,080   (10,243,514  (76,683,035  148,811,785 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $321,831,051  $388,523,845  $321,831,051  $388,523,845 
   
 
 
  
 
 
  
 
 
  
 
 
 
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,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $148,811,785  $(135,844,674
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (411,950,977  (509,581,499
Proceeds from sales or maturities of short-term U.S. government and agency obligations   351,997,423   446,998,196 
Net amortization and accretion on short-term U.S. government and agency obligations   (42,672  (466,825
Net realized gain (loss) on investments   1,303   768 
Change in unrealized appreciation (depreciation) on investments   2,095   2,866 
Decrease (Increase) in receivable on futures contracts   3,053,471   (38,580,764
Decrease (Increase) in interest receivable   2,611   120,515 
Increase (Decrease) in payable to Sponsor   (22,522  86,957 
Increase (Decrease) in brokerage commissions and futures account fees payable   (28,666  92,881 
Increase (Decrease) in payable on futures contracts   (996,159  1,344,400 
          
Net cash provided by (used in) operating activities   90,827,692   (235,827,179
          
Cash flow from financing activities
         
Proceeds from addition of shares   150,390,026   914,411,669 
Payment on shares redeemed   (320,049,434  (697,482,198
          
Net cash provided by (used in) financing activities   (169,659,408  216,929,471 
          
Net increase (decrease) in cash
   (78,831,716  (18,897,708
Cash, beginning of period   266,579,220   167,544,087 
          
Cash, end of period  $187,747,504  $148,646,379 
          
   
Nine Months Ended

September 30,
 
   
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(76,683,035 $148,811,785 
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
   (1,119,341,677  (411,950,977
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,130,832,801   351,997,423 
Net amortization and accretion on short-term U.S. government and agency obligations
   (491,158  (42,672
Net realized (gain) loss on investments
   86,512   1,303 
Change in unrealized (appreciation) depreciation on investments
   138,767   2,095 
Decrease (Increase) in receivable on open futures contracts
   21,641,411   3,053,471 
Decrease (Increase) in interest receivable
   (231,733  2,611 
Increase (Decrease) in payable to Sponsor
   256,789   (22,522
Increase (Decrease) in brokerage commissions and futures account fees payable
   (95,868  (28,666
Increase (Decrease) in payable on open futures contracts
   2,882,905   (996,159
Increase (Decrease) in
non-recurring
fees and expenses payable
   6,122   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (40,998,164  90,827,692 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   255,975,394   150,390,026 
Payment on shares redeemed
   (287,399,032  (320,049,434
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (31,423,638  (169,659,408
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (72,421,802  (78,831,716
Cash, beginning of period
   183,010,984   266,579,220 
   
 
 
  
 
 
 
Cash, end of period
  $110,589,182  $187,747,504 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
13
6

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

(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $834,947,719 and $219,996,153, respectively)  $834,942,326   $219,998,394 
Cash   59,467,995    491,732,847 
Segregated cash balances with brokers for futures contracts   140,365,174    175,526,749 
Unrealized appreciation on swap agreements   70,885,762    18,242,195 
Receivable on open futures contracts   2,775,359    1,611,608 
Interest receivable   14,763    21,388 
           
Total assets   1,108,451,379    907,133,181 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   16,894,746    3,627,934 
Brokerage commissions and futures account fees payable   21,834    —   
Payable to Sponsor   856,541    728,955 
Non-recurring
fees and expenses payable
   64,542    37,042 
           
Total liabilities   17,837,663    4,393,931 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   1,090,613,716    902,739,250 
           
Total liabilities and shareholders’ equity  $1,108,451,379   $907,133,181 
           
Shares outstanding   12,910,774    24,810,774 
           
Net asset value per share  $84.47   $36.38 
           
Market value per share (Note 2)  $84.22   $36.27 
           
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $535,375,763 and $848,800,309, respectively)
  $535,064,695   $848,757,567 
Cash
   130,593,006    86,582,912 
Segregated cash balances with brokers for futures contracts
   55,730,479    130,704,477 
Segregated cash balances with brokers for swap agreements
   146,636,745    —   
Unrealized appreciation on swap agreements
   —      63,928,293 
Receivable on open futures contracts
   891,736    —   
Interest receivable
   320,767    3,523 
   
 
 
   
 
 
 
Total assets
   869,237,428    1,129,976,772 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   16,409,207    —   
Payable on open futures contracts
   2,911,771    25,317,560 
Brokerage commissions and futures account fees payable
   6,468    24,677 
Payable to Sponsor
   1,344,783    850,965 
Unrealized depreciation on swap agreements
   123,956,198    —   
Non-recurring
fees and expenses payable
   13,739    —   
   
 
 
   
 
 
 
Total liabilities
   144,642,166    26,193,202 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   724,595,262    1,103,783,570 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $869,237,428   $1,129,976,772 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   27,643,096    51,243,096 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $26.21   $21.54 
   
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $26.26   $21.70 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
14
7

PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 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
          
(74% of shareholders’ equity)
          
Federal Home Loan Discount Notes
^^
:
          
3.900% due 10/03/22
  $200,000,000   $199,971,110 
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
   50,000,000    49,989,230 
0.637% due 11/03/22
   181,000,000    180,573,727 
2.682% due 11/17/22
   30,000,000    29,892,000 
3.026% due 12/01/22
   75,000,000    74,638,628 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $535,375,763)
       $535,064,695 
        
 
 
 
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 December 2022
   1,450   $114,144,000   $14,409,192 
WTI Crude Oil - NYMEX, expires June 2023
   1,535    112,055,000    (9,187,751
WTI Crude Oil - NYMEX, expires December 2023
   1,610    112,152,600    (9,069,369
             
 
 
 
             $(3,847,928
             
 
 
 
Total Return Swap Agreements
^
 
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

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

Total
Unrealized
Appreciation
 
 
 
  $70,885,762 
          
   
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  10/06/22   $175,709,387   $(19,603,867
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35   10/06/22    218,463,160    (24,373,900
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35   10/06/22    304,335,914    (33,954,709
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.25   10/06/22    165,828,296    (18,489,319
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.30   10/06/22    246,871,587    (27,534,403
                 
 
 
 
             Total Unrealized
Depreciation
 
 
  $(123,956,198
                 
 
 
 
 
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 September 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,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $86,370  $50,356  $365,778  $1,817,563 
                  
Expenses
                 
Management fee   2,775,351   3,210,517   8,104,728   6,887,044 
Brokerage commissions   198,498   600,233   701,710   1,744,115 
Futures account fees   215,514   635,311   632,199   1,172,060 
Non-recurring
fees and expenses
   27,500   24,637   27,500   24,637 
                  
Total expenses   3,216,863   4,470,698   9,466,137   9,827,856 
                  
Net investment income (loss)   (3,130,493  (4,420,342  (9,100,359  (8,010,293
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   92,637,432   294,310,497   539,758,995   174,272,485 
Swap agreements   13,693,131   (8,356,234  221,428,455   (1,065,452,045
Short-term U.S. government and agency obligations   (4,742  —     (4,742  159,318 
                  
Net realized gain (loss)   106,325,821   285,954,263   761,182,708   (891,020,242
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   (48,048,297  (222,585,432  123,440,274   127,961,958 
Swap agreements   31,138,258   (10,038,323  52,643,567   (21,814,590
Short-term U.S. government and agency obligations   31,451   (6,531  (7,634  (20,469
                  
Change in net unrealized appreciation (depreciation)   (16,878,588  (232,630,286  176,076,207   106,126,899 
                  
Net realized and unrealized gain (loss)   89,447,233   53,323,977   937,258,915   (784,893,343
                  
Net income (loss)
  $86,316,740  $48,903,635  $928,158,556  $(792,903,636
                  
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $2,391,191  $86,370  $3,964,082  $365,778 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   2,118,088   2,775,351   8,301,804   8,104,728 
Brokerage commissions
   85,906   198,498   421,657   701,710 
Futures account fees
   19,466   215,514   381,754   632,199 
Non-recurring
fees and expenses
   13,739   27,500   13,739   27,500 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   2,237,199   3,216,863   9,118,954   9,466,137 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   153,992   (3,130,493  (5,154,872  (9,100,359
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (58,028,223  92,637,432   452,879,319   539,758,995 
Swap agreements
   (286,550,709  13,693,131   365,260,911   221,428,455 
Short-term U.S. government and agency obligations
   —     (4,742  (7,789  (4,742
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (344,578,932  106,325,821   818,132,441   761,182,708 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (62,302,727  (48,048,297  (151,303,453  123,440,274 
Swap agreements
   28,330,957   31,138,258   (187,884,491  52,643,567 
Short-term U.S. government and agency obligations
   723,596   31,451   (268,326  (7,634
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (33,248,174  (16,878,588  (339,456,270  176,076,207 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (377,827,106  89,447,233   478,676,171   937,258,915 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(377,673,114 $86,316,740  $473,521,299  $928,158,556 
   
 
 
  
 
 
  
 
 
  
 
 
 
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,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $1,303,530,902  $1,508,661,459  $902,739,250  $309,844,582 
                  
Addition of 950,000, 21,500,000, 4,350,000 and 109,662,000 shares, respectively   62,865,806   659,253,641   240,118,659   3,612,784,316 
Redemption of 4,700,000, 32,650,000, 16,250,000 and 68,659,679 shares, respectively   (362,099,732  (1,020,933,679  (980,402,749  (1,933,840,206
                  
Net addition (redemption) of (3,750,000), (11,150,000), (11,900,000) and 41,002,321 shares, respectively   (299,233,926  (361,680,038  (740,284,090  1,678,944,110 
                  
Net investment income (loss)   (3,130,493  (4,420,342  (9,100,359  (8,010,293
Net realized gain (loss)   106,325,821   285,954,263   761,182,708   (891,020,242
Change in net unrealized appreciation (depreciation)   (16,878,588  (232,630,286  176,076,207   106,126,899 
                  
Net income (loss)   86,316,740   48,903,635   928,158,556   (792,903,636
                  
Shareholders’ equity, end of period
  $1,090,613,716  $1,195,885,056  $1,090,613,716  $1,195,885,056 
                  
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $1,060,867,238  $1,303,530,902  $1,103,783,570  $902,739,250 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 10,400,000, 3,800,000, 20,700,000 and 17,400,000 shares, respectively (Note 1)
   335,779,871   62,865,806   738,516,557   240,118,659 
Redemption of 8,250,000, 18,800,000, 44,300,000 and 65,000,000 shares, respectively (Note 1)
   (294,378,733  (362,099,732  (1,591,226,164  (980,402,749
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 2,150,000, (15,000,000), (23,600,000) and (47,600,000) shares, respectively (Note 1)
   41,401,138   (299,233,926  (852,709,607  (740,284,090
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   153,992   (3,130,493  (5,154,872  (9,100,359
Net realized gain (loss)
   (344,578,932  106,325,821   818,132,441   761,182,708 
Change in net unrealized appreciation (depreciation)
   (33,248,174  (16,878,588  (339,456,270  176,076,207 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (377,673,114  86,316,740   473,521,299   928,158,556 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $724,595,262  $1,090,613,716  $724,595,262  $1,090,613,716 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
17
10

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

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $473,521,299  $928,158,556 
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
   (13,891,053,120  (2,012,720,434
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   14,207,412,141   1,397,994,503 
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,942,264  (230,377
Net realized (gain) loss on investments
   7,789   4,742 
Change in unrealized (appreciation) depreciation on investments
   188,152,817   (52,635,933
Decrease (Increase) in receivable on open futures contracts
   (891,736  (1,163,751
Decrease (Increase) in interest receivable
   (317,244  6,625 
Increase (Decrease) in payable to Sponsor
   493,818   127,586 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (18,209  21,834 
Increase (Decrease) in payable on open futures contracts
   (22,405,789  —   
Increase (Decrease) in
non-recurring
fees and expenses payable
   13,739   27,500 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   951,973,241   259,590,851 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   738,516,557   240,118,659 
Payment on shares redeemed
   (1,574,816,957  (967,135,937
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (836,300,400  (727,017,278
   
 
 
  
 
 
 
Net increase (decrease) in cash
   115,672,841   (467,426,427
Cash, beginning of period
   217,287,389   667,259,596 
   
 
 
  
 
 
 
Cash, end of period
  $332,960,230  $199,833,169 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
18
11

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,075 and $29,999,585, respectively)  $32,997,127   $29,999,889 
Cash   57,275,787    92,972,312 
Segregated cash balances with brokers for futures contracts   29,792,570    44,320,410 
Receivable from capital shares sold   12,521,135    —   
Receivable on open futures contracts   12,504,114    13,775,851 
Interest receivable   1,065    4,326 
           
Total assets   145,091,798    181,072,788 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   —      11,132,546 
Brokerage commissions and futures account fees payable   145    —   
Payable to Sponsor   52,856    139,455 
Non-recurring
fees and expenses payable
   416    416 
           
Total liabilities   53,417    11,272,417 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   145,038,381    169,800,371 
           
Total liabilities and shareholders’ equity  $145,091,798   $181,072,788 
           
Shares outstanding   1,737,527    8,087,527 
           
Net asset value per share  $83.47   $21.00 
           
Market value per share (Note 2)  $82.30   $21.07 
           
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $106,619,159 and $90,936,719, respectively)
  $106,563,264   $90,922,438 
Cash
   22,701,853    6,846,634 
Segregated cash balances with brokers for futures contracts
   99,662,520    47,289,091 
Receivable from capital shares sold
   —      20,448,741 
Receivable on open futures contracts
   70,013,901    33,998,620 
Interest receivable
   158,525    1,130 
   
 
 
   
 
 
 
Total assets
   299,100,063    199,506,654 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   2,661,693    —   
Payable on open futures contracts
   6,590,160    5,403,658 
Brokerage commissions and futures account fees payable
   15,382    63,628 
Payable to Sponsor
   441,940    147,190 
Non-recurring
fees and expenses payable
   4,791    —   
   
 
 
   
 
 
 
Total liabilities
   9,713,966    5,614,476 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   289,386,097    193,892,178 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $299,100,063   $199,506,654 
   
 
 
   
 
 
 
Shares outstanding
   5,437,527    7,587,527 
   
 
 
   
 
 
 
Net asset value per share
  $53.22   $25.55 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $53.66   $26.09 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
19
12

PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 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
          
(37% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $32,000,000   $31,924,637 
3.026% due 12/01/22
   75,000,000    74,638,627 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $106,619,159)
       $106,563,264 
        
 
 
 
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 November 2022
   8,556   $578,898,960   $(97,363,745
 
^^
^^  
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
20
13

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $909,204  $7,355  $1,095,255  $32,714 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   658,525   161,130   1,589,759   568,903 
Brokerage commissions
   97,589   40,472   300,747   195,831 
Futures account fees
   43,620   18,263   177,950   112,998 
Non-recurring
fees and expenses
   4,791   —     4,791   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   804,525   219,865   2,073,247   877,732 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   104,679   (212,510  (977,992  (845,018
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (5,889,116  33,925,711   235,322,266   80,409,384 
Short-term U.S. government and agency obligations
   (4,181  12   (7,633  563 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (5,893,297  33,925,723   235,314,633   80,409,947 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   97,063,212   25,134,988   (89,157,584  35,685,009 
Short-term U.S. government and agency obligations
   158,315   720   (41,614  (252
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   97,221,527   25,135,708   (89,199,198  35,684,757 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   91,328,230   59,061,431   146,115,435   116,094,704 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $91,432,909  $58,848,921  $145,137,443  $115,249,686 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
21
14

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $187,297,842  $70,213,227  $193,892,178  $169,800,371 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 6,000,000, 1,150,000, 15,100,000 and 5,200,000 shares, respectively
   425,638,048   79,122,213   1,063,004,747   169,309,627 
Redemption of 5,300,000, 1,400,000, 17,250,000 and 11,550,000 shares, respectively
   (414,982,702  (63,145,980  (1,112,648,271  (309,321,303
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 700,000, (250,000), (2,150,000) and (6,350,000) shares, respectively
   10,655,346   15,976,233   (49,643,524  (140,011,676
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   104,679   (212,510  (977,992  (845,018
Net realized gain (loss)
   (5,893,297  33,925,723   235,314,633   80,409,947 
Change in net unrealized appreciation (depreciation)
   97,221,527   25,135,708   (89,199,198  35,684,757 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   91,432,909   58,848,921   145,137,443   115,249,686 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $289,386,097  $145,038,381  $289,386,097  $145,038,381 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying
notes
to
financial
statements.
15

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $145,137,443  $115,249,686 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (750,045,262  (143,979,838
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   734,916,266   140,999,619 
Net amortization and accretion on short-term U.S. government and agency obligations
   (561,077  (16,708
Net realized (gain) loss on investments
   7,633   (563
Change in unrealized (appreciation) depreciation on investments
   41,614   252 
Decrease (Increase) in receivable on open futures contracts
   (36,015,281  1,271,737 
Decrease (Increase) in interest receivable
   (157,395  3,261 
Increase (Decrease) in payable to Sponsor
   294,750   (86,599
Increase (Decrease) in brokerage commissions and futures account fees payable
   (48,246  145 
Increase (Decrease) in payable on open futures contracts
   1,186,502   —   
Increase (Decrease) in
non-recurring
fees and expenses payable
   4,791   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   94,761,738   113,440,992 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   1,083,453,488   156,788,492 
Payment on shares redeemed
   (1,109,986,578  (320,453,849
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (26,533,090  (163,665,357
   
 
 
  
 
 
 
Net increase (decrease) in cash
   68,228,648   (50,224,365
Cash, beginning of period
   54,135,725   137,292,722 
   
 
 
  
 
 
 
Cash, end of period
  $122,364,373  $87,068,357 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
22
16

PROSHARES ULTRA BLOOMBERG NATURAL GASEURO
STATEMENTS OF CASH FLOWSFINANCIAL CONDITION
(unaudited)
 
   
Nine Months Ended

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $115,249,686  $(2,559,415
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (143,979,838  (115,881,108
Proceeds from sales or maturities of short-term U.S. government and agency obligations   140,999,619   83,563,843 
Net amortization and accretion on short-term U.S. government and agency obligations   (16,708  (144,767
Net realized gain (loss) on investments   (563  (977
Change in unrealized appreciation (depreciation) on investments   252   2,014 
Decrease (Increase) in receivable on futures contracts   1,271,737   37,024 
Decrease (Increase) in interest receivable   3,261   9,758 
Increase (Decrease) in payable to Sponsor   (86,599  29,126 
Increase (Decrease) in brokerage commissions and futures account fees payable   145   —   
Increase (Decrease) in payable on futures contracts   —     2,392,727 
          
Net cash provided by (used in) operating activities   113,440,992   (32,551,775
          
Cash flow from financing activities
         
Proceeds from addition of shares   156,788,492   193,426,833 
Payment on shares redeemed   (320,453,849  (136,823,861
          
Net cash provided by (used in) financing activities   (163,665,357  56,602,972 
          
Net increase (decrease) in cash
   (50,224,365  24,051,197 
Cash, beginning of period   137,292,722   17,619,062 
          
Cash, end of period  $87,068,357  $41,670,259 
          
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $697,652 and $998,130, respectively)
  $696,356   $997,678 
Cash
   11,775,775    6,891,458 
Segregated cash balances with brokers for foreign currency forward contracts
   1,359,000    691,000��
Unrealized appreciation on foreign currency forward contracts
   —      84,150 
Receivable from capital shares sold
   478,304    —   
Interest receivable
   13,338    153 
   
 
 
   
 
 
 
Total assets
   14,322,773    8,664,439 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   21,934    3,846 
Unrealized depreciation on foreign currency forward contracts
   431,231    1,498 
Non-recurring
fees and expenses payable
   237    —   
   
 
 
   
 
 
 
Total liabilities
   453,402    5,344 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   13,869,371    8,659,095 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $14,322,773   $8,664,439 
   
 
 
   
 
 
 
Shares outstanding
   1,450,000    650,000 
   
 
 
   
 
 
 
Net asset value per share
  $9.57   $13.32 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $9.57   $13.33 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
23
17

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively)  $999,916   $—   
Cash   2,644,602    4,045,092 
Segregated cash balances with brokers for foreign currency forward contracts   —      607,000 
Unrealized appreciation on foreign currency forward contracts   2,136    89,103 
Interest receivable   100    162 
           
Total assets   3,646,754    4,741,357 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   2,813    3,625 
Unrealized depreciation on foreign currency forward contracts   164,822    367 
Non-recurring
fees and expenses payable
   15    15 
           
Total liabilities   167,650    4,007 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   3,479,104    4,737,350 
           
Total liabilities and shareholders’ equity  $3,646,754   $4,741,357 
           
Shares outstanding   250,000    300,000 
           
Net asset value per share  $13.92   $15.79 
           
Market value per share (Note 2)  $13.92   $15.81 
           
See accompanying notes to financial statements.
24

PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 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
          
(5% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.554% due 11/03/22
  $698,000   $696,356 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $697,652)
       $696,356 
        
 
 
 
Foreign Currency Forward Contracts
^
 
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                  
Euro with Goldman Sachs International   10/08/21    3,388,921  $3,925,672  $(90,545
Euro with UBS AG   10/08/21    2,801,502   3,245,215   (74,277
                   
             Total Unrealized
Depreciation
 
 
 $(164,822
                   
Contracts to Sell
                  
Euro with Goldman Sachs International   10/08/21    (93,000 $(107,730 $941 
Euro with UBS AG   10/08/21    (84,000  (97,304  1,195 
                   
             Total Unrealized
Appreciation
   $2,136 
                   
   
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
   10/07/22    12,276,921  $12,037,961  $(194,303
Euro with UBS AG
   10/07/22    17,572,502   17,230,469   (236,275
                
 
 
 
             Total Unrealized
Depreciation
 
 
 $(430,578
                
 
 
 
Contracts to Sell
                  
Euro with UBS AG
   10/07/22    (1,566,000 $(1,535,519 $(653
                
 
 
 
             Total Unrealized
Depreciation
 
 
 $(653
                
 
 
 
 
All or partial amount pledged as collateral for foreign currency forwards.forward contracts.
^
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.
See accompanying notes to financial statements.
 
25
18

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $36,856  $393  $47,965  $1,415 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   31,331   8,664   66,646   28,158 
Non-recurring
fees and expenses
   237   —     237   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   31,568   8,664   66,883   28,158 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   5,288   (8,271  (18,918  (26,743
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   (1,618,381  (254,219  (2,505,776  (186,149
Short-term U.S. government and agency obligations
   —     —     (5,949  —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (1,618,381  (254,219  (2,511,725  (186,149
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (98,836  72,810   (513,883  (251,422
Short-term U.S. government and agency obligations
   3,824   43   (844  4 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (95,012  72,853   (514,727  (251,418
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (1,713,393  (181,366  (3,026,452  (437,567
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(1,708,105 $(189,637 $(3,045,370 $(464,310
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
26
19

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $9,415,626  $3,668,741  $8,659,095  $4,737,350 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 700,000, –, 1,250,000 and 100,000 shares, respectively
   7,168,239   —     13,537,061   1,488,793 
Redemption of 100,000, –, 450,000 and 150,000 shares, respectively
   (1,006,389  —     (5,281,415  (2,282,729
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 600,000, –, 800,000 and (50,000) shares, respectively
   6,161,850   —     8,255,646   (793,936
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   5,288   (8,271  (18,918  (26,743
Net realized gain (loss)
   (1,618,381  (254,219  (2,511,725  (186,149
Change in net unrealized appreciation (depreciation)
   (95,012  72,853   (514,727  (251,418
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (1,708,105  (189,637  (3,045,370  (464,310
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $13,869,371  $3,479,104  $13,869,371  $3,479,104 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
27
20

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

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(3,045,370 $(464,310
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (5,984,290  (3,999,381
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   6,290,250   3,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (11,431  (531
Net realized (gain) loss on investments
   5,949   —   
Change in unrealized (appreciation) depreciation on investments
   514,727   251,418 
Decrease (Increase) in interest receivable
   (13,185  62 
Increase (Decrease) in payable to Sponsor
   18,088   (812
Increase (Decrease) in
non-recurring
fees and expenses payable
   237   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (2,225,025  (1,213,554
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   13,058,757   1,488,793 
Payment on shares redeemed
   (5,281,415  (2,282,729
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   7,777,342   (793,936
   
 
 
  
 
 
 
Net increase (decrease) in cash
   5,552,317   (2,007,490
Cash, beginning of period
   7,582,458   4,652,092 
   
 
 
  
 
 
 
Cash, end of period
  $13,134,775  $2,644,602 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
28
21

PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
   
September 30, 2021

(unaudited)
   
December 31,
2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $185,989,826 and $74,998,283, respectively)  $185,985,614   $74,999,467 
Cash   45,172,246    164,381,859 
Segregated cash balances with brokers for futures contracts   7,404,375    11,581,250 
Segregated cash balances with brokers for swap agreements   —      7,489,000 
Unrealized appreciation on swap agreements   —      5,140,980 
Receivable on open futures contracts   2,711,621    148,784 
Interest receivable   2,629    6,531 
           
Total assets   241,276,485    263,747,871 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   2,781,899    —   
Brokerage commissions and futures account fees payable   5,068    —   
Payable to Sponsor   163,803    206,394 
Unrealized depreciation on swap agreements   7,406,864    —   
Non-recurring
fees and expenses payable
   1,004    1,004 
           
Total liabilities   10,358,638    207,398 
      ��    
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   230,917,847    263,540,473 
           
Total liabilities and shareholders’ equity  $241,276,485   $263,747,871 
           
Shares outstanding   4,150,000    3,900,000 
           
Net asset value per share  $55.64   $67.57 
           
Market value per share (Note 2)  $55.59   $68.20 
           
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $143,646,462 and $207,964,168, respectively)
  $143,619,527   $207,956,320 
Cash
   8,231,351    9,328,332 
Segregated cash balances with brokers for futures contracts
   2,374,050    6,093,750 
Segregated cash balances with brokers for swap agreements
   12,629,200    —   
Unrealized appreciation on swap agreements
   —      8,639,188 
Receivable on open futures contracts
   120,937    944,644 
Interest receivable
   40,392    690 
   
 
 
   
 
 
 
Total assets
   167,015,457    232,962,924 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Brokerage commissions and futures account fees payable
   —      4,034 
Payable to Sponsor
   303,801    178,356 
Unrealized depreciation on swap agreements
   6,686,424    —   
Non-recurring
fees and expenses payable
   2,940    —   
   
 
 
   
 
 
 
Total liabilities
   6,993,165    182,390 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   160,022,292    232,780,534 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $167,015,457   $232,962,924 
   
 
 
   
 
 
 
Shares outstanding
   3,400,000    3,900,000 
   
 
 
   
 
 
 
Net asset value per share
  $47.07   $59.69 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $46.93   $59.81 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
29
22

PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 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
          
(90% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $50,000,000   $49,989,230 
0.223% due 11/03/22
   14,000,000    13,967,029 
2.682% due 11/17/22
   40,000,000    39,856,000 
3.026% due 12/01/22
   40,000,000    39,807,268 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $143,646,462)
       $143,619,527 
        
 
 
 
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 December 2022
   409   $68,384,800   $(1,627,042
Total Return Swap Agreements
^
 
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

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

Total
Unrealized
Depreciation
 
 
 
  $(7,406,864
          
   
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  10/06/22   $100,068,860   $(2,464,705
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25   10/06/22    47,529,603    (1,657,776
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25   10/06/22    104,098,025    (2,563,943
                 
 
 
 
             Total Unrealized
Depreciation
 
 
  $(6,686,424
                 
 
 
 
 
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 September 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.
 
30
23

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $678,282  $14,338  $1,092,549  $70,259 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   475,457   582,103   1,863,020   1,718,350 
Brokerage commissions
   8,176   9,421   43,899   32,974 
Futures account fees
   —     19,008   28,169   64,764 
Non-recurring
fees and expenses
   2,940   —     2,940   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   486,573   610,532   1,938,028   1,816,088 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   191,709   (596,194  (845,479  (1,745,829
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (13,871,427  (3,125,004  (22,577,746  (12,636,331
Swap agreements
   (25,954,159  (18,733,085  (17,330,327  (14,963,523
Short-term U.S. government and agency obligations
   (708  —     (708  245 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (39,826,294  (21,858,089  (39,908,781  (27,599,609
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   2,305,467   319,305   (2,281,936  (6,583,282
Swap agreements
   (234,566  15,245,013   (15,325,612  (12,547,844
Short-term U.S. government and agency obligations
   151,932   9,966   (19,087  (5,396
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   2,222,833   15,574,284   (17,626,635  (19,136,522
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (37,603,461  (6,283,805  (57,535,416  (46,736,131
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(37,411,752 $(6,879,999 $(58,380,895 $(48,481,960
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
31
24

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $239,938,853  $243,456,703  $232,780,534  $263,540,473 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 50,000, 250,000, 1,650,000 and 1,250,000 shares, respectively
   2,645,499   14,836,141   104,903,214   75,112,671 
Redemption of 900,000, 350,000, 2,150,000 and 1,000,000 shares, respectively
   (45,150,308  (20,494,998  (119,280,561  (59,253,337
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (850,000), (100,000), (500,000) and 250,000 shares, respectively
   (42,504,809  (5,658,857  (14,377,347  15,859,334 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   191,709   (596,194  (845,479  (1,745,829
Net realized gain (loss)
   (39,826,294  (21,858,089  (39,908,781  (27,599,609
Change in net unrealized appreciation (depreciation)
   2,222,833   15,574,284   (17,626,635  (19,136,522
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (37,411,752  (6,879,999  (58,380,895  (48,481,960
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $160,022,292  $230,917,847  $160,022,292  $230,917,847 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
32
25

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

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(58,380,895 $(48,481,960
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
   (913,776,847  (502,945,919
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   978,997,411   391,999,771 
Net amortization and accretion on short-term U.S. government and agency obligations
   (903,566  (45,150
Net realized (gain) loss on investments
   708   (245
Change in unrealized (appreciation) depreciation on investments
   15,344,699   12,553,240 
Decrease (Increase) in receivable on open futures contracts
   823,707   (2,562,837
Decrease (Increase) in interest receivable
   (39,702  3,902 
Increase (Decrease) in payable to Sponsor
   125,445   (42,591
Increase (Decrease) in brokerage commissions and futures account fees payable
   (4,034  5,068 
Increase (Decrease) in
non-recurring
fees and expenses payable
   2,940   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   22,189,866   (149,516,721
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   104,903,214   75,112,671 
Payment on shares redeemed
   (119,280,561  (56,471,438
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (14,377,347  18,641,233 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   7,812,519   (130,875,488
Cash, beginning of period
   15,422,082   183,452,109 
   
 
 
  
 
 
 
Cash, end of period
  $23,234,601  $52,576,621 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
33
26

PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
   
September 30, 2021

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $494,973,149 and $244,987,251, respectively)  $494,966,819   $244,993,989 
Cash   62,548,518    301,951,458 
Segregated cash balances with brokers for futures contracts   15,865,625    66,062,502 
Segregated cash balances with brokers for swap agreements   —      78,388,000 
Unrealized appreciation on swap agreements   —      56,752,666 
Receivable on open futures contracts   421,500    —   
Interest receivable   3,756    10,698 
           
Total assets   573,806,218    748,159,313 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   274,804    2,312,939 
Brokerage commissions and futures account fees payable   9,969    —   
Payable to Sponsor   449,040    539,986 
Unrealized depreciation on swap agreements   92,760,569    —   
Non-recurring
fees and expenses payable
   2,360    2,360 
           
Total liabilities   93,496,742    2,855,285 
           
Commitments and Contingencies (Note 2)       
Shareholders’ equity
          
Shareholders’ equity   480,309,476    745,304,028 
           
Total liabilities and shareholders’ equity  $573,806,218   $748,159,313 
           
Shares outstanding   15,146,526    14,696,526 
           
Net asset value per share  $31.71   $50.71 
           
Market value per share (Note 2)  $31.99   $51.28 
           
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $162,706,493 and $451,896,236, respectively)
  $162,611,595   $451,872,982 
Cash
   42,840,235    10,985,565 
Segregated cash balances with brokers for futures contracts
   16,278,750    14,502,938 
Segregated cash balances with brokers for swap agreements
   70,036,000    —   
Unrealized appreciation on swap agreements
   26,804,548    40,591,699 
Receivable from capital shares sold
   4,168,994    —   
Receivable on open futures contracts
   1,699,398    1,384,919 
Interest receivable
   73,633    1,582 
   
 
 
   
 
 
 
Total assets
   324,513,153    519,339,685 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      3,483,770 
Brokerage commissions and futures account fees payable
   —      9,833 
Payable to Sponsor
   536,368    392,488 
Non-recurring
fees and expenses payable
   5,922    —   
   
 
 
   
 
 
 
Total liabilities
   542,290    3,886,091 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   323,970,863    515,453,594 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $324,513,153   $519,339,685 
   
 
 
   
 
 
 
Shares outstanding
   15,546,526    14,796,526 
   
 
 
   
 
 
 
Net asset value per share
  $20.84   $34.84 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $20.76   $34.74 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
34
27

PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 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
          
(50% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $50,000,000   $49,989,230 
0.223% due 11/03/22
   43,000,000    42,898,731 
2.682% due 11/17/22
   50,000,000    49,820,000 
3.026% due 12/01/22
   20,000,000    19,903,634 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $162,706,493)
       $162,611,595 
        
 
 
 
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 December 2022
   2,163   $205,906,785   $(329,232
Total Return Swap Agreements
^
 
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25  10/06/21   $219,572,067   $(28,588,785
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.30   10/06/21    219,657,055    (23,220,141
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   10/06/21    204,665,509    (21,635,372
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   10/06/21    182,787,599    (19,316,271
          
      
 
Total
Unrealized
Depreciation
 
 
 
  $(92,760,569
          
   
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  10/06/22   $142,330,643   $8,433,031 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.30   10/06/22    18,803,260    1,725,874 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   10/06/22    156,302,767    9,256,039 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   10/06/22    124,719,934    7,389,604 
                 
 
 
 
             Total Unrealized
Appreciation
 
 
  $26,804,548 
                 
 
 
 
 
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 September 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.
 
35
28

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $824,171  $44,511  $1,386,134  $208,169 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   798,802   1,394,627   3,098,741   4,640,919 
Brokerage commissions
   34,796   27,419   94,079   114,716 
Futures account fees
   —     47,170   26,693   258,250 
Non-recurring
fees and expenses
   5,922   —     5,922   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   839,520   1,469,216   3,225,435   5,013,885 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (15,349  (1,424,705  (1,839,301  (4,805,716
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (13,577,109  (49,762,947  (30,191,493  (32,273,408
Swap agreements
   (133,807,652  (151,552,363  (156,750,416  (47,760,872
Short-term U.S. government and agency obligations
   (6,553  (4,720  (7,717  (4,529
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (147,391,314  (201,320,030  (186,949,626  (80,038,809
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   3,988,709   9,589,898   (2,835,777  (42,630,013
Swap agreements
   87,216,478   (15,630,674  (13,787,151  (149,513,235
Short-term U.S. government and agency obligations
   272,285   22,486   (71,644  (13,068
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   91,477,472   (6,018,290  (16,694,572  (192,156,316
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (55,913,842  (207,338,320  (203,644,198  (272,195,125
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(55,929,191 $(208,763,025 $(205,483,499 $(277,000,841
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
36
29

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 
                  
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $355,577,515  $661,778,727  $515,453,594  $745,304,028 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 2,450,000, 1,050,000, 4,250,000 and 4,450,000 shares, respectively
   52,469,935   38,538,861   118,129,234   205,312,655 
Redemption of 1,250,000, 300,000, 3,500,000 and 4,000,000 shares, respectively
   (28,147,396  (11,245,087  (104,128,466  (193,306,366
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 1,200,000, 750,000, 750,000 and 450,000 shares, respectively
   24,322,539   27,293,774   14,000,768   12,006,289 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (15,349  (1,424,705  (1,839,301  (4,805,716
Net realized gain (loss)
   (147,391,314  (201,320,030  (186,949,626  (80,038,809
Change in net unrealized appreciation (depreciation)
   91,477,472   (6,018,290  (16,694,572  (192,156,316
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (55,929,191  (208,763,025  (205,483,499  (277,000,841
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $323,970,863  $480,309,476  $323,970,863  $480,309,476 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
37
30

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

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

September 30,
 
   
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(205,483,499 $(277,000,841
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
   (2,619,720,954  (1,369,823,802
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,909,963,011   1,119,994,333 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,060,031  (160,958
Net realized (gain) loss on investments
   7,717   4,529 
Change in unrealized (appreciation) depreciation on investments
   13,858,795   149,526,303 
Decrease (Increase) in receivable on open futures contracts
   (314,479  (421,500
Decrease (Increase) in interest receivable
   (72,051  6,942 
Increase (Decrease) in payable to Sponsor
   143,880   (90,946
Increase (Decrease) in brokerage commissions and futures account fees payable
   (9,833  9,969 
Increase (Decrease) in payable on open futures contracts
   —     (2,038,135
Increase (Decrease) in
non-recurring
fees and expenses payable
   5,922   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   97,318,478   (379,994,106
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   113,960,240   205,312,655 
Payment on shares redeemed
   (107,612,236  (193,306,366
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   6,348,004   12,006,289 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   103,666,482   (367,987,817
Cash, beginning of period
   25,488,503   446,401,960 
   
 
 
  
 
 
 
Cash, end of period
  $129,154,985  $78,414,143 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
38
31

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $274,983,511 and $244,990,791, respectively)  $274,984,707   $244,995,969 
Cash   175,755,806    181,991,996 
Segregated cash balances with brokers for futures contracts   531,626,515    879,704,000 
Segregated cash balances with brokers for swap agreements   —      7,976,000 
Unrealized appreciation on swap agreements   7,933,765    —   
Receivable from capital shares sold   —      49,086,388 
Receivable on open futures contracts   64,382,858    16,422,512 
Interest receivable   5,331    7,054 
           
Total assets   1,054,688,982    1,380,183,919 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   26,870,187    —   
Payable on open futures contracts   5,927,604    22,424,475 
Brokerage commissions and futures account fees payable   244,898    485,039 
Payable to Sponsor   795,603    1,040,582 
Unrealized depreciation on swap agreements   —      24,807 
Non-recurring
fees and expenses payable
   4,817    4,817 
           
Total liabilities   33,843,109    23,979,720 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   1,020,845,873    1,356,204,199 
           
Total liabilities and shareholders’ equity  $1,054,688,982   $1,380,183,919 
           
Shares outstanding (Note 1)   41,778,420    12,713,091 
           
Net asset value per share (Note 1)  $24.43   $106.68 
           
Market value per share (Note 1)(Note 2)  $24.55   $106.50 
           
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $273,396,698 and $221,725,609, respectively)
  $273,202,387   $221,660,593 
Cash
   134,170,524    108,688,034 
Segregated cash balances with brokers for futures contracts
   363,142,800    463,432,845 
Receivable on open futures contracts
   262,520,415    33,597,688 
Interest receivable
   1,050,905    5,060 
   
 
 
   
 
 
 
Total assets
   1,034,087,031    827,384,220 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   36,597,293    —   
Payable on open futures contracts
   —      9,447,456 
Brokerage commissions and futures account fees payable
   66,068    167,855 
Payable to Sponsor
   1,913,775    611,836 
Unrealized depreciation on swap agreements
   —      477,437 
Non-recurring
fees and expenses payable
   20,117    —   
   
 
 
   
 
 
 
Total liabilities
   38,597,253    10,704,584 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   995,489,778    816,679,636 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $1,034,087,031   $827,384,220 
   
 
 
   
 
 
 
Shares outstanding
   77,328,420    65,828,420 
   
 
 
   
 
 
 
Net asset value per share
  $12.87   $12.41 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $12.85   $12.43 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
39
32

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 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
          
(27% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $50,000,000   $49,989,230 
0.223% due 11/03/22
   94,000,000    93,778,621 
2.682% due 11/17/22
   50,000,000    49,820,000 
3.026% due 12/01/22
   80,000,000    79,614,536 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $273,396,698)
       $273,202,387 
        
 
 
 
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 October 2022
   28,597   $901,263,052   $167,070,593 
VIX Futures - Cboe, expires November 2022
   19,065    592,381,961    29,704,256 
             
 
 
 
             $196,774,849 
             
 
 
 
Total Return Swap Agreements
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
33

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $3,945,136  $11,979  $4,471,067  $328,504 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   2,831,005   2,221,755   7,085,920   8,897,953 
Brokerage commissions
   1,276,819   1,095,975   3,183,788   4,225,879 
Futures account fees
   219,828   688,048   1,446,639   3,243,304 
Non-recurring
fees and expenses
   20,117   —     20,117   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   4,347,769   4,005,778   11,736,464   16,367,136 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (402,633  (3,993,799  (7,265,397  (16,038,632
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (289,871,717  (185,968,398  59,605,816   (1,650,738,359
Swap agreements
   —     (12,412,592  22,556,586   (106,689,716
Short-term U.S. government and agency obligations
   (2,037  —     (355,124  20,657 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (289,873,754  (198,380,990  81,807,278   (1,757,407,418
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   161,330,331   178,803,476   323,131,606   138,543,548 
Swap agreements
   —     7,933,765   477,437   7,958,572 
Short-term U.S. government and agency obligations
   414,952   4,980   (129,295  (3,982
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   161,745,283   186,742,221   323,479,748   146,498,138 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (128,128,471  (11,638,769  405,287,026   (1,610,909,280
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(128,531,104 $(15,632,568 $398,021,629  $(1,626,947,912
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
34

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $975,683,533  $840,870,703  $816,679,636  $1,356,204,199 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 93,400,000, 37,800,000, 234,900,000 and 70,385,000 shares, respectively
   1,064,364,417   923,628,398   3,035,837,360   3,297,406,475 
Redemption of 83,300,000, 26,150,000, 223,400,000 and 41,319,671 shares, respectively
   (916,027,068  (728,020,660  (3,255,048,847  (2,005,816,889
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 10,100,000, 11,650,000, 11,500,000 and 29,065,329 shares, respectively
   148,337,349   195,607,738   (219,211,487  1,291,589,586 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (402,633  (3,993,799  (7,265,397  (16,038,632
Net realized gain (loss)
   (289,873,754  (198,380,990  81,807,278   (1,757,407,418
Change in net unrealized appreciation (depreciation)
   161,745,283   186,742,221   323,479,748   146,498,138 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (128,531,104  (15,632,568  398,021,629   (1,626,947,912
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $995,489,778  $1,020,845,873  $995,489,778  $1,020,845,873 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
35

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

September 30,
 
   
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $398,021,629  $(1,626,947,912
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (4,540,406,696  (1,136,829,195
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   4,489,474,762   1,106,989,987 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,094,279  (132,855
Net realized (gain) loss on investments
   355,124   (20,657
Change in unrealized (appreciation) depreciation on investments
   (348,142  (7,954,590
Decrease (Increase) in receivable on open futures contracts
   (228,922,727  (47,960,346
Decrease (Increase) in interest receivable
   (1,045,845  1,723 
Increase (Decrease) in payable to Sponsor
   1,301,939   (244,979
Increase (Decrease) in brokerage commissions and futures account fees payable
   (101,787  (240,141
Increase (Decrease) in payable on open futures contracts
   (9,447,456  (16,496,871
Increase (Decrease) in
non-recurring
fees and expenses payable
   20,117   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   107,806,639   (1,729,835,836
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   3,035,837,360   3,346,492,863 
Payment on shares redeemed
   (3,218,451,554  (1,978,946,702
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (182,614,194  1,367,546,161 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (74,807,555  (362,289,675
Cash, beginning of period
   572,120,879   1,069,671,996 
   
 
 
  
 
 
 
Cash, end of period
  $497,313,324  $707,382,321 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
36

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $999,501 and $–, respectively)
  $997,645   $—   
Cash
   8,613,130    2,232,820 
Segregated cash balances with brokers for foreign currency forward contracts
   650,000    225,000 
Unrealized appreciation on foreign currency forward contracts
   6,055    821 
Interest receivable
   9,981    95 
   
 
 
   
 
 
 
Total assets
   10,276,811    2,458,736 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   16,256    1,954 
Unrealized depreciation on foreign currency forward contracts
   101,172    93,933 
Non-recurring
fees and expenses payable
   194    —   
   
 
 
   
 
 
 
Total liabilities
   117,622    95,887 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   10,159,189    2,362,849 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $10,276,811   $2,458,736 
   
 
 
   
 
 
 
Shares outstanding
   349,970    49,970 
   
 
 
   
 
 
 
Net asset value per share
  $29.03   $47.29 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $29.06   $47.29 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
37

Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(10% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.554% due 11/03/22
  $1,000,000   $997,645 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,501)
       $997,645 
        
 
 
 
Foreign Currency Forward Contracts
^
 
   
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 
          
   
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
   10/07/22    1,186,245,517  $8,201,765  $(41,852
Yen with UBS AG
   10/07/22    1,919,545,856   13,271,845   (59,320
                
 
 
 
             Total Unrealized
Depreciation
 
 
 $(101,172
                
 
 
 
Contracts to Sell
                  
Yen with Goldman Sachs International
   10/07/22    (33,368,000 $(230,708 $1,998 
Yen with UBS AG
   10/07/22    (133,030,000  (919,774  4,057 
                
 
 
 
             Total Unrealized
Appreciation
 
 
 $6,055 
                
 
 
 
 
All or partial amount pledged as collateral for futuresforeign currency forward contracts.
^
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.
See accompanying notes to financial statements.
38

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $25,362  $260  $29,299  $923 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   21,245   6,233   34,710   19,144 
Non-recurring
fees and expenses
   194   —     194   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   21,439   6,233   34,904   19,144 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   3,923   (5,973  (5,605  (18,221
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   (1,652,590  (25,554  (2,532,839  (305,028
Short-term U.S. government and agency obligations
   —     —     1,548   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (1,652,590  (25,554  (2,531,291  (305,028
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (17,967  10,988   (2,005  (126,353
Short-term U.S. government and agency obligations
   3,286   71   (1,856  (17
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (14,681  11,059   (3,861  (126,370
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (1,667,271  (14,495  (2,535,152  (431,398
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(1,663,348 $(20,468 $(2,540,757 $(449,619
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
39

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $5,024,773  $2,560,348  $2,362,849  $2,989,499 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 250,000, –, 350,000 and – shares, respectively
   8,285,325   —     11,824,658   —   
Redemption of 50,000, –, 50,000 and – shares, respectively
   (1,487,561  —     (1,487,561  —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 200,000, –, 300,000 and – shares, respectively
   6,797,764   —     10,337,097   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   3,923   (5,973  (5,605  (18,221
Net realized gain (loss)
   (1,652,590  (25,554  (2,531,291  (305,028
Change in net unrealized appreciation (depreciation)
   (14,681  11,059   (3,861  (126,370
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (1,663,348  (20,468  (2,540,757  (449,619
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $10,159,189  $2,539,880  $10,159,189  $2,539,880 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
40

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

September 30,
 
   
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(2,540,757 $(449,619
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
   (3,732  (230
Net realized (gain) loss on investments
   (1,548  —   
Change in unrealized (appreciation) depreciation on investments
   3,861   126,370 
Decrease (Increase) in interest receivable
   (9,886  45 
Increase (Decrease) in payable to Sponsor
   14,302   (355
Increase (Decrease) in
non-recurring
fees and expenses payable
   194   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (3,531,787  (1,323,529
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   11,824,658   —   
Payment on shares redeemed
   (1,487,561  —   
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   10,337,097   —   
   
 
 
  
 
 
 
Net increase (decrease) in cash
   6,805,310   (1,323,529
Cash, beginning of period
   2,457,820   2,924,696 
   
 
 
  
 
 
 
Cash, end of period
  $9,263,130  $1,601,167 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
41

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $120,732,500 and $55,932,300, respectively)
  $120,666,762   $55,916,023 
Cash
   124,862,617    29,602,412 
Segregated cash balances with brokers for futures contracts
   125,179,826    24,841,141 
Receivable on open futures contracts
   7,457,604    4,064,439 
Interest receivable
   330,847    1,359 
   
 
 
   
 
 
 
Total assets
   378,497,656    114,425,374 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   8,744,403    —   
Payable on open futures contracts
   229,660    175,557 
Brokerage commissions and futures account fees payable
   11,258    7,944 
Payable to Sponsor
   713,698    74,271 
Non-recurring
fees and expenses payable
   7,548    —   
   
 
 
   
 
 
 
Total liabilities
   9,706,567    257,772 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   368,791,089    114,167,602 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $378,497,656   $114,425,374 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   12,155,220    1,776,760 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $30.34   $64.26 
   
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $30.28   $63.75 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
42

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(33% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $35,000,000   $34,992,461 
0.223% due 11/03/22
   36,000,000    35,915,216 
3.026% due 12/01/22
   50,000,000    49,759,085 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $120,732,500)
       $120,666,762 
        
 
 
 
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2022
   3,174   $249,857,280   $38,891,587 
WTI Crude Oil - NYMEX, expires June 2023
   3,344    244,112,000    41,214,314 
WTI Crude Oil - NYMEX, expires December 2023
   3,500    243,810,000    25,208,203 
             
 
 
 
             $105,314,104 
             
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
43

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
   
2021
  
2022
  
2021
 
Investment Income
                  
Interest
  $1,748,548   $6,891  $2,091,754  $36,069 
   
 
 
   
 
 
  
 
 
  
 
 
 
Expenses
                  
Management fee
   1,160,746    201,146   2,599,503   603,444 
Brokerage commissions
   148,121    29,277   332,256   100,902 
Futures account fees
   39,563    18,193   195,542   83,373 
Non-recurring
fees and expenses
   7,548    —     7,548   —   
   
 
 
   
 
 
  
 
 
  
 
 
 
Total expenses
   1,355,978    248,616   3,134,849   787,719 
   
 
 
   
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   392,570    (241,725  (1,043,095  (751,650
   
 
 
   
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                  
Net realized gain (loss) on
                  
Futures contracts
   66,444,885    (11,449,562  (142,631,216  (86,637,748
   
 
 
   
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   66,444,885    (11,449,562  (142,631,216  (86,637,748
   
 
 
   
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                  
Futures contracts
   76,797,273    (1,521,543  113,723,566   (5,829,347
Short-term U.S. government and agency obligations
   190,676    650   (49,461  (134
   
 
 
   
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   76,987,949    (1,520,893  113,674,105   (5,829,481
   
 
 
   
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   143,432,834    (12,970,455  (28,957,111  (92,467,229
   
 
 
   
 
 
  
 
 
  
 
 
 
Net income (loss)
  $143,825,404   $(13,212,180 $(30,000,206 $(93,218,879
   
 
 
   
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
44

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $501,157,304  $79,400,059  $114,167,602  $96,839,233 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 11,050,000, 670,000, 38,940,000 and 1,447,500 shares, respectively (Note 1)
   263,018,131   56,590,239   1,051,908,930   164,074,678 
Redemption of 20,650,000, 310,000, 28,561,540 and 627,734 shares, respectively (Note 1)
   (539,209,750  (29,202,905  (767,285,237  (74,119,819
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (9,600,000), 360,000, 10,378,460 and 819,766 shares, respectively (Note 1)
   (276,191,619  27,387,334   284,623,693   89,954,859 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   392,570   (241,725  (1,043,095  (751,650
Net realized gain (loss)
   66,444,885   (11,449,562  (142,631,216  (86,637,748
Change in net unrealized appreciation (depreciation)
   76,987,949   (1,520,893  113,674,105   (5,829,481
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   143,825,404   (13,212,180  (30,000,206  (93,218,879
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $368,791,089  $93,575,213  $368,791,089  $93,575,213 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
45

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(30,000,206 $(93,218,879
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (5,037,566,739  (117,984,270
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   4,974,000,000   85,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,233,461  (12,980
Change in unrealized (appreciation) depreciation on investments
   49,461   134 
Decrease (Increase) in receivable on open futures contracts
   (3,393,165  60,902 
Decrease (Increase) in interest receivable
   (329,488  1,916 
Increase (Decrease) in payable to Sponsor
   639,427   (13,396
Increase (Decrease) in brokerage commissions and futures account fees payable
   3,314   12,910 
Increase (Decrease) in payable on open futures contracts
   54,103   (113,895
Increase (Decrease) in
non-recurring
fees and expenses payable
   7,548   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (97,769,206  (126,267,558
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   1,051,908,930   164,074,678 
Payment on shares redeemed
   (758,540,834  (74,119,819
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   293,368,096   89,954,859 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   195,598,890   (36,312,699
Cash, beginning of period
   54,443,553   97,113,373 
   
 
 
  
 
 
 
Cash, end of period
  $250,042,443  $60,800,674 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
46

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $84,743,350 and $123,855,553, respectively)
  $84,676,656   $123,821,548 
Cash
   33,650,436    53,547,476 
Segregated cash balances with brokers for futures contracts
   88,384,720    59,453,451 
Receivable on open futures contracts
   47,756,152    30,090,351 
Interest receivable
   280,451    1,749 
   
 
 
   
 
 
 
Total assets
   254,748,415    266,914,575 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   11,781,470    15,986,002 
Payable on open futures contracts
   —      8,542,438 
Brokerage commissions and futures account fees payable
   23,356    46,867 
Payable to Sponsor
   548,217    194,138 
Non-recurring
fees and expenses payable
   5,374    —   
   
 
 
   
 
 
 
Total liabilities
   12,358,417    24,769,445 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   242,389,998    242,145,130 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $254,748,415   $266,914,575 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   13,966,856    978,742 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $17.35   $247.40 
   
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $17.21   $242.20 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
47

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(35% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $35,000,000   $34,917,571 
3.026% due 12/01/22
   50,000,000    49,759,085 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $84,743,350)
       $84,676,656 
        
 
 
 
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2022
   7,167   $484,919,220   $130,293,612 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
48

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $953,050  $9,879  $1,131,063  $25,512 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   730,949   258,824   1,784,017   609,472 
Brokerage commissions
   173,386   67,808   539,244   249,831 
Futures account fees
   48,485   42,064   255,370   99,190 
Non-recurring
fees and expenses
   5,374   —     5,374   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   958,194   368,696   2,584,005   958,493 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,144  (358,817  (1,452,942  (932,981
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   8,173,631   (95,609,878  (389,138,752  (112,274,576
Short-term U.S. government and agency obligations
   (57,864  —     (116,673  —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   8,115,767   (95,609,878  (389,255,425  (112,274,576
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (23,776,729  (17,870,697  116,857,361   (35,668,153
Short-term U.S. government and agency obligations
   309,345   (839  (32,689  (2,080
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (23,467,384  (17,871,536  116,824,672   (35,670,233
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (15,351,617  (113,481,414  (272,430,753  (147,944,809
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(15,356,761 $(113,840,231 $(273,883,695 $(148,877,790
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
49

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $211,823,446  $97,525,300  $242,145,130  $24,977,745 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 58,900,000, 1,025,000, 82,240,000 and 1,402,500 shares, respectively (Note 1)
   790,506,039   210,189,776   1,734,541,781   446,153,207 
Redemption of 49,900,000, 265,000, 69,251,886 and 442,500 shares, respectively (Note 1)
   (744,582,726  (55,406,168  (1,460,413,218  (183,784,485
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 9,000,000, 760,000, 12,988,114 and 960,000 shares, respectively (Note 1)
   45,923,313   154,783,608   274,128,563   262,368,722 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (5,144  (358,817  (1,452,942  (932,981
Net realized gain (loss)
   8,115,767   (95,609,878  (389,255,425  (112,274,576
Change in net unrealized appreciation (depreciation)
   (23,467,384  (17,871,536  116,824,672   (35,670,233
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (15,356,761  (113,840,231  (273,883,695  (148,877,790
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $242,389,998  $138,468,677  $242,389,998  $138,468,677 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
50

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(273,883,695 $(148,877,790
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
   (641,286,804  (144,983,115
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   680,730,195   98,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (447,861  (12,252
Net realized (gain) loss on investments
   116,673    
Change in unrealized (appreciation) depreciation on investments
   32,689   2,080 
Decrease (Increase) in receivable on open futures contracts
   (17,665,801   
Decrease (Increase) in interest receivable
   (278,702  (2,114
Increase (Decrease) in payable to Sponsor
   354,079   85,465 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (23,511  27,103 
Increase (Decrease) in payable on open futures contracts
   (8,542,438  14,455,099 
Increase (Decrease) in
non-recurring
fees and expenses payable
   5,374    
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (260,889,802  (181,305,524
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   1,734,541,781   446,153,207 
Payment on shares redeemed
   (1,464,617,750  (170,017,033
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   269,924,031   276,136,174 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   9,034,229   94,830,650 
Cash, beginning of period
   113,000,927   19,147,382 
   
 
 
  
 
 
 
Cash, end of period
  $122,035,156  $113,978,032 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
51

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $45,894,901 and $46,968,288, respectively)
  $45,854,318   $46,961,125 
Cash
   42,105,160    7,554,065 
Segregated cash balances with brokers for foreign currency forward contracts
   3,350,000    —   
Unrealized appreciation on foreign currency forward contracts
   3,108,883    135,118 
Receivable from capital shares sold
   549    —   
Interest receivable
   62,104    603 
   
 
 
   
 
 
 
Total assets
   94,481,014    54,650,911 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   3,484,180    —   
Payable to Sponsor
   142,878    44,707 
Unrealized depreciation on foreign currency forward contracts
   267,843    343,159 
Non-recurring
fees and expenses payable
   1,835    —   
   
 
 
   
 
 
 
Total liabilities
   3,896,736    387,866 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   90,584,278    54,263,045 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $94,481,014   $54,650,911 
   
 
 
   
 
 
 
Shares outstanding
   2,600,000    2,100,000 
   
 
 
   
 
 
 
Net asset value per share
  $34.84   $25.84 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $34.88   $25.86 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
52

Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(51% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $16,000,000   $15,962,318 
2.682% due 11/17/22
   30,000,000    29,892,000 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $45,894,901)
       $45,854,318 
        
 
 
 
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                  
Euro with UBS AG
   10/07/22    38,000,000  $37,260,363  $(267,843
                
 
 
 
             Total Unrealized
Depreciation
 
 
 $(267,843
                
 
 
 
Contracts to Sell
                  
Euro with Goldman Sachs International
   10/07/22    (78,612,263 $(77,082,144 $1,292,731 
Euro with UBS AG
   10/07/22    (144,189,199  (141,382,682  1,816,152 
                
 
 
 
             Total Unrealized
Appreciation
 
 
 $3,108,883 
                
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of September 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.
53

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                    
Interest
  $230,824   $5,008   $285,240   $17,814 
   
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                    
Management fee
   203,036    116,733    467,426    355,451 
Non-recurring
fees and expenses
   1,835    —      1,835    —   
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
   204,871    116,733    469,261    355,451 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
   25,953    (111,725   (184,021   (337,637
   
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                    
Net realized gain (loss) on
                    
Foreign currency forward contracts
   11,086,708    2,974,466    16,693,971    2,249,236 
Short-term U.S. government and agency obligations
   —      —      210,974    —   
   
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
   11,086,708    2,974,466    16,904,945    2,249,236 
   
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                    
Foreign currency forward contracts
   (354,043   (618,447   3,049,081    3,263,507 
Short-term U.S. government and agency obligations
   61,225    489    (33,420   (398
   
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
   (292,818   (617,958   3,015,661    3,263,109 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
   10,793,890    2,356,508    19,920,606    5,512,345 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
  $10,819,843   $2,244,783   $19,736,585   $5,174,708 
   
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
54

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $62,270,097  $48,820,440  $54,263,045  $52,953,339 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,100,000, 100,000, 1,650,000 and 300,000 shares, respectively
   36,183,635   2,387,142   52,211,698   7,000,386 
Redemption of 550,000, 200,000, 1,150,000 and 700,000 shares, respectively
   (18,689,297  (4,811,548  (35,627,050  (16,487,616
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 550,000, (100,000), 500,000 and (400,000) shares, respectively
   17,494,338   (2,424,406  16,584,648   (9,487,230
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   25,953   (111,725  (184,021  (337,637
Net realized gain (loss)
   11,086,708   2,974,466   16,904,945   2,249,236 
Change in net unrealized appreciation (depreciation)
   (292,818  (617,958  3,015,661   3,263,109 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   10,819,843   2,244,783   19,736,585   5,174,708 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $90,584,278  $48,640,817  $90,584,278  $48,640,817 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
55

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $19,736,585  $5,174,708 
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
   (74,843,167  (89,988,404
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   76,210,974   65,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (83,446  (9,950
Net realized (gain) loss on investments
   (210,974  —   
Change in unrealized (appreciation) depreciation on investments
   (3,015,661  (3,263,109
Decrease (Increase) in interest receivable
   (61,501  1,752 
Increase (Decrease) in payable to Sponsor
   98,171   (7,152
Increase (Decrease) in
non-recurring
fees and expenses payable
   1,835   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   17,832,816   (23,092,155
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   52,211,149   7,000,386 
Payment on shares redeemed
   (32,142,870  (16,487,616
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   20,068,279   (9,487,230
   
 
 
  
 
 
 
Net increase (decrease) in cash
   37,901,095   (32,579,385
Cash, beginning of period
   7,554,065   44,132,228 
   
 
 
  
 
 
 
Cash, end of period
  $45,455,160  $11,552,843 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
56

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $7,998,387 and $25,984,097, respectively)
  $7,981,159   $25,980,516 
Cash
   18,844,336    1,287,229 
Segregated cash balances with brokers for futures contracts
   905,588    703,125 
Segregated cash balances with brokers for swap agreements
   1,167,000    —   
Unrealized appreciation on swap agreements
   802,204    —   
Interest receivable
   26,029    434 
   
 
 
   
 
 
 
Total assets
   29,726,316    27,971,304 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   42,662    92,537 
Brokerage commissions and futures account fees payable
   —      294 
Payable to Sponsor
   48,290    25,512 
Unrealized depreciation on swap agreements
   —      993,117 
Non-recurring
fees and expenses payable
   639    —   
   
 
 
   
 
 
 
Total liabilities
   91,591    1,111,460 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   29,634,725    26,859,844 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $29,726,316   $27,971,304 
   
 
 
   
 
 
 
Shares outstanding
   796,977    846,977 
   
 
 
   
 
 
 
Net asset value per share
  $37.18   $31.71 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $37.30   $31.66 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
57

Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(27% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $8,000,000   $7,981,159 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $7,998,387)
       $7,981,159 
        
 
 
 
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2022
   157   $26,250,400   $1,536,681 
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  10/06/22   $(13,547,911 $329,122 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20   10/06/22    (8,863,141  215,613 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25   10/06/22    (10,598,433  257,469 
                
 
 
 
             Total Unrealized
Appreciation
 
 
 $802,204 
                
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 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 September 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.
 
40
58

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
   
Three Months Ended

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $72,261  $3,075  $101,921  $9,213 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   76,652   66,304   218,466   199,999 
Brokerage commissions
   3,565   3,301   9,361   9,174 
Futures account fees
   —     1,856   2,446   8,344 
Non-recurring
fees and expenses
   639      639    
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   80,856   71,461   230,912   217,517 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (8,595  (68,386  (128,991  (208,304
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   2,017,269   (883,113  1,336,740   (1,598,368
Swap agreements
   2,970,959   2,096,834   1,900,685   (169,268
Short-term U.S. government and agency obligations
   —     —     4   169 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   4,988,228   1,213,721   3,237,429   (1,767,467
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   725,119   (153,889  1,378,602   628,980 
Swap agreements
   81,220   (1,744,696  1,795,321   1,098,851 
Short-term U.S. government and agency obligations
   35,207   166   (13,647  (50
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   841,546   (1,898,419  3,160,276   1,727,781 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   5,829,774   (684,698  6,397,705   (39,686
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $5,821,179  $(753,084 $6,268,714  $(247,990
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
41
59

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $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 
                  
   
Three Months Ended

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $34,611,284  $32,835,014  $26,859,844  $20,337,376 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 350,000, 650,000, 1,500,000 and 1,700,000 shares, respectively
   12,520,359   21,916,482   46,264,925   59,279,388 
Redemption of 650,000, 800,000, 1,550,000 and 1,550,000 shares, respectively
   (23,318,097  (26,267,390  (49,758,758  (51,637,752
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (300,000), (150,000), (50,000) and 150,000 shares, respectively
   (10,797,738  (4,350,908  (3,493,833  7,641,636 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (8,595  (68,386  (128,991  (208,304
Net realized gain (loss)
   4,988,228   1,213,721   3,237,429   (1,767,467
Change in net unrealized appreciation (depreciation)
   841,546   (1,898,419  3,160,276   1,727,781 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   5,821,179   (753,084  6,268,714   (247,990
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $29,634,725  $27,731,022  $29,634,725  $27,731,022 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
42
60

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFULTRASHORT GOLD
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 
          
   
Nine Months Ended

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $6,268,714  $(247,990
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (17,987,492  (40,994,386
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   35,999,990   22,999,935 
Net amortization and accretion on short-term U.S. government and agency obligations
   (26,784  (4,402
Net realized (gain) loss on investments
   (4  (169
Change in unrealized (appreciation) depreciation on investments
   (1,781,674  (1,098,801
Decrease (Increase) in receivable on open futures contracts
   —     1,317 
Decrease (Increase) in interest receivable
   (25,595  443 
Increase (Decrease) in payable to Sponsor
   22,778   3,016 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (294  211 
Increase (Decrease) in payable on open futures contracts
   (49,875  294,581 
Increase (Decrease) in
non-recurring
fees and expenses payable
   639   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   22,420,403   (19,046,245
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   46,264,925   59,279,388 
Payment on shares redeemed
   (49,758,758  (51,637,752
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (3,493,833  7,641,636 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   18,926,570   (11,404,609
Cash, beginning of period
   1,990,354   20,633,371 
   
 
 
  
 
 
 
Cash, end of period
  $20,916,924  $9,228,762 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
43
61

PROSHARES ULTRA YENULTRASHORT SILVER
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 
           
   
September 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,597 and $22,995,121, respectively)
  $1,995,290   $22,994,261 
Cash
   24,898,921    1,829,901 
Segregated cash balances with brokers for futures contracts
   3,809,063    1,081,575 
Segregated cash balances with brokers for swap agreements
   4,826,000    2,572,000 
Receivable on open futures contracts
   —      15,446 
Interest receivable
   25,398    378 
   
 
 
   
 
 
 
Total assets
   35,554,672    28,493,561 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts
   598,764    5,840 
Brokerage commissions and futures account fees payable
   —      747 
Payable to Sponsor
   40,841    28,560 
Unrealized depreciation on swap agreements
   1,151,403    1,921,414 
Non-recurring
fees and expenses payable
   612    —   
   
 
 
   
 
 
 
Total liabilities
   1,791,620    1,956,561 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   33,763,052    26,537,000 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $35,554,672   $28,493,561 
   
 
 
   
 
 
 
Shares outstanding
   991,329    991,329 
   
 
 
   
 
 
 
Net asset value per share
  $34.06   $26.77 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $34.15   $26.84 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
44
62

PROSHARES ULTRA YENULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 20212022
(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 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(6% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $2,000,000   $1,995,290 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $1,999,597)
       $1,995,290 
        
 
 
 
Foreign Currency Forward
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2022
   506   $48,168,670   $1,453,369 
Total Return Swap Agreements
^
 
                 
   
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 
                   
   
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  10/06/22   $(2,288,972 $(136,329
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25   10/06/22    (8,338,415  (496,626
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   10/06/22    (6,593,089  (392,881
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   10/06/22    (2,108,259  (125,567
                
 
 
 
             Total Unrealized
Depreciation
 
 
 $(1,151,403
                
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.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.
See accompanying notes to financial statements.
45

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $443  $289  $961  $20,385 
                  
Expenses
                 
Management fee   8,860   12,478   19,191   42,496 
Brokerage commissions   962   928   1,722   3,766 
Non-recurring
fees and expenses
   —     177   —     177 
                  
Total expenses   9,822   13,583   20,913   46,439 
                  
Net investment income (loss)   (9,379  (13,294  (19,952  (26,054
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   188,884   (432,100  17,207   (799,054
                  
Net realized gain (loss)   188,884   (432,100  17,207   (799,054
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   56,770   5,020   321,113   390,370 
Short-term U.S. government and agency obligations   —     —     —     (206
                  
Change in net unrealized appreciation (depreciation)   56,770   5,020   321,113   390,164 
                  
Net realized and unrealized gain (loss)   245,654   (427,080  338,320   (408,890
                  
Net income (loss)
  $236,275  $(440,374 $318,368  $(434,944
                  
See accompanying notes to financial statements.
51

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 GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
41
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.043
% due
10/14/21
  $5,000,000   $4,999,955 
0.043
% due
11/18/21
   7,000,000    6,999,673 
0.044
% due
12/16/21
   15,000,000    14,998,734 
0.028
% due
02/17/22
   30,000,000    29,994,786 
           
Total short-term U.S. government and agency obligations
(cost $
56,994,979
)
       $56,993,148 
           
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2021   4,720   $276,922,400   $(35,288,843
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
60

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 Contracts
^
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

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


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


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

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. 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, 2021,2022, 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.
 
70
63

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $63,222  $3,100  $90,885  $8,895 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   67,215   90,963   190,549   248,539 
Brokerage commissions
   8,699   8,141   20,677   19,409 
Futures account fees
   —     6,528   4,443   20,726 
Non-recurring
fees and expenses
   612   —     612   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   76,526   105,632   216,281   288,674 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,304  (102,532  (125,396  (279,779
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   1,719,839   523,159   6,370,119   (929,991
Swap agreements
   4,495,568   6,138,986   1,882,774   (1,216,671
Short-term U.S. government and agency obligations
   —     —     (190  85 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   6,215,407   6,662,145   8,252,703   (2,146,577
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (1,063,521  2,684,085   800,876   3,176,052 
Swap agreements
   (3,024,441  1,237,760   770,011   7,288,071 
Short-term U.S. government and agency obligations
   12,438   751   (3,447  (336
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (4,075,524  3,922,596   1,567,440   10,463,787 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   2,139,883   10,584,741   9,820,143   8,317,210 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $2,126,579  $10,482,209  $9,694,747  $8,037,431 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
71
64

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $33,052,840  $34,859,763  $26,537,000  $28,885,775 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 1,000,000, 1,000,000, 2,800,000 and 3,750,000 shares, respectively
   34,082,044   26,169,229   77,349,605   91,351,542 
Redemption of 1,050,000, 1,200,000, 2,800,000 and 3,500,415 shares, respectively
   (35,498,411  (31,137,324  (79,818,300  (87,900,871
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (50,000), (200,000), – and 249,585 shares, respectively
   (1,416,367  (4,968,095  (2,468,695  3,450,671 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (13,304  (102,532  (125,396  (279,779
Net realized gain (loss)
   6,215,407   6,662,145   8,252,703   (2,146,577
Change in net unrealized appreciation (depreciation)
   (4,075,524  3,922,596   1,567,440   10,463,787 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   2,126,579   10,482,209   9,694,747   8,037,431 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $33,763,052  $40,373,877  $33,763,052  $40,373,877 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
72
65

PROSHARES ULTRASHORT GOLDSILVER
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 
          
   
Nine Months Ended

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $9,694,747  $8,037,431 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (20,979,052  (49,994,362
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   41,999,081   27,999,988 
Net amortization and accretion on short-term U.S. government and agency obligations
   (24,695  (4,676
Net realized (gain) loss on investments
   190   (85
Change in unrealized (appreciation) depreciation on investments
   (766,564  (7,287,735
Decrease (Increase) in receivable on open futures contracts
   15,446   39,445 
Decrease (Increase) in interest receivable
   (25,020  335 
Increase (Decrease) in payable to Sponsor
   12,281   3,356 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (747  1,471 
Increase (Decrease) in payable on open futures contracts
   592,924   90,385 
Increase (Decrease) in
non-recurring
fees and expenses payable
   612   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   30,519,203   (21,114,447
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   77,349,605   89,788,249 
Payment on shares redeemed
   (79,818,300  (84,774,285
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (2,468,695  5,013,964 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   28,050,508   (16,100,483
Cash, beginning of period
   5,483,476   32,155,049 
   
 
 
  
 
 
 
Cash, end of period
  $33,533,984  $16,054,566 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
73
66

PROSHARES ULTRASHORT SILVERYEN
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 
           
   
September 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $4,998,992 and $20,990,068, respectively)
  $4,988,225   $20,987,825 
Cash
   44,231,706    3,003,251 
Segregated cash balances with brokers for foreign currency forward contracts
   2,320,000    —   
Unrealized appreciation on foreign currency forward contracts
   580,211    1,237,168 
Interest receivable
   42,493    339 
   
 
 
   
 
 
 
Total assets
   52,162,635    25,228,583 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   68,901    20,211 
Unrealized depreciation on foreign currency forward contracts
   155,443    367,588 
Non-recurring
fees and expenses payable
   953    —   
   
 
 
   
 
 
 
Total liabilities
   225,297    387,799 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   51,937,338    24,840,784 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $52,162,635   $25,228,583 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   798,580    598,580 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $65.04   $41.50 
   
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $65.02   $41.50 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
74
67

PROSHARES ULTRASHORT SILVERYEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 20212022
(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 
       
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(10% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $5,000,000   $4,988,225 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $4,998,992)
       $4,988,225 
        
 
 
 
Futures
Foreign Currency Forward 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 
         
   
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
   10/07/22    513,732,000  $3,551,971  $(61,321
Yen with UBS AG
   10/07/22    1,169,990,000   8,089,375   (94,122
                
 
 
 
             Total Unrealized
Depreciation
 
 
 $(155,443
                
 
 
 
Contracts to Sell
                  
Yen with Goldman Sachs International
   10/07/22    (4,358,922,165 $(30,137,828 $154,005 
Yen with UBS AG
   10/07/22    (12,349,528,574  (85,385,320  426,206 
                
 
 
 
             Total Unrealized
Appreciation
 
 
 $580,211 
                
 
 
 
 
All or partial amount pledged as collateral for swap agreements.foreign currency forward contracts.
^
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 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

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $3,100  $3,192  $8,895  $48,379 
                  
Expenses
                 
Management fee   90,963   84,377   248,539   147,262 
Brokerage commissions   8,141   8,539   19,409   16,460 
Futures account fees   6,528   4,945   20,726   6,620 
Non-recurring
fees and expenses
   —     321   —     321 
                  
Total expenses   105,632   98,182   288,674   170,663 
                  
Net investment income (loss)   (102,532  (94,990  (279,779  (122,284
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts   523,159   (6,023,570  (929,991  (5,016,408
Swap agreements   6,138,986   (9,873,250  (1,216,671  (13,915,911
Short-term U.S. government and agency obligations   —     —     85   —   
                  
Net realized gain (loss)   6,662,145   (15,896,820  (2,146,577  (18,932,319
                  
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts   2,684,085   4,674,780   3,176,052   4,541,796 
Swap agreements   1,237,760   6,454,866   7,288,071   8,024,939 
Short-term U.S. government and agency obligations   751   88   (336  (616
                  
Change in net unrealized appreciation (depreciation)   3,922,596   11,129,734   10,463,787   12,566,119 
               ��  
Net realized and unrealized gain (loss)   10,584,741   (4,767,086  8,317,210   (6,366,200
                  
Net income (loss)
  $10,482,209  $(4,862,076 $8,037,431  $(6,488,484
                  
See accompanying notes to financial statements.
76

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
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively)  $16,998,447   $—   
Cash   5,846,465    21,470,564 
Segregated cash balances with brokers for foreign currency forward contracts   —      2,804,000 
Unrealized appreciation on foreign currency forward contracts   549,354    7,008 
Interest receivable   361    914 
           
Total assets   23,394,627    24,282,486 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   17,831    19,348 
Unrealized depreciation on foreign currency forward contracts   47,780    571,974 
Non-recurring
fees and expenses payable
   94    94 
           
Total liabilities   65,705    591,416 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   23,328,922    23,691,070 
           
Total liabilities and shareholders’ equity  $23,394,627   $24,282,486 
           
Shares outstanding   299,290    349,290 
           
Net asset value per share  $77.95   $67.83 
           
Market value per share (Note 2)  $77.96   $67.81 
           
See accompanying notes to financial statements.
79

PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(73% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21
  $3,000,000   $2,999,867 
0.043% due 11/18/21   4,000,000    3,999,813 
0.037% due 01/20/22   10,000,000    9,998,767 
       
Total short-term U.S. government and agency obligations
(cost $16,998,654)
    $16,998,447 
       
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
      
Yen with Goldman Sachs International   10/08/21    32,600,000  $292,895  $(5,286
Yen with UBS AG   10/08/21    373,110,000   3,352,216   (42,494
         
      
Total Unrealized
Depreciation
 
 
 $(47,780
         
Contracts to Sell
      
Yen with Goldman Sachs International   10/08/21    (1,558,854,165 $(14,005,562 $143,685 
Yen with UBS AG   10/08/21    (4,049,118,875  (36,379,405  405,669 
         
      
Total Unrealized
Appreciation
 
 
 $549,354 
         
All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
80

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Investment Income
                 
Interest  $2,392  $5,085  $9,558  $136,411 
                  
Expenses
                 
Management fee   57,037   60,238   196,036   209,105 
Non-recurring
fees and expenses
   —     717   —     717 
                  
Total expenses   57,037   60,955   196,036   209,822 
                  
Net investment income (loss)   (54,645  (55,870  (186,478  (73,411
                  
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts   197,444   (1,451,651  3,055,103   (1,847,423
                  
Net realized gain (loss)   197,444   (1,451,651  3,055,103   (1,847,423
                  
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts   (190,261  200,915   1,066,540   (427,974
Short-term U.S. government and agency obligations   329   606   (207  (1,113
                  
Change in net unrealized appreciation (depreciation)   (189,932  201,521   1,066,333   (429,087
                  
Net realized and unrealized gain (loss)   7,512   (1,250,130  4,121,436   (2,276,510
                  
Net income (loss)
  $(47,133 $(1,306,000 $3,934,958  $(2,349,921
                  
See accompanying notes to financial statements.
81

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

September 30,
  
Nine Months Ended

September 30,
 
  
2021
  
2020
  
2021
  
2020
 
Shareholders’ equity, beginning of period
  $27,231,748  $29,787,034  $23,691,070  $38,132,320 
                  
Addition of –, –, 100,000 and 100,000 shares, respectively   —     —     7,132,412   7,806,745 
Redemption of 50,000, 50,000, 150,000 and 250,000 shares, respectively   (3,855,693  (3,700,271  (11,429,518  (18,808,381
                  
Net addition (redemption) of (50,000), (50,000), (50,000) and (150,000) shares, respectively   (3,855,693  (3,700,271  (4,297,106  (11,001,636
                  
Net investment income (loss)   (54,645  (55,870  (186,478  (73,411
Net realized gain (loss)   197,444   (1,451,651  3,055,103   (1,847,423
Change in net unrealized appreciation (depreciation)   (189,932  201,521   1,066,333   (429,087
                  
Net income (loss)   (47,133  (1,306,000  3,934,958   (2,349,921
                  
Shareholders’ equity, end of period
  $23,328,922  $24,780,763  $23,328,922  $24,780,763 
                  
See accompanying notes to financial statements.
82

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

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $3,934,958  $(2,349,921
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (43,494,229  (46,753,062
Proceeds from sales or maturities of short-term U.S. government and agency obligations   26,500,000   59,374,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,425  (78,419
Change in unrealized appreciation (depreciation) on investments   (1,066,333  429,087 
Decrease (Increase) in interest receivable   553   18,897 
Increase (Decrease) in payable to Sponsor   (1,517  (13,487
          
Net cash provided by (used in) operating activities   (14,130,993  10,627,095 
          
Cash flow from financing activities
         
Proceeds from addition of shares   7,132,412   7,806,745 
Payment on shares redeemed   (11,429,518  (18,808,381
          
Net cash provided by (used in) financing activities   (4,297,106  (11,001,636
          
Net increase (decrease) in cash
   (18,428,099  (374,541
Cash, beginning of period   24,274,564   12,507,112 
          
Cash, end of period  $5,846,465  $12,132,571 
          
See accompanying notes to financial statements.
83

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $61,995,381 and $44,999,073, respectively)  $61,995,036   $44,999,732 
Cash   43,870,674    14,723,084 
Segregated cash balances with brokers for futures contracts   21,337,800    13,079,750 
Receivable on open futures contracts   551,816    247,077 
Interest receivable   1,638    643 
           
Total assets   127,756,964    73,050,286 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   —      915,787 
Brokerage commissions and futures account fees payable   9,018    10,395 
Payable to Sponsor   74,809    49,009 
           
Total liabilities   83,827    975,191 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   127,673,137    72,075,095 
           
Total liabilities and shareholders’ equity  $127,756,964   $73,050,286 
           
Shares outstanding   3,962,403    1,962,403 
           
Net asset value per share  $32.22   $36.73 
           
Market value per share (Note 2)  $32.31   $36.70 
           
See accompanying notes to financial statements.
84

PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(49% of shareholders’ equity)    
U.S. Treasury Bills
^^
:
    
0.006% due 10/21/21  $10,000,000   $9,999,556 
0.042% due 11/18/21   12,000,000    11,999,440 
0.043% due 12/16/21   25,000,000    24,997,890 
0.037% due 01/20/22   15,000,000    14,998,150 
       
Total short-term U.S. government and agency obligations
(cost $61,995,381)
    $61,995,036 
       
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2022   872   $21,626,210   $1,256,557 
VIX Futures - Cboe, expires February 2022   1,677    42,304,841    1,690,707 
VIX Futures - Cboe, expires March 2022   1,677    43,023,603    1,475,197 
VIX Futures - Cboe, expires April 2022   804    20,765,953    394,387 
         
      $4,816,848 
         
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
85

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

September 30,
  
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

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

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

September 30,
 
  
2021
  
2020
 
Cash flow from operating activities
         
Net income (loss)  $(9,634,999 $26,839,949 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (112,984,923  (116,503,878
Proceeds from sales or maturities of short-term U.S. government and agency obligations   96,000,000   70,600,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (11,385  (104,027
Change in unrealized appreciation (depreciation) on investments   1,004   898 
Decrease (Increase) in receivable on futures contracts   (304,739  (1,087,170
Decrease (Increase) in interest receivable   (995  32,512 
Increase (Decrease) in payable to Sponsor   25,800   40,237 
Increase (Decrease) in brokerage commissions and futures account fees payable   (1,377  12,012 
Increase (Decrease) in payable on futures contracts   —     (1,129,877
          
Net cash provided by (used in) operating activities   (26,911,614  (21,299,344
          
Cash flow from financing activities
         
Proceeds from addition of shares   87,035,790   85,866,144 
Payment on shares redeemed   (22,718,536  (56,735,157
          
Net cash provided by (used in) financing activities   64,317,254   29,130,987 
          
Net increase (decrease) in cash
   37,405,640   7,831,643 
Cash, beginning of period   27,802,834   33,130,653 
          
Cash, end of period  $65,208,474  $40,962,296 
          
See accompanying notes to financial statements.
88

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $127,990,453 and $84,998,436, respectively)  $127,990,204   $84,999,583 
Cash   107,057,042    71,736,247 
Segregated cash balances with brokers for futures contracts   133,904,930    134,825,900 
Receivable on open futures contracts   1,461,435    2,295,585 
Interest receivable   3,891    2,815 
           
Total assets   370,417,502    293,860,130 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   1,413,813    231,900 
Brokerage commissions and futures account fees payable   52,197    81,049 
Payable to Sponsor   174,159    156,632 
           
Total liabilities   1,640,169    469,581 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   368,777,333    293,390,549 
           
Total liabilities and shareholders’ equity  $370,417,502   $293,860,130 
           
Shares outstanding (Note 1)   16,257,826    5,331,579 
           
Net asset value per share (Note 1)  $22.68   $55.03 
           
Market value per share (Note 1)(Note 2)  $22.80   $54.96 
           
See accompanying notes to financial statements.
89

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
68

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $115,191  $2,392  $151,503  $9,558 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   106,598   57,037   259,599   196,036 
Non-recurring
fees and expenses
   953   —     953   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   107,551   57,037   260,552   196,036 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   7,640   (54,645  (109,049  (186,478
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Foreign currency forward contracts
   5,879,873   197,444   14,877,216   3,055,103 
Short-term U.S. government and agency obligations
   —     —     102,971   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   5,879,873   197,444   14,980,187   3,055,103 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Foreign currency forward contracts
   (546,737  (190,261  (444,812  1,066,540 
Short-term U.S. government and agency obligations
   22,866   329   (8,524  (207
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (523,871  (189,932  (453,336  1,066,333 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   5,356,002   7,512   14,526,851   4,121,436 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $5,363,642  $(47,133 $14,417,802  $3,934,958 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
91
69

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $45,568,882  $27,231,748  $24,840,784  $23,691,070 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 250,000, –, 1,100,000 and 200,000 shares, respectively (Note 1)
   15,352,183   —     59,472,902   7,132,412 
Redemption of 250,000, 100,000, 900,000 and 300,000 shares, respectively (Note 1)
   (14,347,369  (3,855,693  (46,794,150  (11,429,518
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of –, (100,000), 200,000 and (100,000) shares, respectively (Note 1)
   1,004,814   (3,855,693  12,678,752   (4,297,106
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   7,640   (54,645  (109,049  (186,478
Net realized gain (loss)
   5,879,873   197,444   14,980,187   3,055,103 
Change in net unrealized appreciation (depreciation)
   (523,871  (189,932  (453,336  1,066,333 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   5,363,642   (47,133  14,417,802   3,934,958 
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $51,937,338  $23,328,922  $51,937,338  $23,328,922 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
92
70

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

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $14,417,802  $3,934,958 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (17,984,732  (43,494,229
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   34,102,971   26,500,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (24,192  (4,425
Net realized (gain) loss on investments
   (102,971  —   
Change in unrealized (appreciation) depreciation on investments
   453,336   (1,066,333
Decrease (Increase) in interest receivable
   (42,154  553 
Increase (Decrease) in payable to Sponsor
   48,690   (1,517
Increase (Decrease) in
non-recurring
fees and expenses payable
   953   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   30,869,703   (14,130,993
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   59,472,902   7,132,412 
Payment on shares redeemed
   (46,794,150  (11,429,518
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   12,678,752   (4,297,106
   
 
 
  
 
 
 
Net increase (decrease) in cash
   43,548,455   (18,428,099
Cash, beginning of period
   3,003,251   24,274,564 
   
 
 
  
 
 
 
Cash, end of period
  $46,551,706  $5,846,465 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
93
71

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $31,993,547 and $85,937,303, respectively)
  $31,924,637   $85,922,969 
Cash
   63,807,096    8,130,069 
Segregated cash balances with brokers for futures contracts
   15,672,400    18,941,750 
Receivable on open futures contracts
   828,618    63,397 
Interest receivable
   85,354    1,097 
   
 
 
   
 
 
 
Total assets
   112,318,105    113,059,282 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   1,761,987    —   
Payable on open futures contracts
   —      94,495 
Brokerage commissions and futures account fees payable
   —      7,124 
Payable to Sponsor
   133,494    81,983 
Non-recurring
fees and expenses payable
   2,050    —   
   
 
 
   
 
 
 
Total liabilities
   1,897,531    183,602 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   110,420,574    112,875,680 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $112,318,105   $113,059,282 
   
 
 
   
 
 
 
Shares outstanding
   3,112,403    3,687,403 
   
 
 
   
 
 
 
Net asset value per share
  $35.48   $30.61 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $35.50   $30.57 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
72

PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(29% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $32,000,000   $31,924,637 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $31,993,547)
       $31,924,637 
        
 
 
 
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2023
   728   $22,351,129   $1,353,160 
VIX Futures - Cboe, expires February 2023
   1,214    36,796,340    2,580,598 
VIX Futures - Cboe, expires March 2023
   1,214    36,638,520    2,105,825 
VIX Futures - Cboe, expires April 2023
   486    14,700,868    277,649 
             
 
 
 
             $6,317,232 
             
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
73

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $220,211  $8,914  $296,960  $27,487 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   201,508   221,356   627,755   586,702 
Brokerage commissions
   17,922   20,803   58,291   48,211 
Futures account fees
   —     28,911   46,394   86,674 
Non-recurring
fees and expenses
   2,050   —     2,050   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   221,480   271,070   734,490   721,587 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,269  (262,156  (437,530  (694,100
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (1,349,272  (4,024,133  11,304,613   (14,890,359
Short-term U.S. government and agency obligations
   —     —     (336  —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (1,349,272  (4,024,133  11,304,277��  (14,890,359
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   3,236,565   10,651,835   6,941,620   5,950,464 
Short-term U.S. government and agency obligations
   131,644   1,117   (54,576  (1,004
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   3,368,209   10,652,952   6,887,044   5,949,460 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   2,018,937   6,628,819   18,191,321   (8,940,899
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $2,017,668  $6,366,663  $17,753,791  $(9,634,999
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
74

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $95,721,271  $92,662,734  $112,875,680  $72,075,095 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 850,000, 1,200,000, 1,850,000 and 2,625,000 shares, respectively
   28,312,142   37,425,551   60,491,195   87,035,790 
Redemption of 450,000, 275,000, 2,425,000 and 625,000 shares, respectively
   (15,630,507  (8,781,811  (80,700,092  (21,802,749
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 400,000, 925,000, (575,000) and 2,000,000 shares, respectively
   12,681,635   28,643,740   (20,208,897  65,233,041 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   (1,269  (262,156  (437,530  (694,100
Net realized gain (loss)
   (1,349,272  (4,024,133  11,304,277   (14,890,359
Change in net unrealized appreciation (depreciation)
   3,368,209   10,652,952   6,887,044   5,949,460 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   2,017,668   6,366,663   17,753,791   (9,634,999
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $110,420,574  $127,673,137  $110,420,574  $127,673,137 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
75

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $17,753,791  $(9,634,999
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
   (66,991,148  (112,984,923
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   120,998,548   96,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (63,980  (11,385
Net realized (gain) loss on investments
   336   —   
Change in unrealized (appreciation) depreciation on investments
   54,576   1,004 
Decrease (Increase) in receivable on open futures contracts
   (765,221  (304,739
Decrease (Increase) in interest receivable
   (84,257  (995
Increase (Decrease) in payable to Sponsor
   51,511   25,800 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (7,124  (1,377
Increase (Decrease) in payable on open futures contracts
   (94,495  —   
Increase (Decrease) in
non-recurring
fees and expenses payable
   2,050   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   70,854,587   (26,911,614
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   60,491,195   87,035,790 
Payment on shares redeemed
   (78,938,105  (22,718,536
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (18,446,910  64,317,254 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   52,407,677   37,405,640 
Cash, beginning of period
   27,071,819   27,802,834 
   
 
 
  
 
 
 
Cash, end of period
  $79,479,496  $65,208,474 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
76

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $157,803,304 and $150,887,871, respectively)
  $157,672,634   $150,861,898 
Cash
   118,894,245    11,013,736 
Segregated cash balances with brokers for futures contracts
   104,019,800    104,947,080 
Receivable from capital shares sold
   —      3,026,614 
Receivable on open futures contracts
   69,873,535    2,115,232 
Interest receivable
   364,107    1,774 
   
 
 
   
 
 
 
Total assets
   450,824,321    271,966,334 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   12,701,023    —   
Payable on open futures contracts
   —      2,037,391 
Brokerage commissions and futures account fees payable
   18,250    38,926 
Payable to Sponsor
   559,720    186,853 
Non-recurring
fees and expenses payable
   8,700    —   
   
 
 
   
 
 
 
Total liabilities
   13,287,693    2,263,170 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   437,536,628    269,703,164 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $450,824,321   $271,966,334 
   
 
 
   
 
 
 
Shares outstanding
   25,582,826    17,832,826 
   
 
 
   
 
 
 
Net asset value per share
  $17.10   $15.12 
   
 
 
   
 
 
 
Market value per share (Note 2)
  $17.10   $15.17 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
77

PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(36% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $50,000,000   $49,989,230 
0.223% due 11/03/22
   58,000,000    57,863,404 
2.682% due 11/17/22
   50,000,000    49,820,000 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $157,803,304)
       $157,672,634 
        
 
 
 
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2022
   8,381   $264,135,596   $46,212,286 
VIX Futures - Cboe, expires November 2022
   5,587    173,597,588    8,613,135 
             
 
 
 
             $54,825,421 
             
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
78

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $1,400,201  $11,739  $1,678,813  $91,187 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   874,070   660,051   2,353,478   2,154,874 
Brokerage commissions
   203,095   97,516   490,751   365,013 
Futures account fees
   54,944   151,758   371,384   591,272 
Non-recurring
fees and expenses
   8,700   —     8,700   —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,140,809   909,325   3,224,313   3,111,159 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   259,392   (897,586  (1,545,500  (3,019,972
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (45,457,319  (51,868,433  31,935,990   (304,349,667
Short-term U.S. government and agency obligations
   —     —     (300  —   
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (45,457,319  (51,868,433  31,935,690   (304,349,667
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   51,449,994   42,164,263   84,956,040   27,731,186 
Short-term U.S. government and agency obligations
   248,953   4,034   (104,697  (1,396
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   51,698,947   42,168,297   84,851,343   27,729,790 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   6,241,628   (9,700,136  116,787,033   (276,619,877
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $6,501,020  $(10,597,722 $115,241,533  $(279,639,849
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
79

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $341,714,316  $272,352,675  $269,703,164  $293,390,549 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 17,775,000, 6,300,000, 35,900,000 and 16,556,250 shares, respectively
   261,088,034   142,476,815   563,456,503   593,853,539 
Redemption of 10,950,000, 1,350,000, 28,150,000 and 5,630,003 shares, respectively
   (171,766,742  (35,454,435  (510,864,572  (238,826,906
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 6,825,000, 4,950,000, 7,750,000 and 10,926,247 shares, respectively
   89,321,292   107,022,380   52,591,931   355,026,633 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   259,392   (897,586  (1,545,500  (3,019,972
Net realized gain (loss)
   (45,457,319  (51,868,433  31,935,690   (304,349,667
Change in net unrealized appreciation (depreciation)
   51,698,947   42,168,297   84,851,343   27,729,790 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   6,501,020   (10,597,722  115,241,533   (279,639,849
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $437,536,628  $368,777,333  $437,536,628  $368,777,333 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
80

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $115,241,533  $(279,639,849
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
   (2,462,189,566  (425,941,319
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,455,998,870   383,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (725,037  (50,698
Net realized (gain) loss on investments
   300   —   
Change in unrealized (appreciation) depreciation on investments
   104,697   1,396 
Decrease (Increase) in receivable on open futures contracts
   (67,758,303  834,150 
Decrease (Increase) in interest receivable
   (362,333  (1,076
Increase (Decrease) in payable to Sponsor
   372,867   17,527 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (20,676  (28,852
Increase (Decrease) in payable on open futures contracts
   (2,037,391  1,181,913 
Increase (Decrease) in
non-recurring
fees and expenses payable
   8,700   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   38,633,661   (320,626,808
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   566,483,117   593,853,539 
Payment on shares redeemed
   (498,163,549  (238,826,906
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   68,319,568   355,026,633 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   106,953,229   34,399,825 
Cash, beginning of period
   115,960,816   206,562,147 
   
 
 
  
 
 
 
Cash, end of period
  $222,914,045  $240,961,972 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
81

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

(unaudited)
   
December 31, 2020
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively)  $2,327,838,468   $1,034,986,384 
Cash   778,499,094    1,651,161,384 
Segregated cash balances with brokers for futures contracts   1,069,584,913    1,491,618,088 
Segregated cash balances with brokers for foreign currency forward contracts   —      5,716,000 
Segregated cash balances with brokers for swap agreements   —      107,967,985 
Unrealized appreciation on swap agreements   83,740,160    80,135,841 
Unrealized appreciation on foreign currency forward contracts   2,836,253    169,051 
Receivable from capital shares sold   14,084,428    49,086,388 
Receivable on open futures contracts   155,985,619    108,851,000 
Interest receivable   40,866    66,871 
           
Total assets   4,432,609,801    4,529,758,992 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   66,045,047    18,280,444 
Payable on open futures contracts   24,303,801    27,874,393 
Brokerage commissions and futures account fees payable   470,680    691,005 
Payable to Sponsor   3,159,235    3,407,672 
Unrealized depreciation on swap agreements   100,167,433    3,491,096 
Unrealized depreciation on foreign currency forward contracts   429,828    1,714,898 
Non-recurring
fees and expenses payable
   75,570    48,070 
           
Total liabilities   194,651,594    55,507,578 
           
Commitments and Contingencies (Note 2)        
Shareholders’ equity
          
Shareholders’ equity   4,237,958,207    4,474,251,414 
           
Total liabilities and shareholders’ equity  $4,432,609,801   $4,529,758,992 
           
Shares outstanding (Note 1)   133,773,980    228,676,695 
           
   
September 30, 2022

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $1,816,371,072 and $2,505,722,885, respectively)
  $1,815,105,624   $2,505,429,337 
Cash
   851,017,429    394,413,910 
Segregated cash balances with brokers for futures contracts
   964,952,140    1,010,799,328 
Segregated cash balances with brokers for foreign currency forward contracts
   7,679,000    916,000 
Segregated cash balances with brokers for swap agreements
   235,294,945    2,572,000 
Unrealized appreciation on swap agreements
   27,606,752    113,159,180 
Unrealized appreciation on foreign currency forward contracts
   3,695,149    1,457,257 
Receivable from capital shares sold
   4,647,847    23,475,355 
Receivable on open futures contracts
   539,065,223    205,819,074 
Interest receivable
   3,118,925    22,943 
   
 
 
   
 
 
 
Total assets
   4,452,183,034    4,258,064,384 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   94,141,256    25,594,902 
Payable on open futures contracts
   13,255,922    51,142,167 
Brokerage commissions and futures account fees payable
   149,226    476,241 
Payable to Sponsor
   7,423,558    3,178,585 
Unrealized depreciation on swap agreements
   131,794,025    3,391,968 
Unrealized depreciation on foreign currency forward contracts
   955,689    806,178 
Non-recurring
fees and expenses payable
   81,773    —   
   
 
 
   
 
 
 
Total liabilities
   247,801,449    84,590,041 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   4,204,381,585    4,173,474,343 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $4,452,183,034   $4,258,064,384 
   
 
 
   
 
 
 
Shares outstanding (Note 9)
   197,794,037    151,164,114 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
94
82

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $14,620,209  $225,068  $19,240,564  $1,311,362 
Expenses
                 
Management fee
   11,269,281   9,892,153   33,494,289   32,386,686 
Brokerage commissions
   2,210,735   1,808,557   6,013,653   6,704,455 
Futures account fees
   449,872   1,447,030   3,285,001   5,996,930 
Non-recurring
fees and expenses
   81,773   27,500   81,773   27,500 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   14,011,661   13,175,240   42,874,716   45,115,571 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   608,548   (12,950,172  (23,634,152  (43,804,209
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (321,993,985  (240,784,887  188,147,013   (1,427,934,171
Swap agreements
   (438,845,993  (160,769,089  217,520,213   50,628,405 
Foreign currency forward contracts
   13,695,610   2,892,137   26,532,572   4,813,162 
Short-term U.S. government and agency obligations
   (71,343  (10,753  (264,143  11,145 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (747,215,711  (398,672,592  431,935,655   (1,372,481,459
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   291,970,061   158,443,180   354,740,180   230,326,477 
Swap agreements
   112,369,648   38,179,426   (213,954,485  (93,072,018
Foreign currency forward contracts
   (1,017,583  (724,910  2,088,381   3,952,272 
Short-term U.S. government and agency obligations
   3,053,986   88,814   (971,900  (38,045
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   406,376,112   195,986,510   141,902,176   141,168,686 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (340,839,599  (202,686,082  573,837,831   (1,231,312,773
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(340,231,051 $(215,636,254 $550,203,679  $(1,275,116,982
   
 
 
  
 
 
  
 
 
  
 
 
 
 
*
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.
95
83

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

September 30,
  
Nine Months Ended

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $4,563,369,776  $4,404,846,864  $4,173,474,343  $4,474,251,414 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 204,975,000, 55,595,000, 449,280,000 and 130,216,250 shares, respectively (Note 1)
   3,360,951,964   1,649,296,999   8,989,738,725   5,597,393,110 
Redemption of 185,800,000, 55,500,000, 431,338,426 and 142,595,323 shares, respectively (Note 1)
   (3,379,709,104  (1,600,549,402  (9,509,035,162  (4,558,569,335
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 19,175,000, 95,000, 17,941,574 and (12,379,073) shares, respectively (Note 1)
   (18,757,140  48,747,597   (519,296,437  1,038,823,775 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   608,548   (12,950,172  (23,634,152  (43,804,209
Net realized gain (loss)
   (747,215,711  (398,672,592  431,935,655   (1,372,481,459
Change in net unrealized appreciation (depreciation)
   406,376,112   195,986,510   141,902,176   141,168,686 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (340,231,051  (215,636,254  550,203,679   (1,275,116,982
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $4,204,381,585  $4,237,958,207  $4,204,381,585  $4,237,958,207 
   
 
 
  
 
 
  
 
 
  
 
 
 
 
*
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.
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PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS*
(unaudited)
   
Nine Months Ended

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $550,203,679  $(1,275,116,982
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (32,181,153,315  (6,612,113,856
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   32,879,938,110   5,319,975,559 
Net amortization and accretion on short-term U.S. government and agency obligations
   (9,697,124  (740,687
Net realized (gain) loss on investments
   264,143   (11,145
Change in unrealized (appreciation) depreciation on investments
   212,838,004   89,157,791 
Decrease (Increase) in receivable on futures contracts
   (333,246,149  (47,134,619
Decrease (Increase) in interest receivable
   (3,095,982  26,005 
Increase (Decrease) in payable to Sponsor
   4,244,972   (248,437
Increase (Decrease) in brokerage commissions and futures account fees payable
   (327,015  (220,325
Increase (Decrease) in payable on futures contracts
   (37,886,245  (3,570,592
Increase (Decrease) in
non-recurring
fees and expenses payable
   81,773   27,500 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   1,082,164,851   (2,529,969,788
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   9,008,566,233   5,632,395,070 
Payment on shares redeemed
   (9,440,488,808  (4,510,804,732
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (431,922,575  1,121,590,338 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   650,242,276   (1,408,379,450
Cash, beginning of period
   1,408,701,238   3,256,463,457 
   
 
 
  
 
 
 
Cash, end of period
  $2,058,943,514  $1,848,084,007 
   
 
 
  
 
 
 
*
The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
See accompanying notes to financial statements.
96
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PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
   
Nine Months Ended

September 30,
 
  
2021
  
2020*
 
Cash flow from operating activities
         
Net income (loss)  $(1,275,116,982 $(732,601,859
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (6,612,113,856  (4,582,922,901
Proceeds from sales or maturities of short-term U.S. government and agency obligations   5,319,975,559   3,736,919,081 
Net amortization and accretion on short-term U.S. government and agency obligations   (740,687  (5,453,567
Net realized gain (loss) on investments   (11,145  (296,893
Change in unrealized appreciation (depreciation) on investments   89,157,791   181,472,439 
Decrease (Increase) in securities sold receivable   —     (242,309
Decrease (Increase) in receivable on futures contracts   (47,134,619  (161,192,003
Decrease (Increase) in interest receivable   26,005   916,323 
Increase (Decrease) in payable to Sponsor   (248,437  1,913,708 
Increase (Decrease) in brokerage commissions and futures account fees payable   (220,325  583,315 
Increase (Decrease) in payable on futures contracts   (3,570,592  (32,538,644
Increase (Decrease) in
non-recurring
fees and expenses payable
   27,500   —   
          
Net cash provided by (used in) operating activities   (2,529,969,788  (1,593,443,310
          
Cash flow from financing activities
         
Proceeds from addition of shares   5,632,395,070   9,655,286,527 
Payment on shares redeemed   (4,510,804,732  (6,721,603,064
          
Net cash provided by (used in) financing activities   1,121,590,338   2,933,683,463 
          
Net increase (decrease) in cash
   (1,408,379,450  1,340,240,153 
Cash, beginning of period   3,256,463,457   1,190,195,205 
          
Cash, end of period  $1,848,084,007  $2,530,435,358 
          
*The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares 3x UltraPro Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
See accompanying notes to financial statements.
97

PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
September 30, 20212022
(unaudited)
NOTE 1 - ORGANIZATION
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2021,2022, the following 18sixteen 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, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of 14fourteen 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.
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Table of Contents
Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the nine months ended September 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.
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Table of Contents
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.
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.
 
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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 September 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 nine months ended September 30, 20212022 were typically as follows. All times are Eastern Standard Time:
Fund
  
Create/Redeem
NAV Calculation
NAV
Fund

Cut-off*
  
NAV Calculation
Time
  
NAV Calculation Date
Ultra Silver and UltraShort Silver  1:00 p.m.  1:25 p.m.  September 30, 20212022
    
Ultra Gold and UltraShort Gold  1:00 p.m.  1:30 p.m.  September 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.  September 30, 20212022
Short Euro,    
Ultra Euro,         
Ultra Yen,
UltraShort Australian Dollar,         
UltraShort Euro and         
UltraShort Yen  3:00 p.m.  4:00 p.m.  September 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.  September 30, 20212022
*
Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2021.
**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).2022.
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 nine months ended September 30, 2021.
1002022.

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 Ultra Short Euro Funds,Fund, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver Australian Dollar and Ultra Short Euro FundsFund are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures
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Table of Contents
contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
 
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The following table summarizes the valuation of investments at September 30, 2021The following table summarizes the valuation of investments at September 30, 2022 using the fair value hierarchy:
 
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short Euro  $—     $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
 
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short VIX Short-Term Futures ETF
  $136,590,474   $(16,266,018 $—    $—    $120,324,456 
ProShares Ultra Bloomberg Crude Oil
   535,064,695    (3,847,928  —     (123,956,198  407,260,569 
ProShares Ultra Bloomberg Natural Gas
   106,563,264    (97,363,745  —     —     9,199,519 
ProShares Ultra Euro
   696,356    —     (431,231  —     265,125 
ProShares Ultra Gold
   143,619,527    (1,627,042  —     (6,686,424  135,306,061 
ProShares Ultra Silver
   162,611,595    (329,232  —     26,804,548   189,086,911 
ProShares Ultra VIX Short-Term Futures ETF
   273,202,387    196,774,849   —     —     469,977,236 
ProShares Ultra Yen
   997,645    —     (95,117  —     902,528 
ProShares UltraShort Bloomberg Crude Oil
   120,666,762    105,314,104   —     —     225,980,866 
ProShares UltraShort Bloomberg Natural Gas
   84,676,656    130,293,612   —     —     214,970,268 
ProShares UltraShort Euro
   45,854,318    —     2,841,040   —     48,695,358 
ProShares UltraShort Gold
   7,981,159    1,536,681   —     802,204   10,320,044 
ProShares UltraShort Silver
   1,995,290    1,453,369   —     (1,151,403  2,297,256 
ProShares UltraShort Yen
   4,988,225    —     424,768   —     5,412,993 
ProShares VIX
Mid-Term
Futures ETF
   31,924,637    6,317,232   —     —     38,241,869 
ProShares VIX Short-Term Futures ETF
   157,672,634    54,825,421   —     —     212,498,055 
   
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Combined Trust:
  
$
1,815,105,624
 
  
$
377,081,303
 
 
$
2,739,460
 
 
$
(104,187,273
 
$
2,090,739,114
 
*
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, 2021 using the fair value hierarchy:
 
The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy:
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short Euro
  $—     $(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
 
 
   
Level I - Quoted Prices
  
Level II - Other Significant
Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short Euro  $—     $(44,626 $—    $—    $(44,626
ProShares Short VIX Short-Term Futures ETF   69,999,639    8,348,783   —     —     78,348,422 
ProShares Ultra Bloomberg Crude Oil   219,998,394    144,564,039   —     18,242,195   382,804,628 
ProShares Ultra Bloomberg Natural Gas   29,999,889    6,500,721   —     —     36,500,610 
ProShares Ultra Euro   —      —     88,736   —     88,736 
ProShares Ultra Gold   74,999,467    2,646,874   —     5,140,980   82,787,321 
ProShares Ultra Silver   244,993,989    37,190,212   —     56,752,666   338,936,867 
ProShares Ultra VIX Short-Term Futures ETF   244,995,969    (48,524,666  —     (24,807  196,446,496 
ProShares Ultra Yen   —      —     67,087   —     67,087 
ProShares UltraShort Australian Dollar   —      (138,950  —     —     (138,950
ProShares UltraShort Bloomberg Crude Oil   —      (14,636,813  —     —     (14,636,813
ProShares UltraShort Bloomberg Natural Gas   9,999,861    379,310   —     —     10,379,171 
ProShares UltraShort Euro   9,999,861    —     (1,136,704  —     8,863,157 
ProShares UltraShort Gold   —      (196,930  —     (268,728  (465,658
ProShares UltraShort Silver   —      (220,076  —     (3,197,561  (3,417,637
ProShares UltraShort Yen   —      —     (564,966  —     (564,966
ProShares VIX
Mid-Term
Futures ETF
   44,999,732    (1,133,616  —     —     43,866,116 
ProShares VIX Short-Term Futures ETF   84,999,583    (6,364,090  —     —     78,635,493 
                       
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
 
$
76,644,745
 
 
$
1,238,455,454
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
10290

There were no transfers into or out of Level 3 for the fiscal year end.
The inputs or methodology used for valuing investments investment
s
are not necessarily an indication of the risk associated with investing in those
securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.
Brokerage Commissions and Futures Account Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,
give-up
fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,
on-going
analysis of tax law, regulation, and interpretations thereof.
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.
91

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.
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.
92

When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
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.
93

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.
The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.
Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 20212022
contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.
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 September 30, 2021,2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
94

The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 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.
95

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

2022
Fair Value of Derivative Instruments as of December 31, 2020
          
     
Asset Derivatives
 
Liability Derivatives
      
Asset Derivatives
 
Liability Derivatives
 
Derivatives Not Accounted for
as Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
 
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
   
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
 
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts     Receivables on open futures contracts, unrealized appreciation on swap agreements   Payable on open futures contracts, unrealized depreciation on swap agreements       
Receivable on open futures contracts, unrealized
appreciation on swap agreements
   
Payable on open futures contracts, unrealized
depreciation on swap agreements
  
  ProShares Short VIX Short-Term Futures ETF     $8,348,783   $—     ProShares Short VIX Short-Term Futures ETF    $—      $16,266,018
  ProShares Ultra VIX Short-Term Futures ETF      —       48,549,473  ProShares Ultra VIX Short-Term Futures ETF     196,774,849    —   
  ProShares VIX
Mid-Term
Futures ETF
      147,915    1,281,531  ProShares VIX
Mid-Term
Futures ETF
     6,317,232    —   
  ProShares VIX Short-Term Futures ETF      —       6,364,090  ProShares VIX Short-Term Futures ETF     54,825,421    —   
Commodities Contracts     Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements       Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements  
  ProShares Ultra Bloomberg Crude Oil      162,806,234    —     ProShares Ultra Bloomberg Crude Oil     14,409,192    142,213,318
  ProShares Ultra Bloomberg Natural Gas      6,500,721    —     ProShares Ultra Bloomberg Natural Gas     —       97,363,745
  ProShares Ultra Gold      7,787,854    —     ProShares Ultra Gold     —       8,313,466
  ProShares Ultra Silver      93,942,878    —     ProShares Ultra Silver     26,804,548    329,232
  ProShares UltraShort Bloomberg Crude Oil      —       14,636,813  ProShares UltraShort Bloomberg Crude Oil     105,314,104    —   
  ProShares UltraShort Bloomberg Natural Gas      379,310    —     ProShares UltraShort Bloomberg Natural Gas     130,293,612    —   
  ProShares UltraShort Gold      —       465,658  ProShares UltraShort Gold     2,338,885    —   
  ProShares UltraShort Silver      —       3,417,637  ProShares UltraShort Silver     1,453,369    1,151,403
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       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     —       431,231 
  ProShares Ultra Euro      89,103     367   ProShares Ultra Yen     6,055     101,172 
  ProShares Ultra Yen      67,235     148   ProShares UltraShort Euro     3,108,883     267,843 
  ProShares UltraShort Australian Dollar      —       138,950  ProShares UltraShort Yen     580,211     155,443 
  ProShares UltraShort Euro      5,705     1,142,409       
 
    
 
 
  ProShares UltraShort Yen      7,008     571,974     
Combined Trust:
  
$
542,226,361
*
 
   
$
266,592,871
*
 
               
     
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
             
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $34,573,906  $(43,362,244
      ProShares Ultra VIX Short-Term Futures ETF   (198,380,990  186,737,241 
      
ProShares VIX
Mid-Term
Futures ETF
   (4,024,133  10,651,835 
      ProShares VIX Short-Term Futures ETF   (51,868,433  42,164,263 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   106,330,563   (16,910,039
      ProShares Ultra Bloomberg Natural Gas   33,925,711   25,134,988 
      ProShares Ultra Gold   (21,858,089  15,564,318 
      ProShares Ultra Silver   (201,315,310  (6,040,776
      ProShares UltraShort Bloomberg Crude Oil   (11,449,562  (1,521,543
      ProShares UltraShort Bloomberg Natural Gas   (95,609,878  (17,870,697
      ProShares UltraShort Gold   1,213,721   (1,898,585
      ProShares UltraShort Silver   6,662,145   3,921,845 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   57,489   (4,770
      ProShares Ultra Euro   (254,219  72,810 
      ProShares Ultra Yen   (25,554  10,988 
      ProShares UltraShort Australian Dollar   188,884   56,770 
      ProShares UltraShort Euro   2,974,466   (618,447
      ProShares UltraShort Yen   197,444   (190,261
                
      
Total Trust
  
$
(398,661,839
 
$
195,897,696
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
11096

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
    
Receivable on open futures contracts, unrealized
appreciation on swap agreements
   
Payable on open futures contracts, unrealized
depreciation on swap agreements
  
  ProShares Short VIX Short-Term Futures ETF    $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
*
 
97

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 September 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
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $60,593,315  $(1,463,210
      ProShares Ultra VIX Short-Term Futures ETF   (559,537,850  15,302,015 
      
ProShares VIX
Mid-Term
Futures ETF
   755,845   1,751,675 
      ProShares VIX Short-Term Futures ETF   (75,120,135  555,267 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   285,954,263   (232,623,755
      ProShares Ultra Bloomberg Natural Gas   41,156,156   (4,754,372
      ProShares Ultra Gold   25,742,296   (18,057,616
      ProShares Ultra Silver   290,238,797   (199,321,544
      ProShares UltraShort Bloomberg Crude Oil   (16,296,829  5,848,114 
      ProShares UltraShort Bloomberg Natural Gas   (31,450,011  8,968,702 
      ProShares UltraShort Gold   (4,021,537  2,688,730 
      ProShares UltraShort Silver   (15,896,820  11,129,646 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   (77,567  (14,989
      ProShares Ultra Euro   441,714   (84,317
      ProShares Ultra Yen   126,569   (1,524
      ProShares UltraShort Australian Dollar   (432,100  5,020 
      ProShares UltraShort Euro   (7,511,153  1,523,931 
      ProShares UltraShort Yen   (1,451,651  200,915 
                
      
Total Trust
  
$
(6,786,698
 
$
(408,347,312
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
    ProShares Short VIX Short-Term Futures ETF  $27,694,574  $(17,783,632
    ProShares Ultra VIX Short-Term Futures ETF   (289,871,717  161,330,331 
    ProShares VIX
Mid-Term
Futures ETF
   (1,349,272  3,236,565 
    ProShares VIX Short-Term Futures ETF   (45,457,319  51,449,994 
Commodities Contracts
  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
    ProShares Ultra Bloomberg Crude Oil   (344,578,932  (33,971,770
    ProShares Ultra Bloomberg Natural Gas   (5,889,116  97,063,212 
    ProShares Ultra Gold   (39,825,586  2,070,901 
    ProShares Ultra Silver   (147,384,761  91,205,187 
    ProShares UltraShort Bloomberg Crude Oil   66,444,885   76,797,273 
    ProShares UltraShort Bloomberg Natural Gas   8,173,631   (23,776,729
    ProShares UltraShort Gold   4,988,228   806,339 
    ProShares UltraShort Silver   6,215,407   (4,087,962
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Ultra Euro   (1,618,381  (98,836
    ProShares Ultra Yen   (1,652,590  (17,967
    ProShares UltraShort Euro   11,086,708   (354,043
    ProShares UltraShort Yen   5,879,873   (546,737
      
 
 
  
 
 
 
    
Combined Trust
  
$
(747,144,368
 
$
403,322,126
 
*
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.
112
98

The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 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
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements            
      ProShares Short VIX Short-Term Futures ETF  $(129,091,526 $(2,706,204
      ProShares Ultra VIX Short-Term Futures ETF   58,666,590   66,331,637 
      
ProShares VIX
Mid-Term
Futures ETF
   21,708,785   5,422,315 
      ProShares VIX Short-Term Futures ETF   249,771,936   16,595,465 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements            
      ProShares Ultra Bloomberg Crude Oil   (891,179,560  106,147,368 
      ProShares Ultra Bloomberg Natural Gas   2,225,390   (4,336,578
      ProShares Ultra Gold   51,605,680   (11,257,214
      ProShares Ultra Silver   297,927,456   (215,072,789
      ProShares UltraShort Bloomberg Crude Oil   28,429,846   7,230,908 
      ProShares UltraShort Bloomberg Natural Gas   (20,587,193  9,530,001 
      ProShares UltraShort Gold   (12,041,690  2,727,600 
      ProShares UltraShort Silver   (18,932,319  12,566,735 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts            
      ProShares Short Euro   (116,225  31,531 
      ProShares Ultra Euro   369,811   (208,243
      ProShares Ultra Yen   11,333   48,104 
      ProShares UltraShort Australian Dollar   (799,054  390,370 
      ProShares UltraShort Euro   (8,749,738  3,449,397 
      ProShares UltraShort Yen   (1,847,423  (427,974
                
      
Total Trust
  
$
(372,627,901
 
$
(3,537,571
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
    ProShares Short VIX Short-Term Futures ETF  $(26,435,234 $(47,541,296
    ProShares Ultra VIX Short-Term Futures ETF   82,162,402   323,609,043 
    ProShares VIX
Mid-Term
Futures ETF
   11,304,613   6,941,620 
    ProShares VIX Short-Term Futures ETF   31,935,990   84,956,040 
Commodities Contracts
  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
    ProShares Ultra Bloomberg Crude Oil   818,140,230   (339,187,944
    ProShares Ultra Bloomberg Natural Gas   235,322,266   (89,157,584
    ProShares Ultra Gold   (39,908,073  (17,607,548
    ProShares Ultra Silver   (186,941,909  (16,622,928
    ProShares UltraShort Bloomberg Crude Oil   (142,631,216  113,723,566 
    ProShares UltraShort Bloomberg Natural Gas   (389,138,752  116,857,361 
    ProShares UltraShort Gold   3,237,425   3,173,923 
    ProShares UltraShort Silver   8,252,893   1,570,887 
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Ultra Euro   (2,505,776  (513,883
    ProShares Ultra Yen   (2,532,839  (2,005
    ProShares UltraShort Euro   16,693,971   3,049,081 
    ProShares UltraShort Yen   14,877,216   (444,812
      
 
 
  
 
 
 
    
Combined Trust:
  
$
431,833,207
 
 
$
142,803,521
 
113
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Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2021
 
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
    ProShares Short VIX Short-Term Futures ETF  $34,573,906  $(43,362,244
    ProShares Ultra VIX Short-Term Futures ETF   (198,380,990  186,737,241 
    ProShares VIX
Mid-Term
Futures ETF
   (4,024,133  10,651,835 
    ProShares VIX Short-Term Futures ETF   (51,868,433  42,164,263 
Commodities Contracts
  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
    ProShares Ultra Bloomberg Crude Oil   106,330,563   (16,910,039
    ProShares Ultra Bloomberg Natural Gas   33,925,711   25,134,988 
    ProShares Ultra Gold   (21,858,089  15,564,318 
    ProShares Ultra Silver   (201,315,310  (6,040,776
    ProShares UltraShort Bloomberg Crude Oil   (11,449,562  (1,521,543
    ProShares UltraShort Bloomberg Natural Gas   (95,609,878  (17,870,697
    ProShares UltraShort Gold   1,213,721   (1,898,585
    ProShares UltraShort Silver   6,662,145   3,921,845 
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Short Euro   57,489   (4,770
    ProShares Ultra Euro   (254,219  72,810 
    ProShares Ultra Yen   (25,554  10,988 
    ProShares UltraShort Australian Dollar   188,884   56,770 
    ProShares UltraShort Euro   2,974,466   (618,447
    
ProShares UltraShort Yen
   197,444   (190,261
      
 
 
  
 
 
 
    
Combined Trust
  
$
(398,661,839
 
$
195,897,696
 
100

Table of Contents
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 
         
 
 
  
 
 
 
      
Combined Trust:
  
$
(1,372,492,604
 
$
141,206,731
 
101

Table of Contents
Offsetting Assets and Liabilities
Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2021.2022.​​​​​​​
 
Fair Values of Derivative Instruments as of September 30, 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  $70,885,762   $0     $70,885,762   $0     $0     $0   
ProShares Ultra Euro                              
Foreign currency forward contracts   2,136    0      2,136    164,822    0      164,822 
ProShares Ultra Gold                              
Swap agreements   0      0      0      7,406,864    0      7,406,864 
ProShares Ultra Silver                              
Swap agreements   0      0      0      92,760,569    0      92,760,569 
ProShares Ultra VIX Short-Term Futures ETF                              
Swap agreements   7,933,765    0      7,933,765    0      0      0   
ProShares Ultra Yen                              
Foreign currency forward contracts   757    0      757    60,023    0      60,023 
ProShares UltraShort Euro                              
Foreign currency forward contracts   2,284,006    0      2,284,006    157,203    0      157,203 
ProShares UltraShort Gold                              
Swap agreements   830,123    0      830,123    0      0      0   
ProShares UltraShort Silver                              
Swap agreements   4,090,510    0      4,090,510    0      0      0   
ProShares UltraShort Yen                              
Foreign currency forward contracts   549,354    0      549,354    47,780    0      47,780 
Fair Values of Derivative Instruments as of September 30, 2022
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                              
Swap agreements
  $—     $—     $—     $123,956,198   $—     $123,956,198 
ProShares Ultra Euro
                              
Foreign currency forward contracts
   —      —      —      431,231    —      431,231 
ProShares Ultra Gold
                              
Swap agreements
   —      —      —      6,686,424    —      6,686,424 
ProShares Ultra Silver
                              
Swap agreements
   26,804,548    —      26,804,548    —      —      —   
ProShares Ultra Yen
                              
Foreign currency forward contracts
   6,055    —      6,055    101,172    —      101,172 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   3,108,883    —      3,108,883    267,843    —      267,843 
ProShares UltraShort Gold
                              
Swap agreements
   802,204    —      802,204    —      —      —   
ProShares UltraShort Silver
                              
Swap agreements
   —      —      —      1,151,403    —      1,151,403 
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   580,211    —      580,211    155,443    —      155,443 
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Table of Contents
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 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”.
Gross Amounts Not Offset in the Statements of Financial Condition as of September 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.
  $(19,603,867 $—    $19,603,867  $—   
Goldman Sachs International
   (24,373,900  —     24,373,900   —   
Morgan Stanley & Co. International PLC
   (33,954,709  —     33,954,709   —   
Societe Generale
   (18,489,319  17,977,319   512,000   —   
UBS AG
   (27,534,403  19,575,403   7,959,000   —   
ProShares Ultra Euro
                 
Goldman Sachs International
   (194,303  —     194,303   —   
UBS AG
   (236,928  —     236,928   —   
ProShares Ultra Gold
                 
Citibank, N.A.
   (2,464,705  —     2,464,705   —   
Goldman Sachs International
   (1,657,776  1,588,776   69,000   —   
UBS AG
   (2,563,943  —     2,563,943   —   
ProShares Ultra Silver
                 
Citibank, N.A.
   8,433,031   —     —     8,433,031 
Goldman Sachs International
   1,725,874   (1,222,261  —     503,613 
Morgan Stanley & Co. International PLC
   9,256,039   —     (6,573,000  2,683,039 
UBS AG
   7,389,604   (2,828,730  —     4,560,874 
ProShares Ultra Yen
                 
Goldman Sachs International
   (39,854  —     39,854   —   
UBS AG
   (55,263  —     55,263   —   
ProShares UltraShort Euro
                 
Goldman Sachs International
   1,292,731   (1,292,731  —     —   
UBS AG
   1,548,309   (1,548,309  —     —   
ProShares UltraShort Gold
                 
Citibank, N.A.
   329,122   —     —     329,122 
Goldman Sachs International
   215,613   (215,613  —     —   
UBS AG
   257,469   (257,469  —     —   
ProShares UltraShort Silver
                 
Citibank, N.A.
   (136,329  —     136,329   —   
Goldman Sachs International
   (496,626  —     496,626   —   
Morgan Stanley & Co. International PLC
   (392,881  —     392,881   —   
UBS AG
   (125,567  —     125,567   —   
ProShares UltraShort Yen
                 
Goldman Sachs International
   92,684   —     —     92,684 
UBS AG
   332,084   —     —     332,084 
103

Table of Contents
The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2021:
Fair Values of Derivative Instruments as of December 31, 2021
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                              
Swap agreements
  $63,928,293   $—     $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”.
114
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Table of Contents
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
 
ProShares Ultra Bloomberg Crude Oil
                 
Citibank, N.A.
  $9,839,441  $—    $(9,839,441 $—   
Goldman Sachs International
   13,920,431   (13,889,225  (31,206  —   
Morgan Stanley & Co. International PLC
   17,042,319   —     (17,042,319  —   
Societe Generale
   9,295,046   (9,292,398  (2,648  —   
UBS AG
   13,831,056   —     (13,831,056  —   
ProShares Ultra Euro
                 
Goldman Sachs International
   10,301   —     —     10,301 
UBS AG
   72,351   —     —     72,351 
ProShares Ultra Gold
                 
Citibank, N.A.
   2,974,490   —     (2,100,000  874,490 
Goldman Sachs International
   2,570,443   (1,877,749  (250  692,444 
UBS AG
   3,094,255   —     (2,180,000  914,255 
ProShares Ultra Silver
                 
Citibank, N.A.
   10,785,304   —     (7,890,000  2,895,304 
Goldman Sachs International
   10,781,897   (8,181,572  (5,925  2,594,400 
Morgan Stanley & Co. International PLC
   10,046,034   —     (7,306,000  2,740,034 
UBS AG
   8,978,464   —     (6,570,000  2,408,464 
ProShares Ultra VIX Short-Term Futures ETF
                 
Goldman Sachs & Co.
   (477,437  —     —     (477,437
ProShares Ultra Yen
                 
Goldman Sachs International
   (54,919  —     54,919   —   
UBS AG
   (38,193  —     —     (38,193
ProShares UltraShort Euro
                 
Goldman Sachs International
   (83,325  83,325   —     —   
UBS AG
   (124,716  124,716   —     —   
ProShares UltraShort Gold
                 
Citibank, N.A.
   (407,735  407,735   —     —   
Goldman Sachs International
   (266,413  266,413   —     —   
UBS AG
   (318,969  318,969   —     —   
ProShares UltraShort Silver
                 
Citibank, N.A.
   (367,632  367,632   —     —   
Goldman Sachs International
   (486,710  368,710   118,000   —   
Morgan Stanley & Co. International PLC
   (385,104  —     385,104   —   
UBS AG
   (681,968  681,968   —     —   
ProShares UltraShort Yen
                 
Goldman Sachs International
   312,169   (302,523  —     9,646 
UBS AG
   557,411   —     (520,000  37,411 
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
 
   
Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
  
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
  
Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil                 
Goldman Sachs International  $1,377,243  $(1,281,309 $0    $95,934 
Morgan Stanley & Co. Internatio
n
al PLC
   10,959,227   0     (10,629,000  330,227 
Societe Generale   1,679,334   (1,679,334  0     0   
UBS AG   4,226,391   (4,151,442  (6,270  68,679 
ProShares Ultra Euro                 
Goldman Sachs International   22,950   0     0     22,950 
UBS AG   65,786   0     0     65,786 
ProShares Ultra Gold                 
Citibank, N.A.   1,770,050   0     (1,670,000  100,050 
Goldman Sachs International   1,529,612   (1,497,203  0     32,409 
UBS AG   1,841,318   0     0     1,841,318 
ProShares Ultra Silver                 
Citibank, N.A.   18,010,776   0     (18,010,776  0   
Goldman Sachs International   12,930,574   (12,930,574  0     0   
Morgan Stanley & Co. International PLC   12,353,706   0     (12,353,706  0   
UBS AG   13,457,610   (4,126,610  (9,331,000  0   
ProShares Ultra VIX Short-Term Futures ETF                 
Goldman Sachs & Co.   (24,807  0     24,807   0   
ProShares Ultra Yen                 
Goldman Sachs International   34,265   0     0     34,265 
UBS AG   32,822   0     0     32,822 
ProShares UltraShort Euro                 
Goldman Sachs International   (388,233  0     388,233   0   
UBS AG   (748,471  748,471   0     0   
ProShares UltraShort Gold                 
Citibank, N.A.   (80,068  0     80,068   0   
Goldman Sachs International   (82,645  0     82,645   0   
UBS AG   (106,015  0     106,015   0   
ProShares UltraShort Silver                 
Citibank, N.A.   (1,208,988  0     1,208,988   0   
Goldman Sachs International   (927,829  0     927,829   0   
Morgan Stanley & Co. International PLC   (579,421  0     579,421   0   
UBS AG   (481,323  0     481,323   0   
ProShares UltraShort Yen                 
Goldman Sachs International   (207,021  0     207,021   0   
UBS AG   (357,945  0     357,945   0   
NOTE 4 AGREEMENTS
Management Fee
Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.
The 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
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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.
117

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.
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Transaction Fees on Creation and Redemption Transactions
The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.
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Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
Transaction fees for the three and nine months ended September 30, 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
 
ProShares Short Euro  $0     $0   
ProShares Short VIX Short-Term Futures ETF   75,629    139,978 
ProShares Ultra Bloomberg Crude Oil   0      0   
ProShares Ultra Bloomberg Natural Gas   0      0   
ProShares Ultra Euro   0      0   
ProShares Ultra Gold   0      0   
ProShares Ultra Silver   0      0   
ProShares Ultra VIX Short-Term Futures ETF   908,895    2,277,545 
ProShares Ultra Yen   0      0   
ProShares UltraShort Australian Dollar   0      0   
ProShares UltraShort Bloomberg Crude Oil   0      0   
ProShares UltraShort Bloomberg Natural Gas   0      0   
ProShares UltraShort Euro   0      0   
ProShares UltraShort Gold   0      0   
ProShares UltraShort Silver   0      0   
ProShares UltraShort Yen   0      0   
ProShares VIX
Mid-Term
Futures ETF
   13,723    32,535 
ProShares VIX Short-Term Futures ETF   81,985    314,310 
           
Total Trust
  $1,080,232   $2,764,368 
   
Three Months Ended
   
Nine Months Ended
 
Fund
  
September 30, 2022
   
September 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
  $41,819   $160,578 
ProShares Ultra Bloomberg Crude Oil
   —      —   
ProShares Ultra Bloomberg Natural Gas
   —      —   
ProShares Ultra Euro
   —      —   
ProShares Ultra Gold
   —      —   
ProShares Ultra Silver
   —      —   
ProShares Ultra VIX Short-Term Futures ETF
   1,075,047    3,257,919 
ProShares Ultra Yen
   —      —   
ProShares UltraShort Bloomberg Crude Oil
   —      —   
ProShares UltraShort Bloomberg Natural Gas
   —      —   
ProShares UltraShort Euro
   —      —   
ProShares UltraShort Gold
   —      —   
ProShares UltraShort Silver
   —      —   
ProShares UltraShort Yen
   —      —   
ProShares VIX
Mid-Term
Futures ETF
   13,179    42,404 
ProShares VIX Short-Term Futures ETF
   182,543    432,819 
   
 
 
   
 
 
 
Combined Trust:
  $1,312,588   $3,893,720 
 
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NOTE 76 – FINANCIAL HIGHLIGHTS
Selected data is for a Share outstanding throughout the three months ended September 30, 20212022
For the Three Months Ended September 30, 20212022 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

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

Futures ETF
  
Ultra
Bloomberg
Crude Oil
*
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
  
Ultra Silver
 
Net asset value, at June 30, 2022
  $48.14  $41.61  $39.53  $11.08  $56.46  $24.78 
Net investment income (loss)
   (0.01  0.01   0.03   0.00(1)   0.05   0.00(2) 
Net realized and unrealized gain (loss)#
   0.38   (15.41  13.66   (1.51  (9.44  (3.94
Change in net asset value from operations
   0.37   (15.40  13.69   (1.51  (9.39  (3.94
Net asset value, at September 30, 2022
  $48.51  $26.21  $53.22  $9.57  $47.07  $20.84 
Market value per share, at June 30, 2022
  $48.21  $41.86  $42.10  $11.11  $56.50  $24.47 
Market value per share, at September 30, 2022
  $48.59  $26.26  $53.66  $9.57  $46.93  $20.76 
Total Return, at net asset value^
   0.8  (37.0)%   34.6  (13.7)%   (16.6)%   (15.9)% 
Total Return, at market value^
   0.8  (37.3)%   27.5  (13.9)%   (16.9)%   (15.2)% 
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.14  1.01  1.16  0.96  0.97  1.00
Net investment income gain (loss)
   (0.09)%   0.07  0.15  0.16  0.38  (0.02)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
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, 2021.2022.
^^
The expense ratio would be
0.95
% 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents less than $0.005.
(2)
Amount represents greater than $(0.005).
120
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For the Three Months Ended September 30, 20212022 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

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

Futures ETF
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
*
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at June 30, 2022
  $14.51  $33.51  $23.04  $42.65  $30.38  $31.55 
Net investment income (loss)
   0.00(1)   0.01   0.02   0.00(1)   0.01   (0.01
Net realized and unrealized gain (loss)#
   (1.64  (4.49  7.28   (25.30  4.45   5.64 
Change in net asset value from operations
   (1.64  (4.48  7.30   (25.30  4.46   5.63 
Net asset value, at September 30, 2022
  $12.87  $29.03  $30.34  $17.35  $34.84  $37.18 
Market value per share, at June 30, 2022
  $14.53  $33.49  $22.93  $40.02  $30.41  $31.59 
Market value per share, at September 30, 2022
  $12.85  $29.06  $30.28  $17.21  $34.88  $37.30 
Total Return, at net asset value^
   (11.3)%   (13.3)%   31.7  (59.3)%   14.7  17.9
Total Return, at market value^
   (11.6)%   (13.2)%   32.1  (57.0)%   14.7  18.1
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.46  0.96  1.11  1.25  0.96  1.00
Net investment income gain (loss)
   (0.14)%   0.18  0.32  (0.01)%   0.12  (0.11)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
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, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents greater than $(0.005).
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For the Three Months Ended September 30, 20212022 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at June 30, 2021  $23.81  $34.67  $23.37  $77.96  $30.51  $24.09 
Net investment income (loss)   (0.06  (0.08  (0.07  (0.17  (0.08  (0.07
Net realized and unrealized gain (loss)#   1.19   0.21   7.97   0.16   1.79   (1.34
Change in net asset value from operations   1.13   0.13   7.90   (0.01  1.71   (1.41
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at June 30, 2021
  $23.82  $34.69  $23.28  $77.98  $30.54  $24.08 
Market value per share, at September 30, 2021
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Total Return, at net asset value^
   4.8  0.4  33.8  (0.0)%
@
 
  5.6  (5.8)% 
Total Return, at market value^
   4.7  0.4  33.0  (0.0)%
@
 
  5.8  (5.3)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.95  1.02  1.10  0.95  1.04  1.17
Net investment income gain (loss)   (0.91)%   (0.98)%   (1.07)%   (0.91)%   (1.01)%   (1.16)% 
Per Share Operating
Performance
  
UltraShort
Silver
  
UltraShort
Yen
*
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at June 30, 2022
  $31.74  $57.06  $35.29  $18.22 
Net investment income (loss)
   (0.02  0.01   0.00(1)   0.01 
Net realized and unrealized gain (loss)#
   2.34   7.97   0.19   (1.13
Change in net asset value from operations
   2.32   7.98   0.19   (1.12
Net asset value, at September 30, 2022
  $34.06  $65.04  $35.48  $17.10 
Market value per share, at June 30, 2022
  $32.19  $57.13  $35.38  $18.25 
Market value per share, at September 30, 2022
  $34.15  $65.02  $35.50  $17.10 
Total Return, at net asset value^
   7.3  14.0  0.6  (6.1)% 
Total Return, at market value^
   6.1  13.8  0.3  (6.3)% 
Ratios to Average Net Assets**
                 
Expense ratio^^
   1.08  0.96  0.93  1.11
Net investment income gain (loss)
   (0.19)%   0.07  (0.01)%   0.25
 
*
See Note 1 of these Notes to Financial 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, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
@(1)
Amount represents greater than (0.05)%$(0.005).
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Table of Contents
Selected data for a Share outstanding throughout the three months ended September 30, 20202021
For the Three Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
                    
Net asset value, at June 30, 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)% 
Per Share Operating
Performance
  
Short VIX
Short-Term

Futures ETF
  
Ultra
Bloomberg
Crude Oil
*
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
  
Ultra Silver
 
Net asset value, at June 30, 2021
  $55.61  $19.56  $35.33  $14.67  $57.28  $45.97 
Net investment income (loss)
   (0.19  (0.05  (0.14  (0.03  (0.14  (0.10
Net realized and unrealized gain (loss)#
   (0.96  1.61   48.28   (0.72  (1.50  (14.16
Change in net asset value from operations
   (1.15  1.56   48.14   (0.75  (1.64  (14.26
Net asset value, at September 30, 2021
  $54.46  $21.12  $83.47  $13.92  $55.64  $31.71 
Market value per share, at June 30, 2021
  $55.55  $19.56  $37.17  $14.66  $57.22  $46.12 
Market value per share, at September 30, 2021
  $54.39  $21.06  $82.30  $13.92  $55.59  $31.99 
Total Return, at net asset value^
   (2.1)%   8.0  136.3  (5.1)%   (2.9)%   (31.0)% 
Total Return, at market value^
   (2.1)%   7.7  121.4  (5.1)%   (2.9)%   (30.6)% 
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.33  1.10  1.30  0.95  1.00  1.00
Net investment income gain (loss)
   (1.32)%   (1.07)%   (1.25)%   (0.91)%   0.97  (0.97)% 
 
*
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, 2020.2021.
^^
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.
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For the Three Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort
Australian
Dollar
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
 
                    
Net asset value, at June 30, 2020  $29.56  $329.28  $55.32  $56.14  $73.18  $67.21 
Net investment income (loss)   (0.12  (0.97  (0.13  (0.13  (0.22  (0.16
Net realized and unrealized gain (loss)#   12.81   (126.77  2.50   (4.27  (6.50  (28.73
Change in net asset value from operations   12.69   (127.74  2.37   (4.40  (6.72  (28.89
Net asset value, at September 30, 2020  $42.25  $201.54  $57.69  $51.74  $66.46  $38.32 
Market value per share, at June 30, 2020
  $29.33  $327.70  $55.31  $56.06  $73.00  $67.21 
Market value per share, at September 30, 2020
  $41.77  $199.20  $57.69  $51.67  $67.08  $38.01 
Total Return, at net asset value^
   42.9  (38.8)%   4.3  (7.8)%   (9.2)%   (43.0)% 
Total Return, at market value^
   42.4  (39.2)%   4.3  (7.8)%   (8.1)%   (43.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.04  1.67  0.96  1.03  1.39  1.77
Net investment income gain (loss)   (0.97)%   (1.64)%   (0.94)%   (1.01)%   (1.37)%   (1.71)% 
Per Share Operating
Performance
  
Ultra VIX
Short-Term

Futures ETF
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
*
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at June 30, 2021
  $27.91  $51.24  $90.56  $431.07  $23.81  $34.67 
Net investment income (loss)
   (0.11  (0.12  (0.26  (0.91  (0.06  (0.08
Net realized and unrealized gain (loss)#
   (3.37  (0.29  (14.64  (289.76  1.19   0.21 
Change in net asset value from operations
   (3.48  (0.41  (14.90  (290.67  1.13   0.13 
Net asset value, at September 30, 2021
  $24.43  $50.83  $75.66  $140.40  $24.94  $34.80 
Market value per share, at June 30, 2021
  $27.98  $51.26  $90.55  $408.80  $23.82  $34.69 
Market value per share, at September 30, 2021
  $24.55  $50.82  $75.90  $142.40  $24.93  $34.82 
Total Return, at net asset value^
   (12.5)%   (0.8)%   (16.5)%   (67.4)%   4.8  0.4
Total Return, at market value^
   (12.3)%   (0.9)%   (16.2)%   (65.2)%   4.7  0.4
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.71  0.95  1.17  1.35  0.95  1.02
Net investment income gain (loss)
   (1.71)%   (0.91)%   (1.14)%   (1.32)%   (0.91)%   (0.98)% 
 
*
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, 2020.2021.
^^
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.
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For the Three Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at June 30, 2020  $26.73  $35.46  $78.50  $74.60  $40.40  $111.70 
Net investment income (loss)   (0.05  (0.08  (0.09  (0.16  (0.10  (0.26
Net realized and unrealized gain (loss)#   (2.19  (3.34  (39.64  (3.49  0.69 �� (29.31
Change in net asset value from operations   (2.24  (3.42  (39.73  (3.65  0.59   (29.57
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at June 30, 2020
  $26.73  $35.57  $79.08  $74.58  $40.24  $111.04 
Market value per share, at September 30, 2020
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Total Return, at net asset value^
   (8.4)%   (9.7)%   (50.6)%   (4.9)%   1.5  (26.5)% 
Total Return, at market value^
   (8.4)%   (9.5)%   (50.4)%   (4.9)%   1.1  (26.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97  1.03  1.11  0.96  1.07  1.20
Net investment income gain (loss)   (0.85)%   (0.99)%   (1.07)%   (0.88)%   (1.01)%   (1.15)% 
Per Share Operating
Performance
  
UltraShort
Silver
  
UltraShort
Yen
*
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at June 30, 2021
  $23.37  $38.98  $30.51  $24.09 
Net investment income (loss)
   (0.07  (0.09  (0.08  (0.07
Net realized and unrealized gain (loss)#
   7.97   0.08   1.79   (1.34
Change in net asset value from operations
   7.90   (0.01  1.71   (1.41
Net asset value, at September 30, 2021
  $31.27  $38.97  $32.22  $22.68 
Market value per share, at June 30, 2021
  $23.28  $38.99  $30.54  $24.08 
Market value per share, at September 30, 2021
  $30.97  $38.98  $32.31  $22.80 
Total Return, at net asset value^
   33.8  (0.0)%
@
 
  5.6  (5.8)% 
Total Return, at market value^
   33.0  (0.0)%
@
 
  5.8  (5.3)% 
Ratios to Average Net Assets**
                 
Expense ratio^^
   1.10  0.95  1.04  1.17
Net investment income gain (loss)
   (1.07)%   (0.91)%   (1.01)%   (1.16)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2020.2021.
^^
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.
@
Amount represents greater than (0.05)%.
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Table of Contents
Selected dataData for a Share outstanding throughoutOutstanding Throughout the nine months endedMonths Ended September 30, 20212022
For the Nine Months Ended September 30, 20212022 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

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

Futures ETF
  
Ultra
Bloomberg
Crude Oil
*
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
  
Ultra Silver
 
Net asset value, at December 31, 2021
  $61.56  $21.54  $25.55  $13.32  $59.69  $34.84 
Net investment income (loss)
   (0.31  (0.16  (0.27  (0.02  (0.19  (0.13
Net realized and unrealized gain (loss)#
   (12.74  4.83   27.94   (3.73  (12.43  (13.87
Change in net asset value from operations
   (13.05  4.67   27.67   (3.75  (12.62  (14.00
Net asset value, at September 30, 2022
  $48.51  $26.21  $53.22  $9.57  $47.07  $20.84 
Market value per share, at December 31, 2021
  $61.55  $21.70  $26.09  $13.33  $59.81  $34.74 
Market value per share, at September 30, 2022
  $48.59  $26.26  $53.66  $9.57  $46.93  $20.76 
Total Return, at net asset value^
   (21.2)%   21.7  108.3  (28.2)%   (21.1)%   (40.2)% 
Total Return, at market value^
   (21.1)%   21.0  105.7  (28.2)%   (21.5)%   (40.2)% 
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.23  1.04  1.24  0.95  0.99  0.99
Net investment income gain (loss)
   (0.80)%   (0.59)%   (0.58)%   (0.27)%   (0.43)%   (0.56)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 20212022 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

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

Futures ETF
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
*
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at December 31, 2021
  $12.41  $47.29  $64.26  $247.40  $25.84  $31.71 
Net investment income (loss)
   (0.09  (0.04  (0.07  (0.14  (0.08  (0.13
Net realized and unrealized gain (loss)#
   0.55   (18.22  (33.85  (229.91  9.08   5.60 
Change in net asset value from operations
   0.46   (18.26  (33.92  (230.05  9.00   5.47 
Net asset value, at September 30, 2022
  $12.87  $29.03  $30.34  $17.35  $34.84  $37.18 
Market value per share, at December 31, 2021
  $12.43  $47.29  $63.75  $242.20  $25.86  $31.66 
Market value per share, at September 30, 2022
  $12.85  $29.06  $30.28  $17.21  $34.88  $37.30 
Total Return, at net asset value^
   3.7  (38.6)%   (52.8)%   (93.0)%   34.8  17.3
Total Return, at market value^
   3.4  (38.6)%   (52.5)%   (92.9)%   34.9  17.8
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.57  0.96  1.15  1.38  0.95  1.00
Net investment income gain (loss)
   (0.97)%   (0.15)%   (0.38)%   (0.77)%   (0.37)%   (0.56)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 20212022 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at December 31, 2020  $22.53  $31.43  $27.73  $67.83  $36.73  $55.03 
Net investment income (loss)   (0.16  (0.25  (0.20  (0.50  (0.25  (0.28
Net realized and unrealized gain (loss)#   2.57   3.62   3.74   10.62   (4.26  (32.07
Change in net asset value from operations   2.41   3.37   3.54   10.12   (4.51  (32.35
Net asset value, at September 30, 2021  $24.94  $34.80  $31.27  $77.95  $32.22  $22.68 
Market value per share, at December 31, 2020
  $22.52  $31.14  $27.40  $67.81  $36.70  $54.96 
Market value per share, at September 30, 2021
  $24.93  $34.82  $30.97  $77.96  $32.31  $22.80 
Total Return, at net asset value^
   10.7  10.7  12.8  14.9  (12.3)%   (58.8)% 
Total Return, at market value^
   10.7  11.8  13.0  15.0  (12.0)%   (58.5)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.95  1.03  1.10  0.95  1.05  1.23
Net investment income gain (loss)   (0.90)%   (0.99)%   (1.07)%   (0.90)%   (1.01)%   (1.19)% 
Per Share Operating
Performance
  
UltraShort
Silver
  
UltraShort
Yen
*
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2021
  $26.77  $41.50  $30.61  $15.12 
Net investment income (loss)
   (0.13  (0.16  (0.15  (0.07
Net realized and unrealized gain (loss)#
   7.42   23.70   5.02   2.05 
Change in net asset value from operations
   7.29   23.54   4.87   1.98 
Net asset value, at September 30, 2022
  $34.06  $65.04  $35.48  $17.10 
Market value per share, at December 31, 2021
  $26.84  $41.50  $30.57  $15.17 
Market value per share, at September 30, 2022
  $34.15  $65.02  $35.50  $17.10 
Total Return, at net asset value^
   27.2  56.7  15.9  13.1
Total Return, at market value^
   27.2  56.7  16.1  12.7
Ratios to Average Net Assets**
                 
Expense ratio^^
   1.08  0.95  0.99  1.16
Net investment income gain (loss)
   (0.63)%   (0.40)%   (0.59)%   (0.56)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
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Selected dataData for a Share outstanding throughoutOutstanding Throughout the nine months endedMonths Ended September 30, 20202021
For the Nine Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
  
Short VIX
Short-Term

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

Futures ETF
  
Ultra
Bloomberg
Crude Oil
*
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
  
Ultra Silver
 
Net asset value, at December 31, 2020
  $41.42  $9.10  $21.00  $15.79  $67.57  $50.71 
Net investment income (loss)
   (0.49  (0.12  (0.29  (0.10  (0.43  (0.33
Net realized and unrealized gain (loss)#
   13.53   12.14   62.76   (1.77  (11.50  (18.67
Change in net asset value from operations
   13.04   12.02   62.47   (1.87  (11.93  (19.00
Net asset value, at September 30, 2021
  $54.46  $21.12  $83.47  $13.92  $55.64  $31.71 
Market value per share, at December 31, 2020
  $41.44  $9.07  $21.07  $15.81  $68.20  $51.28 
Market value per share, at September 30, 2021
  $54.39  $21.06  $82.30  $13.92  $55.59  $31.99 
Total Return, at net asset value^
   31.5  132.2  297.6  (11.9)%   (17.7)%   (37.5)% 
Total Return, at market value^
   31.3  132.2  290.7  (11.9)%   (18.5)%   (37.6)% 
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.35  1.11  1.47  0.95  1.00  1.03
Net investment income gain (loss)
   (1.33)%   (1.07)%   (1.41)%   (0.90)%   (0.97)%   (0.98)% 
 
*
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, 2020.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
  
Ultra VIX
Short-Term

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

Futures ETF
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
*
  
UltraShort
Bloomberg
Natural Gas
*
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at December 31, 2020
  $106.68  $59.83  $232.23  $951.82  $22.53  $31.43 
Net investment income (loss)
   (0.59  (0.36  (1.03  (4.56  (0.16  (0.25
Net realized and unrealized gain (loss)#
   (81.66  (8.64  (155.54  (806.86  2.57   3.62 
Change in net asset value from operations
   (82.25  (9.00  (156.57  (811.42  2.41   3.37 
Net asset value, at September 30, 2021
  $24.43  $50.83  $75.66  $140.40  $24.94  $34.80 
Market value per share, at December 31, 2020
  $106.50  $59.82  $232.80  $947.60  $22.52  $31.14 
Market value per share, at September 30, 2021
  $24.55  $50.82  $75.90  $142.40  $24.93  $34.82 
Total Return, at net asset value^
   (77.1)%   (15.0)%   (67.4)%   (85.3)%   10.7  10.7
Total Return, at market value^
   (77.0)%   (15.1)%   (67.4)%   (85.0)%   10.7  11.8
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.75  0.95  1.24  1.49  0.95  1.03
Net investment income gain (loss)
   (1.71)%   (0.90)%   (1.18)%   (1.45)%   (0.90)%   (0.99)% 
 
*
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, 2020.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 20202021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
  
UltraShort
Gold
  
UltraShort
Silver
*
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
*
 
                    
Net asset value, at December 31, 2019  $26.80  $53.02  $107.04  $76.37  $21.27  $49.19 
Net investment income (loss)   (0.05  (0.15  (0.29  (0.19  (0.16  (0.34
Net realized and unrealized gain (loss)#   (2.26  (20.83  (67.98  (5.23  19.88   33.28 
Change in net asset value from operations   (2.31  (20.98  (68.27  (5.42  19.72   32.94 
Net asset value, at September 30, 2020  $24.49  $32.04  $38.77  $70.95  $40.99  $82.13 
Market value per share, at December 31, 2019
  $26.80  $53.21  $107.20  $76.35  $21.29  $49.72 
Market value per share, at September 30, 2020
  $24.49  $32.19  $39.24  $70.93  $40.68  $81.64 
Total Return, at net asset value^
   (8.6)%   (39.6)%   (63.8)%   (7.1)%   92.8  67.0
Total Return, at market value^
   (8.6)%   (39.5)%   (63.4)%   (7.1)%   91.1  64.2
Ratios to Average Net Assets**
                         
Expense ratio^^   0.95  1.02  1.10  0.95  1.06  1.17
Net investment income gain (loss)   (0.23)%   (0.54)%   (0.79)%   (0.33)%   (0.63)%   (0.57)% 
Per Share Operating
Performance
  
UltraShort
Silver
  
UltraShort
Yen
*
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2020
  $27.73  $33.91  $36.73  $55.03 
Net investment income (loss)
   (0.20  (0.25  (0.25  (0.28
Net realized and unrealized gain (loss)#
   3.74   5.31   (4.26  (32.07
Change in net asset value from operations
   3.54   5.06   (4.51  (32.35
Net asset value, at September 30, 2021
  $31.27  $38.97  $32.22  $22.68 
Market value per share, at December 31, 2020
  $27.40  $33.91  $36.70  $54.96 
Market value per share, at September 30, 2021
  $30.97  $38.98  $32.31  $22.80 
Total Return, at net asset value^
   12.8  14.9  (12.3)%   (58.8)% 
Total Return, at market value^
   13.0  15.0  (12.0)%   (58.5)% 
Ratios to Average Net Assets**
                 
Expense ratio^^
   1.10  0.95  1.05  1.23
Net investment income gain (loss)
   (1.07)%   (0.90)%   (1.01)%   (1.19)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2020.2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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NOTE 87 – RISK
Correlation and Compounding Risk
The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from
one-half
the inverse
(-0.5x),
the inverse
(-1x),
two times the inverse
(-2x),
one and
one-half
times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.
Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and
one-half
or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse
(-2x) of
the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.
While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;
(3) bid-ask
spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,
-0.5x,
-1x,
-2x,
1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and have only recently becomeare subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of 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
 
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agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.
Leverage Risk
The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and
one-half
times multiplier) include a two times the inverse
(-2x),
or a two times (2x) multiplier, a
single-day
movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward
single-day
or intraday movements in the underlying benchmark of an Ultra Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.
Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
 
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“Contango” and “Backwardation” Risk
In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 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.
In
There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed,Conversely, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment.investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions andconditions. Either scenario may causeresult in significant losses.
Change to Investment Strategies
In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
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Following this portfolio transition each Oil Fund 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
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circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.
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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 hereof
COVID-19
pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, or inaccurate, resulting in significant and unexpected losses.
Change to the VIX Funds Benchmark 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.
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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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form

10-Q.
The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 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.
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The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

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.

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As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either

one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.

Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from

-0.5x,
-1x,
-2x,
1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.

Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX

Mid-Term
Futures Index (the
“Mid-Term
VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may 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.

126


Forward and Reverse Split

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 May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment.

ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding.

ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 20212022 and 2020,2021, each of the Funds earned interest income as follows:

Fund

 Interest Income
Three Months
Ended
September 30, 2022
  Interest Income
Three Months
Ended
September 30, 2021
  Interest Income
Nine Months
Ended
September 30, 2022
  Interest Income
Nine Months
Ended
September 30, 2021
 

ProShares Short VIX Short-Term Futures ETF

  1,006,499   8,152   1,325,976   75,729 

ProShares Ultra Bloomberg Crude Oil

  2,391,191   86,370   3,964,082   365,778 

ProShares Ultra Bloomberg Natural Gas

  909,204   7,355   1,095,255   32,714 

ProShares Ultra Euro

  36,856   393   47,965   1,415 

ProShares Ultra Gold

  678,282   14,338   1,092,549   70,259 

ProShares Ultra Silver

  824,171   44,511   1,386,134   208,169 

ProShares Ultra VIX Short-Term Futures ETF

  3,945,136   11,979   4,471,067   328,504 

ProShares Ultra Yen

  25,362   260   29,299   923 

ProShares UltraShort Bloomberg Crude Oil

  1,748,548   6,891   2,091,754   36,069 

ProShares UltraShort Bloomberg Natural Gas

  953,050   9,879   1,131,063   25,512 

ProShares UltraShort Euro

  230,824   5,008   285,240   17,814 

ProShares UltraShort Gold

  72,261   3,075   101,921   9,213 

ProShares UltraShort Silver

  63,222   3,100   90,885   8,895 

ProShares UltraShort Yen

  115,191   2,392   151,503   9,558 

ProShares VIX Mid-Term Futures ETF

  220,211   8,914   296,960   27,487 

ProShares VIX Short-Term Futures ETF

  1,400,201   11,739   1,678,813   91,187 

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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.
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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed

“off-exchange”
between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

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

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

Market Risk

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

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

Form 10-Q.

Credit Risk

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

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

128


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

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated

tri-party
accounts at the Fund’s custodian bank.
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Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

limiting the outstanding amounts due from counterparties to the Funds;

not posting margin directly with a counterparty;

requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to

market daily, subject to certain minimum thresholds;

limiting the amount of margin or premium posted at a FCM; and

ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance

Sheet Arrangements and Contractual Obligations

As of November 5, 2021,8, 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).

129


For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2021.

2022.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is

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determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit 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.

130


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Results of Operations for the Three Months Ended September 30, 20212022 Compared to the Three Months Ended September 30, 2020

2021

ProShares Short Euro

VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,159,102  $2,286,467 
NAV end of period
  $2,206,818  $2,188,644 
Percentage change in NAV
   2.2  (4.3)% 
Shares outstanding beginning of period
   50,000   50,000 
Shares outstanding end of period
   50,000   50,000 
Percentage change in shares outstanding
   —    —  
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $43.18  $45.73 
Per share NAV end of period
  $44.14  $43.77 
Percentage change in per share NAV
   2.3  (4.3)% 
Percentage change in benchmark
   (2.3)%   4.4
Benchmark annualized volatility
   4.5  6.3
2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $403,644,956  $588,615,946 

NAV end of period

  $321,831,051  $388,523,845 

Percentage change in NAV

   (20.3)%   (34.0)% 

Shares outstanding beginning of period

   8,384,307   10,584,307 

Shares outstanding end of period

   6,634,307   7,134,307 

Percentage change in shares outstanding

   (20.9)%   (32.6)% 

Shares created

   450,000   550,000 

Shares redeemed

   2,200,000   4,000,000 

Per share NAV beginning of period

  $48.14 ��$55.61 

Per share NAV end of period

  $48.51  $54.46 

Percentage change in per share NAV

   0.8  (2.1)% 

Percentage change in benchmark

   (5.7)%   (5.6)% 

Benchmark annualized volatility

   51.0  69.6

During the three months ended September 30, 2021,2022, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-halfthe 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.S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.3% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.3% for the three months ended September 30, 2020, 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 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.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(5,003  $(5,267
Management fee
   5,193    5,247 
Brokerage commission
   79    82 
Non-recurring
fees and expenses
   —      65 
Net realized gain (loss)
   57,489    (77,567
Change in net unrealized appreciation (depreciation)
   (4,770   (14,989
Net Income (loss)
  $47,716   $(97,823
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 Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $588,615,946  $509,811,853 
NAV end of period
  $388,523,845  $335,465,066 
Percentage change in NAV
   (34.0)%   (34.2)% 
Shares outstanding beginning of period
   10,584,307   16,234,307 
Shares outstanding end of period
   7,134,307   9,484,307 
Percentage change in shares outstanding
   (32.6)%   (41.6)% 
Shares created
   550,000   —   
Shares redeemed
   4,000,000   6,750,000 
Per share NAV beginning of period
  $55.61  $31.40 
Per share NAV end of period
  $54.46  $35.37 
Percentage change in per share NAV
   (2.1)%   12.6
Percentage change in benchmark
   (5,6)%   (26.3)% 
Benchmark annualized volatility
   69.6  56.2
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,234,307 outstanding Shares at June 30, 2020 to 9,484,307 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 20212022 and 2020,2021, the Fund’s daily performance had a statistical correlation over 0.99 to

one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.8% for the three months ended September 30, 2022, as compared to 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 depreciationan appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
2022.

The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to 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 lessergreater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.2022.

131


Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 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 
2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $(90,304  $(1,466,273

Management fee

   914,054    1,055,823 

Brokerage commission

   152,661    208,885 

Futures account fees

   23,966    209,717 

Non-recurring fees and expenses

   6,122    —   

Net realized gain (loss)

   27,694,574    34,572,603 

Change in net unrealized appreciation (depreciation)

   (17,470,190   (43,349,844

Net Income (loss)

  $10,134,080   $(10,243,514

The Fund’s net income decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lessergreater decrease in the value of futures prices during the three months ended September 30, 2021.

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2022.

ProShares Ultra Bloomberg Crude Oil

Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 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, 2020,2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $1,060,867,238  $1,303,530,902 

NAV end of period

  $724,595,262  $1,090,613,716 

Percentage change in NAV

   (31.7)%   (16.3)% 

Shares outstanding beginning of period

   25,493,096   66,643,096 

Shares outstanding end of period

   27,643,096   51,643,096 

Percentage change in shares outstanding

   8.4  (22.5)% 

Shares created

   10,400,000   3,800,000 

Shares redeemed

   8,250,000   18,800,000 

Per share NAV beginning of period

  $41.61  $19.56 

Per share NAV end of period

  $26.21  $21.12 

Percentage change in per share NAV

   (37.0)%   8.0

Percentage change in benchmark

   (18.6)%   5.4

Benchmark annualized volatility

   42.8  30.9

During the Trust announced thatthree months ended September 30, 2022, the ProShares Ultra Bloomberg Crude Oildecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index

SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seekseeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules forBloomberg Commodity Balanced WTI Crude Oil futures traded on NYMEX.IndexSM. The contract schedules are equally-weighteddecrease in the New Benchmark (1/3 each)Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designatedJune 30, 2022 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 in27,643,096 outstanding Shares at 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.
During30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,660,77466,643,096 outstanding Shares at June 30, 2021 to 12,910,77451,643,096 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM.

132


SM
. By comparison,

For the three months ended September 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 37.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.

The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $153,992   $(3,130,493

Management fee

   2,118,088    2,775,351 

Brokerage commission

   85,906    198,498 

Futures account fees

   19,466    215,514 

Non-recurring fees and expenses

   13,739    27,500 

Net realized gain (loss)

   (344,578,932   106,325,821 

Change in net unrealized appreciation (depreciation)

   (33,248,174   (16,878,588

Net Income (loss)

  $(377,673,114  $86,316,740 

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 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 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 September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $187,297,842  $70,213,227 

NAV end of period

  $289,386,097  $145,038,381 

Percentage change in NAV

   54.5  106.6

Shares outstanding beginning of period

   4,737,527   1,987,527 

Shares outstanding end of period

   5,437,527   1,737,527 

Percentage change in shares outstanding

   14.8  (12.6)% 

Shares created

   6,000,000   1,150,000 

Shares redeemed

   5,300,000   1,400,000 

Per share NAV beginning of period

  $39.53  $35.33 

Per share NAV end of period

  $53.22  $83.47 

Percentage change in per share NAV

   34.6  136.3

Percentage change in benchmark

   25.3  58.6

Benchmark annualized volatility

   76.6  48.6

During the three months ended September 30, 2022, The increase in the Fund’s NAV resulted primarily from a decrease from 52,760,774 outstanding Shares at June 30, 2020 to 41,610,774 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

Natural Gas SubindexSM
.
For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 0.5% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.
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The benchmark’s rise of 5.4% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of WTI Crude Oil during the period endedFund’s NAV also resulted in part from an increase from 4,737,527 outstanding Shares at June 30, 2022 to 5,437,527 outstanding Shares at September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(3,130,493  $(4,420,342
Management fee
   2,775,351    3,210,517 
Brokerage commission
   198,498    600,233 
Non-recurring
fees and expenses
   27,500    24,637 
Net realized gain (loss)
   106,325,821    285,954,263 
Change in net unrealized appreciation (depreciation)
   (16,878,588   (232,630,286
Net Income (loss)
  $86,316,740   $48,903,635 
The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of WTI Crude Oil2022. By comparison, during the three months ended September 30, 2021.
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $70,213,227  $50,599,783 
NAV end of period
  $145,038,381  $99,203,762 
Percentage change in NAV
   106.6  96.1
Shares outstanding beginning of period
   1,987,527   1,787,527 
Shares outstanding end of period
   1,737,527   2,887,527 
Percentage change in shares outstanding
   (12.6)%   61.5
Shares created
   1,150,000   4,350,000 
Shares redeemed
   1,400,000   3,250,000 
Per share NAV beginning of period
  $35.33  $28.31 
Per share NAV end of period
  $83.47  $34.36 
Percentage change in per share NAV
   136.3  21.4
Percentage change in benchmark
   58.6  15.0
Benchmark annualized volatility
   48.6  58.7
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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg 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, 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 136.3%34.6% for the three months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV increase of 21.4%136.3% for the three months ended September 30, 2020,2021, was primarily due to greaterlesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

2022.

The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to 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 greaterlesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $104,679   $(212,510

Management fee

   658,525    161,130 

Brokerage commission

   97,589    40,472 

Futures account fees

   43,620    18,263 

Non-recurring fees and expenses

   4,791    —   

Net realized gain (loss)

   (5,893,297   33,925,723 

Change in net unrealized appreciation (depreciation)

   97,221,527    25,135,708 

Net Income (loss)

  $91,432,909   $58,848,921 

134


   
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 September 30, 2020,2021, primarily due to a greaterlesser increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.

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2022.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $3,668,741  $4,067,686 
NAV end of period
  $3,479,104  $4,397,675 
Percentage change in NAV
   (5.2)%   8.1
Shares outstanding beginning of period
   250,000   300,000 
Shares outstanding end of period
   250,000   300,000 
Percentage change in shares outstanding
   —    —  
Shares created
   —     100,000 
Shares redeemed
   —     100,000 
Per share NAV beginning of period
  $14.67  $13.56 
Per share NAV end of period
  $13.92  $14.66 
Percentage change in per share NAV
   (5.1)%   8.1
Percentage change in benchmark
   (2.3)%   4.4
Benchmark annualized volatility
   4.5  6.3
2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $9,415,626  $3,668,741 

NAV end of period

  $13,869,371  $3,479,104 

Percentage change in NAV

   47.3  (5.2)% 

Shares outstanding beginning of period

   850,000   250,000 

Shares outstanding end of period

   1,450,000   250,000 

Percentage change in shares outstanding

   70.6  —  

Shares created

   700,000   —   

Shares redeemed

   100,000   —   

Per share NAV beginning of period

  $11.08  $14.67 

Per share NAV end of period

  $9.57  $13.92 

Percentage change in per share NAV

   (13.7)%   (5.1)% 

Percentage change in benchmark

   (6.0)%   (2.3)% 

Benchmark annualized volatility

   10.53  4.5

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison,

For the three months ended September 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 13.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.

The benchmark’s decline of 6.0% for the increasethree months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.

135


Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $5,288   $(8,271

Management fee

   31,331    8,664 

Non-recurring fees and expenses

   237    —   

Net realized gain (loss)

   (1,618,381   (254,219

Change in net unrealized appreciation (depreciation)

   (95,012   72,853 

Net Income (loss)

  $(1,708,105  $(189,637

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $239,938,853  $243,456,703 

NAV end of period

  $160,022,292  $230,917,847 

Percentage change in NAV

   (33.3)%   (5.2)% 

Shares outstanding beginning of period

   4,250,000   4,250,000 

Shares outstanding end of period

   3,400,000   4,150,000 

Percentage change in shares outstanding

   (20.0)%   (2.4)% 

Shares created

   50,000   250,000 

Shares redeemed

   900,000   350,000 

Per share NAV beginning of period

  $56.46  $57.28 

Per share NAV end of period

  $47.07  $55.64 

Percentage change in per share NAV

   (16.6)%   (2.9)% 

Percentage change in benchmark

   (7.9)%   (1.0)% 

Benchmark annualized volatility

   13.4  13.8

During the three months ended September 30, 2022, The decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net changeBloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares fromat June 30, 20202022 to 3,400,000 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 daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund2022. By 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)
  $(8,271  $(12,155
Management fee
   8,664    12,404 
Non-recurring
fees and expenses
   —      108 
Net realized gain (loss)
   (254,219   441,714 
Change in net unrealized appreciation (depreciation)
   72,853    (84,317
Net Income (loss)
  $(189,637  $345,242 
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The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $243,456,703  $165,689,050 
NAV end of period
  $230,917,847  $275,450,606 
Percentage change in NAV
   (5.2)%   66.2
Shares outstanding beginning of period
   4,250,000   2,550,000 
Shares outstanding end of period
   4,150,000   4,000,000 
Percentage change in shares outstanding
   (2.4)%   56.9
Shares created
   250,000   1,700,000 
Shares redeemed
   350,000   250,000 
Per share NAV beginning of period
  $57.28  $64.98 
Per share NAV end of period
  $55.64  $68.86 
Percentage change in per share NAV
   (2.9)%   6.0
Percentage change in benchmark
   (1.0)%   3.6
Benchmark annualized volatility
   13.8  25.4
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the 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,

For the three months ended September 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 16.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.

136


The benchmark’s decline of 7.9% for the increasethree months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $191,709   $(596,194

Management fee

   475,457    582,103 

Brokerage commission

   8,176    9,421 

Non-recurring fees and expenses

   2,940    —   

Net realized gain (loss)

   (39,826,294   (21,858,089

Change in net unrealized appreciation (depreciation)

   2,222,833    15,574,284 

Net Income (loss)

  $(37,411,752  $(6,879,999

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the three months ended September 30, 2022.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $355,577,515  $661,778,727 

NAV end of period

  $323,970,863  $480,309,476 

Percentage change in NAV

   (8.9)%   (27.4)% 

Shares outstanding beginning of period

   14,346,526   14,396,526 

Shares outstanding end of period

   15,546,526   15,146,526 

Percentage change in shares outstanding

   8.4  5.2

Shares created

   2,450,000   1,050,000 

Shares redeemed

   1,250,000   300,000 

Per share NAV beginning of period

  $24.78  $45.97 

Per share NAV end of period

  $20.84  $31.71 

Percentage change in per share NAV

   (15.9)%   (31.0)% 

Percentage change in benchmark

   (6.5)%   (16.0)% 

Benchmark annualized volatility

   31.8  26.7

137


During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from an increase from 2,550,000 outstanding Shares at June 30, 2020 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg GoldSilver 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 decrease of 2.9% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 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 endedFund’s NAV was offset by an increase from 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(596,194  $(617,991
Management fee
   582,103    640,992 
Brokerage commission
   9,421    12,115 
Non-recurring
fees and expenses
   —      3,751 
Net realized gain (loss)
   (21,858,089   25,742,296 
Change in net unrealized appreciation (depreciation)
   15,574,284    (18,054,591
Net Income (loss)
  $(6,879,999  $7,069,714 
The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices2022. By comparison, during the three months ended September 30, 2021.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $661,778,727  $249,671,968 
NAV end of period
  $480,309,476  $620,883,156 
Percentage change in NAV
   (27.4)%   148.7
Shares outstanding beginning of period
   14,396,526   8,446,526 
Shares outstanding end of period
   15,146,526   14,696,526 
Percentage change in shares outstanding
   5.2  74.0
Shares created
   1,050,000   8,050,000 
Shares redeemed
   300,000   1,800,000 
Per share NAV beginning of period
  $45.97  $29.56 
Per share NAV end of period
  $31.71  $42.25 
Percentage change in per share NAV
   (31.0)%   42.9
Percentage change in benchmark
   (16.0)%   25.1
Benchmark annualized volatility
   26.7  33.8
During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from 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 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 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 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
.
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For the three months ended September 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 15.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 42.9% for the three months ended September 30, 2020, 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.

2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to 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 lesser decrease in the value of silver futures contracts during the period ended September 30, 2021.

2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,424,705  $(1,497,215
Management fee
   1,394,627    1,462,400 
Brokerage commission
   27,419    54,812 
Non-recurring
fees and expenses
   —      3,943 
Net realized gain (loss)
   (201,320,030   290,238,797 
Change in net unrealized appreciation (depreciation)
   (6,018,290   (199,313,772
Net Income (loss)
  $(208,763,025  $89,427,810 
2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $(15,349  $(1,424,705

Management fee

   798,802    1,394,627 

Brokerage commission

   34,796    27,419 

Futures account fees

   —      47,170 

Non-recurring fees and expenses

   5,922    —   

Net realized gain (loss)

   (147,391,314   (201,320,030

Change in net unrealized appreciation (depreciation)

   91,477,472    (6,018,290

Net Income (loss)

  $(55,929,191  $(208,763,025

The Fund’s net income decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2021.2022.

138


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ProShares Ultra VIX Short-Term Futures ETF

*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $840,870,703  $992,156,607 
NAV end of period
  $1,020,845,873  $1,307,611,521 
Percentage change in NAV
   21.4  31.8
Shares outstanding beginning of period
   30,128,420   3,013,091 
Shares outstanding end of period
   41,778,420   6,488,091 
Percentage change in shares outstanding
   38.7  115.3
Shares created
   37,800,000   4,280,000 
Shares redeemed
   26,150,000   805,000 
Per share NAV beginning of period
  $27.91  $329.28 
Per share NAV end of period
  $24.43  $201.54 
Percentage change in per share NAV
   (12.5)%   (38.8)% 
Percentage change in benchmark
   (5.6)%   (26.3)% 
Benchmark annualized volatility
   69.6  56.2
On Monday, October 26, 2020,2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $975,683,533  $840,870,703 

NAV end of period

  $995,489,778  $1,020,845,873 

Percentage change in NAV

   2.0  21.4

Shares outstanding beginning of period

   67,228,420   30,128,420 

Shares outstanding end of period

   77,328,420   41,778,420 

Percentage change in shares outstanding

   15.0  38.7

Shares created

   93,400,000   37,800,000 

Shares redeemed

   83,300,000   26,150,000 

Per share NAV beginning of period

  $14.51  $27.91 

Per share NAV end of period

  $12.87  $24.43 

Percentage change in per share NAV

   (11.3)%   (12.5)% 

Percentage change in benchmark

   (5.7)%   (5.6)% 

Benchmark annualized volatility

   51.0  69.6

During the Chicago Futures Exchange (a subsidiarythree months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 67,228,420 outstanding Shares at June 30, 2022 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Chicago Board Options Exchange) changedFund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology fordaily performance of the S&P 500

®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
DuringIndex. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 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 one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison,

For the three months ended September 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 decrease of 11.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.

The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $(402,633  $(3,993,799

Management fee

   2,831,005    2,221,755 

Brokerage commission

   1,276,819    1,095,975 

Futures account fees

   219,828    668,048 

Non-recurring fees and expenses

   20,117    —   

Net realized gain (loss)

   (289,873,754   (198,380,990

Change in net unrealized appreciation (depreciation)

   161,745,283    186,742,221 

Net Income (loss)

  $(128,531,104  $(15,632,568

139


The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices, during the three months ended September 30, 2022.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $5,024,773  $2,560,348 

NAV end of period

  $10,159,189  $2,539,880 

Percentage change in NAV

   102.2  (0.8)% 

Shares outstanding beginning of period

   149,970   49,970 

Shares outstanding end of period

   349,970   49,970 

Percentage change in shares outstanding

   133.4  —  

Shares created

   250,000   —   

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $33.51  $51.24 

Per share NAV end of period

  $29.03  $50.83 

Percentage change in per share NAV

   (13.3)%   (0.8)% 

Percentage change in benchmark

   (6.5)%   (0.2)% 

Benchmark annualized volatility

   11.15  5.5

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,013,091149,970 outstanding Shares at June 30, 20202022 to 6,488,091349,970 outstanding Shares at September 30, 2020.2022. 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.
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 valuespot price of the assets held byJapanese yen versus the FundU.S. dollar. By 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.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(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 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.
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For the three months ended September 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 13.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.2022.

140


Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(5,973  $(6,720
Management fee
   6,233    6,813 
Non-recurring
fees and expenses
   —      78 
Net realized gain (loss)
   (25,554   126,569 
Change in net unrealized appreciation (depreciation)
   11,059    (1,524
Net Income (loss)
  $(20,468  $118,325 
2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $3,923   $(5,973

Management fee

   21,245    6,233 

Non-recurring fees and expenses

   194    —   

Net realized gain (loss)

   (1,652,590   (25,554

Change in net unrealized appreciation (depreciation)

   (14,681   11,059 

Net Income (loss)

  $(1,663,348  $(20,468

The Fund’s net income decreased for the three months ended September 30, 20212022 as compared to the three months ended September 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.

2022.

ProShares UltraShort Australian Dollar

Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $2,304,732  $5,614,042 
NAV end of period
  $4,914,269  $5,173,668 
Percentage change in NAV
   113.2  (7.8)% 
Shares outstanding beginning of period
   50,000   100,000 
Shares outstanding end of period
   100,000   100,000 
Percentage change in shares outstanding
   100.0  —  
Shares created
   50,000   —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $46.09  $56.14 
Per share NAV end of period
  $49.14  $51.74 
Percentage change in per share NAV
   6.6  (7.8)% 
Percentage change in benchmark
   (3.6)%   3.8
Benchmark annualized volatility
   8.8  9.0
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2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $501,157,304  $79,400,059 

NAV end of period

  $368,791,089  $93,575,213 

Percentage change in NAV

   (26.4)%   17.9

Shares outstanding beginning of period

   21,755,220   876,760 

Shares outstanding end of period

   12,155,220   1,236,760 

Percentage change in shares outstanding

   (44.1)%   41.1

Shares created

   11,050,000   670,000 

Shares redeemed

   20,650,000   310,000 

Per share NAV beginning of period

  $23.04  $90.56 

Per share NAV end of period

  $30.34  $75.66 

Percentage change in per share NAV

   31.7  (16.5)% 

Percentage change in benchmark

   (18.6)%   5.4

Benchmark annualized volatility

   42.8  30.9

During the three months ended September 30, 2021,2022, the increasedecrease in the Fund’s NAV resulted primarily from an increasea decrease from 50,00021,755,220 outstanding Shares at June 30, 20212022 to 100,00012,155,220 outstanding Shares at September 30, 2021.2022. The increasedecrease in the Fund’s NAV also resulted in part fromwas offset by the cumulative effect of the Fund seeking daily investment results, 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.
157

Table of Contents
ProShares UltraShort 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
  $79,400,059  $117,821,898 
NAV end of period
  $93,575,213  $80,418,166 
Percentage change in NAV
   17.9  (31.7)% 
Shares outstanding beginning of period
   4,383,799   1,609,971 
Shares outstanding end of period
   6,183,799   1,209,971 
Percentage change in shares outstanding
   41.1  (24.8)% 
Shares created
   3,350,000   1,075,000 
Shares redeemed
   1,550,000   1,475,000 
Per share NAV beginning of period
  $18.11  $73.18 
Per share NAV end of period
  $15.13  $66.46 
Percentage change in per share NAV
   (16.5)%   (9.2)% 
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 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.
DuringBy comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,383,799876,760 outstanding Shares at June 30, 2021 to 6,183,7991,236,760 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM.

141

. 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 September 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 31.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.2% for the three months ended September 30, 2020, was primarily due to greater depreciationan appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

158

Table2022.

The benchmark’s decline of Contents

The18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increasedecrease in the value of WTI Crude Oil during the period ended September 30, 2021.
2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(241,725  $(342,320
Management fee
   201,146    238,038 
Brokerage commission
   29,277    64,657 
Non-recurring
fees and expenses
   —      4,892 
Net realized gain (loss)
   (11,449,562   (16,296,829
Change in net unrealized appreciation (depreciation)
   (1,520,893   5,848,114 
Net Income (loss)
  $(13,212,180  $(10,791,035
2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $392,570   $(241,725

Management fee

   1,160,746    201,146 

Brokerage commission

   148,121    29,277 

Futures account fees

   39,563    18,193 

Non-recurring fees and expenses

   7,548    —   

Net realized gain (loss)

   66,444,885    (11,449,562

Change in net unrealized appreciation (depreciation)

   76,987,949    (1,520,893

Net Income (loss)

  $143,825,404   $(13,212,180

The Fund’s net income decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greater increasedecrease in the value of WTI Crude Oil during the three 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 reverse Share split for ProShares UltraShort Bloomberg Crude Oil.

142


ProShares UltraShort Bloomberg Natural Gas

Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 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

Table2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $211,823,446  $97,525,300 

NAV end of period

  $242,389,998  $138,468,677 

Percentage change in NAV

   14.4  42.0

Shares outstanding beginning of period

   4,966,856   226,242 

Shares outstanding end of period

   13,966,856   986,242 

Percentage change in shares outstanding

   181.2  335.9

Shares created

   58,900,000   1,025,000 

Shares redeemed

   49,900,000   265,000 

Per share NAV beginning of period

  $42.65  $431.07 

Per share NAV end of period

  $17.35  $140.40 

Percentage change in per share NAV

   (59.3)%   (67.4)% 

Percentage change in benchmark

   25.3  58.6

Benchmark annualized volatility

   76.6  48.6

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,966,856 outstanding Shares at June 30, 2022 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of Contents

Duringthe 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 SubindexSM. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,524,832226,242 outstanding Shares at June 30, 2021 to 19,724,832986,242 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, 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%59.3% for the three months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 43.0%67.4% for the three months ended September 30, 2020,2021, was primarily due to greatera lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

2022.

The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to 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 greaterlesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $(5,144  $(358,817

Management fee

   730,949    258,824 

Brokerage commission

   173,386    67,808 

Futures account fees

   48,485    42,064 

Non-recurring fees and expenses

   5,374    —   

Net realized gain (loss)

   8,115,767    (95,609,878

Change in net unrealized appreciation (depreciation)

   (23,467,384   (17,871,536

Net Income (loss)

  $(15,356,761  $(113,840,231

143


   
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 decreasedincreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greaterlesser increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.

160

Table of Contents
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 three months ended September 30, 20212022 and 2020:

   
Three Months Ended

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $48,820,440  $78,848,965 
NAV end of period
  $48,640,817  $68,577,533 
Percentage change in NAV
   (0.4)%   (13.0)% 
Shares outstanding beginning of period
   2,050,000   2,950,000 
Shares outstanding end of period
   1,950,000   2,800,000 
Percentage change in shares outstanding
   (4.9)%   (5.1)% 
Shares created
   100,000   1,000,000 
Shares redeemed
   200,000   1,150,000 
Per share NAV beginning of period
  $23.81  $26.73 
Per share NAV end of period
  $24.94  $24.49 
Percentage change in per share NAV
   4.8  (8.4)% 
Percentage change in benchmark
   (2.3)%   4.4
Benchmark annualized volatility
   4.5  6.3
2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $62,270,097  $48,820,440 

NAV end of period

  $90,584,278  $48,640,817 

Percentage change in NAV

   45.5  (0.4)% 

Shares outstanding beginning of period

   2,050,000   2,050,000 

Shares outstanding end of period

   2,600,000   1,950,000 

Percentage change in shares outstanding

   26.8  (4.9)% 

Shares created

   1,100,000   100,000 

Shares redeemed

   550,000   200,000 

Per share NAV beginning of period

  $30.38  $23.81 

Per share NAV end of period

  $34.84  $24.94 

Percentage change in per share NAV

   14.7  4.8

Percentage change in benchmark

   (6.5)%   (2.3)% 

Benchmark annualized volatility

   11.15  4.5

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, 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, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 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 three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,950,000 outstanding Shares at June 30, 2020 to 2,800,000 outstanding Shares at September 30, 2020.

For the three months ended September 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 14.7% for the three months ended September 30, 2022, as compared to 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 greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to 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 greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.2022.

144


Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 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

Table of Contents
2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $25,953   $(111,725

Management fee

   203,036    116,733 

Non-recurring fees and expenses

   1,835    —   

Net realized gain (loss)

   11,086,708    2,974,466 

Change in net unrealized appreciation (depreciation)

   (292,818   (617,958

Net Income (loss)

  $10,819,843   $2,244,783 

The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.

2022.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 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
2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $34,611,284  $32,835,014 

NAV end of period

  $29,634,725  $27,731,022 

Percentage change in NAV

   (14.4)%   (15.5)% 

Shares outstanding beginning of period

   1,096,977   946,977 

Shares outstanding end of period

   796,977   796,977 

Percentage change in shares outstanding

   (27.3)%   (15.8)% 

Shares created

   350,000   650,000 

Shares redeemed

   650,000   800,000 

Per share NAV beginning of period

  $31.55  $34.67 

Per share NAV end of period

  $37.18  $34.80 

Percentage change in per share NAV

   17.9  0.4

Percentage change in benchmark

   (7.9)%   (1.0)% 

Benchmark annualized volatility

   13.4  13.8

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM.

145

. 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, 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 17.9% for the three months ended September 30, 2022, as compared to 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 a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

2022.

The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to 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 greater decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Table of Contents
2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 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
2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $(8,595  $(68,386

Management fee

   76,652    66,304 

Brokerage commission

   3,565    3,301 

Futures account fees

   —      1,856 

Non-recurring fees and expenses

   639    —   

Net realized gain (loss)

   4,988,228    1,213,721 

Change in net unrealized appreciation (depreciation)

   841,546    (1,898,419

Net Income (loss)

  $5,821,179   $(753,084

The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the futures prices during the three months ended September 30, 2021.2022.

146


ProShares UltraShort Silver

*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 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
2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $33,052,840  $34,859,763 

NAV end of period

  $33,763,052  $40,373,877 

Percentage change in NAV

   2.1  15.8

Shares outstanding beginning of period

   1,041,329   1,491,329 

Shares outstanding end of period

   991,329   1,291,329 

Percentage change in shares outstanding

   (4.8)%   (13.4)% 

Shares created

   1,000,000   1,000,000 

Shares redeemed

   1,050,000   1,200,000 

Per share NAV beginning of period

  $31.74  $23.37 

Per share NAV end of period

  $34.06  $31.27 

Percentage change in per share NAV

   7.3  33.8

Percentage change in benchmark

   (6.5)%   (16.0)% 

Benchmark annualized volatility

   31.8  26.7

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022. By comparison, 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
.
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For the three months ended September 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 7.3% for the three months ended September 30, 2022, as compared to 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 a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to 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 lesser decrease in the value of the silver futures contracts during the period ended September 30, 2021.

2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 and 2020:2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $(13,304  $(102,532

Management fee

   67,215    90,963 

Brokerage commission

   8,699    8,141 

Futures account fees

   —      6,528 

Non-recurring fees and expenses

   612    —   

Net realized gain (loss)

   6,215,407    6,662,145 

Change in net unrealized appreciation (depreciation)

   (4,075,524   3,922,596 

Net Income (loss)

  $2,126,579   $10,482,209 

147


   
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 increaseddecreased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022.

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $45,568,882  $27,231,748 

NAV end of period

  $51,937,338  $23,328,922 

Percentage change in NAV

   14.0  (14.3)% 

Shares outstanding beginning of period

   798,580   698,580 

Shares outstanding end of period

   798,580   598,580 

Percentage change in shares outstanding

   —    (14.3)% 

Shares created

   250,000   —   

Shares redeemed

   250,000   100,000 

Per share NAV beginning of period

  $57.06  $38.98 

Per share NAV end of period

  $65.04  $38.97 

Percentage change in per share NAV

   14.0  (0.0)%@ 

Percentage change in benchmark

   (6.5)%   (0.2)% 

Benchmark annualized volatility

   11.2  5.5

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2022 to September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at June 30, 2021 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 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 14.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 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 September 30, 2022.

148


Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $7,640   $(54,645

Management fee

   106,598    57,037 

Non-recurring fees and expenses

   953    —   

Net realized gain (loss)

   5,879,873    197,444 

Change in net unrealized appreciation (depreciation)

   (523,871   (189,932

Net Income (loss)

  $5,363,642   $(47,133

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 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 September 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 reverseforward Share split for ProShares UltraShort Silver.
Yen.

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ProShares UltraShort Yen

VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20212022 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)%.
2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $95,721,271  $92,662,734 

NAV end of period

  $110,420,574  $127,673,137 

Percentage change in NAV

   15.4  37.7

Shares outstanding beginning of period

   2,712,403   3,037,403 

Shares outstanding end of period

   3,112,403   3,962,403 

Percentage change in shares outstanding

   14.7  30.5

Shares created

   850,000   1,200,000 

Shares redeemed

   450,000   275,000 

Per share NAV beginning of period

  $35.29  $30.51 

Per share NAV end of period

  $35.48  $32.22 

Percentage change in per share NAV

   0.6  5.6

Percentage change in benchmark

   1.1  6.0

Benchmark annualized volatility

   22.1  22.9

During the three months ended September 30, 2021,2022, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 349,2902,712,403 outstanding Shares at June 30, 20212022 to 299,2903,112,403 outstanding Shares at September 30, 2021.2022. The decreaseincrease 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 yen versus the U.S. dollar.S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,290 outstanding Shares at June 30, 2020 to 349,290 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
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 0.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.9% for the three months ended September 30, 2020, was primarily due to 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 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:
   
Three Months Ended

September 30, 2021
   
Three Months Ended

September 30, 2020
 
Net investment income (loss)
  $(54,645  $(55,870
Management fee
   57,037    60,238 
Non-recurring
fees and expenses
   —      717 
Net realized gain (loss)
   197,444    (1,451,651
Change in net unrealized appreciation (depreciation)
   (189,932   201,521 
Net Income (loss)
  $(47,133  $(1,306,000
165

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

September 30, 2021
  
Three Months Ended

September 30, 2020
 
NAV beginning of period
  $92,662,734  $59,085,470 
NAV end of period
  $127,673,137  $101,957,520 
Percentage change in NAV
   37.7  72.6
Shares outstanding beginning of period
   3,037,403   1,462,403 
Shares outstanding end of period
   3,962,403   2,487,403 
Percentage change in shares outstanding
   30.5  70.1
Shares created
   1,200,000   1,150,000 
Shares redeemed
   275,000   125,000 
Per share NAV beginning of period
  $30.51  $40.40 
Per share NAV end of period
  $32.22  $40.99 
Percentage change in per share NAV
   5.6  1.5
Percentage change in benchmark
   6.0  1.8
Benchmark annualized volatility
   22.9  26.2
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison,

149


For the three months ended September 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 0.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2020,2022.

The benchmark’s rise of 1.1% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 6.0% for the three months ended September 30, 2021, can be attributed to a lesser 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, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $(1,269  $(262,156

Management fee

   201,508    221,356 

Brokerage commission

   17,922    20,803 

Futures account fees

   —      28,911 

Non-recurring fees and expenses

   2,050    —   

Net realized gain (loss)

   (1,349,272   (4,024,133

Change in net unrealized appreciation (depreciation)

   3,368,209    10,652,952 

Net Income (loss)

  $2,017,668   $6,366,663 

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of the futures prices during the three months ended September 30, 2022.

150


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, 2022 and 2021:

   Three Months Ended
September 30, 2022
  Three Months Ended
September 30, 2021
 

NAV beginning of period

  $341,714,316  $272,352,675 

NAV end of period

  $437,536,628  $368,777,333 

Percentage change in NAV

   28.0  35.3

Shares outstanding beginning of period

   18,757,826   11,307,826 

Shares outstanding end of period

   25,582,826   16,257,826 

Percentage change in shares outstanding

   36.4  43.8

Shares created

   17,775,000   6,300,000 

Shares redeemed

   10,950,000   1,350,000 

Per share NAV beginning of period

  $18.22  $24.09 

Per share NAV end of period

  $17.10  $22.68 

Percentage change in per share NAV

   (6.1)%   (5.8)% 

Percentage change in benchmark

   (5.7)%   (5.6)% 

Benchmark annualized volatility

   51.0  69.6

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,462,40318,757,826 outstanding Shares at June 30, 20202022 to 2,487,40325,582,826 outstanding Shares at September 30, 2020.2022. The increase in the Fund’s NAV also resulted in part fromwas offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX

Mid-Term
Futures Index.
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For the three months ended September 30, 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 Fund 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
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On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
DuringIndex. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 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 three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,981,579 outstanding Shares at June 30, 2020 to 3,400,329 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 the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 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 decrease of 5.8%6.1% for the three months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 26.5%5.8% for the three months ended September 30, 2020,2021, was primarily due to lessera greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

2022.

The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to 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 lessergreater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20212022 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
2021:

   Three Months Ended
September 30, 2022
   Three Months Ended
September 30, 2021
 

Net investment income (loss)

  $259,392   $(897,586

Management fee

   874,070    660,051 

Brokerage commission

   203,095    97,516 

Futures account fees

   54,944    151,758 

Non-recurring fees and expenses

   8,700    —   

Net realized gain (loss)

   (45,457,319   (51,868,433

Change in net unrealized appreciation (depreciation)

   51,698,947    42,168,297 

Net Income (loss)

  $6,501,020   $(10,597,722

The Fund’s net income increased for the three months ended September 30, 20212022 as compared to the three months ended September 30, 2020,2021, primarily due to a lessergreater decrease in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.2022.

151


*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
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Results of Operations for the Nine Months Ended September 30, 20212022 Compared to the Nine Months Ended September 30, 2020

2021

ProShares Short Euro

VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 20212022 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
2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $423,812,594  $409,371,468 

NAV end of period

  $321,831,051  $388,523,845 

Percentage change in NAV

   (24.1)%   (5.1)% 

Shares outstanding beginning of period

   6,884,307   9,884,307 

Shares outstanding end of period

   6,634,307   7,134,307 

Percentage change in shares outstanding

   (3.6)%   (27.8)% 

Shares created

   5,050,000   3,400,000 

Shares redeemed

   5,300,000   6,150,000 

Per share NAV beginning of period

  $61.56  $41.42 

Per share NAV end of period

  $48.51  $54.46 

Percentage change in per share NAV

   (21.2)%   31.5

Percentage change in benchmark

   14.7  (58.4)% 

Benchmark annualized volatility

   86.1  73.8

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, 2020,2022, 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-halfthe inverse
(-1x)
(-0.5x)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 also resulted in part from a decrease from 6,884,307 outstanding Shares fromat December 31, 20192021 to 6,634,307 outstanding Shares at 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 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund2022. By comparison, during the nine months ended September 30, 2021.
The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(18,442  $(8,827
Management fee
   19,278    16,266 
Brokerage commission
   339    272 
Non-recurring
fees and expenses
   —      65 
Net realized gain (loss)
   88,710    (116,225
Change in net unrealized appreciation (depreciation)
   91,407    31,501 
Net Income (loss)
  $161,675   $(93,551
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.
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ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $409,371,468  $284,437,179 
NAV end of period
  $388,523,845  $335,465,066 
Percentage change in NAV
   (5.1)%   17.9
Shares outstanding beginning of period
   9,884,307   4,334,307 
Shares outstanding end of period
   7,134,307   9,484,307 
Percentage change in shares outstanding
   (27.8)%   118.8
Shares created
   3,400,000   25,850,000 
Shares redeemed
   6,150,000   20,700,000 
Per share NAV beginning of period
  $41.42  $65.62 
Per share NAV end of period
  $54.46  $35.37 
Percentage change in per share NAV
   31.5  (46.1)% 
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 Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 9,484,307 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 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 decrease of 21.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 46.1% for the nine months ended September 30, 2020, was primarily due to appreciationa depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, can be attributed to a decreasean increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.2022.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:

   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(4,774,396  $(4,043,310
Management fee
   3,415,545    3,592,232 
Brokerage commission
   638,744    585,356 
Non-recurring
fees and expenses
   —      22,038 
Net realized gain (loss)
   168,119,037    (129,092,294
Change in net unrealized appreciation (depreciation)
   (14,532,856   (2,709,070
Net Income (loss)
  $148,811,785   $(135,844,674
2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(2,481,226  $(4,774,396

Management fee

   2,934,952    3,415,545 

Brokerage commission

   517,911    638,744 

Futures account fees

   348,217    795,836 

Non-recurring fees and expenses

   6,122    —   

Net realized gain (loss)

   (26,521,746   168,119,037 

Change in net unrealized appreciation (depreciation)

   (47,680,063   (14,532,856

Net Income (loss)

  $(76,683,035  $148,811,785 

The Fund’s net income increaseddecreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a decreasean increase in the value of futures prices during the nine months ended September 30, 2021.

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2022.

ProShares Ultra Bloomberg Crude Oil

Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $1,103,783,570  $902,739,250 

NAV end of period

  $724,595,262  $1,090,613,716 

Percentage change in NAV

   (34.4)%   20.8

Shares outstanding beginning of period

   51,243,096   99,243,096 

Shares outstanding end of period

   27,643,096   51,643,096 

Percentage change in shares outstanding

   (46.1)%   (48.0)% 

Shares created

   20,700,000   17,400,000 

Shares redeemed

   44,300,000   65,000,000 

Per share NAV beginning of period

  $21.54  $9.10 

Per share NAV end of period

  $26.21  $21.12 

Percentage change in per share NAV

   21.7  132.2

Percentage change in benchmark

   18.7  58.2

Benchmark annualized volatility

   45.6  29.1

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 and 2020:

   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $902,739,250  $309,844,582 
NAV end of period
  $1,090,613,716  $1,195,885,056 
Percentage change in NAV
   20.8  286.0
Shares outstanding beginning of period
   24,810,774   608,453 
Shares outstanding end of period
   12,910,774   41,610,774 
Percentage change in shares outstanding
   (48.0)%   6,738.8
Shares created
   4,350,000   109,662,000 
Shares redeemed
   16,250,000   68,659,679 
Per share NAV beginning of period
  $36.38  $509.23 
Per share NAV end of period
  $84.47  $28.74 
Percentage change in per share NAV
   132.2  (94.4)% 
Percentage change in benchmark
   58.2  (33.6)% 
Benchmark annualized volatility
   29.1  90.6
On June 25, 2020,to 27,643,096 outstanding Shares at September 30, 2022. the Trust announced thatdecrease in the ProShares Ultra Bloomberg Crude OilFund’s NAV was 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. 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)IndexSM. The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
DuringBy comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 24,810,77499,243,096 outstanding Shares at December 31, 2020 to 12,910,77451,643,096 outstanding Shares at September 30, 2021. By comparison,

For the nine months ended September 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 increase of 21.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.

153


The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(5,154,872  $(9,100,359

Management fee

   8,301,804    8,104,728 

Brokerage commission

   421,657    701,710 

Futures account fees

   381,754    632,199 

Non-recurring fees and expenses

   13,739    27,500 

Net realized gain (loss)

   818,132,441    761,182,708 

Change in net unrealized appreciation (depreciation)

   (339,456,270   176,076,207 

Net Income (loss)

  $473,521,299   $928,158,556 

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 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 nine months ended September 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 Ultra Bloomberg Crude Oil.

154


ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $193,892,178  $169,800,371 

NAV end of period

  $289,386,097  $145,038,381 

Percentage change in NAV

   49.3  (14.6)% 

Shares outstanding beginning of period

   7,587,527   8,087,527 

Shares outstanding end of period

   5,437,527   1,737,527 

Percentage change in shares outstanding

   (28.3)%   (78.5)% 

Shares created

   15,100,000   5,200,000 

Shares redeemed

   17,250,000   11,550,000 

Per share NAV beginning of period

  $25.55  $21.00 

Per share NAV end of period

  $53.22  $83.47 

Percentage change in per share NAV

   108.3  297.6

Percentage change in benchmark

   86.6  113.0

Benchmark annualized volatility

   71.7  40.5

During the nine months ended September 30, 2022, 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

Natural Gas SubindexSM
.
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For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 94.4% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s rise of 58.2% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period endedFund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 5,437,527 outstanding Shares at September 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(9,100,359  $(8,010,293
Management fee
   8,104,728    6,887,044 
Brokerage commission
   701,710    1,744,115 
Non-recurring
fees and expenses
   27,500    24,637 
Net realized gain (loss)
   761,182,708    (891,020,242
Change in net unrealized appreciation (depreciation)
   176,076,207    106,126,899 
Net Income (loss)
  $928,158,556   $(792,903,636
The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil2022. By comparison, during the nine months ended September 30, 2021.
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ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $169,800,371  $45,160,205 
NAV end of period
  $145,038,381  $99,203,762 
Percentage change in NAV
   (14.6)%   119.7
Shares outstanding beginning of period
   8,087,527   537,815 
Shares outstanding end of period
   1,737,527   2,887,527 
Percentage change in shares outstanding
   (78.5)%   436.9
Shares created
   5,200,000   5,835,000 
Shares redeemed
   11,550,000   3,485,288 
Per share NAV beginning of period
  $21.00  $83.97 
Per share NAV end of period
  $83.47  $34.36 
Percentage change in per share NAV
   297.6  (59.1)% 
Percentage change in benchmark
   113.0  (28.5)% 
Benchmark annualized volatility
   40.5  53.5
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 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 (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 nine months ended September 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 108.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 59.1% for the nine months ended September 30, 2020, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

175

Table2022.

The benchmark’s rise of Contents

The86.6% for the nine months ended September 30, 2022, as compared to 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 ana lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.
2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(977,992  $(845,018

Management fee

   1,589,759    568,903 

Brokerage commission

   300,747    195,831 

Futures account fees

   177,950    112,998 

Non-recurring fees and expenses

   4,791    —   

Net realized gain (loss)

   235,314,633    80,409,947 

Change in net unrealized appreciation (depreciation)

   (89,199,198   35,684,757 

Net Income (loss)

  $145,137,443   $115,249,686 

155


   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(845,018  $(447,190
Management fee
   568,903    378,784 
Brokerage commission
   195,831    214,255 
Non-recurring
fees and expenses
   —      1,129 
Net realized gain (loss)
   80,409,947    2,226,367 
Change in net unrealized appreciation (depreciation)
   35,684,757    (4,338,592
Net Income (loss)
  $115,249,686   $(2,559,415

The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to ana lesser increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2021.

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2022.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $8,659,095  $4,737,350 

NAV end of period

  $13,869,371  $3,479,104 

Percentage change in NAV

   60.2  (26.6)% 

Shares outstanding beginning of period

   650,000   300,000 

Shares outstanding end of period

   1,450,000   250,000 

Percentage change in shares outstanding

   123.1  (16.7)% 

Shares created

   1,250,000   100,000 

Shares redeemed

   450,000   150,000 

Per share NAV beginning of period

  $13.32  $15.79 

Per share NAV end of period

  $9.57  $13.92 

Percentage change in per share NAV

   (28.2)%   (11.9)% 

Percentage change in benchmark

   (13.2)%   (5.2)% 

Benchmark annualized volatility

   9.4  5.6

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and 2020:

   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
        
NAV beginning of period
  $4,737,350  $6,204,424 
NAV end of period
  $3,479,104  $4,397,675 
Percentage change in NAV
   (26.6)%   (29.1)% 
Shares outstanding beginning of period
   300,000   450,000 
Shares outstanding end of period
   250,000   300,000 
Percentage change in shares outstanding
   (16.7)%   (33.3)% 
Shares created
   100,000   200,000 
Shares redeemed
   150,000   350,000 
Per share NAV beginning of period
  $15.79  $13.79 
Per share NAV end of period
  $13.92  $14.66 
Percentage change in per share NAV
   (11.9)%   6.3
Percentage change in benchmark
   (5.2)%   4.5
Benchmark annualized volatility
   5.6  7.9
Duringexpenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 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 28.2% for the nine months ended September 30, 2022, as compared to 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 greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

177

Table2022.

The benchmark’s decline of Contents

The13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.2022.

156


Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 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 
2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(18,918  $(26,743

Management fee

   66,646    28,158 

Non-recurring fees and expenses

   237    —   

Net realized gain (loss)

   (2,511,725   (186,149

Change in net unrealized appreciation (depreciation)

   (514,727   (251,418

Net Income (loss)

  $(3,045,370  $(464,310

The Fund’s net income decreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.

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2022.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $232,780,534  $263,540,473 

NAV end of period

  $160,022,292  $230,917,847 

Percentage change in NAV

   (31.3)%   (12.4)% 

Shares outstanding beginning of period

   3,900,000   3,900,000 

Shares outstanding end of period

   3,400,000   4,150,000 

Percentage change in shares outstanding

   (12.8)%   6.4

Shares created

   1,650,000   1,250,000 

Shares redeemed

   2,150,000   1,000,000 

Per share NAV beginning of period

  $59.69  $67.57 

Per share NAV end of period

  $47.07  $55.64 

Percentage change in per share NAV

   (21.1)%   (17.7)% 

Percentage change in benchmark

   (9.3)%   (7.9)% 

Benchmark annualized volatility

   17.4  15.7

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 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
Duringto 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg 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 4,150,000 outstanding Shares at September 30, 2021. By comparison,

For the nine months ended September 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 21.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.

157


The benchmark’s decline of 9.3% for the increasenine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(845,479  $(1,745,829

Management fee

   1,863,020    1,718,350 

Brokerage commission

   43,899    32,974 

Futures account fees

   28,169    64,764 

Non-recurring fees and expenses

   2,940    —   

Net realized gain (loss)

   (39,908,781   (27,599,609

Change in net unrealized appreciation (depreciation)

   (17,626,635   (19,136,522

Net Income (loss)

  $(58,380,895  $(48,481,960

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $515,453,594  $745,304,028 

NAV end of period

  $323,970,863  $480,309,476 

Percentage change in NAV

   (37.1)%   (35.6)% 

Shares outstanding beginning of period

   14,796,526   14,696,526 

Shares outstanding end of period

   15,546,526   15,146,526 

Percentage change in shares outstanding

   5.1  3.1

Shares created

   4,250,000   4,450,000 

Shares redeemed

   3,500,000   4,000,000 

Per share NAV beginning of period

  $34.84  $50.71 

Per share NAV end of period

  $20.84  $31.71 

Percentage change in per share NAV

   (40.2)%   (37.5)% 

Percentage change in benchmark

   (19.0)%   (17.0)% 

Benchmark annualized volatility

   31.7  33.0

158


During the nine months ended September 30, 2022, the decrease 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 GoldSilver 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 17.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 39.9% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
The benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 21.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period endedFund’s NAV was offset by an increase from 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(1,745,829  $(789,004
Management fee
   1,718,350    1,269,866 
Brokerage commission
   32,974    28,599 
Non-recurring
fees and expenses
   —      3,751 
Net realized gain (loss)
   (27,599,609   51,605,680 
Change in net unrealized appreciation (depreciation)
   (19,136,522   (11,258,939
Net Income (loss)
  $(48,481,960  $39,557,737 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices2022. By comparison, during the nine months ended September 30, 2021.
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $745,304,028  $239,254,842 
NAV end of period
  $480,309,476  $620,883,156 
Percentage change in NAV
   (35.6)%   159.5
Shares outstanding beginning of period
   14,696,526   7,546,526 
Shares outstanding end of period
   15,146,526   14,696,526 
Percentage change in shares outstanding
   3.1  94.7
Shares created
   4,450,000   10,300,000 
Shares redeemed
   4,000,000   3,150,000 
Per share NAV beginning of period
  $50.71  $31.70 
Per share NAV end of period
  $31.71  $42.25 
Percentage change in per share NAV
   (37.5)%   33.3
Percentage change in benchmark
   (17.0)%   27.4
Benchmark annualized volatility
   33.0  48.6
During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,526 outstanding Shares at September 30, 2021. By comparison,

For the nine months ended September 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 40.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.

The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(1,839,301  $(4,805,716

Management fee

   3,098,741    4,640,919 

Brokerage commission

   94,079    114,716 

Futures account fees

   26,693    258,250 

Non-recurring fees and expenses

   5,922    —   

Net realized gain (loss)

   (186,949,626   (80,038,809

Change in net unrealized appreciation (depreciation)

   (16,694,572   (192,156,316

Net Income (loss)

  $(205,483,499  $(277,000,841

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.

159


ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $816,679,636  $1,356,204,199 

NAV end of period

  $995,489,778  $1,020,845,873 

Percentage change in NAV

   21.9  (24.7)% 

Shares outstanding beginning of period

   65,828,420   12,713,091 

Shares outstanding end of period

   77,328,420   41,778,420 

Percentage change in shares outstanding

   17.5  228.6

Shares created

   234,900,000   70,385,000 

Shares redeemed

   223,400,000   41,319,671 

Per share NAV beginning of period

  $12.41  $106.68 

Per share NAV end of period

  $12.87  $24.43 

Percentage change in per share NAV

   3.7  (77.1)% 

Percentage change in benchmark

   14.7  (58.4)% 

Benchmark annualized volatility

   86.1  73.8

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,52665,828,420 outstanding Shares at December 31, 20192021 to 14,696,52677,328,420 outstanding Shares at September 30, 2020.2022. 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 twoone and one-half times (2x)(1.5x) 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 daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 33.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 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 silver futures contracts during the period ended September 30, 2021.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(4,805,716  $(1,555,626
Management fee
   4,640,919    2,369,293 
Brokerage commission
   114,716    99,986 
Non-recurring
fees and expenses
   —      3,943 
Net realized gain (loss)
   (80,038,809   297,927,456 
Change in net unrealized appreciation (depreciation)
   (192,156,316   (215,073,543
Net Income (loss)
  $(277,000,841  $81,298,287 
The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.
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ProShares UltraS&P 500 VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $1,356,204,199  $527,636,003 
NAV end of period
  $1,020,845,873  $1,307,611,521 
Percentage change in NAV
   (24.7)%   147.8
Shares outstanding beginning of period
   12,713,091   4,163,091 
Shares outstanding end of period
   41,778,420   6,488,091 
Percentage change in shares outstanding
   228.6  55.8
Shares created
   70,385,000   7,755,000 
Shares redeemed
   41,319,671   5,430,000 
Per share NAV beginning of period
  $106.68  $126.74 
Per share NAV end of period
  $24.43  $201.54 
Percentage change in per share NAV
   (77.1)%   59.0
Percentage change in benchmark
   (58.4)%   68.5
Benchmark annualized volatility
   73.8  112.9
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
DuringIndex. By comparison, 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 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 41,778,420 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 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 nine months ended September 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 increase of 3.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 59.0% for the nine months ended September 30, 2020, was primarily due to depreciationan appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, can be attributed to a decreasean increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

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2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(7,265,397  $(16,038,632

Management fee

   7,085,920    8,897,953 

Brokerage commission

   3,183,788    4,225,879 

Futures account fees

   1,446,639    3,243,304 

Non-recurring fees and expenses

   20,117    —   

Net realized gain (loss)

   81,807,278    (1,757,407,418

Change in net unrealized appreciation (depreciation)

   323,479,748    146,498,138 

Net Income (loss)

  $398,021,629   $(1,626,947,912

160


   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(16,038,632  $(7,952,015
Management fee
   8,897,953    5,646,893 
Brokerage commission
   4,225,879    2,282,095 
Non-recurring
fees and expenses
   —      10,480 
Net realized gain (loss)
   (1,757,407,418   58,666,590 
Change in net unrealized appreciation (depreciation)
   146,498,138    66,319,163 
Net Income (loss)
  $(1,626,947,912  $117,033,738 

The Fund’s net income decreasedincreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a decreasean increase in the value of futures prices during the nine months ended September 30, 2021.

*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
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2022.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $2,362,849  $2,989,499 

NAV end of period

  $10,159,189  $2,539,880 

Percentage change in NAV

   330.0  (15.0)% 

Shares outstanding beginning of period

   49,970   49,970 

Shares outstanding end of period

   349,970   49,970 

Percentage change in shares outstanding

   600.4  —  

Shares created

   350,000   —   

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $47.29  $59.83 

Per share NAV end of period

  $29.03  $50.83 

Percentage change in per share NAV

   (38.6)%   (15.0)% 

Percentage change in benchmark

   (20.3)%   (7.2)% 

Benchmark annualized volatility

   10.1  5.2

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and 2020:

   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $2,989,499  $5,580,964 
NAV end of period
  $2,539,880  $2,882,680 
Percentage change in NAV
   (15.0)%   (48.3)% 
Shares outstanding beginning of period
   49,970   99,970 
Shares outstanding end of period
   49,970   49,970 
Percentage change in shares outstanding
   —    (50.0)% 
Shares created
   —     —   
Shares redeemed
   —     50,000 
Per share NAV beginning of period
  $59.83  $55.83 
Per share NAV end of period
  $50.83  $57.69 
Percentage change in per share NAV
   (15.0)%   3.3
Percentage change in benchmark
   (7.2)%   3.0
Benchmark annualized volatility
   5.2  10.2
Duringexpenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021. By comparison,

For the nine months ended September 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 38.6% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.

The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 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 September 30, 2022.

161


Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(5,605  $(18,221

Management fee

   34,710    19,144 

Non-recurring fees and expenses

   194    —   

Net realized gain (loss)

   (2,531,291   (305,028

Change in net unrealized appreciation (depreciation)

   (3,861   (126,370

Net Income (loss)

  $(2,540,757  $(449,619

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $114,167,602  $96,839,233 

NAV end of period

  $368,791,089  $93,575,213 

Percentage change in NAV

   223.0  (3.4)% 

Shares outstanding beginning of period

   1,776,760   416,994 

Shares outstanding end of period

   12,155,220   1,236,760 

Percentage change in shares outstanding

   584.1  196.6

Shares created

   38,940,000   1,447,500 

Shares redeemed

   28,561,540   627,734 

Per share NAV beginning of period

  $64.26  $232.23 

Per share NAV end of period

  $30.34  $75.66 

Percentage change in per share NAV

   (52.8)%   (67.4)% 

Percentage change in benchmark

   18.7  58.2

Benchmark annualized volatility

   45.6  29.1

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from a decreasean increase from 99,9701,776,760 outstanding Shares at December 31, 20192021 to 49,97012,155,220 outstanding Shares at September 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 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 2xinverse (-2x) of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 3.3% for the nine months ended September 30, 2020, was primarily due to depreciation 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.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(18,221  $(11,633
Management fee
   19,144    20,655 
Non-recurring
fees and expenses
   —      78 
Net realized gain (loss)
   (305,028   11,333 
Change in net unrealized appreciation (depreciation)
   (126,370   48,030 
Net Income (loss)
  $(449,619  $47,730 
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 Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.
186

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

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $2,222,639  $5,608,612 
NAV end of period
  $4,914,269  $5,173,668 
Percentage change in NAV
   121.1  (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
  $44.45  $56.09 
Per share NAV end of period
  $49.14  $51.74 
Percentage change in per share NAV
   10.6  (7.8)% 
Percentage change in benchmark
   (6.2)%   2.1
Benchmark annualized volatility
   9.5  13.0
During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2020 to 100,000 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020.
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.
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(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.
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ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 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.
DuringBy comparison, 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 2,084,971416,994 outstanding Shares at December 31, 2020 to 6,183,7991,236,760 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 Index
SM
.
189

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For the nine months ended September 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 52.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 36.3% for the nine months ended September 30, 2020, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.2022.

162


The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to ana lesser increase in the value of WTI Crude Oil during the period ended September 30, 2021.

2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:

   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(751,650  $(1,155,759
Management fee
   603,444    789,307 
Brokerage commission
   100,902    488,442 
Non-recurring
fees and expenses
   —      4,892 
Net realized gain (loss)
   (86,637,748   28,429,826 
Change in net unrealized appreciation (depreciation)
   (5,829,481   7,227,746 
Net Income (loss)
  $(93,218,879  $34,501,813 
2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(1,043,095  $(751,650

Management fee

   2,599,503    603,444 

Brokerage commission

   332,256    100,902 

Futures account fees

   195,542    83,373 

Non-recurring fees and expenses

   7,548    —   

Net realized gain (loss)

   (142,631,216   (86,637,748

Change in net unrealized appreciation (depreciation)

   113,674,105    (5,829,481

Net Income (loss)

  $(30,000,206  $(93,218,879

The Fund’s net income decreasedincreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to ana lesser increase in the value of WTI Crude Oil , in conjunction with the timing of shareholder activity, 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 reverse Share split for ProShares UltraShort Bloomberg Crude Oil.

163


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ProShares UltraShort Bloomberg Natural Gas

Gas*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $242,145,130  $24,977,745 

NAV end of period

  $242,389,998  $138,468,677 

Percentage change in NAV

   0.1  454.4

Shares outstanding beginning of period

   978,742   26,242 

Shares outstanding end of period

   13,966,856   986,242 

Percentage change in shares outstanding

   1,327.0  3,658.3

Shares created

   82,240,000   1,402,500 

Shares redeemed

   69,251,886   442,500 

Per share NAV beginning of period

  $247.40  $951.82 

Per share NAV end of period

  $17.35  $140.40 

Percentage change in per share NAV

   (93.0)%   (85.3)% 

Percentage change in benchmark

   86.6  113.0

Benchmark annualized volatility

   71.7  40.5

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and 2020:

   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $24,977,745  $12,515,603 
NAV end of period
  $138,468,677  $46,937,986 
Percentage change in NAV
   454.4  275.0
Shares outstanding beginning of period
   524,832   324,832 
Shares outstanding end of period
   19,724,832   1,224,832 
Percentage change in shares outstanding
   3,658.3  277.1
Shares created
   28,050,000   4,400,000 
Shares redeemed
   8,850,000   3,500,000 
Per share NAV beginning of period
  $47.59  $38.53 
Per share NAV end of period
  $7.02  $38.32 
Percentage change in per share NAV
   (85.3)%   (0.5)% 
Percentage change in benchmark
   113.0  (28.5)% 
Benchmark annualized volatility
   40.5  53.5
Duringexpenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,83226,242 outstanding Shares at December 31, 2020 to 19,724,832986,242 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 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 nine months ended September 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 85.3%93.0% for the nine months ended September 30, 2021,2022, as compared to the Fund’s per Share NAV decrease of 0.5%85.3% for the nine months ended September 30, 2020,2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to 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 ana lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

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2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(1,452,942  $(932,981

Management fee

   1,784,017    609,472 

Brokerage commission

   539,244    249,831 

Futures account fees

   255,370    99,190 

Non-recurring fees and expenses

   5,374    —   

Net realized gain (loss)

   (389,255,425   (112,274,576

Change in net unrealized appreciation (depreciation)

   116,824,672    (35,670,233

Net Income (loss)

  $(273,883,695  $(148,877,790

164


   
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, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to ana lesser increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2021.

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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 nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $54,263,045  $52,953,339 

NAV end of period

  $90,584,278  $48,640,817 

Percentage change in NAV

   66.9  (8.1)% 

Shares outstanding beginning of period

   2,100,000   2,350,000 

Shares outstanding end of period

   2,600,000   1,950,000 

Percentage change in shares outstanding

   23.8  (17.0)% 

Shares created

   1,650,000   300,000 

Shares redeemed

   1,150,000   700,000 

Per share NAV beginning of period

  $25.84  $22.53 

Per share NAV end of period

  $34.84  $24.94 

Percentage change in per share NAV

   34.8  10.7

Percentage change in benchmark

   (13.2)%   (5.2)% 

Benchmark annualized volatility

   9.4  5.6

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 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
Duringto 2,600,000 outstanding Shares at September 30, 2022. By comparison, 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, 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 34.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.6% for the nine months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.2022.

165


193

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:

   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(337,637  $(154,217
Management fee
   355,451    638,218 
Non-recurring
fees and expenses
   —      2,622 
Net realized gain (loss)
   2,249,236    (8,749,752
Change in net unrealized appreciation (depreciation)
   3,263,109    3,446,359 
Net Income (loss)
  $5,174,708   $(5,457,610
2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(184,021  $(337,637

Management fee

   467,426    355,451 

Non-recurring fees and expenses

   1,835    —   

Net realized gain (loss)

   16,904,945    2,249,236 

Change in net unrealized appreciation (depreciation)

   3,015,661    3,263,109 

Net Income (loss)

  $19,736,585   $5,174,708 

The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.

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2022.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $26,859,844  $20,337,376 

NAV end of period

  $29,634,725  $27,731,022 

Percentage change in NAV

   10.3  36.4

Shares outstanding beginning of period

   846,977   646,977 

Shares outstanding end of period

   796,977   796,977 

Percentage change in shares outstanding

   (5.9)%   23.2

Shares created

   1,500,000   1,700,000 

Shares redeemed

   1,550,000   1,550,000 

Per share NAV beginning of period

  $31.71  $31.43 

Per share NAV end of period

  $37.18  $34.80 

Percentage change in per share NAV

   17.3  10.7

Percentage change in benchmark

   (9.3)%   (7.9)% 

Benchmark annualized volatility

   17.4  15.7

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 and 2020:

   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $20,337,376  $21,047,560 
NAV end of period
  $27,731,022  $27,139,981 
Percentage change in NAV
   36.4  28.9
Shares outstanding beginning of period
   646,977   396,977 
Shares outstanding end of period
   796,977   846,977 
Percentage change in shares outstanding
   23.2  113.4
Shares created
   1,700,000   1,100,000 
Shares redeemed
   1,550,000   650,000 
Per share NAV beginning of period
  $31.43  $53.02 
Per share NAV end of period
  $34.80  $32.04 
Percentage change in per share NAV
   10.7  (39.6)% 
Percentage change in benchmark
   (7.9)%   3.6
Benchmark annualized volatility
   15.7  22.6
Duringto 796,977 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 796,977 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 Gold Subindex
SM.

166

. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 396,977 outstanding Shares at December 31, 2019 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
.


For the nine months ended September 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 17.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 39.6% for the nine months ended September 30, 2020, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the nine months ended September 30, 2020, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2021.

195

Table of Contents
2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:

   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(208,304  $(73,179
Management fee
   199,999    129,451 
Brokerage commission
   9,174    5,743 
Non-recurring
fees and expenses
   —      499 
Net realized gain (loss)
   (1,767,467   (12,041,690
Change in net unrealized appreciation (depreciation)
   1,727,781    2,727,104 
Net Income (loss)
  $(247,990  $(9,387,765
2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(128,991  $(208,304

Management fee

   218,466    199,999 

Brokerage commission

   9,361    9,174 

Futures account fees

   2,446    8,344 

Non-recurring fees and expenses

   639    —   

Net realized gain (loss)

   3,237,429    (1,767,467

Change in net unrealized appreciation (depreciation)

   3,160,276    1,727,781 

Net Income (loss)

  $6,268,714   $(247,990

The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the futures prices during the nine months ended September 30, 2021.2022.

167


196

Table of Contents

ProShares UltraShort Silver

*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $26,537,000  $28,885,775 

NAV end of period

  $33,763,052  $40,373,877 

Percentage change in NAV

   27.2  39.8

Shares outstanding beginning of period

   991,329   1,041,744 

Shares outstanding end of period

   991,329   1,291,329 

Percentage change in shares outstanding

   —    24.0

Shares created

   2,800,000   3,750,000 

Shares redeemed

   2,800,000   3,500,415 

Per share NAV beginning of period

  $26.77  $27.73 

Per share NAV end of period

  $34.06  $31.27 

Percentage change in per share NAV

   27.2  12.8

Percentage change in benchmark

   (19.0)%   (17.0)% 

Benchmark annualized volatility

   31.7  33.0

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 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
Duringto September 30, 2022. By comparison, 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, 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 27.2% for the nine months ended September 30, 2022, as compared to 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 a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to 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 greater decrease in the value of the silver futures contracts during the period ended September 30, 2021.

197

Table of Contents
2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(125,396  $(279,779

Management fee

   190,549    248,539 

Brokerage commission

   20,677    19,409 

Futures account fees

   4,443    20,726 

Non-recurring fees and expenses

   612    —   

Net realized gain (loss)

   8,252,703    (2,146,577

Change in net unrealized appreciation (depreciation)

   1,567,440    10,463,787 

Net Income (loss)

  $9,694,747   $8,037,431 

168


   
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, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2021.

*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Silver.
198

Table of Contents
2022.

ProShares UltraShort Yen

Yen*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $24,840,784  $23,691,070 

NAV end of period

  $51,937,338  $23,328,922 

Percentage change in NAV

   109.1  (1.5)% 

Shares outstanding beginning of period

   598,580   698,580 

Shares outstanding end of period

   798,580   598,580 

Percentage change in shares outstanding

   33.4  (14.3)% 

Shares created

   1,100,000   200,000 

Shares redeemed

   900,000   300,000 

Per share NAV beginning of period

  $41.50  $33.91 

Per share NAV end of period

  $65.04  $38.97 

Percentage change in per share NAV

   56.7  14.9

Percentage change in benchmark

   (20.3)%   (7.2)% 

Benchmark annualized volatility

   10.1  5.2

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 and 2020:

   
Nine Months Ended

September 30, 2021
  
Nine Months Ended

September 30, 2020
 
NAV beginning of period
  $23,691,070  $38,132,320 
NAV end of period
  $23,328,922  $24,780,763 
Percentage change in NAV
   (1.5)%   (35.0)% 
Shares outstanding beginning of period
   349,290   499,290 
Shares outstanding end of period
   299,290   349,290 
Percentage change in shares outstanding
   (14.3)%   (30.0)% 
Shares created
   100,000   100,000 
Shares redeemed
   150,000   250,000 
Per share NAV beginning of period
  $67.83  $76.37 
Per share NAV end of period
  $77.95  $70.95 
Percentage change in per share NAV
   14.9  (7.1)% 
Percentage change in benchmark
   (7.2)%   3.0
Benchmark annualized volatility
   5.2  10.2
Duringto 798,580 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 349,290698,580 outstanding Shares at December 31, 2020 to 299,290598,580 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 Japanese yen 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 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, 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 56.7% for the nine months ended September 30, 2022, as compared to 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 greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to 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 greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.2022.

169


Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 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
2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(109,049  $(186,478

Management fee

   259,599    196,036 

Non-recurring fees and expenses

   953    —   

Net realized gain (loss)

   14,980,187    3,055,103 

Change in net unrealized appreciation (depreciation)

   (453,336   1,066,333 

Net Income (loss)

  $14,417,802   $3,934,958 

The Fund’s net income increased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.

199

Table of Contents
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 Yen.

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, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $112,875,680  $72,075,095 

NAV end of period

  $110,420,574  $127,673,137 

Percentage change in NAV

   (2.2)%   77.1

Shares outstanding beginning of period

   3,687,403   1,962,403 

Shares outstanding end of period

   3,112,403   3,962,403 

Percentage change in shares outstanding

   (15.6)%   101.9

Shares created

   1,850,000   2,625,000 

Shares redeemed

   2,425,000   625,000 

Per share NAV beginning of period

  $30.61  $36.73 

Per share NAV end of period

  $35.48  $32.22 

Percentage change in per share NAV

   15.9  (12.3)% 

Percentage change in benchmark

   17.8  (11.4)% 

Benchmark annualized volatility

   32.5  28.3

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 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,to 3,112,403 outstanding Shares at September 30, 2022. The decrease in the Chicago Futures Exchange (a subsidiaryFund’s NAV was offset by the cumulative effect of the Chicago Board Options Exchange) changedFund seeking daily investment results, before fees and expenses, that correspond to the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology fordaily performance of the S&P 500
®
VIX Short-TermMid-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
DuringIndex. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison,

170


For the nine months ended September 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 15.9% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2020,2022.

The benchmark’s rise of 17.8% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 11.4% for the nine months ended September 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 September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(437,530  $(694,100

Management fee

   627,755    586,702 

Brokerage commission

   58,291    48,211 

Futures account fees

   46,394    86,674 

Non-recurring fees and expenses

   2,050    —   

Net realized gain (loss)

   11,304,277    (14,890,359

Change in net unrealized appreciation (depreciation)

   6,887,044    5,949,460 

Net Income (loss)

  $17,753,791   $(9,634,999

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022.

171


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, 2022 and 2021:

   Nine Months Ended
September 30, 2022
  Nine Months Ended
September 30, 2021
 

NAV beginning of period

  $269,703,164  $293,390,549 

NAV end of period

  $437,536,628  $368,777,333 

Percentage change in NAV

   62.2  25.7

Shares outstanding beginning of period

   17,832,826   5,331,579 

Shares outstanding end of period

   25,582,826   16,257,826 

Percentage change in shares outstanding

   43.5  204.9

Shares created

   35,900,000   16,556,250 

Shares redeemed

   28,150,000   5,630,003 

Per share NAV beginning of period

  $15.12  $55.03 

Per share NAV end of period

  $17.10  $22.68 

Percentage change in per share NAV

   13.1  (58.8)% 

Percentage change in benchmark

   14.7  (58.4)% 

Benchmark annualized volatility

   86.1  73.8

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX

Mid-Term
Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 2,162,403 outstanding Shares at December 31, 2019 to 2,487,403 outstanding Shares at September 30, 2020.
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 FundBy comparison, 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.
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Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:
   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(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.
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ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 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 September 30, 2021, the increase 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 correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 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 increase of 13.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 67.0% for the nine months ended September 30, 2020, was primarily due to a depreciationan appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

2022.

The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, 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 September 30, 2021.

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2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20212022 and 2020:

   
Nine Months Ended

September 30, 2021
   
Nine Months Ended

September 30, 2020
 
Net investment income (loss)
  $(3,019,972  $(1,057,822
Management fee
   2,154,874    1,584,861 
Brokerage commission
   365,013    311,826 
Net realized gain (loss)
   (304,349,667   249,771,936 
Change in net unrealized appreciation (depreciation)
   27,729,790    16,589,740 
Net Income (loss)
  $(279,639,849  $265,303,854 
2021:

   Nine Months Ended
September 30, 2022
   Nine Months Ended
September 30, 2021
 

Net investment income (loss)

  $(1,545,500  $(3,019,972

Management fee

   2,353,478    2,154,874 

Brokerage commission

   490,751    365,013 

Futures account fees

   371,384    591,272 

Non-recurring fees and expenses

   8,700    —   

Net realized gain (loss)

   31,935,690    (304,349,667

Change in net unrealized appreciation (depreciation)

   84,851,343    27,729,790 

Net Income (loss)

  $115,241,533   $(279,639,849

The Fund’s net income decreasedincreased for the nine months ended September 30, 20212022 as compared to the nine months ended September 30, 2020,2021, primarily due to a decreasean increase in the value of the futures prices during the nine months ended September 30, 2021.2022.

172


*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares VIX Short-Term Futures ETF.
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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 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 September 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 September 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (Cboe)

  Short  October 2022   3,083   $31.52    1,000   $(97,163,828

VIX Futures (Cboe)

  Short  November 2022   2,052    31.07    1,000    (63,759,128

Futures Positions as of September 30, 2021

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (Cboe)

  Short  October 2021   4,341   $22.87    1,000   $(99,269,120

VIX Futures (Cboe)

  Short  November 2021   4,001    23.69    1,000    (94,767,286
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Table of Contents
Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

The September 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 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.

173


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.

ProShares Ultra Bloomberg Crude Oil:

As of September 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 IndexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  December 2022   1,450   $78.72    1,000   $114,144,000 

WTI Crude Oil (NYMEX)

  Long  June 2023   1,535    73.00    1,000    112,055,000 

WTI Crude Oil (NYMEX)

  Long  December 2023   1,610    69.66    1,000    112,152,600 

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index
Close
   Notional Amount
at Value
 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Citibank, N.A.  Long  $77.9524   $175,709,387 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Goldman Sachs International  Long   77.9524    218,463,160 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Morgan Stanley & Co. International PLC  Long   77.9524    304,335,914 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Societe Generale  Long   77.9524    165,828,296 

Bloomberg Commodity Balanced WTI Crude Oil Index

  UBS AG  Long   77.9524    246,871,587 

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 

174


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 
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Table of Contents
Futures Positions as of September 30, 2020
                                                                                                                                                                  
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

at Value
 
                
Bloomberg Commodity Balanced WTI Crude Oil Subindex
  Societe Generale   Long   $35.2114   $30,255,607 

The September 30, 20212022 and 20202021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 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 September 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 September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

  Long  November 2022   8,556   $6.77    10,000   $578,898,960 

Futures Positions as of September 30, 2021

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
                                                                                                                                                            
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
                       
Natural Gas (NYMEX)
  Long  November 2020   7,854   $2.53    10,000   $198,470,580 

The September 30, 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.
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ProShares Ultra Euro:

As of September 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 September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 20212022

Reference

Currency

  

Counterparty

  Long or
Short
  Settlement
Date
   Local
Currency
  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International  Long   10/07/22    12,276,921   0.9964   $12,232,264 

Euro

  UBS AG  Long   10/07/22    17,572,502   0.9940    17,466,744 

Euro

  UBS AG  Short   10/07/22    (1,566,000  0.9801   $(1,534,866

175


                                                                                                                                                            
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
                                                                                                                                                            
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/09/20    3,440,921   1.1835   $4,072,330 
Euro
  UBS AG  Long   10/09/20    6,830,302   1.1845    8,090,716 
Euro
  UBS AG  Short   10/09/20    (2,760,000  1.1801    (3,257,049

Foreign Currency Forward Contracts as of September 30, 2021

 

 

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    3,319,492 

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

The September 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 September 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 September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

Gold Futures (COMEX)

  Long  December 2022   409   $1,672.00    100   $68,384,800 

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Gold Subindex

  Citibank, N.A.  Long  $180.7152   $100,068,860 

Bloomberg Gold Subindex

  Goldman Sachs International  Long   180.7152    47,529,603 

Bloomberg Gold Subindex

  UBS AG  Long   180.7152    104,098,025 

Futures Positions as of September 30, 2021

Contract

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

Gold Futures (COMEX)

  Long  December 2021   856   $1,757.00    100   $150,399,200 

Swap Agreements as of September 30, 2021

Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount

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

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Long  December 2020   1,114   $1,895.50    100   $211,158,700 
207

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

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

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 

The September 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 September 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

176


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. CounterpartySwap counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of September 30, 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 September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

Silver Futures (COMEX)

  Long  December 2022   2,163   $19.04    5,000   $205,906,785 

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Silver Subindex

  Citibank, N.A.  Long  $169.7456   $142,330,643 

Bloomberg Silver Subindex

  Goldman Sachs International  Long   169.7456    18,803,260 

Bloomberg Silver Subindex

  Morgan Stanley & Co. International PLC  Long   169.7456    156,302,767 

Bloomberg Silver Subindex

  UBS AG  Long   169.7456    124,719,934 

Futures Positions as of September 30, 2021

Contract

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

Silver Futures (COMEX)

  Long  December 2021   1,213   $22.05    5,000   $133,715,055 

Swap Agreements as of September 30, 2021

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
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Long  December 2020   3,288   $23.49    5,000   $386,241,359 
208

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

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

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 

The September 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 September 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. CounterpartySwap 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.

177


ProShares Ultra VIX Short-Term Futures ETF

As of September 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 September 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract

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

VIX Futures (Cboe)

  Long  October 2022   28,597   $31.52    1,000   $901,263,052 

VIX Futures (Cboe)

  Long  November 2022   19,065    31.07    1,000    592,381,961 

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
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2020   34,258   $30.38    1,000   $1,040,586,750 
VIX Futures (Cboe)
  Long  November 2020   26,919    32.88    1,000    884,962,125 
209

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

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

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 

The September 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 September 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 $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and

one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.

ProShares Ultra Yen:

As of September 30, 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 September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.

178


Foreign Currency Forward Contracts as of September 30, 2022

Reference

Currency

  

Counterparty

  Long or
Short
  Settlement
Date
   Local Currency  Forward
Rate
   Market Value
USD
 

Yen

  Goldman Sachs International  Long   10/07/22    1,186,245,517   0.006949   $8,243,617 

Yen

  UBS AG  Long   10/07/22    1,919,545,856   0.006945    13,331,165 

Yen

  Goldman Sachs International  Short   10/07/22    (33,368,000  0.006974   $(232,706

Yen

  UBS AG  Short   10/07/22    (133,030,000  0.006945    (923,831

Foreign Currency Forward Contracts as of September 30, 2021

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
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/09/20    332,532,517   0.009418   $3,131,929 
Yen
  UBS AG  Long   10/09/20    278,602,756   0.009425    2,625,726 
Yen
  UBS AG  Short   10/09/20    (2,680,000  0.009488    (25,429

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   $2,980,606 

Yen

  UBS AG  Long   10/08/21    253,562,756   0.009086    2,303,858 

Yen

  Goldman Sachs International  Short   10/08/21    (6,319,000  0.008956   $(56,591

Yen

  UBS AG  Short   10/08/21    (10,090,000  0.009078    (91,593

The September 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

Table of Contents
ProShares UltraShort Australian Dollar:
As of September 30, 2021 and 2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 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
 
Australian Dollar Fx Currency Futures (CME)
  Short  December 2021   136   $72.29    1,000   $(9,838,240
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)
  Short  December 2020   145   $71.63    1,000   $(10,386,350
The September 30, 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 $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, 20212022 and 2020,2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index

SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively.contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

WTI Crude Oil (NYMEX)

  Short  December 2022   3,174   $78.72    1,000   $(249,857,280

WTI Crude Oil (NYMEX)

  Short  June 2023   3,344    73.00    1,000    (244,112,000

WTI Crude Oil (NYMEX)

  Short  December 2023   3,500    69.66    1,000    (243,810,000

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

179


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

Table of Contents

The September 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. September 30, 20212022 and 20202021 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 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 September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

Natural Gas (NYMEX)

  Short  November 2022   7,167   $6.77    10,000   $(484,919,220

Futures Positions as of September 30, 2021

Contract

  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
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)
  Short  November 2020   3,715   $2.53    10,000   $(93,878,050

The September 30, 20212022 and 20202021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 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 September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.

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Table

Foreign Currency Forward Contracts as of Contents

September 30, 2022

Reference

Currency

  

Counterparty

  Long or
Short
  Settlement
Date
   Local Currency  Forward Rate   Market Value
USD
 

Euro

  UBS AG  Long   10/07/22    38,000,000   0.9876   $37,528,206 

Euro

  Goldman Sachs International  Short   10/07/22    (78,612,263  0.9970   $(78,374,875

Euro

  UBS AG  Short   10/07/22    (144,189,199  0.9931    (143,198,834

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
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   10/09/20    3,698,000   1.1727   $4,336,534 
Euro
  UBS AG  Long   10/09/20    6,700,000   1.1787    7,897,485 
Euro
  Goldman Sachs International  Short   10/09/20    (41,689,263  1.1835    (49,339,243
Euro
  UBS AG  Short   10/09/20    (85,627,199  1.1818    (101,193,803

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

The September 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.

ProShares UltraShort Gold:

As of September 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 September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

Gold Futures (COMEX)

  Short  December 2022   157   $1,672.00    100   $(26,250,400

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Gold Subindex

  Citibank, N.A.  Short  $180.7152   $(13,547,911

Bloomberg Gold Subindex

  Goldman Sachs International  Short   180.7152    (8,863,141

Bloomberg Gold Subindex

  UBS AG  Short   180.7152    (10,598,433

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

181


Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Short  December 2021   114   $1,757.00    100   $(20,029,800

Swap Agreements as of September 30, 2021

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Gold Subindex

  Citibank, N.A.  Short  $193.6583   $(14,518,233

Bloomberg Gold Subindex

  Goldman Sachs International  Short   193.6583    (9,497,933

Bloomberg Gold Subindex

  UBS AG  Short   193.6583    (11,357,509
Futures Positions as of September 30, 2020
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)
  Short  December 2020   111   $1,895.50    100   $(21,040,050
213

Table of Contents
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

The September 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 September 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. CounterpartySwap counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of September 30, 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 September 30, 20212022 and 2020,2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

Silver Futures (COMEX)

  Short  December 2022   506   $19.04    5,000   $(48,168,670

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Silver Subindex

  Citibank, N.A.  Short  $169.7456   $(2,288,972

Bloomberg Silver Subindex

  Goldman Sachs International  Short   169.7456    (8,338,415

Bloomberg Silver Subindex

  Morgan Stanley & Co. International PLC  Short   169.7456    (6,593,089

Bloomberg Silver Subindex

  UBS AG  Short   169.7456    (2,108,259

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

182


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
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)
  Short  December 2020   296   $23.49    5,000   $(34,771,120
214

Table of Contents
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

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

The September 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 September 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. CounterpartySwap counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of September 30, 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 September 30, 20212022 and 2020,2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2022

Reference

Currency

  

Counterparty

  Long or
Short
  Settlement
Date
   Local Currency  Forward Rate   Market Value
USD
 

Yen

  Goldman Sachs International  Long   10/07/22    513,732,000   0.007033   $3,613,292 

Yen

  UBS AG  Long   10/07/22    1,169,990,000   0.006995    8,183,497 

Yen

  Goldman Sachs International  Short   10/07/22    (4,358,922,165  0.006949   $(30,291,833

Yen

  UBS AG  Short   10/07/22    (12,349,528,574  0.006949    (85,811,526

Foreign Currency Forward Contracts as of September 30, 2021

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
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   10/09/20    23,643,000   0.009483   $224,207 
Yen
  UBS AG  Long   10/09/20    223,810,000   0.009506    2,127,624 
Yen
  Goldman Sachs International  Short   10/09/20    (2,032,728,165  0.009418    (19,145,073
Yen
  UBS AG  Short   10/09/20    (3,439,162,875  0.009426    (32,416,476

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

The September 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.

183


215

Table of Contents

ProShares VIX

Mid-Term
Futures ETF

As of September 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 September 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract

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

VIX Futures (Cboe)

  Long  January 2023   728   $30.70    1,000   $22,351,129 

VIX Futures (Cboe)

  Long  February 2023   1,214    30.31    1,000    36,796,340 

VIX Futures (Cboe)

  Long  March 2023   1,214    30.18    1,000    36,638,520 

VIX Futures (Cboe)

  Long  April 2023   486    30.25    1,000    14,700,868 

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  January 2022   872   $24.80    1,000   $21,626,210 
VIX Futures (Cboe)
  Long  February 2022   1,677    25.23    1,000    42,304,841 
VIX Futures (Cboe)
  Long  March 2022   1,677    25.66    1,000    43,023,603 
VIX Futures (Cboe)
  Long  April 2022   804    25.83    1,000    20,765,953 
Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Contract

  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 

VIX Futures (Cboe)

  Long  February 2022   1,677    25.23    1,000    42,304,841 

VIX Futures (Cboe)

  Long  March 2022   1,677    25.66    1,000    43,023,603 

VIX Futures (Cboe)

  Long  April 2022   804    25.83    1,000    20,765,953 

The September 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 September 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 September 30, 20212022 and 2020,2021, which were sensitive to equity market volatility risk.

184


216

Table

Futures Positions as of Contents

September 30, 2022

Contract

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

VIX Futures (Cboe)

  Long  October 2022   8,381   $31.52    1,000   $264,135,596 

VIX Futures (Cboe)

  Long  November 2022   5,587    31.07    1,000    173,597,588 

Futures Positions as of September 30, 2021

Contract

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

VIX Futures (Cboe)

  Long  October 2021   8,245   $22.87    1,000   $188,545,011 

VIX Futures (Cboe)

  Long  November 2021   7,617    23.69    1,000    180,415,500 
Futures Positions as of September 30, 2020
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)
  Long  October 2020   4,979   $30.38    1,000   $151,237,125 
VIX Futures (Cboe)
  Long  November 2020   3,912    32.88    1,000    128,607,000 

The September 30, 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.

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Qualitative Disclosure

As described in Item 7 in the Annual Report on Form

10-K,
it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative
one-half,
one, one and
one-half,
two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its

sub-indexes
are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.

As described in Item 7 in the Annual Report on Form

10-K,
trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form

10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a

(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).

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Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form

10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a

(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form

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

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective

(-0.5x,
-1x,
-2x,
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

187


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.

219

Table of Contents

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 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.

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Table of Contents

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.
The Sponsor and

Item 1.

Legal Proceedings.

As of September 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.
Item 1A. Risk Factors.
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.

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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.

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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.

b)

Not applicable.

c)

The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended September 30, 2022:

Title of Securities Registered*

  

 

  Total Number of
Shares Redeemed
   Average Price
Per Share
 

ProShares Short VIX Short-Term Futures ETF

      

Common Units of Beneficial Interest

  07/01/22 to 07/31/22   850,000   $50.40 
  08/01/22 to 08/31/22   950,000   $53.82 
  09/01/22 to 09/30/22   400,000   $53.05 

ProShares Ultra Bloomberg Crude Oil

      

Common Units of Beneficial Interest

  07/01/22 to 07/31/22   3,750,000   $37.59 
  08/01/22 to 08/31/22   2,450,000   $37.02 
  09/01/22 to 09/30/22   2,050,000   $31.72 

ProShares Ultra Bloomberg Natural Gas

      

Common Units of Beneficial Interest

  07/01/22 to 07/31/22   3,050,000   $67.58 
  08/01/22 to 08/31/22   1,900,000   $98.18 
  09/01/22 to 09/30/22   350,000   $78.79 

ProShares Ultra Euro

      

Common Units of Beneficial Interest

  07/01/22 to 07/31/22   —     $—   
  08/01/22 to 08/31/22   50,000   $10.22 
  09/01/22 to 09/30/22   50,000   $9.91 

ProShares Ultra Gold

      

Common Units of Beneficial Interest

  07/01/22 to 07/31/22   300,000   $51.50 
  08/01/22 to 08/31/22   250,000   $51.79 
  09/01/22 to 09/30/22   350,000   $47.67 

191


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

ProShares Ultra Silver

                                                  

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   —     $—   
 08/01/22 to 08/31/22   500,000   $22.97 
 09/01/22 to 09/30/22   750,000   $22.11 

ProShares Ultra VIX Short-Term Futures ETF

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   3,800,000   $13.70 
 08/01/22 to 08/31/22   27,450,000   $10.33 
 09/01/22 to 09/30/22   52,050,000   $11.22 

ProShares Ultra Yen

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   —     $—   
 08/01/22 to 08/31/22   —     $—   
 09/01/22 to 09/30/22   50,000   $29.75 

ProShares UltraShort Bloomberg Crude Oil

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   4,200,000   $25.49 
 08/01/22 to 08/31/22   7,550,000   $24.47 
 09/01/22 to 09/30/22   8,900,000   $27.61 

ProShares UltraShort Bloomberg Natural Gas

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   3,400,000   $21.98 
 08/01/22 to 08/31/22   17,900,000   $14.14 
 09/01/22 to 09/30/22   28,600,000   $15.02 

ProShares UltraShort Euro

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   —     $—   
 08/01/22 to 08/31/22   150,000   $32.87 
 09/01/22 to 09/30/22   400,000   $34.53 

ProShares UltraShort Gold

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   300,000   $34.13 
 08/01/22 to 08/31/22   —     $—   
 09/01/22 to 09/30/22   350,000   $37.44 

ProShares UltraShort Silver

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   400,000   $36.78 
 08/01/22 to 08/31/22   300,000   $31.03 
 09/01/22 to 09/30/22   350,000   $34.90 

ProShares UltraShort Yen

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   —     $—   
 08/01/22 to 08/31/22   250,000   $57.10 
 09/01/22 to 09/30/22   —     $—   

ProShares VIX Mid-Term Futures ETF

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   325,000   $34.95 
 08/01/22 to 08/31/22   —     $—   
 09/01/22 to 09/30/22   125,000   $34.37 

ProShares VIX Short-Term Futures ETF

     

Common Units of Beneficial Interest

 07/01/22 to 07/31/22   1,150,000   $17.47 
 08/01/22 to 08/31/22   2,300,000   $14.63 
 09/01/22 to 09/30/22   7,500,000   $15.48 

*

The registration statement covers an indeterminate amount of securities to be offered or sold.

192


a)
Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

Mine Safety Disclosures.

Not applicable.

Item 5.

Other Information.

None.

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Table of Contents
Title of Securities
Registered
  
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
ProShares Short Euro
          
Common Units of Beneficial Interest
  $35,191,282    —     $—      —     $—   
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 
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 
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 
ProShares Ultra Euro
          
Common Units of Beneficial Interest
  $12,965,765    —     $—      100,000   $1,488,793 
ProShares Ultra Gold
          
Common Units of Beneficial Interest
  $437,056,102    250,000   $14,836,141    1,250,000   $75,112,671 
ProShares Ultra Silver
          
Common Units of Beneficial Interest
  $382,208,757    1,050,000   $38,538,861    4,450,000   $205,312,655 
ProShares Ultra VIX Short-Term Futures ETF
          
Common Units of Beneficial Interest
  $6,664,421,573    37,800,000   $923,628,398    70,385,000   $3,297,406,475 
ProShares Ultra Yen
          
Common Units of Beneficial Interest
  $21,407,176    —     $—      —     $—   
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 
ProShares UltraShort Bloomberg Natural Gas
          
Common Units of Beneficial Interest
  $1,546,810,909    20,500,000   $210,189,776    28,050,000   $446,153,207 
ProShares UltraShort Euro
          
Common Units of Beneficial Interest
  $115,002,443    100,000   $2,387,142    300,000   $7,000,386 
ProShares UltraShort Gold
          
Common Units of Beneficial Interest
  $75,106,370    650,000   $21,916,482    1,700,000   $59,279,388 
224

Table of Contents
Title of Securities
Registered
  
Amount Registered as of
September 30, 2021
   
Shares Sold For the
Three Months Ended
September 30, 2021
   
Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2021
   
Shares Sold For the
Nine Months Ended
September 30, 2021
   
Sale Price of Shares Sold
For the Nine Months
Ended September 30,
2021
 
ProShares UltraShort Silver
          
Common Units of Beneficial Interest
  $316,715,689    1,000,000   $26,169,229    3,750,000   $91,351,542 
ProShares UltraShort Yen
          
Common Units of Beneficial Interest
  $114,882,391    —     $—      100,000   $7,132,412 
ProShares VIX
Mid-Term
Futures ETF
          
Common Units of Beneficial Interest
  $269,455,873    1,200,000   $37,425,551    2,625,000   $87,035,790 
ProShares VIX Short-Term Futures ETF
          
Common Units of Beneficial Interest
  $1,884,359,393    6,300,000   $142,476,815    16,556,250   $593,853,539 
  
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust:
  
$
15,697,588,553
 
  
 
74,900,000
 
  
$
1,649,296,999
 
  
 
149,503,750
 
  
$
5,597,393,110
 
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
None.
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Table of Contents
Item 6. Exhibits.
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 - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1tags are embedded within the inline XBRL document.

(1)

Filed herewith.

*

These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.

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Table of Contents

Signatures

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

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson
Principal Executive Officer
Date: November 5, 20218, 2022

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 5, 20218, 2022

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