0001415311 ck0001415311:ProsharesUltraYenMember us-gaap:USGovernmentAgenciesShorttermDebtSecuritiesMember ck0001415311:UnitedStatesTreasuryBillsZeroPointOneThreeFivePercentageDueAprilTwentyOneTwoThousandAndTwentyTwoMember ck0001415311:ProsharesUltraShortSilverMember 2022-01-01 2022-03-312023-01-01 2023-03-31
Table of Contents

 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
FORM
10-Q
 
 
 
☒
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
for the quarterly period ended March 31, 2022.2023.
or
 
☐
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
for the transition period from
                    
to
                    
.
Commission file number:
001-34200
 
 
PROSHARES TRUST II
(Exact name of registrant as specified in its charter)
 
 
 
Delaware
 
87-6284802
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
c/o ProShare Capital Management LLC
7272 Wisconsin 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 May 2, 2022,3, 2023, the registrant had
222,523,625 631,519,037 shares of common stock, $0 par value per share, outstanding.
 
 

PROSHARES TRUST II

Table of Contents

PROSHARES TRUST II
Table of Contents

   
Page
 

Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.

   F-1 

Item 1. Financial Statements

3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsOperations.

   1321 

Item 3. Quantitative and Qualitative Disclosures About Market RiskRisk.

   16925 

Item 4. Controls and ProceduresProcedures.

   18339 

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

   40 

Item 1. Legal Proceedings1A. Risk Factors.

   18540 

Item 1A. Risk Factors

185
Item 2. Unregistered Sales of Equity Securities and Use of ProceedsProceeds.

   18742 

Item 3. Defaults Upon Senior SecuritiesSecurities.

   18844 

Item 4. Mine Safety DisclosuresDisclosures.

   18844 

Item 5. Other InformationInformation.

   18944 

Item 6. ExhibitsExhibits.

   19045 

Table of Contents
Part I.    FINANCIAL INFORMATION
 
Item 1.
Financial Statements.
Index
 
Index
Documents
  
Page
 
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes
in Shareholders’ Equity, and Statements of Cash Flows:
  
ProShares Short Euro
4
ProShares Short VIX Short-Term Futures ETF
   9F-2 
ProShares Ultra Bloomberg Crude Oil
   14F-7 
ProShares Ultra Bloomberg Natural Gas
   20F-12 
ProShares Ultra Euro
   25F-17 
ProShares Ultra Gold
   30F-22 
ProShares Ultra Silver
   35F-27 
ProShares Ultra VIX Short-Term Futures ETF
   40F-32 
ProShares Ultra Yen
   45F-37 
ProShares UltraShort Australian DollarBloomberg Crude Oil
   50F-42 
ProShares UltraShort Bloomberg Crude OilNatural Gas
   55F-47 
ProShares UltraShort Bloomberg Natural GasEuro
   60F-52 
ProShares UltraShort EuroGold
   65F-57 
ProShares UltraShort GoldSilver
   70F-62 
ProShares UltraShort SilverYen
   75F-67 
ProShares UltraShort Yen
80
ProShares VIX Mid-Term Futures ETF
   85F-72 
ProShares VIX Short-Term Futures ETF
   90F-77 
ProShares Trust II
   95F-85 
Notes to Financial Statements
   99F-86 
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Cash  $4,500,918   $2,219,932 
Segregated cash balances with brokers for futures contracts   87,120    38,720 
Receivable on open futures contracts   38,569    —   
Interest receivable   —      93 
           
Total assets   4,626,607    2,258,745 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   —      11,500 
Payable to Sponsor   3,207    1,824 
           
Total liabilities   3,207    13,324 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   4,623,400    2,245,421 
           
Total liabilities and shareholders’ equity  $4,626,607   $2,258,745 
           
Shares outstanding   100,000    50,000 
           
Net asset value per share  $46.23   $44.91 
           
Market value per share (Note 2)  $46.18   $44.92 
           
See accompanying notes to financial statements.
 
4
Table of Contents
PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires June 2022   33   $4,578,338   $2,656 
See accompanying notes to financial statements.
5
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

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

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $2,245,421  $4,191,955 
          
Addition of 50,000 and – shares, respectively   2,312,961   —   
Redemption of – and 50,000 shares, respectively   —     (2,146,812) 
          
Net addition (redemption) of 50,000 and (50,000) shares, respectively   2,312,961   (2,146,812) 
          
Net investment income (loss)   (6,909)   (8,638) 
Net realized gain (loss)   63,871   69,393 
Change in net unrealized appreciation (depreciation)   8,056   78,642 
          
Net income (loss)   65,018   139,397 
          
Shareholders’ equity, end of period
  $4,623,400  $2,184,540 
          
See accompanying notes to financial statements.
7
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $65,018  $139,397 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   —     (1,999,562) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   4,452   1,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   0     (323) 
Net realized (gain) loss on investments   (4,452)   —   
Change in unrealized (appreciation) depreciation on investments   —     (88) 
Decrease (Increase) in receivable on open futures contracts   (38,569)   21,094 
Decrease (Increase) in interest receivable   93   108 
Increase (Decrease) in payable to Sponsor   1,383   (820) 
Increase (Decrease) in payable on open futures contracts   (11,500)   1,125 
          
Net cash provided by (used in) operating activities   16,425   (839,069) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   2,312,961   —   
Payment on shares redeemed   —     (2,146,812) 
          
Net cash provided by (used in) financing activities   2,312,961   (2,146,812) 
          
Net increase (decrease) in cash
   2,329,386   (2,985,881) 
Cash, beginning of period   2,258,652   4,174,091 
          
Cash, end of period  $4,588,038  $1,188,210 
          
See accompanying notes to financial statements.
8F-1
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $180,804,059 and $147,851,244, respectively)  $180,357,257   $147,815,719 
Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $144,283,581, respectively)  $94,860,624   $144,307,676 
Cash   65,794,655    44,359,519    71,307,875    6,852,395 
Segregated cash balances with brokers for futures contracts   165,590,124    138,651,465    94,991,815    127,094,546 
Receivable on open futures contracts   96,824,449    99,544,338    43,457,674    67,086,947 
Interest receivable   —      2,868    472,061    475,930 
                
Total assets   508,566,485    430,373,909    305,090,049    345,817,494 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   —      6,125,130    9,552,818    5,861,814 
Payable on open futures contracts   12,542,043    —   
Brokerage commissions and futures account fees payable   70,274    104,312    5,185    21,576 
Payable to Sponsor   365,319    331,873    191,653    342,466 
                
Total liabilities   12,977,636    6,561,315    9,749,656    6,225,856 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   495,588,849    423,812,594    295,340,393    339,591,638 
                
Total liabilities and shareholders’ equity  $508,566,485   $430,373,909   $305,090,049   $345,817,494 
                
Shares outstanding   9,084,307    6,884,307    4,634,307    5,784,307 
                
Net asset value per share  $54.55   $61.56   $63.73   $58.71 
                
Market value per share (Note 2)  $54.56   $61.55   $63.75   $58.68 
                
See accompanying notes to financial statements.
 
9F-2
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(36% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.021% due 04/21/22  $25,000,000   $24,997,917 
0.393% due 07/21/22   79,000,000    78,828,270 
0.223% due 11/03/22   77,000,000    76,531,070 
          ��
Total short-term U.S. government and agency obligations
(cost $180,804,059)		       $180,357,257 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(32% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.401% due 04/04/23  $25,000,000   $24,996,803 
3.874% due 04/11/23   25,000,000    24,973,528 
4.156% due 04/18/23   20,000,000    19,960,876 
4.205% due 04/25/23   25,000,000    24,929,417 
           
Total short-term U.S. government and agency obligations          
(cost $94,860,159)       $94,860,624 
           
Futures Contracts Sold
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2022   4,910   $115,232,790   $31,922,101 
VIX Futures - Cboe, expires May 2022   5,324    133,034,515    4,062,361 
                
             $35,984,462 
                
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures – Cboe, expires April 2023   4,007   $83,202,149   $11,676,653 
VIX Futures – Cboe, expires May 2023   2,915    64,504,578    2,594,535 
                
             $14,271,188 
                
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
10F-3
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
        
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $94,343  $33,890   $2,109,122  $94,343 
              
Expenses
      
Management fee   986,537   1,042,569    565,777   986,537 
Brokerage commissions   187,698   175,910    126,503   187,698 
Futures accounts fees   217,030   257,777    —     217,030 
              
Total expenses   1,391,265   1,476,256    692,280   1,391,265 
              
Net investment income (loss)   (1,296,922)   (1,442,366)    1,416,842   (1,296,922) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   (41,100,614)   24,209,417    29,604,148   (41,100,614) 
Short-term U.S. government and agency obligations   (10,494)   0      —     (10,494) 
              
Net realized gain (loss)   (41,111,108)   24,209,417    29,604,148   (41,111,108) 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   4,709,184   42,121,892    3,178,807   4,709,184 
Short-term U.S. government and agency obligations   (411,277)   3,226    (23,630)   (411,277) 
              
Change in net unrealized appreciation (depreciation)   4,297,907   42,125,118    3,155,177   4,297,907 
              
Net realized and unrealized gain (loss)   (36,813,201)   66,334,535    32,759,325   (36,813,201) 
              
Net income (loss)
  $(38,110,123)  $64,892,169   $34,176,167  $(38,110,123) 
              
See accompanying notes to financial statements.
 
11F-4
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $423,812,594  $409,371,468   $339,591,638  $423,812,594 
              
Addition of 3,000,000 and 2,400,000 shares, respectively   156,515,471   98,109,468 
Redemption of 800,000 and 1,100,000 shares, respectively   (46,629,093)   (45,242,254) 
Addition of 2,450,000 and 3,000,000 shares, respectively   147,299,334   156,515,471 
Redemption of 3,600,000 and 800,000 shares, respectively   (225,726,746)   (46,629,093) 
              
Net addition (redemption) of 2,200,000 and 1,300,000 shares, respectively   109,886,378   52,867,214 
Net addition (redemption) of (1,150,000) and 2,200,000 shares, respectively   (78,427,412)   109,886,378 
              
Net investment income (loss)   (1,296,922)   (1,442,366)    1,416,842   (1,296,922) 
Net realized gain (loss)   (41,111,108)   24,209,417    29,604,148   (41,111,108) 
Change in net unrealized appreciation (depreciation)   4,297,907   42,125,118    3,155,177   4,297,907 
              
Net income (loss)   (38,110,123)   64,892,169    34,176,167   (38,110,123) 
              
Shareholders’ equity, end of period
  $495,588,849  $527,130,851   $295,340,393  $495,588,849 
              
See accompanying notes to financial statements.
 
12F-5
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $(38,110,123)  $64,892,169   $34,176,167  $(38,110,123) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (184,846,445)   (166,972,737)    (99,763,542)   (184,846,445) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   151,980,347   145,000,000    150,000,000   151,980,347 
Net amortization and accretion on short-term U.S. government and agency obligations   (97,211)   (22,858)    (813,036)   (97,211) 
Net realized (gain) loss on investments   10,494   0      —     10,494 
Change in unrealized (appreciation) depreciation on investments   411,277   (3,226)    23,630   411,277 
Decrease (Increase) in receivable on open futures contracts   2,719,889   (10,518,387)    23,629,273   2,719,889 
Decrease (Increase) in interest receivable   2,868   (625)    3,869   2,868 
Increase (Decrease) in payable to Sponsor   33,446   58,097    (150,813)   33,446 
Increase (Decrease) in brokerage commissions and futures account fees payable   (34,038)   7,205    (16,391)   (34,038) 
Increase (Decrease) in payable on open futures contracts   12,542,043   (996,159)    —     12,542,043 
              
Net cash provided by (used in) operating activities   (55,387,453)   31,443,479    107,089,157   (55,387,453) 
              
Cash flow from financing activities
      
Proceeds from addition of shares   156,515,471   98,109,468    147,299,334   156,515,471 
Payment on shares redeemed   (52,754,223)   (45,242,254)    (222,035,742)   (52,754,223) 
              
Net cash provided by (used in) financing activities   103,761,248   52,867,214    (74,736,408)   103,761,248 
              
Net increase (decrease) in cash
   48,373,795   84,310,693    32,352,749   48,373,795 
Cash, beginning of period   183,010,984   266,579,220    133,946,941   183,010,984 
              
Cash, end of period  $231,384,779  $350,889,913   $166,299,690  $231,384,779 
              
See accompanying notes to financial statements.
 
13F-6
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
  
   
  
March 31, 2022

(unaudited)
   
December 31,
2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $1,016,679,454 and $848,800,309, respectively)  $1,016,050,654   $848,757,567 
Short-term U.S. government and agency obligations (Note 3) (cost $199,701,287 and $313,413,683, respectively)  $199,701,685   $313,465,007 
Cash   122,491,540    86,582,912    340,933,444    224,296,858 
Segregated cash balances with brokers for futures contracts   198,872,883    130,704,477    65,465,226    76,813,658 
Segregated cash balances with brokers for swap agreements   181,812,000    —      306,075,745    175,489,745 
Unrealized appreciation on swap agreements   —      63,928,293    —      74,159,577 
Receivable on open futures contracts   187,616    —      14,241,357    8,466,027 
Interest receivable   1    3,523    806,649    618,549 
                
Total assets   1,519,414,694    1,129,976,772    927,224,106    873,309,421 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   15,183,510    —      47,715,339    13,545,014 
Payable on open futures contracts   37,639,347    25,317,560 
Brokerage commissions and futures account fees payable   99,348    24,677    6,487    7,154 
Payable to Sponsor   1,226,530    850,965    631,438    662,979 
Unrealized depreciation on swap agreements   128,285,274    —      67,202,386    —   
                
Total liabilities   182,434,009    26,193,202    115,555,650    14,215,147 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   1,336,980,685    1,103,783,570    811,668,456    859,094,274 
                
Total liabilities and shareholders’ equity  $1,519,414,694   $1,129,976,772   $927,224,106   $873,309,421 
                
Shares outstanding   8,810,774    12,810,774 
Shares outstanding (Note 1)   30,593,096    28,393,096 
                
Net asset value per share  $151.74   $86.16 
Net asset value per share (Note 1)  $26.53   $30.26 
                
Market value per share (Note 2)  $153.30   $86.78 
Market value per share (Note 1) (Note 2)  $26.47   $30.31 
                
See accompanying notes to financial statements.
 
14F-7
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(
76
% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.076
% due
04/21/22
†
  $285,000,000   $284,976,259 
0.232
% due
05/19/22
†
   175,000,000    174,939,328 
0.321
% due
06/16/22
†
   180,000,000    179,834,706 
0.393
% due
07/21/22
†
   47,000,000    46,897,831 
0.706
% due
08/18/22
†
   150,000,000    149,504,820 
0.637
% due
11/03/22
†
   181,000,000    179,897,710 
           
Total short-term U.S. government and agency obligations
(cost $
1,016,679,454
)
       $1,016,050,654 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(25% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.401% due 04/04/23
†
  $50,000,000   $49,993,605 
3.874% due 04/11/23   50,000,000    49,947,055 
4.156% due 04/18/23
†
   50,000,000    49,902,190 
4.205% due 04/25/23
†
   50,000,000    49,858,835 
           
Total short-term U.S. government and agency obligations          
(cost $199,701,287)       $199,701,685 
           
Futures Contracts Purchased
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires June 2022   4,115   $405,409,800   $144,895,562 
WTI Crude Oil - NYMEX, expires December 2022   4,724    423,270,400    91,533,153 
WTI Crude Oil - NYMEX, expires June 2023   5,012    424,065,320    9,162,448 
                
             $245,591,163 
                
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil – NYMEX, expires June 2023   2,112   $160,089,600   $12,570,821 
WTI Crude Oil – NYMEX, expires December 2023   2,182    160,486,100    10,055,416 
WTI Crude Oil – NYMEX, expires June 2024   2,261    161,051,030    6,867,926 
                
             $29,494,163 
                
Total Return Swap Agreements
^
 
        
  
Rate Paid

(Received)
*
 
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
   
Rate Paid
(Received)
*
 
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35%   04/06/22   $202,256,578   $(18,119,250)    0.35%   04/06/23   $180,552,235   $(10,629,759) 
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35   04/06/22    394,073,711    (36,248,743)    0.35   04/06/23    224,484,374    (13,216,202) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.35   04/06/22    350,316,746    (31,383,289)    0.35   04/06/23    312,723,926    (18,411,182) 
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.25   04/06/22    190,882,596    (17,086,634)    0.25   04/06/23    170,398,805    (10,019,635) 
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index   0.30   04/06/22    284,170,376    (25,447,358)    0.30   04/06/23    253,675,785    (14,925,608) 
                    
      
Total Unrealized
Depreciation		 
 		  $(128,285,274)       Total Unrealized
Depreciation
 		  $(67,202,386) 
                    
 
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of March 31, 2022.2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
15
Table of Contents
*Reflects the floating financing rate, as of March 31, 2022,2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
16F-8
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
  
      
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $308,880  $168,075   $6,007,908  $308,880 
              
Expenses
      
Management fee   3,084,812   2,535,085    1,874,618   3,084,812 
Brokerage commissions   195,541   293,200    94,344   195,541 
Futures accounts fees   252,687   98,937    —     252,687 
              
Total expenses   3,533,040   2,927,222    1,968,962   3,533,040 
              
Net investment income (loss)   (3,224,160)   (2,759,147)    4,038,946   (3,224,160) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   266,409,832   191,676,501    10,834,024   266,409,832 
Swap agreements   533,013,238   142,674,727    74,946,403   533,013,238 
Short-term U.S. government and agency obligations   (3,136)   —      —     (3,136) 
              
Net realized gain (loss)   799,419,934   334,351,228    85,780,427   799,419,934 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   98,135,638   93,984,872    3,202,447   98,135,638 
Swap agreements   (192,213,567)   (58,990,789)    (141,361,963)   (192,213,567) 
Short-term U.S. government and agency obligations   (586,058)   41,573    (50,926)   (586,058) 
              
Change in net unrealized appreciation (depreciation)   (94,663,987)   35,035,656    (138,210,442)   (94,663,987) 
              
Net realized and unrealized gain (loss)   704,755,947   369,386,884    (52,430,015)   704,755,947 
              
Net income (loss)
  $701,531,787  $366,627,737   $(48,391,069)  $701,531,787 
              
See accompanying notes to financial statements.
 
17F-9
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $1,103,783,570  $902,739,250   $859,094,274  $1,103,783,570 
              
Addition of 2,150,000 and 2,350,000 shares, respectively   330,317,033   117,044,190 
Redemption of 6,150,000 and 6,450,000 shares, respectively   (798,651,705)   (297,832,084) 
Addition of 19,100,000 and 8,600,000 shares, respectively (Note 1)   459,350,575   330,317,033 
Redemption of 16,900,000 and 24,600,000 shares, respectively (Note 1)   (458,385,324)   (798,651,705) 
              
Net addition (redemption) of (4,000,000) and (4,100,000) shares, respectively   (468,334,672)   (180,787,894) 
Net addition (redemption) of 2,200,000 and (16,000,000) shares, respectively (Note 1)   965,251   (468,334,672) 
              
Net investment income (loss)   (3,224,160)   (2,759,147)    4,038,946   (3,224,160) 
Net realized gain (loss)   799,419,934   334,351,228    85,780,427   799,419,934 
Change in net unrealized appreciation (depreciation)   (94,663,987)   35,035,656    (138,210,442)   (94,663,987) 
              
Net income (loss)   701,531,787   366,627,737    (48,391,069)   701,531,787 
              
Shareholders’ equity, end of period
  $1,336,980,685  $1,088,579,093   $811,668,456  $1,336,980,685 
              
See accompanying notes to financial statements.
 
18F-10
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $701,531,787  $366,627,737   $(48,391,069)  $701,531,787 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (1,394,562,680)   (934,851,425)    (7,526,215,542)   (1,394,562,680) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,226,992,801   465,000,000    7,644,000,000   1,226,992,801 
Net amortization and accretion on short-term U.S. government and agency obligations   (312,402)   (85,197)    (4,072,062)   (312,402) 
Net realized (gain) loss on investments   3,136   0      —     3,136 
Change in unrealized (appreciation) depreciation on investments   192,799,625   58,949,216    141,412,889   192,799,625 
Decrease (Increase) in receivable on open futures contracts   (187,616)  1,611,608    (5,775,330)   (187,616) 
Decrease (Increase) in interest receivable   3,522   (122,413)    (188,100)   3,522 
Increase (Decrease) in payable to Sponsor   375,565   260,388    (31,541)   375,565 
Increase (Decrease) in brokerage commissions and futures account fees payable   74,671   1,352    (667)   74,671 
Increase (Decrease) in payable on open futures contracts   12,321,787   25,300,245    —     12,321,787 
              
Net cash provided by (used in) operating activities   739,040,196   (17,308,489)    200,738,578   739,040,196 
              
Cash flow from financing activities
      
Proceeds from addition of shares   330,317,033   117,044,190    459,350,575   330,317,033 
Payment on shares redeemed   (783,468,195)   (301,460,018)    (424,214,999)   (783,468,195) 
              
Net cash provided by (used in) financing activities   (453,151,162)   (184,415,828)    35,135,576   (453,151,162) 
              
Net increase (decrease) in cash
   285,889,034   (201,724,317)    235,874,154   285,889,034 
Cash, beginning of period   217,287,389   667,259,596    476,600,261   217,287,389 
              
Cash, end of period  $503,176,423  $465,535,279   $712,474,415  $503,176,423 
              
See accompanying notes to financial statements.
 
19F-11
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31,
2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $95,926,918 and $90,936,719, respectively)  $95,749,617   $90,922,438 
Short-term U.S. government and agency obligations (Note 3) (cost $299,678,924 and $263,209,299, respectively)  $299,709,730   $263,260,158 
Cash   20,472,226    6,846,634    132,433,633    13,689,494 
Segregated cash balances with brokers for futures contracts   24,424,860    47,289,091    531,082,000    163,045,170 
Receivable from capital shares sold   —      20,448,741    9,220,442    —   
Receivable on open futures contracts   13,001,650    33,998,620    231,758,209    149,650,221 
Interest receivable   —      1,130    1,903,275    653,922 
                
Total assets   153,648,353    199,506,654    1,206,107,289    590,298,965 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   8,420,202    —      26,001,646    1,826,653 
Payable on open futures contracts   —      5,403,658    —      1,835,443 
Brokerage commissions and futures account fees payable   23,412    63,628    73,674    35,242 
Payable to Sponsor   135,253    147,190    959,877    450,514 
Unrealized depreciation on swap agreements   39,088,319    —   
                
Total liabilities   8,578,867    5,614,476    66,123,516    4,147,852 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   145,069,486    193,892,178    1,139,983,773    586,151,113 
                
Total liabilities and shareholders’ equity  $153,648,353   $199,506,654   $1,206,107,289   $590,298,965 
                
Shares outstanding   2,587,527    7,587,527    309,087,527    32,287,527 
                
Net asset value per share  $56.06   $25.55   $3.69   $18.15 
                
Market value per share (Note 2)  $56.31   $26.09   $3.61   $17.78 
                
See accompanying notes to financial statements.
 
20F-12
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(66% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.106% due 04/21/22  $40,000,000   $39,996,668 
0.393% due 07/21/22   24,000,000    23,947,829 
0.223% due 11/03/22   32,000,000    31,805,120 
           
Total short-term U.S. government and agency obligations
(cost $95,926,918)		       $95,749,617 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(26% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.283% due 04/04/23
†
  $125,000,000   $124,984,013 
4.329% due 04/11/23
†
   100,000,000    99,894,110 
4.156% due 04/18/23
†
   50,000,000    49,902,190 
4.205% due 04/25/23
†
   25,000,000    24,929,417 
           
Total short-term U.S. government and agency obligations          
(cost $299,678,924)       $299,709,730 
           
Futures Contracts Purchased
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2022   5,149   $290,506,580   $76,824,603 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
21
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

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

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

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

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $4,690,961 and $998,130, respectively)  $4,685,054   $997,678 
Cash   1,608,252    6,891,458 
Segregated cash balances with brokers for foreign currency forward contracts   —      691,000 
Unrealized appreciation on foreign currency forward contracts   —      84,150 
Interest receivable   —      153 
           
Total assets   6,293,306    8,664,439 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   6,006    3,846 
Unrealized depreciation on foreign currency forward contracts   50,318    1,498 
           
Total liabilities   56,324    5,344 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   6,236,982    8,659,095 
           
Total liabilities and shareholders’ equity  $6,293,306   $8,664,439 
           
Shares outstanding   500,000    650,000 
           
Net asset value per share  $12.47   $13.32 
           
Market value per share (Note 2)  $12.46   $13.33 
           
See accompanying notes to financial statements.
25
Table of Contents
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(75% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.393% due 07/21/22  $4,000,000   $3,991,305 
0.554% due 11/03/22
†
   698,000    693,749 
           
Total short-term U.S. government and agency obligations
(cost $4,690,961)		       $4,685,054 
           
Foreign Currency Forward Contracts
^
                 
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                  
Euro with Goldman Sachs International   04/08/22    4,422,921  $4,893,608  $(7,961) 
Euro with UBS AG   04/08/22    11,991,502   13,267,638   (31,928) 
                   
             Total Unrealized
Depreciation		 
 		 $(39,889) 
                   
Contracts to Sell
                  
Euro with UBS AG   04/08/22    (5,127,000)  $(5,672,615)  $(10,429) 
                   
             Total Unrealized
Depreciation
   $(10,429) 
                   
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
26
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

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

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

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

(unaudited)
   
December 31,
2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $298,652,557 and $207,964,168, respectively)  $298,473,849   $207,956,320 
Cash   37,818,466    9,328,332 
Segregated cash balances with brokers for futures contracts   13,525,200    6,093,750 
Segregated cash balances with brokers for swap agreements   11,048,000    —   
Unrealized appreciation on swap agreements   —      8,639,188 
Receivable on open futures contracts   2,562,814    944,644 
Interest receivable   —      690 
           
Total assets   363,428,329    232,962,924 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Brokerage commissions and futures account fees payable   10,530    4,034 
Payable to Sponsor   277,421    178,356 
Unrealized depreciation on swap agreements   8,110,556    —   
           
Total liabilities   8,398,507    182,390 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   355,029,822    232,780,534 
           
Total liabilities and shareholders’ equity  $363,428,329   $232,962,924 
           
Shares outstanding   5,300,000    3,900,000 
           
Net asset value per share  $66.99   $59.69 
           
Market value per share (Note 2)  $66.14   $59.81 
           
See accompanying notes to financial statements.
30
Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(84% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.021% due 04/21/22  $50,000,000   $49,995,835 
0.209% due 05/19/22
†
   25,000,000    24,991,332 
0.363% due 06/16/22
†
   90,000,000    89,917,353 
0.393% due 07/21/22
†
   45,000,000    44,902,179 
0.706% due 08/18/22
†
   75,000,000    74,752,410 
0.223% due 11/03/22
†
   14,000,000    13,914,740 
           
Total short-term U.S. government and agency obligations
(cost $298,652,557)		       $298,473,849 
           
Futures Contracts Purchased
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires June 2022   1,871   $365,593,400   $(7,245,013) 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas – NYMEX, expires May 2023   95,284   $2,111,493,440   $(324,515,287) 
Total Return Swap Agreements
^
 
                 
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25%   04/06/22   $118,728,333   $(2,792,482) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.25   04/06/22    102,600,526    (2,413,156) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25   04/06/22    123,508,801    (2,904,918) 
                    
             Total Unrealized
Depreciation
    $(8,110,556) 
                    
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex   0.50%   04/06/23   $67,247,193   $(15,605,398) 
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex   0.50   04/06/23    100,389,846    (23,296,489) 
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex   0.35   04/06/23    803,815    (186,432) 
                    
             Total Unrealized
Depreciation
 		  $(39,088,319) 
                    
 
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of March 31, 2022.2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of March 31, 2022,2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
31F-13
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Investment Income
         
Interest  $8,958,523  $39,581 
          
Expenses
         
Management fee   2,328,410   396,610 
Brokerage commissions   952,779   88,452 
Futures accounts fees   187,693   71,117 
          
Total expenses   3,468,882   556,179 
          
Net investment income (loss)   5,489,641   (516,598) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (1,100,791,083)   76,220,688 
Swap agreements   39,159,789   —   
Short-term U.S. government and agency obligations   (3,570)   (3,452) 
          
Net realized gain (loss)   (1,061,634,864)   76,217,236 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (13,901,318)   85,030,764 
Swap agreements   (39,088,319)   —   
Short-term U.S. government and agency obligations   (20,053)   (163,020) 
          
Change in net unrealized appreciation (depreciation)   (53,009,690)   84,867,744 
          
Net realized and unrealized gain (loss)   (1,114,644,554)   161,084,980 
          
Net income (loss)
  $(1,109,154,913)  $160,568,382 
          
See accompanying notes to financial statements.
F-14
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $586,151,113  $193,892,178 
          
Addition of 379,450,000 and 2,600,000 shares, respectively   2,345,948,834   87,880,355 
Redemption of 102,650,000 and 7,600,000 shares, respectively   (682,961,261)   (297,271,429) 
          
Net addition (redemption) of 276,800,000 and (5,000,000) shares, respectively   1,662,987,573   (209,391,074) 
          
Net investment income (loss)   5,489,641   (516,598) 
Net realized gain (loss)   (1,061,634,864)   76,217,236 
Change in net unrealized appreciation (depreciation)   (53,009,690)   84,867,744 
          
Net income (loss)   (1,109,154,913)   160,568,382 
          
Shareholders’ equity, end of period
  $1,139,983,773  $145,069,486 
          
See accompanying notes to financial statements.
F-15
Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Cash flow from operating activities
         
Net income (loss)  $(1,109,154,913)  $160,568,382 
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   (7,560,364,945)   (135,944,242) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   7,527,849,267   130,991,301 
Net amortization and accretion on short-term U.S. government and agency obligations   (3,957,517)   (40,710) 
Net realized (gain) loss on investments   3,570   3,452 
Change in unrealized (appreciation) depreciation on investments   39,108,372   163,020 
Decrease (Increase) in receivable on open futures contracts   (82,107,988)   20,996,970 
Decrease (Increase) in interest receivable   (1,249,353)   1,130 
Increase (Decrease) in payable to Sponsor   509,363   (11,937) 
Increase (Decrease) in brokerage commissions and futures account fees payable   38,432   (40,216) 
Increase (Decrease) in payable on open futures contracts   (1,835,443)   (5,403,658) 
          
Net cash provided by (used in) operating activities   (1,191,161,155)   171,283,492 
          
Cash flow from financing activities
         
Proceeds from addition of shares   2,336,728,392   108,329,096 
Payment on shares redeemed   (658,786,268)   (288,851,227) 
          
Net cash provided by (used in) financing activities   1,677,942,124   (180,522,131) 
          
Net increase (decrease) in cash
   486,780,969   (9,238,639) 
Cash, beginning of period   176,734,664   54,135,725 
          
Cash, end of period  $663,515,633  $44,897,086 
          
See accompanying notes to financial statements.
F-16
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
          
Cash  $7,171,419   $9,156,418 
Segregated cash balances with brokers for foreign currency forward contracts   1,103,000    1,103,000 
Unrealized appreciation on foreign currency forward contracts   319,670    514,115 
Interest receivable   30,947    40,421 
           
Total assets   8,625,036    10,813,954 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor   7,644    10,833 
Unrealized depreciation on foreign currency forward contracts   959    98,459 
           
Total liabilities   8,603    109,292 
           
Commitments and Contingencies (Note 2)          
Shareholders’ equity
          
Shareholders’ equity   8,616,433    10,704,662 
           
Total liabilities and shareholders’ equity  $8,625,036   $10,813,954 
           
Shares outstanding   750,000    950,000 
           
Net asset value per share  $11.49   $11.27 
           
Market value per share (Note 2)  $11.49   $11.26 
           
See accompanying notes to financial statements.
F-17
Table of Contents
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2023
(unaudited)
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                  
Euro with Goldman Sachs International   04/14/23    8,826,921  $9,580,310  $152,785 
Euro with UBS AG   04/14/23    9,821,502   10,659,779   166,885 
                   
             Total Unrealized
Appreciation		 
 		 $319,670 
                   
Contracts to Sell
                  
Euro with Goldman Sachs International   04/14/23    (308,000)  $(334,288)  $(6,791) 
Euro with UBS AG   04/14/23    (2,461,000)   (2,671,050)   5,832 
                   
             Total Unrealized
Depreciation
 		 $(959) 
                   
^The positions and counterparties herein are as of March 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
F-18
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Investment Income
         
Interest  $97,237  $4,587 
          
Expenses
         
Management fee   24,246   20,278 
          
Total expenses   24,246   20,278 
          
Net investment income (loss)   72,991   (15,691) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   280,279   (441,030) 
Short-term U.S. government and agency obligations   —     (5,949) 
          
Net realized gain (loss)   280,279   (446,979) 
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   (96,945)   (132,970) 
Short-term U.S. government and agency obligations   —     (5,455) 
          
Change in net unrealized appreciation (depreciation)   (96,945)   (138,425) 
          
Net realized and unrealized gain (loss)   183,334   (585,404) 
          
Net income (loss)
  $256,325  $(601,095) 
          
See accompanying notes to financial statements.
F-19
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $10,704,662  $8,659,095 
          
Addition of 200,000 and 100,000 shares, respectively   2,296,437   1,316,267 
Redemption of 400,000 and 250,000 shares, respectively   (4,640,991)   (3,137,285) 
          
Net addition (redemption) of (200,000) and (150,000) shares, respectively   (2,344,554)   (1,821,018) 
          
Net investment income (loss)   72,991   (15,691) 
Net realized gain (loss)   280,279   (446,979) 
Change in net unrealized appreciation (depreciation)   (96,945)   (138,425) 
          
Net income (loss)   256,325   (601,095) 
          
Shareholders’ equity, end of period
  $8,616,433  $6,236,982 
          
See accompanying notes to financial statements.
F-20
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Cash flow from operating activities
         
Net income (loss)  $256,325  $(601,095) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   —     (5,984,289) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   —     2,290,249 
Net amortization and accretion on short-term U.S. government and agency obligations   —     (4,740) 
Net realized (gain) loss on investments   —     5,949 
Change in unrealized (appreciation) depreciation on investments   96,945   138,425 
Decrease (Increase) in interest receivable   9,474   153 
Increase (Decrease) in payable to Sponsor   (3,189)   2,160 
          
Net cash provided by (used in) operating activities   359,555   (4,153,188) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   2,296,437   1,316,267 
Payment on shares redeemed   (4,640,991)   (3,137,285) 
          
Net cash provided by (used in) financing activities   (2,344,554)   (1,821,018) 
          
Net increase (decrease) in cash
   (1,984,999)   (5,974,206) 
Cash, beginning of period   10,259,418   7,582,458 
          
Cash, end of period  $8,274,419  $1,608,252 
          
See accompanying notes to financial statements.
F-21
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $129,100,287, respectively)  $94,860,624   $129,123,489 
Cash   53,885,007    16,568,417 
Segregated cash balances with brokers for futures contracts   5,396,000    2,611,350 
Segregated cash balances with brokers for swap agreements   32,250,000    18,730,000 
Unrealized appreciation on swap agreements   15,353,259    6,496,466 
Receivable on open futures contracts   —      8,169 
Interest receivable   246,513    126,595 
           
Total assets   201,991,403    173,664,486 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   684,839    —   
Payable to Sponsor   145,035    140,350 
           
Total liabilities   829,874    140,350 
           
Commitments and Contingencies (Note 2)          
Shareholders’ equity
          
Shareholders’ equity   201,161,529    173,524,136 
           
Total liabilities and shareholders’ equity  $201,991,403   $173,664,486 
           
Shares outstanding   3,200,000    3,150,000 
           
Net asset value per share  $62.86   $55.09 
           
Market value per share (Note 2)  $63.02   $55.27 
           
See accompanying notes to financial statements.
F-22
Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(46% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.401% due 04/04/23
†
  $25,000,000   $24,996,803 
3.874% due 04/11/23   25,000,000    24,973,528 
4.156% due 04/18/23   20,000,000    19,960,876 
4.205% due 04/25/23   25,000,000    24,929,417 
           
Total short-term U.S. government and agency obligations          
(cost $94,860,159)       $94,860,624 
           
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures – COMEX, expires June 2023   667   $132,479,540   $5,096,411 
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25%   04/06/23   $115,835,052   $6,674,065 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25  04/06/23    55,017,986    3,169,970 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  04/06/23    98,916,314    5,509,224 
       
 
 
 
      
Total Unrealized
Appreciation
 		  $15,353,259 
       
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of March 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
F-23
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
        
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $95,113  $35,827   $1,649,014  $95,113 
              
Expenses
      
Management fee   671,415   568,207    427,114   671,415 
Brokerage commissions   21,659   14,888    8,615   21,659 
Futures accounts fees   19,505   32,402    —     19,505 
              
Total expenses   712,579   615,497    435,729   712,579 
              
Net investment income (loss)   (617,466)   (579,670)    1,213,285   (617,466) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   20,190,020   (16,805,897)    2,760,579   20,190,020 
Swap agreements   37,628,576   (34,442,235)    8,039,317   37,628,576 
Short-term U.S. government and agency obligations   —     245 
              
Net realized gain (loss)   57,818,596   (51,247,887)    10,799,896   57,818,596 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   (7,899,907)   (2,253,749)    1,854,323   (7,899,907) 
Swap agreements   (16,749,744)   1,019,450    8,856,793   (16,749,744) 
Short-term U.S. government and agency obligations   (170,860)   1,796    (22,737)   (170,860) 
              
Change in net unrealized appreciation (depreciation)   (24,820,511)   (1,232,503)    10,688,379   (24,820,511) 
              
Net realized and unrealized gain (loss)   32,998,085   (52,480,390)    21,488,275   32,998,085 
              
Net income (loss)
  $32,380,619  $(53,060,060)   $22,701,560  $32,380,619 
              
See accompanying notes to financial statements.
 
32F-24
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $232,780,534  $263,540,473   $173,524,136  $232,780,534 
              
Addition of 1,500,000 and 600,000 shares, respectively   95,684,676   37,062,261 
Redemption of 100,000 and 550,000 shares, respectively   (5,816,007)   (32,994,618) 
Addition of 400,000 and 1,500,000 shares, respectively   24,973,354   95,684,676 
Redemption of 350,000 and 100,000 shares, respectively   (20,037,521)   (5,816,007) 
              
Net addition (redemption) of 1,400,000 and 50,000 shares, respectively   89,868,669   4,067,643 
Net addition (redemption) of 50,000 and 1,400,000 shares, respectively   4,935,833   89,868,669 
              
Net investment income (loss)   (617,466)   (579,670)    1,213,285   (617,466) 
Net realized gain (loss)   57,818,596   (51,247,887)    10,799,896   57,818,596 
Change in net unrealized appreciation (depreciation)   (24,820,511)   (1,232,503)    10,688,379   (24,820,511) 
              
Net income (loss)   32,380,619   (53,060,060)    22,701,560   32,380,619 
              
Shareholders’ equity, end of period
  $355,029,822  $214,548,056   $201,161,529  $355,029,822 
              
See accompanying notes to financial statements.
 
33F-25
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $32,380,619  $(53,060,060)   $22,701,560  $32,380,619 
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   (439,592,586)   (206,969,781)    (264,664,939)   (439,592,586) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   349,000,000   194,999,771    300,000,000   349,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (95,803)   (27,375)    (1,094,933)   (95,803) 
Net realized (gain) loss on investments   —     (245) 
Change in unrealized (appreciation) depreciation on investments   16,920,604   (1,021,246)    (8,834,056)   16,920,604 
Decrease (Increase) in receivable on open futures contracts   (1,618,170)   (1,456,440)    8,169   (1,618,170) 
Decrease (Increase) in interest receivable   690   4,186    (119,918)   690 
Increase (Decrease) in payable to Sponsor   99,065   (30,328)    4,685   99,065 
Increase (Decrease) in brokerage commissions and futures account fees payable   6,496   9,172    —     6,496 
Increase (Decrease) in payable on open futures contracts   684,839   —   
              
Net cash provided by (used in) operating activities   (42,899,085)   (67,552,346)    48,685,407   (42,899,085) 
              
Cash flow from financing activities
      
Proceeds from addition of shares   95,684,676   37,062,261    24,973,354   95,684,676 
Payment on shares redeemed   (5,816,007)   (32,994,618)    (20,037,521)   (5,816,007) 
              
Net cash provided by (used in) financing activities   89,868,669   4,067,643    4,935,833   89,868,669 
              
Net increase (decrease) in cash
   46,969,584   (63,484,703)    53,621,240   46,969,584 
Cash, beginning of period   15,422,082   183,452,109    37,909,767   15,422,082 
              
Cash, end of period  $62,391,666  $119,967,406   $91,531,007  $62,391,666 
              
See accompanying notes to financial statements.
 
34F-26
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $465,593,363 and $451,896,236, respectively)  $465,290,460   $451,872,982 
Short-term U.S. government and agency obligations (Note 3) (cost $149,794,065 and $228,617,421, respectively)  $149,798,740   $228,657,634 
Cash   22,418,785    10,985,565    126,500,008    74,136,821 
Segregated cash balances with brokers for futures contracts   13,190,750    14,502,938    27,421,750    19,452,250 
Segregated cash balances with brokers for swap agreements   81,624,040    —      61,009,000    56,423,000 
Unrealized appreciation on swap agreements   0      40,591,699    62,363,833    39,224,212 
Receivable on open futures contracts   174,600    1,384,919    1,907,867    —   
Interest receivable   0      1,582    401,200    300,712 
                
Total assets   582,698,635    519,339,685    429,402,398    418,194,629 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   0      3,483,770    —      1,615,382 
Brokerage commissions and futures account fees payable   9,893    9,833 
Payable on open futures contracts   —      1,948,902 
Payable to Sponsor   462,171    392,488    287,064    344,467 
Unrealized depreciation on swap agreements   23,850,730    —   
                
Total liabilities   24,322,794    3,886,091    287,064    3,908,751 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   558,375,841    515,453,594    429,115,334    414,285,878 
                
Total liabilities and shareholders’ equity  $582,698,635   $519,339,685   $429,402,398   $418,194,629 
                
Shares outstanding   14,296,526    14,796,526    13,796,526    13,046,526 
                
Net asset value per share  $39.06   $34.84   $31.10   $31.75 
                
Market value per share (Note 2)  $38.53   $34.74   $31.23   $32.00 
                
See accompanying notes to financial statements.
 
35F-27
Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(83% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22†  $75,000,000   $74,993,752 
0.209% due 05/19/22†   150,000,000    149,947,995 
0.351% due 06/16/22†   100,000,000    99,908,170 
0.393% due 07/21/22†   23,000,000    22,950,003 
0.706% due 08/18/22†   75,000,000    74,752,410 
0.223% due 11/03/22†   43,000,000    42,738,130 
           
Total short-term U.S. government and agency obligations
(cost $465,593,363)		       $465,290,460 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(35% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.283% due 04/04/23
†
  $50,000,000   $49,993,605 
4.329% due 04/11/23   25,000,000    24,973,527 
4.156% due 04/18/23   50,000,000    49,902,190 
4.205% due 04/25/23
†
   25,000,000    24,929,418 
           
Total short-term U.S. government and agency obligations          
(cost $149,794,065)       $149,798,740 
           
Futures Contracts Purchased
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2022   1,351   $169,773,415   $9,192,378 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures – COMEX, expires May 2023   2,879   $347,725,620   $28,674,611 
Total Return Swap Agreements
^
 
                 
                
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25%   04/06/22   $237,998,246   $(7,141,286) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.30   04/06/22    249,395,557    (5,875,157) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30   04/06/22    232,374,365    (5,474,180) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   04/06/22    227,857,585    (5,360,107) 
                    
             Total Unrealized
Depreciation
    $(23,850,730) 
                    
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30%   04/06/23   $159,299,488   $18,503,019 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25   04/06/23    177,727,745    22,200,338 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.30   04/06/23    23,479,523    2,932,172 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25   04/06/23    149,931,926    18,728,304 
                    
             Total Unrealized
Appreciation
 		  $62,363,833 
                    
 
†
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of March 31, 2022.2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of March 31, 2022,2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
36F-28
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
        
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $140,449  $98,129   $3,374,396  $140,449 
              
Expenses
      
Management fee   1,217,599   1,631,135    871,559   1,217,599 
Brokerage commissions   30,551   46,582    26,562   30,551 
Futures accounts fees   20,505   162,187    —     20,505 
              
Total expenses   1,268,655   1,839,904    898,121   1,268,655 
              
Net investment income (loss)   (1,128,206)   (1,741,775)    2,476,275   (1,128,206) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   (5,744,962)   6,896,270    3,641,746   (5,744,962) 
Swap agreements   122,381,989   (1,985,719)    (32,385,610)   122,381,989 
Short-term U.S. government and agency obligations   10   191    —     10 
              
Net realized gain (loss)   116,637,037   4,910,742    (28,743,864)   116,637,037 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   6,685,833   (52,592,033)    (751,963)   6,685,833 
Swap agreements   (64,442,429)   (85,173,669)    23,139,621   (64,442,429) 
Short-term U.S. government and agency obligations   (279,649)   21,921    (35,538)   (279,649) 
              
Change in net unrealized appreciation (depreciation)   (58,036,245)   (137,743,781)    22,352,120   (58,036,245) 
              
Net realized and unrealized gain (loss)   58,600,792   (132,833,039)    (6,391,744)   58,600,792 
              
Net income (loss)
  $57,472,586  $(134,574,814)   $(3,915,469)  $57,472,586 
              
See accompanying notes to financial statements.
 
37F-29
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $515,453,594  $745,304,028   $414,285,878  $515,453,594 
              
Addition of 1,000,000 and 2,400,000 shares, respectively   39,033,941   120,399,635 
Redemption of 1,500,000 and 3,250,000 shares, respectively   (53,584,280)   (158,627,600) 
Addition of 1,900,000 and 1,000,000 shares, respectively   51,232,279   39,033,941 
Redemption of 1,150,000 and 1,500,000 shares, respectively   (32,487,354)   (53,584,280) 
              
Net addition (redemption) of (500,000) and (850,000) shares, respectively   (14,550,339)   (38,227,965) 
Net addition (redemption) of 750,000 and (500,000) shares, respectively   18,744,925   (14,550,339) 
              
Net investment income (loss)   (1,128,206)   (1,741,775)    2,476,275   (1,128,206) 
Net realized gain (loss)   116,637,037   4,910,742    (28,743,864)   116,637,037 
Change in net unrealized appreciation (depreciation)   (58,036,245)   (137,743,781)    22,352,120   (58,036,245) 
              
Net income (loss)   57,472,586   (134,574,814)    (3,915,469)   57,472,586 
              
Shareholders’ equity, end of period
  $558,375,841  $572,501,249   $429,115,334  $558,375,841 
              
See accompanying notes to financial statements.
 
38F-30
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $57,472,586  $(134,574,814)   $(3,915,469)  $57,472,586 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (555,554,828)   (684,892,324)    (1,776,762,620)   (555,554,828) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   541,999,742   509,999,794    1,858,000,000   541,999,742 
Net amortization and accretion on short-term U.S. government and agency obligations   (142,031)   (77,206)    (2,414,024)   (142,031) 
Net realized (gain) loss on investments   (10)   (191)    —     (10) 
Change in unrealized (appreciation) depreciation on investments   64,722,078   85,151,748    (23,104,083)   64,722,078 
Decrease (Increase) in receivable on open futures contracts   1,210,319   (1,465,450)    (1,907,867)   1,210,319 
Decrease (Increase) in interest receivable   1,582   6,065    (100,488)   1,582 
Increase (Decrease) in payable to Sponsor   69,683   (29,124)    (57,403)   69,683 
Increase (Decrease) in brokerage commissions and futures account fees payable   60   45,354    —     60 
Increase (Decrease) in payable on open futures contracts   —     (147,416)    (1,948,902)   —   
              
Net cash provided by (used in) operating activities   109,779,181   (225,983,564)    47,789,144   109,779,181 
              
Cash flow from financing activities
      
Proceeds from addition of shares   39,033,941   116,265,208    51,232,279   39,033,941 
Payment on shares redeemed  ��(57,068,050)   (158,627,600)    (34,102,736)   (57,068,050) 
              
Net cash provided by (used in) financing activities   (18,034,109)   (42,362,392)    17,129,543   (18,034,109) 
              
Net increase (decrease) in cash
   91,745,072   (268,345,956)    64,918,687   91,745,072 
Cash, beginning of period   25,488,503   446,401,960    150,012,071   25,488,503 
              
Cash, end of period  $117,233,575  $178,056,004   $214,930,758  $117,233,575 
              
See accompanying notes to financial statements.
 
39F-31
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $193,806,309 and $221,725,609, respectively)  $193,118,875   $221,660,593 
Short-term U.S. government and agency obligations (Note 3) (cost $69,869,161 and $34,728,989, respectively)  $69,863,821   $34,732,372 
Cash   70,665,485    108,688,034    93,765,363    71,086,482 
Segregated cash balances with brokers for futures contracts   490,761,445    463,432,845    258,517,916    323,761,025 
Receivable from capital shares sold   15,544,945    —      13,423,891    —   
Securities sold receivabl
e

  
6,195,418
   
0  
 
Receivable on open futures contracts   352,266,772    33,597,688    100,274,772    209,470,270 
Interest receivable   0      5,060    1,354,316    1,246,402 
                
Total assets   1,128,552,940    827,384,220    537,200,079    640,296,551 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable on open futures contracts   0      9,447,456    720,028    348,988 
Brokerage commissions and futures account fees payable   234,366    167,855    41,938    58,772 
Payable to Sponsor   709,933    611,836    457,877    570,429 
Unrealized depreciation on swap agreements   0      477,437 
                
Total liabilities   944,299    10,704,584    1,219,843    978,189 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   1,127,608,641    816,679,636    535,980,236    639,318,362 
                
Total liabilities and shareholders’ equity  $1,128,552,940   $827,384,220   $537,200,079   $640,296,551 
                
Shares outstanding (Note 1)   83,528,420    65,828,420 
Shares outstanding   115,878,420    93,078,420 
                
Net asset value per share (Note 1)  $13.50   $12.41 
Net asset value per share  $4.63   $6.87 
                
Market value per share (Note 1) (Note 2)  $13.46   $12.43 
Market value per share (Note 2)  $4.65   $6.86 
                
See accompanying notes to financial statements.
 
40F-32
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(17% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $50,000,000   $49,995,835 
0.223% due 11/03/22   144,000,000    143,123,040 
           
Total short-term U.S. government and agency obligations
(cost $193,806,309)		       $193,118,875 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(13% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
3.874% due 04/11/23  $25,000,000   $24,973,527 
4.156% due 04/18/23   20,000,000    19,960,876 
4.205% due 04/25/23   25,000,000    24,929,418 
           
Total short-term U.S. government and agency obligations          
(cost $69,869,161)       $69,863,821 
           
Futures Contracts Purchased
 
             
Futures Contracts Purchased
 
               
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2022   33,482   $785,789,058   $(144,097,149) 
VIX Futures - Cboe, expires May 2022   36,263    906,128,965    (17,115,511) 
                
             $(161,212,660) 
                
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures – Cboe, expires April 2023   21,811   $452,887,966   $(19,782,862) 
VIX Futures – Cboe, expires May 2023   15,863    351,024,396    (14,726,341) 
                
             $(34,509,203) 
                
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
41F-33
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
        
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $95,261  $113,969   $4,416,655  $95,261 
              
Expenses
      
Management fee   1,961,177   4,383,077    1,373,770   1,961,177 
Brokerage commissions   936,758   1,956,628    777,701   936,758 
Futures accounts fees   782,688   1,843,813    123,361   782,688 
              
Total expenses   3,680,623   8,183,518    2,274,832   3,680,623 
              
Net investment income (loss)   (3,585,362)   (8,069,549)    2,141,823   (3,585,362) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   258,438,098   (653,063,682)    (182,233,430)   258,438,098 
Swap agreements   22,556,586   (51,454,342)    —     22,556,586 
Short-term U.S. government and agency obligations   (15,153)   18,520    (7,778)   (15,153) 
              
Net realized gain (loss)   280,979,531   (704,499,504)    (182,241,208)   280,979,531 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   (34,855,903)   (284,403,583)    2,046,250   (34,855,903) 
Swap agreements   477,437   24,807    —     477,437 
Short-term U.S. government and agency obligations   (622,418)   19,445    (8,723)   (622,418) 
              
Change in net unrealized appreciation (depreciation)   (35,000,884)   (284,359,331)    2,037,527   (35,000,884) 
              
Net realized and unrealized gain (loss)   245,978,647   (988,858,835)    (180,203,681)   245,978,647 
              
Net income (loss)
  $242,393,285  $(996,928,384)   $(178,061,858)  $242,393,285 
              
See accompanying notes to financial statements.
 
42F-34
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $816,679,636  $1,356,204,199   $639,318,362  $816,679,636 
              
Addition of 83,100,000 and 19,630,000 shares, respectively (Note 1)   1,171,715,867   1,939,143,031 
Redemption of 65,400,000 and 9,540,000 shares, respectively (Note 1)   (1,103,180,147)   (1,014,045,676) 
Addition of 83,700,000 and 83,100,000 shares, respectively   436,460,449   1,171,715,867 
Redemption of 60,900,000 and 65,400,000 shares, respectively   (361,736,717)   (1,103,180,147) 
              
Net addition (redemption) of 17,700,000 and 10,090,000 shares, respectively (Note 1)   68,535,720   925,097,355 
Net addition (redemption) of 22,800,000 and 17,700,000 shares, respectively   74,723,732   68,535,720 
              
Net investment income (loss)   (3,585,362)   (8,069,549)    2,141,823   (3,585,362) 
Net realized gain (loss)   280,979,531  ��(704,499,504)    (182,241,208)   280,979,531 
Change in net unrealized appreciation (depreciation)   (35,000,884)   (284,359,331)    2,037,527   (35,000,884) 
              
Net income (loss)   242,393,285   (996,928,384)    (178,061,858)   242,393,285 
              
Shareholders’ equity, end of period
  $1,127,608,641  $1,284,373,170   $535,980,236  $1,127,608,641 
              
See accompanying notes to financial statements.
 
43F-35
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
   
         
Net income (loss)  $242,393,285  $(996,928,384) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (396,948,446)   (811,866,867) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   424,952,914   679,996,765 
Net amortization and accretion on short-term U.S. government and agency obligations   (100,321)   (81,137) 
Net realized (gain) loss on investments   15,153   (18,520) 
Change in unrealized (appreciation) depreciation on investments   144,981   (44,252) 
Decrease (Increase) in securities sold receivable
   (6,195,418)   0   
Decrease (Increase) in receivable on open futures contracts   (318,669,084)   (22,894,994) 
Decrease (Increase) in interest receivable   5,060   423 
Increase (Decrease) in payable to Sponsor   98,097   312,325 
Increase (Decrease) in brokerage commissions and futures account fees payable   66,511   249,748 
Increase (Decrease) in payable on open futures contracts   (9,447,456)   (9,772,407) 
Increase (Decrease) in securities purchased payable   —     38,977,944 
          
Net cash provided by (used in) operating activities   (63,684,724)   (1,122,069,356) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   1,156,170,922   1,988,229,419 
Payment on shares redeemed   (1,103,180,147)   (1,014,045,676) 
          
Net cash provided by (used in) financing activities   52,990,775   974,183,743 
          
Net increase (decrease) in cash
   (10,693,949)   (147,885,613) 
Cash, beginning of period   572,120,879   1,069,671,996 
          
Cash, end of period  $561,426,930  $921,786,383 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Cash flow from operating activities
         
Net income (loss)  $(178,061,858)  $242,393,285 
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   (664,522,118)   (396,948,446) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   629,900,478   424,952,914 
Net amortization and accretion on short-term U.S. government and agency obligations   (526,310)   (100,321) 
Net realized (gain) loss on investments   7,778   15,153 
Change in unrealized (appreciation) depreciation on investments   8,723   144,981 
Decrease (Increase) in securities sold receivable   —     (6,195,418) 
Decrease (Increase) in receivable on open futures contracts   109,195,498   (318,669,084) 
Decrease (Increase) in interest receivable   (107,914)   5,060 
Increase (Decrease) in payable to Sponsor   (112,552)   98,097 
Increase (Decrease) in brokerage commissions and futures account fees payable   (16,834)   66,511 
Increase (Decrease) in payable on open futures contracts   371,040   (9,447,456) 
          
Net cash provided by (used in) operating activities   (103,864,069)   (63,684,724) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   423,036,558   1,156,170,922 
Payment on shares redeemed   (361,736,717)   (1,103,180,147) 
          
Net cash provided by (used in) financing activities   61,299,841   52,990,775 
          
Net increase (decrease) in cash
   (42,564,228)   (10,693,949) 
Cash, beginning of period   394,847,507   572,120,879 
          
Cash, end of period  $352,283,279  $561,426,930 
          
See accompanying notes to financial statements.
 
44F-36
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31,
2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $996,736 and $0, respectively)  $993,910   $—   
Cash   1,339,246    2,232,820   $9,915,279   $11,444,958 
Segregated cash balances with brokers for foreign currency forward contracts   —      225,000    1,137,000    1,357,000 
Unrealized appreciation on foreign currency forward contracts   7,119    821    502,639    1,152,834 
Interest receivable   —      95    34,903    39,204 
                
Total assets   2,340,275    2,458,736    11,589,821    13,993,996 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   1,653,365    —   
Payable to Sponsor   1,800    1,954    9,216    10,915 
Unrealized depreciation on foreign currency forward contracts   238,770    93,933    12,157    168,285 
                
Total liabilities   240,570    95,887    1,674,738    179,200 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   2,099,705    2,362,849    9,915,083    13,814,796 
                
Total liabilities and shareholders’ equity  $2,340,275   $2,458,736   $11,589,821   $13,993,996 
                
Shares outstanding   49,970    49,970    299,970    399,970 
                
Net asset value per share  $42.02   $47.29   $33.05   $34.54 
                
Market value per share (Note 2)  $42.09   $47.29   $33.02   $34.56 
                
See accompanying notes to financial statements.
 
45F-37
Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
Foreign Currency Forward Contracts
^
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(47% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.554% due 11/03/22
†
  $1,000,000   $993,910 
           
Total short-term U.S. government and agency obligations
(cost $996,736)		       $993,910 
           
 
        
Foreign Currency Forward Contracts
^
      
  
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
   
Settlement Date
   
Contract Amount
in Local Currency
 
Contract Amount
in U.S. Dollars
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
            
Yen with Goldman Sachs International   04/08/22    321,397,517  $2,640,512  $(140,536)    04/14/23    1,492,519,517  $11,266,763  $221,961 
Yen with UBS AG   04/08/22    234,765,856   1,928,772   (98,234)    04/14/23    1,730,435,856   13,062,750   280,678 
                
       Total Unrealized
Depreciation		 
 		 $(238,770)        Total Unrealized
Appreciation		 
 		 $502,639 
                
Contracts to Sell
            
Yen with Goldman Sachs International   04/08/22    (6,529,000)  $(53,640)  $(254)    04/14/23    (16,977,000)  $(128,156)  $(2,749) 
Yen with UBS AG   04/08/22    (37,680,000)   (309,568)   7,373    04/14/23    (577,337,000)   (4,358,214)   (9,408) 
                
       Total Unrealized
Appreciation
   $7,119        Total Unrealized
Depreciation
 		 $(12,157) 
                
 
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of March 31, 2022.2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
46F-38
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $873  $356   $120,118  $873 
              
Expenses
      
Management fee   5,429   6,649    30,560   5,429 
              
Total expenses   5,429   6,649    30,560   5,429 
              
Net investment income (loss)   (4,556)   (6,293)    89,558   (4,556) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Foreign currency forward contracts   (118,771)   (139,467)    (298,808)   (118,771) 
Short-term U.S. government and agency obligations   1,548   —      —     1,548 
              
Net realized gain (loss)   (117,223)   (139,467)    (298,808)   (117,223) 
              
Change in net unrealized appreciation (depreciation) on
      
Foreign currency forward contracts   (138,539)   (256,089)    (494,067)   (138,539) 
Short-term U.S. government and agency obligations   (2,826)   44    —     (2,826) 
              
Change in net unrealized appreciation (depreciation)   (141,365)   (256,045)    (494,067)   (141,365) 
              
Net realized and unrealized gain (loss)   (258,588)   (395,512)    (792,875)   (258,588) 
              
Net income (loss)
  $(263,144)  $(401,805)   $(703,317)  $(263,144) 
              
See accompanying notes to financial statements.
 
47F-39
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $2,362,849  $2,989,499   $13,814,796  $2,362,849 
       
Addition of 50,000 and – shares, respectively   1,812,626   —   
Redemption of 150,000 and – shares, respectively   (5,009,022)   —   
       
Net addition (redemption) of (100,000) and – shares, respectively   (3,196,396)   —   
              
Net investment income (loss)   (4,556)   (6,293)    89,558   (4,556) 
Net realized gain (loss)   (117,223)   (139,467)    (298,808)   (117,223) 
Change in net unrealized appreciation (depreciation)   (141,365)   (256,045)    (494,067)   (141,365) 
              
Net income (loss)   (263,144)   (401,805)    (703,317)   (263,144) 
              
Shareholders’ equity, end of period
  $2,099,705  $2,587,694   $9,915,083  $2,099,705 
              
See accompanying notes to financial statements.
 
48F-40
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $(263,144)  $(401,805)   $(703,317)  $(263,144) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (995,769)   (499,849)    —     (995,769) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   1,548   —      —     1,548 
Net amortization and accretion on short-term U.S. government and agency obligations   (967)   (93)    —     (967) 
Net realized (gain) loss on investments   (1,548)   —      —     (1,548) 
Change in unrealized (appreciation) depreciation on investments   141,365   256,045    494,067   141,365 
Decrease (Increase) in interest receivable   95   27    4,301   95 
Increase (Decrease) in payable to Sponsor   (154)   (213)    (1,699)   (154) 
              
Net cash provided by (used in) operating activities   (1,118,574) �� (645,888)    (206,648)   (1,118,574) 
              
Cash flow from financing activities
   
Proceeds from addition of shares   1,812,626   —   
Payment on shares redeemed   (3,355,657)   —   
       
Net cash provided by (used in) financing activities   (1,543,031)   —   
       
Net increase (decrease) in cash
   (1,118,574)   (645,888)    (1,749,679)   (1,118,574) 
Cash, beginning of period   2,457,820   2,924,696    12,801,958   2,457,820 
              
Cash, end of period  $1,339,246  $2,278,808   $11,052,279  $1,339,246 
              
See accompanying notes to financial statements.
 
49
Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $
0
and $
1,999,869
, respectively)
  $0     $1,999,875 
Cash   2,144,311    310,565 
Segregated cash balances with brokers for futures contracts   108,900    117,920 
Receivable on open futures contracts   11,700    —   
Interest receivable   —      16 
           
Total assets   2,264,911    2,428,376 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   —      13,735 
Payable to Sponsor   1,886    2,018 
           
Total liabilities   1,886    15,753 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   2,263,025    2,412,623 
           
Total liabilities and shareholders’ equity  $2,264,911   $2,428,376 
           
Shares outstanding   50,000    50,000 
           
Net asset value per share  $45.26   $48.25 
           
Market value per share (Note 2)  $45.35   $48.41 
           
See accompanying notes to financial statements.
50F-41
Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires June 2022   60   $4,497,900   $(96,657) 
See accompanying notes to financial statements.
51
Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

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

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

   
Three Months Ended

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

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $172,878,249 and $55,932,300, respectively)  $172,675,022   $55,916,023 
Short-term U.S. government and agency obligations (Note 3) (cost $44,952,937 and $89,407,308, respectively)  $44,957,679   $89,426,935 
Cash   74,893,009    29,602,412    43,870,581    74,627,051 
Segregated cash balances with brokers for futures contracts   146,472,433    24,841,141    44,519,487    65,184,460 
Receivable from capital shares sold   2,335,415    —      18,906,418    41,694 
Receivable on open futures contracts   24,718,248    4,064,439    —      1,604,847 
Interest receivable   0      1,359    281,264    384,856 
                
Total assets   421,094,127    114,425,374    152,535,429    231,269,843 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   —      1,257,090 
Payable on open futures contracts   3,982,086    175,557    7,629,422    7,102,680 
Brokerage commissions and futures account fees payable   42,292    7,944    3,407    4,134 
Payable to Sponsor   270,518    74,271    140,037    208,602 
                
Total liabilities   4,294,896    257,772    7,772,866    8,572,506 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   416,799,231    114,167,602    144,762,563    222,697,337 
                
Total liabilities and shareholders’ equity  $421,094,127   $114,425,374   $152,535,429   $231,269,843 
                
Shares outstanding (Note 1)   71,433,799    8,883,799    5,755,220    9,305,220 
                
Net asset value per share (Note 1)  $5.83   $12.85   $25.15   $23.93 
                
Market value per share (Note 1) (Note 2)  $5.79   $12.75   $25.22   $23.85 
                
See accompanying notes to financial statements.
 
55F-42
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(41% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.051% due 04/21/22  $40,000,000   $39,996,668 
0.209% due 05/19/22   25,000,000    24,991,333 
0.389% due 06/16/22   50,000,000    49,954,085 
0.393% due 07/21/22   22,000,000    21,952,176 
0.223% due 11/03/22   36,000,000    35,780,760 
           
Total short-term U.S. government and agency obligations
(cost $172,878,249)		       $172,675,022 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(31% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.401% due 04/04/23  $25,000,000   $24,996,803 
4.156% due 04/18/23   20,000,000    19,960,876 
           
Total short-term U.S. government and agency obligations          
(cost $44,952,937)       $44,957,679 
           
Futures Contracts Sold
 
             
Futures Contracts Sold
 
            
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires June 2022   2,737   $269,649,240   $(4,110,731) 
WTI Crude Oil - NYMEX, expires December 2022   3,147    281,971,200    (2,299,051) 
WTI Crude Oil - NYMEX, expires June 2023   3,339    282,512,790    116,312 
                
             $(6,293,470) 
                
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil – NYMEX, expires June 2023   1,269   $96,190,200   $13,187,668 
WTI Crude Oil – NYMEX, expires December 2023   1,312    96,497,600    5,095,651 
WTI Crude Oil – NYMEX, expires June 2024   1,359    96,801,570    2,932,689 
                
             $21,216,008 
                
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
56F-43
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $53,907  $10,835   $2,003,209  $53,907 
              
Expenses
      
Management fee   492,647   221,263    484,880   492,647 
Brokerage commissions   77,056   43,044    65,757   77,056 
Futures accounts fees   70,177   47,712    —     70,177 
              
Total expenses   639,880   312,019    550,637   639,880 
              
Net investment income (loss)   (585,973)   (301,184)    1,452,572   (585,973) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   (106,482,101)   (49,177,765)    27,614,279   (106,482,101) 
Short-term U.S. government and agency obligations   488   —   
              
Net realized gain (loss)   (106,482,101)   (49,177,765)    27,614,767   (106,482,101) 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   2,115,992   5,636,634    10,971,115   2,115,992 
Short-term U.S. government and agency obligations   (186,950)   2,210    (14,885)   (186,950) 
              
Change in net unrealized appreciation (depreciation)   1,929,042   5,638,844    10,956,230   1,929,042 
              
Net realized and unrealized gain (loss)   (104,553,059)   (43,538,921)    38,570,997   (104,553,059) 
              
Net income (loss)
  $(105,139,032)  $(43,840,105)   $40,023,569  $(105,139,032) 
              
See accompanying notes to financial statements.
 
57F-44
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $114,167,602  $96,839,233   $222,697,337  $114,167,602 
              
Addition of 77,850,000 and 1,950,000 shares, respectively (Note 1)   510,028,879   64,302,979 
Redemption of 15,300,000 and 850,000 shares, respectively (Note 1)   (102,258,218)   (25,583,717) 
Addition of 5,300,000 and 15,570,000 shares, respectively (Note 1)   127,905,875   510,028,879 
Redemption of 8,850,000 and 3,060,000 shares, respectively (Note 1)   (245,864,218)   (102,258,218) 
              
Net addition (redemption) of 62,550,000 and 1,100,000 shares, respectively (Note 1)   407,770,661   38,719,262 
Net addition (redemption) of (3,550,000) and 12,510,000 shares, respectively (Note 1)   (117,958,343)   407,770,661 
              
Net investment income (loss)   (585,973)   (301,184)    1,452,572   (585,973) 
Net realized gain (loss)   (106,482,101)   (49,177,765)    27,614,767   (106,482,101) 
Change in net unrealized appreciation (depreciation)   1,929,042   5,638,844    10,956,230   1,929,042 
              
Net income (loss)   (105,139,032)   (43,840,105)    40,023,569   (105,139,032) 
              
Shareholders’ equity, end of period
  $416,799,231  $91,718,390   $144,762,563  $416,799,231 
              
See accompanying notes to financial statements.
 
58F-45
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $(105,139,032)  $(43,840,105)   $40,023,569  $(105,139,032) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (203,890,683)   (59,990,524)    (239,587,448)   (203,890,683) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   87,000,000   25,000,000    284,998,708   87,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (55,266)   (6,348)    (956,401)   (55,266) 
Net realized (gain) loss on investments   (488)   —   
Change in unrealized (appreciation) depreciation on investments   186,950   (2,210)    14,885   186,950 
Decrease (Increase) in receivable on open futures contracts   (20,653,809)   (2,690,988)    1,604,847   (20,653,809) 
Decrease (Increase) in interest receivable   1,359   2,099    103,592   1,359 
Increase (Decrease) in payable to Sponsor   196,247   (7,303)    (68,565)   196,247 
Increase (Decrease) in brokerage commissions and futures account fees payable   34,348   25,647    (727)   34,348 
Increase (Decrease) in payable on open futures contracts   3,806,529   166,417    526,742   3,806,529 
              
Net cash provided by (used in) operating activities   (238,513,357)   (81,343,315)    86,658,714   (238,513,357) 
              
Cash flow from financing activities
      
Proceeds from addition of shares   507,693,464   64,302,979    109,041,151   507,693,464 
Payment on shares redeemed   (102,258,218)   (25,583,717)    (247,121,308)   (102,258,218) 
              
Net cash provided by (used in) financing activities   405,435,246   38,719,262    (138,080,157)   405,435,246 
              
Net increase (decrease) in cash
   166,921,889   (42,624,053)    (51,421,443)   166,921,889 
Cash, beginning of period   54,443,553   97,113,373    139,811,511   54,443,553 
              
Cash, end of period  $221,365,442  $54,489,320   $88,390,068  $221,365,442 
              
See accompanying notes to financial statements.
 
59F-46
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31, 2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $109,916,719 and $123,855,553, respectively)  $109,627,801   $123,821,548 
Short-term U.S. government and agency obligations (Note 3) (cost $24,990,998 and $61,469,726, respectively)  $24,996,803   $61,482,526 
Cash   70,201,998    53,547,476    33,253,799    5,724,380 
Segregated cash balances with brokers for futures contracts   35,162,820    59,453,451    52,300,800    38,758,160 
Receivable from capital shares sold   19,436,163    —      28,445,000    —   
Receivable on open futures contracts   18,454,994    30,090,351    19,197,683    33,637,888 
Interest receivable   —      1,749    214,834    293,818 
                
Total assets   252,883,776    266,914,575    158,408,919    139,896,772 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   —      15,986,002    —      5,365,196 
Payable on open futures contracts   2,342,100    8,542,438    11,323,200    282,362 
Brokerage commissions and futures account fees payable   29,510    46,867    9,059    7,497 
Payable to Sponsor   171,329    194,138    94,900    132,197 
                
Total liabilities   2,542,939    24,769,445    11,427,159    5,787,252 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   250,340,837    242,145,130    146,981,760    134,109,520 
                
Total liabilities and shareholders’ equity  $252,883,776   $266,914,575   $158,408,919   $139,896,772 
                
Shares outstanding (Note 1)   15,474,477    3,914,966    2,066,856    4,966,856 
                
Net asset value per share (Note 1)  $16.18   $61.85   $71.11   $27.00 
                
Market value per share (Note 1) (Note 2)  $16.14   $60.55   $72.42   $27.56 
                
See accompanying notes to financial statements.
 
60F-47
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(44% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $40,000,000   $39,996,668 
0.209% due 05/19/22   10,000,000    9,996,533 
0.223% due 11/03/22   60,000,000    59,634,600 
           
Total short-term U.S. government and agency obligations
(cost $109,916,719)		       $109,627,801 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(17% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.401% due 04/04/23  $25,000,000   $24,996,803 
           
Total short-term U.S. government and agency obligations          
(cost $24,990,998)       $24,996,803 
           
Futures Contracts Sold
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2022   8,883   $501,178,860   $(74,095,907) 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2023   13,265   $293,952,400   $40,936,595 
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
61F-48
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
 
        
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $55,825  $7,883   $1,186,752  $55,825 
              
Expenses
      
Management fee   542,364   159,337    296,862   542,364 
Brokerage commissions   220,951   85,680    209,641   220,951 
Futures accounts fees   129,929   23,273    29,609   129,929 
              
Total expenses   893,244   268,290    536,112   893,244 
              
Net investment income (loss)   (837,419)   (260,407)    650,640   (837,419) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   (114,665,698)   (6,359,394)    183,408,644   (114,665,698) 
Short-term U.S. government and agency obligations   (58,610)   —      (2,678)   (58,610) 
              
Net realized gain (loss)   (114,724,308)   (6,359,394)    183,405,966   (114,724,308) 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   (87,532,158)   15,893,547    (44,952,803)   (87,532,158) 
Short-term U.S. government and agency obligations   (254,913)   1,517    (6,995)   (254,913) 
              
Change in net unrealized appreciation (depreciation)   (87,787,071)   15,895,064    (44,959,798)   (87,787,071) 
              
Net realized and unrealized gain (loss)   (202,511,379)   9,535,670    138,446,168   (202,511,379) 
              
Net income (loss)
  $(203,348,798)  $9,275,263   $139,096,808  $(203,348,798) 
              
See accompanying notes to financial statements.
 
62F-49
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $242,145,130  $24,977,745   $134,109,520  $242,145,130 
              
Addition of 18,560,000 and 820,000 shares, respectively (Note 1)   454,959,241   142,050,186 
Redemption of 7,000,489 and 570,000 shares, respectively (Note 1)   (243,414,736)   (106,843,919) 
Addition of 7,250,000 and 4,640,000 shares, respectively (Note 1)   376,009,637   454,959,241 
Redemption of 10,150,000 and 1,750,123 shares, respectively (Note 1)   (502,234,205)   (243,414,736) 
              
Net addition (redemption) of 11,559,511 and 250,000 shares, respectively (Note 1)   211,544,505   35,206,267 
Net addition (redemption) of (2,900,000) and 2,889,877 shares, respectively (Note 1)   (126,224,568)   211,544,505 
              
Net investment income (loss)   (837,419)   (260,407)    650,640   (837,419) 
Net realized gain (loss)   (114,724,308)   (6,359,394)    183,405,966   (114,724,308) 
Change in net unrealized appreciation (depreciation)   (87,787,071)   15,895,064    (44,959,798)   (87,787,071) 
              
Net income (loss)   (203,348,798)   9,275,263    139,096,808   (203,348,798) 
              
Shareholders’ equity, end of period
  $250,340,837  $69,459,275   $146,981,760  $250,340,837 
              
See accompanying notes to financial statements.
 
63F-50
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
        
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $(203,348,798)  $9,275,263   $139,096,808  $(203,348,798) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (171,922,547)   (53,993,457)    (34,903,867)   (171,922,547) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   185,860,345   20,000,000    71,888,275   185,860,345 
Net amortization and accretion on short-term U.S. government and agency obligations   (57,574)   (3,966)    (508,358)   (57,574) 
Net realized (gain) loss on investments   58,610   0      2,678   58,610 
Change in unrealized (appreciation) depreciation on investments   254,913   (1,517)    6,995   254,913 
Decrease (Increase) in receivable on open futures contracts   11,635,357   (607,891)    14,440,205   11,635,357 
Decrease (Increase) in interest receivable   1,749   (694)    78,984   1,749 
Increase (Decrease) in payable to Sponsor   (22,809)   43,590    (37,297)   (22,809) 
Increase (Decrease) in brokerage commissions and futures account fees payable   (17,357)   427    1,562   (17,357) 
Increase (Decrease) in payable on open futures contracts   (6,200,338)   (1,543,700)    11,040,838   (6,200,338) 
              
Net cash provided by (used in) operating activities   (183,758,449)   (26,831,945)    201,106,823   (183,758,449) 
              
Cash flow from financing activities
      
Proceeds from addition of shares   435,523,078   142,050,186    347,564,637   435,523,078 
Payment on shares redeemed   (259,400,738)   (109,448,096)    (507,599,401)   (259,400,738) 
              
Net cash provided by (used in) financing activities   176,122,340   32,602,090    (160,034,764)   176,122,340 
              
Net increase (decrease) in cash
   (7,636,109)   5,770,145    41,072,059   (7,636,109) 
Cash, beginning of period   113,000,927   19,147,382    44,482,540   113,000,927 
              
Cash, end of period  $105,364,818  $24,917,527   $85,554,599  $105,364,818 
              
See accompanying notes to financial statements.
 
64F-51
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31,
2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $41,972,530 and $46,968,288, respectively)  $41,892,032   $46,961,125 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively)  $—     $39,996,624 
Cash   8,512,948    7,554,065    54,803,973    30,687,235 
Segregated cash balances with brokers for foreign currency forward contracts   8,391,121    6,844,121 
Unrealized appreciation on foreign currency forward contracts   134,035    135,118    332,826    193,192 
Interest receivable   —      603    144,160    109,830 
                
Total assets   50,539,015    54,650,911    63,672,080    77,831,002 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   1,435,389    —   
Payable to Sponsor   40,931    44,707    51,362    63,375 
Unrealized depreciation on foreign currency forward contracts   —      343,159    2,648,069    2,654,448 
                
Total liabilities   40,931    387,866    4,134,820    2,717,823 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   50,498,084    54,263,045    59,537,260    75,113,179 
                
Total liabilities and shareholders’ equity  $50,539,015   $54,650,911   $63,672,080   $77,831,002 
                
Shares outstanding   1,850,000    2,100,000    2,050,000    2,550,000 
                
Net asset value per share  $27.30   $25.84   $29.04   $29.46 
                
Market value per share (Note 2)  $27.31   $25.86   $29.04   $29.45 
                
See accompanying notes to financial statements.
 
65F-52
Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(83% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $22,000,000   $21,998,167 
0.393% due 07/21/22
†
   4,000,000    3,991,305 
0.223% due 11/03/22
†
   16,000,000    15,902,560 
           
Total short-term U.S. government and agency obligations
(cost $41,972,530)		       $41,892,032 
           
Foreign Currency Forward Contracts
^
 
        
  
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
   
Settlement Date
   
Contract Amount
in Local Currency
 
Contract Amount
in U.S. Dollars
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
            
Euro with Goldman Sachs International   04/14/23    13,747,000  $14,920,324  $177,561 
Euro with UBS AG   04/08/22    13,916,000  $15,396,940  $6,561    04/14/23    21,381,000   23,205,896   155,265 
                
       Total Unrealized
Appreciation		 
 		 $6,561        Total Unrealized
Appreciation		 
 		 $332,826 
                
Contracts to Sell
            
Euro with Goldman Sachs International   04/08/22    (46,280,263)  $(51,205,409)  $83,304    04/14/23    (71,345,263)  $(77,434,672)  $(1,288,634) 
Euro with UBS AG   04/08/22    (58,998,199)   (65,276,787)   44,170    04/14/23    (73,465,199)   (79,735,547)   (1,359,435) 
                
       Total Unrealized
Appreciation		 
 		 $127,474        Total Unrealized
Depreciation
 		 $(2,648,069) 
                
 
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of March 31, 2022.2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
F-53
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Investment Income
         
Interest  $647,120  $15,405 
          
Expenses
         
Management fee   161,568   117,456 
          
Total expenses   161,568   117,456 
          
Net investment income (loss)   485,552   (102,051) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   (1,407,311)   2,542,134 
Short-term U.S. government and agency obligations   —     210,974 
          
Net realized gain (loss)   (1,407,311)   2,753,108 
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   146,013   342,076 
Short-term U.S. government and agency obligations   (4,802)   (73,335) 
          
Change in net unrealized appreciation (depreciation)   141,211   268,741 
          
Net realized and unrealized gain (loss)   (1,266,100)   3,021,849 
          
Net income (loss)
  $(780,548)  $2,919,798 
          
See accompanying notes to financial statements.
F-54
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $75,113,179  $54,263,045 
          
Addition of 100,000 and 50,000 shares, respectively   3,051,886   1,371,662 
Redemption of 600,000 and 300,000 shares, respectively   (17,847,257)   (8,056,421) 
          
Net addition (redemption) of (500,000) and (250,000) shares, respectively   (14,795,371)   (6,684,759) 
          
Net investment income (loss)   485,552   (102,051) 
Net realized gain (loss)   (1,407,311)   2,753,108 
Change in net unrealized appreciation (depreciation)   141,211   268,741 
          
Net income (loss)   (780,548)   2,919,798 
          
Shareholders’ equity, end of period
  $59,537,260  $50,498,084 
          
See accompanying notes to financial statements.
F-55
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Cash flow from operating activities
         
Net income (loss)  $(780,548)  $2,919,798 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (54,925,175)   (29,988,234) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   95,000,000   35,210,974 
Net amortization and accretion on short-term U.S. government and agency obligations   (83,003)   (16,008) 
Net realized (gain) loss on investments   —     (210,974) 
Change in unrealized (appreciation) depreciation on investments   (141,211)   (268,741) 
Decrease (Increase) in interest receivable   (34,330)   603 
Increase (Decrease) in payable to Sponsor   (12,013)   (3,776) 
          
Net cash provided by (used in) operating activities   39,023,720   7,643,642 
          
Cash flow from financing activities
         
Proceeds from addition of shares   3,051,886   1,371,662 
Payment on shares redeemed   (16,411,868)   (8,056,421) 
          
Net cash provided by (used in) financing activities   (13,359,982)   (6,684,759) 
          
Net increase (decrease) in cash
   25,663,738   958,883 
Cash, beginning of period   37,531,356   7,554,065 
          
Cash, end of period  $63,195,094  $8,512,948 
          
See accompanying notes to financial statements.
F-56
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
March 31, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Cash  $13,054,368   $12,252,100 
Segregated cash balances with brokers for futures contracts   614,000    232,313 
Segregated cash balances with brokers for swap agreements   3,476,000    3,536,000 
Receivable on open futures contracts   59,952    —   
Interest receivable   41,782    42,135 
           
Total assets   17,246,102    16,062,548 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   —      700 
Payable to Sponsor   11,441    12,854 
Unrealized depreciation on swap agreements   1,185,388    592,957 
           
Total liabilities   1,196,829    606,511 
           
Commitments and Contingencies (Note 2)          
Shareholders’ equity
          
Shareholders’ equity   16,049,273    15,456,037 
           
Total liabilities and shareholders’ equity  $17,246,102   $16,062,548 
           
Shares outstanding   596,977    496,977 
           
Net asset value per share  $26.88   $31.10 
           
Market value per share (Note 2)  $26.84   $30.99 
           
See accompanying notes to financial statements.
F-57
Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2023
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures – COMEX, expires June 2023   76   $15,095,120   $(162,157) 
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
  
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25%   04/06/23   $(3,932,159)  $(227,829) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.20   04/06/23    (5,153,543)   (495,713) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25   04/06/23    (7,971,123)   (461,846) 
                   
             Total Unrealized
Depreciation
 		 $(1,185,388) 
                   
^The positions and counterparties herein are as of March 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
66
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

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

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

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

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

   469,000    —   
Unrealized appreciation on swap agreements

   908,323    0   
Interest receivable   0      434 
           
Total assets   32,778,195    27,971,304 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   155,425    92,537 
Brokerage commissions and futures account fees payable   533    294 
Payable to Sponsor   23,786    25,512 
Unrealized depreciation on swap agreements   0      993,117 
           
Total liabilities   179,744    1,111,460 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   32,598,451    26,859,844 
           
Total liabilities and shareholders’ equity  $32,778,195   $27,971,304 
           
Shares outstanding   1,196,977    846,977 
           
Net asset value per share  $27.23   $31.71 
           
Market value per share (Note 2)  $27.61   $31.66 
           
See accompanying notes to financial statements.
70
Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2022
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(67% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22
†
  $8,000,000   $7,999,334 
0.393% due 07/21/22
†
   6,000,000    5,986,957 
0.223% due 11/03/22
†
   8,000,000    7,951,280 
           
Total short-term U.S. government and agency obligations
(cost $21,981,721)		       $21,937,571 
           
Futures Contracts Sold
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires June 2022   134   $26,183,600   $325,987 
Total Return Swap Agreements
^
               
   
Rate Paid

(Received)
*
  
Termination

Date
  
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex   0.25%  04/06/22  $(16,074,140)  $372,654 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex   0.20  04/06/22   (10,515,819)   244,146 
Swap agreement with UBS AG based on Bloomberg Gold Subindex   0.25  04/06/22   (12,574,684)   291,523 
                 
           Total Unrealized
Appreciation		 
 		 $908,323 
                 
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of March 31, 2022,2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
71F-58
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
        
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $9,685  $2,962   $132,562  $9,685 
              
Expenses
      
Management fee   66,138   63,727    36,373   66,138 
Brokerage commissions   2,811   3,590    1,361   2,811 
Futures accounts fees   1,866   4,686    —     1,866 
              
Total expenses   70,815   72,003    37,734   70,815 
              
Net investment income (loss)   (61,130)   (69,041)    94,828   (61,130) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   (1,991,249)   1,334,982    (114,050)   (1,991,249) 
Swap agreements   (4,317,424)   2,668,208    (916,831)   (4,317,424) 
Short-term U.S. government and agency obligations   4   169    —     4 
              
Net realized gain (loss)   (6,308,669)   4,003,359    (1,030,881)   (6,308,669) 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   167,908   236,075    (63,271)   167,908 
Swap agreements   1,901,440   (416,739)    (592,431)   1,901,440 
Short-term U.S. government and agency obligations   (40,569)   811    —     (40,569) 
              
Change in net unrealized appreciation (depreciation)   2,028,779   (179,853)    (655,702)   2,028,779 
              
Net realized and unrealized gain (loss)   (4,279,890)   3,823,506    (1,686,583)   (4,279,890) 
              
Net income (loss)
  $(4,341,020)  $3,754,465   $(1,591,755)  $(4,341,020) 
              
See accompanying notes to financial statements.
 
72F-59
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $26,859,844  $20,337,376   $15,456,037  $26,859,844 
              
Addition of 450,000 and 750,000 shares, respectively   13,189,949   27,291,216 
Redemption of 100,000 and 300,000 shares, respectively   (3,110,322)   (10,139,542) 
Addition of 300,000 and 450,000 shares, respectively   8,364,270   13,189,949 
Redemption of 200,000 and 100,000 shares, respectively   (6,179,279)   (3,110,322) 
              
Net addition (redemption) of 350,000 and 450,000 shares, respectively   10,079,627   17,151,674 
Net addition (redemption) of 100,000 and 350,000 shares, respectively   2,184,991   10,079,627 
              
Net investment income (loss)   (61,130)   (69,041)    94,828   (61,130) 
Net realized gain (loss)   (6,308,669)   4,003,359    (1,030,881)   (6,308,669) 
Change in net unrealized appreciation (depreciation)   2,028,779   (179,853)    (655,702)   2,028,779 
              
Net income (loss)   (4,341,020)   3,754,465    (1,591,755)   (4,341,020) 
              
Shareholders’ equity, end of period
  $32,598,451  $41,243,515   $16,049,273  $32,598,451 
              
See accompanying notes to financial statements.
 
73F-60
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $(4,341,020)  $3,754,465   $(1,591,755)  $(4,341,020) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (17,987,492)   (18,997,037)    —     (17,987,492) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   21,999,990   5,999,936    —     21,999,990 
Net amortization and accretion on short-term U.S. government and agency obligations   (10,118)   (1,516)    —     (10,118) 
Net realized (gain) loss on investments   (4)   (169)    —     (4) 
Change in unrealized (appreciation) depreciation on investments   (1,860,871)   415,928    592,431   (1,860,871) 
Decrease (Increase) in receivable on open futures contracts   0   1,317    (59,952)   —   
Decrease (Increase) in interest receivable   434   127    353   434 
Increase (Decrease) in payable to Sponsor   (1,726)   10,663    (1,413)   (1,726) 
Increase (Decrease) in brokerage commissions and futures account fees payable   239   1,492    —     239 
Increase (Decrease) in payable on open futures contracts   62,888   536,010    (700)   62,888 
              
Net cash provided by (used in) operating activities   (2,137,680)   (8,278,784)    (1,061,036)   (2,137,680) 
              
Cash flow from financing activities
      
Proceeds from addition of shares   13,189,949   27,291,216    8,364,270   13,189,949 
Payment on shares redeemed   (3,110,322)   (10,139,542)    (6,179,279)   (3,110,322) 
              
Net cash provided by (used in) financing activities   10,079,627   17,151,674    2,184,991   10,079,627 
              
Net increase (decrease) in cash
   7,941,947   8,872,890    1,123,955   7,941,947 
Cash, beginning of period   1,990,354   20,633,371    16,020,413   1,990,354 
              
Cash, end of period  $9,932,301  $29,506,261   $17,144,368  $9,932,301 
              
See accompanying notes to financial statements.
 
74F-61
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31,
2021
   
March 31, 2023
(unaudited)
   
December 31,
2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $13,931,199 and $22,995,121, respectively)  $13,910,829   $22,994,261 
Cash   7,528,145    1,829,901   $13,761,074   $21,887,346 
Segregated cash balances with brokers for futures contracts   1,604,313    1,081,575    1,319,312    2,820,937 
Segregated cash balances with brokers for swap agreements   118,000    2,572,000    7,502,000    7,875,000 
Unrealized appreciation on swap agreements   273,094    —   
Receivable from capital shares sold   931,710    972,789 
Receivable on open futures contracts   0      15,446    —      59,575 
Interest receivable   0      378    53,223    60,480 
                
Total assets   23,434,381    28,493,561    23,567,319    33,676,127 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable on open futures contracts   7,363    5,840    192,643    —   
Brokerage commissions and futures account fees payable   733    747 
Payable to Sponsor   19,769    28,560    16,663    20,705 
Unrealized depreciation on swap agreements   0      1,921,414    3,022,322    1,722,623 
                
Total liabilities   27,865    1,956,561    3,231,628    1,743,328 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   23,406,516    26,537,000    20,335,691    31,932,799 
                
Total liabilities and shareholders’ equity  $23,434,381   $28,493,561   $23,567,319   $33,676,127 
                
Shares outstanding (Note 1)   1,091,329    991,329 
Shares outstanding   1,091,329    1,641,329 
                
Net asset value per share (Note 1)  $21.45   $26.77 
Net asset value per share  $18.63   $19.46 
                
Market value per share (Note 1) (Note 2)  $21.78   $26.84 
Market value per share (Note 2)  $18.56   $19.30 
                
See accompanying notes to financial statements.
 
75F-62
Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
Futures Contracts Sold
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(59% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $947,000   $946,921 
0.393% due 07/21/22
†
   11,000,000    10,976,088 
0.223% due 11/03/22
†
   2,000,000    1,987,820 
           
Total short-term U.S. government and agency obligations
(cost $13,931,199)		       $13,910,829 
           
 
             
Futures Contracts Sold
 
            
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2022   167   $20,986,055   $267,147 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures – COMEX, expires May 2023   137   $16,546,860   $(824,037) 
Total Return Swap Agreements
^
 
        
Total Return Swap Agreements
^
          
  
Rate Paid

(Received)
*
 
Termination

Date
  
Notional Amount

at Value
**
 
Unrealized

Appreciation

(Depreciation)/Value
   
Rate Paid
(Received)
*
 
Termination
Date
   
Notional Amount
at Value
**
 
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex   0.25%  04/06/22  $(3,066,720)  $(193,389)    0.25%   04/06/23   $(2,858,231)  $(357,884) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex   0.25  04/06/22   (11,171,645)   259,041    0.25   04/06/23    (10,412,145)   (1,303,722) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex   0.30  04/06/22   (8,833,290)   204,525    0.30   04/06/23    (8,232,766)   (1,031,085) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex   0.25  04/06/22   (2,824,603)   2,917    0.25   04/06/23    (2,632,575)   (329,631) 
                
      Total Unrealized
Appreciation
   $273,094       Total Unrealized
Depreciation
 		 $(3,022,322) 
                
 
†All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of March 31, 2022.2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
*Reflects the floating financing rate, as of March 31, 2022,2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “ short”“short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
76F-63
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Investment Income
      
Interest  $8,920  $3,117   $200,078  $8,920 
              
Expenses
      
Management fee   60,953   84,745    60,168   60,953 
Brokerage commissions   5,301   7,444    5,703   5,301 
Futures accounts fees   3,274   9,991    —     3,274 
              
Total expenses   69,528   102,180    65,871   69,528 
              
Net investment income (loss)   (60,608)   (99,063)    134,207   (60,608) 
              
Realized and unrealized gain (loss) on investment activity
      
Net realized gain (loss) on
      
Futures contracts   (1,293,770)   (1,236,193)    1,331,998   (1,293,770) 
Swap agreements   (6,079,976)   (1,696,158)    1,381,625   (6,079,976) 
Short-term U.S. government and agency obligations   (190)   85    —     (190) 
              
Net realized gain (loss)   (7,373,936)   (2,932,266)    2,713,623   (7,373,936) 
              
Change in net unrealized appreciation (depreciation) on
      
Futures contracts   (385,346)   3,496,970    116,463   (385,346) 
Swap agreements   2,194,508   3,968,794    (1,299,699)   2,194,508 
Short-term U.S. government and agency obligations   (19,510)   747    —     (19,510) 
              
Change in net unrealized appreciation (depreciation)   1,789,652   7,466,511    (1,183,236)   1,789,652 
              
Net realized and unrealized gain (loss)   (5,584,284)   4,534,245    1,530,387   (5,584,284) 
              
Net income (loss)
  $(5,644,892)  $4,435,182   $1,664,594  $(5,644,892) 
              
See accompanying notes to financial statements.
 
77F-64
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $26,537,000  $28,885,775   $31,932,799  $26,537,000 
              
Addition of 1,100,000 and 2,450,000 shares, respectively (Note 1)   25,560,144   58,095,647 
Redemption of 1,000,000 and 1,875,000 shares, respectively (Note 1)   (23,045,736)   (46,271,940) 
Addition of 650,000 and 1,100,000 shares, respectively   13,789,540   25,560,144 
Redemption of 1,200,000 and 1,000,000 shares, respectively   (27,051,242)   (23,045,736) 
              
Net addition (redemption) of 100,000 and 575,000 shares, respectively (Note 1)   2,514,408   11,823,707 
Net addition (redemption) of (550,000) and 100,000 shares, respectively   (13,261,702)   2,514,408 
              
Net investment income (loss)   (60,608)   (99,063)    134,207   (60,608) 
Net realized gain (loss)   (7,373,936)   (2,932,266)    2,713,623   (7,373,936) 
Change in net unrealized appreciation (depreciation)   1,789,652   7,466,511    (1,183,236)   1,789,652 
              
Net income (loss)   (5,644,892)   4,435,182    1,664,594   (5,644,892) 
              
Shareholders’ equity, end of period
  $23,406,516  $45,144,664   $20,335,691  $23,406,516 
              
See accompanying notes to financial statements.
 
78F-65
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
  
Three Months Ended

March 31,
   
Three Months Ended
March 31,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
      
Net income (loss)  $(5,644,892)  $4,435,182   $1,664,594  $(5,644,892) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:      
Purchases of short-term U.S. government and agency obligations   (20,979,052)   (22,996,733)    —     (20,979,052) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   30,052,082   7,999,988    —     30,052,082 
Net amortization and accretion on short-term U.S. government and agency obligations   (9,298)   (2,043)    —     (9,298) 
Net realized (gain) loss on investments   190   (85)    —     190 
Change in unrealized (appreciation) depreciation on investments   (2,174,998)   (3,969,541)    1,299,699   (2,174,998) 
Decrease (Increase) in receivable on open futures contracts   15,446   (208,039)    59,575   15,446 
Decrease (Increase) in interest receivable   378   463    7,257   378 
Increase (Decrease) in payable to Sponsor   (8,791)   7,144    (4,042)   (8,791) 
Increase (Decrease) in brokerage commissions and futures account fees payable   (14)   3,309    —     (14) 
Increase (Decrease) in payable on open futures contracts   1,523   294,893    192,643   1,523 
              
Net cash provided by (used in) operating activities   1,252,574   (14,435,462)    3,219,726   1,252,574 
              
Cash flow from financing activities
      
Proceeds from addition of shares   25,560,144   58,095,647    13,830,619   25,560,144 
Payment on shares redeemed   (23,045,736)   (46,271,940)    (27,051,242)   (23,045,736) 
              
Net cash provided by (used in) financing activities   2,514,408   11,823,707    (13,220,623)   2,514,408 
              
Net increase (decrease) in cash
   3,766,982   (2,611,755)    (10,000,897)   3,766,982 
Cash, beginning of period   5,483,476   32,155,049    32,583,283   5,483,476 
              
Cash, end of period  $9,250,458  $29,543,294   $22,582,386  $9,250,458 
              
See accompanying notes to financial statements.
 
79F-66
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31,
2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $20,984,538 and $20,990,068, respectively)  $20,954,357   $20,987,825 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively)  $—     $22,998,059 
Cash   13,748,678    3,003,251    19,852,266    451,616 
Segregated cash balances with brokers for foreign currency forward contracts   3,562,511    3,652,511 
Unrealized appreciation on foreign currency forward contracts   2,372,690    1,237,168    102,137    963,369 
Receivable from capital shares sold   2,799,847    —   
Interest receivable   0      339    81,452    36,071 
                
Total assets   37,075,725    25,228,583    26,398,213    28,101,626 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   9,290,592    —      —      2,683,455 
Payable to Sponsor   21,724    20,211    19,087    29,633 
Unrealized depreciation on foreign currency forward contracts   36,708    367,588    1,267,308    3,990,802 
                
Total liabilities   9,349,024    387,799    1,286,395    6,703,890 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   27,726,701    24,840,784    25,111,818    21,397,736 
                
Total liabilities and shareholders’ equity  $37,075,725   $25,228,583   $26,398,213   $28,101,626 
                
Shares outstanding   299,290    299,290 
Shares outstanding (Note 1)   448,580    398,580 
                
Net asset value per share  $92.64   $83.00 
Net asset value per share (Note 1)  $55.98   $53.68 
                
Market value per share (Note 2)  $92.73   $82.99 
Market value per share (Note 1) (Note 2)  $56.00   $53.57 
                
See accompanying notes to financial statements.
 
80F-67
Table of Contents
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)

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

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
   
Settlement Date
   
Contract Amount
in Local Currency
 
Contract Amount
in U.S. Dollars
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
            
Yen with Goldman Sachs International   04/14/23    1,438,381,000  $10,858,080  $(40,031) 
Yen with UBS AG   04/08/22    2,874,020,000  $23,612,146  $(36,708)    04/14/23    1,461,674,000   11,033,916   142,168 
                
       Total Unrealized
Depreciation		 
 		 $(36,708)        Total Unrealized
Appreciation		 
 		 $102,137 
                
Contracts to Sell
            
Yen with Goldman Sachs International   04/08/22    (1,973,114,165)  $(16,210,555)  $748,238    04/14/23    (4,075,246,165)  $(30,763,304)  $(565,997) 
Yen with UBS AG   04/08/22    (7,652,928,574)   (62,874,326)   1,624,452    04/14/23    (5,475,162,574)   (41,331,023)   (701,311) 
                
       Total Unrealized
Appreciation		 
 		 $2,372,690        Total Unrealized
Depreciation
 		 $(1,267,308) 
                
 
†All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of March 31, 2022.2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
81F-68
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $9,399  $3,596 
          
Expenses
         
Management fee   59,820   66,553 
          
Total expenses   59,820   66,553 
          
Net investment income (loss)   (50,421)   (62,957) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   1,080,173   1,259,573 
Short-term U.S. government and agency obligations   102,971   —   
          
Net realized gain (loss)   1,183,144   1,259,573 
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   1,466,402   2,900,888 
Short-term U.S. government and agency obligations   (27,938)   854 
          
Change in net unrealized appreciation (depreciation)   1,438,464   2,901,742 
          
Net realized and unrealized gain (loss)   2,621,608   4,161,315 
          
Net income (loss)
  $2,571,187  $4,098,358 
          
         
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Investment Income
         
Interest  $204,200  $9,399 
          
Expenses
         
Management fee   50,812   59,820 
          
Total expenses   50,812   59,820 
          
Net investment income (loss)   153,388   (50,421) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts   (1,027,976)   1,080,173 
Short-term U.S. government and agency obligations   —     102,971 
          
Net realized gain (loss)   (1,027,976)   1,183,144 
          
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts   1,862,262   1,466,402 
Short-term U.S. government and agency obligations   (2,761)   (27,938) 
          
Change in net unrealized appreciation (depreciation)   1,859,501   1,438,464 
          
Net realized and unrealized gain (loss)   831,525   2,621,608 
          
Net income (loss)
  $984,913  $2,571,187 
          
See accompanying notes to financial statements.
 
82F-69
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $24,840,784  $23,691,070 
          
Addition of 100,000 and 100,000 shares, respectively   9,605,322   7,132,412 
Redemption of 100,000 and – shares, respectively   (9,290,592)   0   
          
Net addition (redemption) of 0 and 100,000 shares, respectively   314,730   7,132,412 
          
Net investment income (loss)   (50,421)   (62,957) 
Net realized gain (loss)   1,183,144   1,259,573 
Change in net unrealized appreciation (depreciation)   1,438,464   2,901,742 
          
Net income (loss)   2,571,187   4,098,358 
          
Shareholders’ equity, end of period
  $27,726,701  $34,921,840 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $21,397,736  $24,840,784 
          
Addition of 200,000 and 200,000 shares, respectively (Note 1)   11,156,537   9,605,322 
Redemption of 150,000 and 200,000 shares, respectively (Note 1)   (8,427,368)   (9,290,592) 
          
Net addition (redemption) of 50,000 and – shares, respectively (Note 1)   2,729,169   314,730 
          
Net investment income (loss)   153,388   (50,421) 
Net realized gain (loss)   (1,027,976)   1,183,144 
Change in net unrealized appreciation (depreciation)   1,859,501   1,438,464 
          
Net income (loss)   984,913   2,571,187 
          
Shareholders’ equity, end of period
  $25,111,818  $27,726,701 
          
See accompanying notes to financial statements.
 
83F-70
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $2,571,187  $4,098,358 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (17,984,733)   (21,496,640) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   18,102,971   7,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (9,737)   (2,141) 
Net realized (gain) loss on investments   (102,971)   —   
Change in unrealized (appreciation) depreciation on investments   (1,438,464)   (2,901,742) 
Decrease (Increase) in interest receivable   339   410 
Increase (Decrease) in payable to Sponsor   1,513   7,512 
          
Net cash provided by (used in) operating activities   1,140,105   (13,294,243) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   9,605,322   7,132,412 
          
Net cash provided by (used in) financing activities   9,605,322   7,132,412 
          
Net increase (decrease) in cash
   10,745,427   (6,161,831) 
Cash, beginning of period   3,003,251   24,274,564 
          
Cash, end of period  $13,748,678  $18,112,733 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Cash flow from operating activities
         
Net income (loss)  $984,913  $2,571,187 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   —     (17,984,733) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   23,000,000   18,102,971 
Net amortization and accretion on short-term U.S. government and agency obligations   (4,702)   (9,737) 
Net realized (gain) loss on investments   —     (102,971) 
Change in unrealized (appreciation) depreciation on investments   (1,859,501)   (1,438,464) 
Decrease (Increase) in interest receivable   (45,381)   339 
Increase (Decrease) in payable to Sponsor   (10,546)   1,513 
          
Net cash provided by (used in) operating activities   22,064,783   1,140,105 
          
Cash flow from financing activities
         
Proceeds from addition of shares   8,356,690   9,605,322 
Payment on shares redeemed   (11,110,823)   —   
          
Net cash provided by (used in) financing activities   (2,754,133)   9,605,322 
          
Net increase (decrease) in cash
   19,310,650   10,745,427 
Cash, beginning of period   4,104,127   3,003,251 
          
Cash, end of period  $23,414,777  $13,748,678 
          
See accompanying notes to financial statements.
 
84F-71
Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
  
March 31, 2022

(unaudited)
   
December 31, 2021
   
March 31, 2023
(unaudited)
   
December 31,
2022
 
Assets
            
Short-term U.S. government and agency obligations (Note 3) (cost $63,955,449 and $85,937,303, respectively)  $63,802,455   $85,922,969 
Short-term U.S. government and agency obligations (Note 3) (cost $44,936,828 and $49,876,697, respectively)  $44,934,404   $49,882,348 
Cash   16,665,482    8,130,069    13,499,926    19,575,939 
Segregated cash balances with brokers for futures contracts   15,897,200    18,941,750    9,985,700    14,384,050 
Receivable on open futures contracts   1,586,495    63,397    168,815    142,794 
Interest receivable   0      1,097    116,972    88,180 
                
Total assets   97,951,632    113,059,282    68,705,817    84,073,311 
                
Liabilities and shareholders’ equity
            
Liabilities
            
Payable for capital shares redeemed   1,339,113    —   
Payable on open futures contracts   0      94,495    14,074    —   
Brokerage commissions and futures account fees payable   10,122    7,124    2,677    3,688 
Payable to Sponsor   71,596    81,983    43,866    54,664 
                
Total liabilities   81,718    183,602    1,399,730    58,352 
                
Commitments and Contingencies (Note 2)   0     0        
Shareholders’ equity
            
Shareholders’ equity   97,869,914    112,875,680    67,306,087    84,014,959 
                
Total liabilities and shareholders’ equity  $97,951,632   $113,059,282   $68,705,817   $84,073,311 
                
Shares outstanding   3,112,403    3,687,403    2,512,403    2,762,403 
                
Net asset value per share  $31.45   $30.61   $26.79   $30.41 
                
Market value per share (Note 2)  $31.50   $30.57   $26.82   $30.36 
                
See accompanying notes to financial statements.
 
85F-72
Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
 
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(65% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $32,000,000   $31,997,335 
0.223% due 11/03/22   32,000,000    31,805,120 
           
Total short-term U.S. government and agency obligations
(cost $63,955,449)		       $63,802,455 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(67% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
3.874% due 04/11/23  $25,000,000   $24,973,528 
4.156% due 04/18/23   20,000,000    19,960,876 
           
Total short-term U.S. government and agency obligations          
(cost $44,936,828)       $44,934,404 
           
Futures Contracts Purchased
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022   593   $15,480,562   $226,352 
VIX Futures - Cboe, expires August 2022   1,235    32,424,802    42,738 
VIX Futures - Cboe, expires September 2022   1,235    32,852,729    (1,054,439) 
VIX Futures - Cboe, expires October 2022   642    17,245,083    (174,214) 
                
             $(959,563) 
                
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures – Cboe, expires July 2023   545   $12,858,785   $(709,434) 
VIX Futures – Cboe, expires August 2023   942    22,324,458    510,275 
VIX Futures – Cboe, expires September 2023   942    22,599,428    130,594 
VIX Futures – Cboe, expires October 2023   396    9,523,800    (132,123) 
                
             $(200,688) 
                
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
86F-73
Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $23,923  $10,224 
          
Expenses
         
Management fee   215,663   178,080 
Brokerage commissions   24,869   11,312 
Futures accounts fees   35,488   25,632 
          
Total expenses   276,020   215,024 
          
Net investment income (loss)   (252,097)   (204,800) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   4,791,833   3,539,316 
Short-term U.S. government and agency obligations   (336)   —   
          
Net realized gain (loss)   4,791,497   3,539,316 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (335,175)   (8,276,672) 
Short-term U.S. government and agency obligations   (138,660)   1,150 
          
Change in net unrealized appreciation (depreciation)   (473,835)   (8,275,522) 
          
Net realized and unrealized gain (loss)   4,317,662   (4,736,206) 
          
Net income (loss)
  $4,065,565  $(4,941,006) 
          
         
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Investment Income
         
Interest  $647,920  $23,923 
          
Expenses
         
Management fee   150,123   215,663 
Brokerage commissions   9,169   24,869 
Futures accounts fees   11,440   35,488 
          
Total expenses   170,732   276,020 
          
Net investment income (loss)   477,188   (252,097) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (15,820,720)   4,791,833 
Short-term U.S. government and agency obligations   —     (336) 
          
Net realized gain (loss)   (15,820,720)   4,791,497 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   4,590,535   (335,175) 
Short-term U.S. government and agency obligations   (8,075)   (138,660) 
          
Change in net unrealized appreciation (depreciation)   4,582,460   (473,835) 
          
Net realized and unrealized gain (loss)   (11,238,260)   4,317,662 
          
Net income (loss)
  $(10,761,072)  $4,065,565 
          
See accompanying notes to financial statements.
 
87F-74
Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $112,875,680  $72,075,095 
          
Addition of 700,000 and 400,000 shares, respectively   22,135,602   15,879,994 
Redemption of 1,275,000 and 200,000 shares, respectively   (41,206,933)   (7,891,336) 
          
Net addition (redemption) of (575,000) and 200,000 shares, respectively   (19,071,331)   7,988,658 
          
Net investment income (loss)   (252,097)   (204,800) 
Net realized gain (loss)   4,791,497   3,539,316 
Change in net unrealized appreciation (depreciation)   (473,835)   (8,275,522) 
          
Net income (loss)   4,065,565   (4,941,006) 
          
Shareholders’ equity, end of period
  $97,869,914  $75,122,747 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $84,014,959  $112,875,680 
          
Addition of 275,000 and 700,000 shares, respectively   7,751,336   22,135,602 
Redemption of 525,000 and 1,275,000 shares, respectively   (13,699,136)   (41,206,933) 
          
Net addition (redemption) of (250,000) and (575,000) shares, respectively   (5,947,800)   (19,071,331) 
          
Net investment income (loss)   477,188   (252,097) 
Net realized gain (loss)   (15,820,720)   4,791,497 
Change in net unrealized appreciation (depreciation)   4,582,460   (473,835) 
          
Net income (loss)   (10,761,072)   4,065,565 
          
Shareholders’ equity, end of period
  $67,306,087  $97,869,914 
          
See accompanying notes to financial statements.
 
88F-75
Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $4,065,565  $(4,941,006) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (51,992,010)   (47,992,944) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   73,998,548   61,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (25,020)   (5,327) 
Net realized (gain) loss on investments   336   —   
Change in unrealized (appreciation) depreciation on investments   138,660   (1,150) 
Decrease (Increase) in receivable on open futures contracts   (1,523,098)   247,077 
Decrease (Increase) in interest receivable   1,097   (856) 
Increase (Decrease) in payable to Sponsor   (10,387)   8,296 
Increase (Decrease) in brokerage commissions and futures account fees payable   2,998   875 
Increase (Decrease) in payable on open futures contracts   (94,495)   188,562 
          
Net cash provided by (used in) operating activities   24,562,194   8,503,527 
          
Cash flow from financing activities
         
Proceeds from addition of shares   22,135,602   15,879,994 
Payment on shares redeemed   (41,206,933)   (8,807,123) 
          
Net cash provided by (used in) financing activities   (19,071,331)   7,072,871 
          
Net increase (decrease) in cash
   5,490,863   15,576,398 
Cash, beginning of period   27,071,819   27,802,834 
          
Cash, end of period  $32,562,682  $43,379,232 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Cash flow from operating activities
         
Net income (loss)  $(10,761,072)  $4,065,565 
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   (214,823,214)   (51,992,010) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   220,000,000   73,998,548 
Net amortization and accretion on short-term U.S. government and agency obligations   (236,917)   (25,020) 
Net realized (gain) loss on investments   —     336 
Change in unrealized (appreciation) depreciation on investments   8,075   138,660 
Decrease (Increase) in receivable on open futures contracts   (26,021)   (1,523,098) 
Decrease (Increase) in interest receivable   (28,792)   1,097 
Increase (Decrease) in payable to Sponsor   (10,798)   (10,387) 
Increase (Decrease) in brokerage commissions and futures account fees payable   (1,011)   2,998 
Increase (Decrease) in payable on open futures contracts   14,074   (94,495) 
          
Net cash provided by (used in) operating activities   (5,865,676)   24,562,194 
          
Cash flow from financing activities
         
Proceeds from addition of shares   7,751,336   22,135,602 
Payment on shares redeemed   (12,360,023)   (41,206,933) 
          
Net cash provided by (used in) financing activities   (4,608,687)   (19,071,331) 
          
Net increase (decrease) in cash
   (10,474,363)   5,490,863 
Cash, beginning of period   33,959,989   27,071,819 
          
Cash, end of period  $23,485,626  $32,562,682 
          
See accompanying notes to financial statements.
 
89F-76
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $169,889,115 and $150,887,871, respectively)  $169,589,079   $150,861,898 
Cash   31,727,811    11,013,736 
Segregated cash balances with brokers for futures contracts   120,057,105    104,947,080 
Receivable from capital shares sold   9,145,462    3,026,614 
Receivable on open futures contracts   74,735,260    2,115,232 
Interest receivable   0      1,774 
           
Total assets   405,254,717    271,966,334 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable on open futures contracts   15    2,037,391 
Brokerage commissions and futures account fees payable   57,973    38,926 
Payable to Sponsor   246,329    186,853 
           
Total liabilities   304,317    2,263,170 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   404,950,400    269,703,164 
           
Total liabilities and shareholders’ equity  $405,254,717   $271,966,334 
           
Shares outstanding (Note 1)   24,382,826    17,832,826 
           
Net asset value per share (Note 1)  $16.61   $15.12 
           
Market value per share (Note 1) (Note 2)  $16.57   $15.17 
           
   
March 31, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $104,841,128 and $89,329,814, respectively)  $104,841,062   $89,347,714 
Cash   19,325,280    33,526,868 
Segregated cash balances with brokers for futures contracts   71,032,224    91,634,942 
Receivable from capital shares sold   5,421,620    —   
Receivable on open futures contracts   26,161,690    52,643,553 
Interest receivable   512,515    403,667 
           
Total assets   227,294,391    267,556,744 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   —      570,473 
Payable on open futures contracts   353,115    223,719 
Brokerage commissions and futures account fees payable   14,043    27,102 
Payable to Sponsor   162,029    155,130 
           
Total liabilities   529,187    976,424 
           
Commitments and Contingencies (Note 2)          
Shareholders’ equity
          
Shareholders’ equity   226,765,204    266,580,320 
           
Total liabilities and shareholders’ equity  $227,294,391   $267,556,744 
           
Shares outstanding   25,107,826    23,382,826 
           
Net asset value per share  $9.03   $11.40 
           
Market value per share (Note 2)  $9.05   $11.38 
           
See accompanying notes to financial statements.
 
90F-77
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 20222023
(unaudited)
         
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(42% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
0.135% due 04/21/22  $55,000,000   $54,995,418 
0.209% due 05/19/22   25,000,000    24,991,333 
0.351% due 06/16/22   20,000,000    19,981,634 
0.393% due 07/21/22   12,000,000    11,973,914 
0.223% due 11/03/22   58,000,000    57,646,780 
           
Total short-term U.S. government and agency obligations
(cost $169,889,115)		       $169,589,079 
           
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(46% of shareholders’ equity)          
U.S. Treasury Bills
^^
:
          
4.401% due 04/04/23  $25,000,000   $24,996,803 
3.874% due 04/11/23   25,000,000    24,973,528 
4.156% due 04/18/23   30,000,000    29,941,314 
4.205% due 04/25/23   25,000,000    24,929,417 
           
Total short-term U.S. government and agency obligations          
(cost $104,841,128)       $104,841,062 
           
Futures Contracts Purchased
 
             
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2022   8,017   $188,150,973   $(38,308,680) 
VIX Futures - Cboe, expires May 2022   8,681    216,918,224    (4,996,257) 
                
             $(43,304,937) 
                
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures – Cboe, expires April 2023   6,151   $127,720,594   $(4,825,023) 
VIX Futures – Cboe, expires May 2023   4,474    99,002,909    (3,823,808) 
                
             $(8,648,831) 
                
 
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
91F-78
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $70,709  $38,460 
          
Expenses
         
Management fee   705,691   825,460 
Brokerage commissions   116,474   172,658 
Futures accounts fees   200,657   265,146 
          
Total expenses   1,022,822   1,263,264 
          
Net investment income (loss)   (952,113)   (1,224,804) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   53,734,127   (76,634,593) 
Short-term U.S. government and agency obligations   97   —   
          
Net realized gain (loss)   53,734,224   (76,634,593) 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (13,174,318)   (53,438,914) 
Short-term U.S. government and agency obligations   (274,063)   8,060 
          
Change in net unrealized appreciation (depreciation)   (13,448,381)   (53,430,854) 
          
Net realized and unrealized gain (loss)   40,285,843   (130,065,447) 
          
Net income (loss)
  $39,333,730  $(131,290,251) 
          
         
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Investment Income
         
Interest  $2,120,561  $70,709 
          
Expenses
         
Management fee   517,488   705,691 
Brokerage commissions   96,497   116,474 
Futures accounts fees   50,659   200,657 
          
Total expenses   664,644   1,022,822 
          
Net investment income (loss)   1,455,917   (952,113) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (46,096,702)   53,734,127 
Short-term U.S. government and agency obligations   8   97 
          
Net realized gain (loss)   (46,096,694)   53,734,224 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   1,147,992   (13,174,318) 
Short-term U.S. government and agency obligations   (17,966)   (274,063) 
          
Change in net unrealized appreciation (depreciation)   1,130,026   (13,448,381) 
          
Net realized and unrealized gain (loss)   (44,966,668)   40,285,843 
          
Net income (loss)
  $(43,510,751)  $39,333,730 
          
See accompanying notes to financial statements.
 
92F-79
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $269,703,164  $293,390,549 
          
Addition of 9,950,000 and 6,331,250 shares, respectively (Note 1)   161,172,915   326,892,710 
Redemption of 3,400,000 and 2,287,500 shares, respectively (Note 1)   (65,259,409)   (139,414,250) 
          
Net addition (redemption) of 6,550,000 and 4,043,750 shares, respectively (Note 1)   95,913,506   187,478,460 
          
Net investment income (loss)   (952,113)   (1,224,804) 
Net realized gain (loss)   53,734,224   (76,634,593) 
Change in net unrealized appreciation (depreciation)   (13,448,381)   (53,430,854) 
          
Net income (loss)   39,333,730   (131,290,251) 
          
Shareholders’ equity, end of period
  $404,950,400  $349,578,758 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $266,580,320  $269,703,164 
          
Addition of 11,500,000 and 9,950,000 shares, respectively   108,467,352   161,172,915 
Redemption of 9,775,000 and 3,400,000 shares, respectively   (104,771,717)   (65,259,409) 
          
Net addition (redemption) of 1,725,000 and 6,550,000 shares, respectively   3,695,635   95,913,506 
          
Net investment income (loss)   1,455,917   (952,113) 
Net realized gain (loss)   (46,096,694)   53,734,224 
Change in net unrealized appreciation (depreciation)   1,130,026   (13,448,381) 
          
Net income (loss)   (43,510,751)   39,333,730 
          
Shareholders’ equity, end of period
  $226,765,204  $404,950,400 
          
See accompanying notes to financial statements.
 
93F-80
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $39,333,730  $(131,290,251) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (167,928,504)   (247,959,463) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   148,999,840   180,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations   (72,483)   (29,126) 
Net realized (gain) loss on investments   (97)   —   
Change in unrealized (appreciation) depreciation on investments   274,063   (8,060) 
Decrease (Increase) in receivable on open futures contracts   (72,620,028)   408,326 
Decrease (Increase) in interest receivable   1,774   534 
Increase (Decrease) in payable to Sponsor   59,476   73,689 
Increase (Decrease) in brokerage commissions and futures account fees payable   19,047   39,399 
Increase (Decrease) in payable on open futures contracts   (2,037,376)   2,587,600 
          
Net cash provided by (used in) operating activities   (53,970,558)   (196,177,352) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   155,054,067   326,892,710 
Payment on shares redeemed   (65,259,409)   (139,414,250) 
          
Net cash provided by (used in) financing activities   89,794,658   187,478,460 
          
Net increase (decrease) in cash
   35,824,100   (8,698,892) 
Cash, beginning of period   115,960,816   206,562,147 
          
Cash, end of period  $151,784,916  $197,863,255 
          
         
   
Three Months Ended
March 31,
 
  
2023
  
2022
 
Cash flow from operating activities
         
Net income (loss)  $(43,510,751)  $39,333,730 
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   (124,671,570)   (167,928,504) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   109,979,608   148,999,840 
Net amortization and accretion on short-term U.S. government and agency obligations   (819,344)   (72,483) 
Net realized (gain) loss on investments   (8)   (97) 
Change in unrealized (appreciation) depreciation on investments   17,966   274,063 
Decrease (Increase) in receivable on open futures contracts   26,481,863   (72,620,028) 
Decrease (Increase) in interest receivable   (108,848)   1,774 
Increase (Decrease) in payable to Sponsor   6,899   59,476 
Increase (Decrease) in brokerage commissions and futures account fees payable   (13,059)   19,047 
Increase (Decrease) in payable on open futures contracts   129,396   (2,037,376) 
          
Net cash provided by (used in) operating activities   (32,507,848)   (53,970,558) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   103,045,732   155,054,067 
Payment on shares redeemed   (105,342,190)   (65,259,409) 
          
Net cash provided by (used in) financing activities   (2,296,458)   89,794,658 
          
Net increase (decrease) in cash
   (34,804,306)   35,824,100 
Cash, beginning of period   125,161,810   115,960,816 
          
Cash, end of period  $90,357,504  $151,784,916 
          
See accompanying notes to financial statements.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
         
   
March 31, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $2,872,659,877 and $2,505,722,885, respectively)  $2,869,108,822   $2,505,429,337 
Cash   581,016,956    394,413,910 
Segregated cash balances with brokers for futures contracts   1,226,733,453    1,010,799,328 
Segregated cash balances with brokers for foreign currency forward contracts   —      916,000 
Segregated cash balances with brokers for swap agreements   275,071,040    2,572,000 
Unrealized appreciation on swap agreements   1,181,417    113,159,180 
Unrealized appreciation on foreign currency forward contracts   2,513,844    1,457,257 
Receivable from capital shares sold   46,461,985    23,475,355 
Securities sold receivable
  
6,195,418
   
0  
 
Receivable on open futures contracts   584,563,167    205,819,074 
Interest receivable   1    22,943 
           
Total assets   5,592,846,103    4,258,064,384 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   32,894,304    25,594,902 
Payable on open futures contracts   56,668,379    51,142,167 
Brokerage commissions and futures account fees payable   588,986    476,241 
Payable to Sponsor   4,055,508    3,178,585 
Unrealized depreciation on swap agreements   160,246,560    3,391,968 
Unrealized depreciation on foreign currency forward contracts   325,796    806,178 
           
Total liabilities   254,779,533    84,590,041 
           
Commitments and Contingencies (Note 2)   0     0  
Shareholders’ equity
          
Shareholders’ equity   5,338,066,570    4,173,474,343 
           
Total liabilities and shareholders’ equity  $5,592,846,103   $4,258,064,384 
           
Shares outstanding (Note 1)   243,148,625    151,164,114 
           
   
March 31, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $1,128,485,646 and $1,466,423,925, respectively)  $1,128,525,172   $1,466,680,542 
Cash   1,047,333,295    625,964,378 
Segregated cash balances with brokers for futures contracts   1,162,646,230    925,792,861 
Segregated cash balances with brokers for foreign currency forward contracts   14,193,632    12,956,632 
Segregated cash balances with brokers for swap agreements   410,312,745    262,053,745 
Unrealized appreciation on swap agreements   77,717,092    119,880,255 
Unrealized appreciation on foreign currency forward contracts   1,257,272    2,823,510 
Receivable from capital shares sold   79,148,928    1,014,483 
Receivable on open futures contracts   437,228,019    522,770,291 
Interest receivable   6,696,066    4,920,772 
           
Total assets   4,365,058,451    3,944,857,469 
           
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed   87,697,670    32,725,077 
Payable on open futures contracts   20,917,321    11,742,794 
Brokerage commissions and futures account fees payable   156,470    165,165 
Payable to Sponsor   3,229,189    3,210,113 
Unrealized depreciation on swap agreements   110,498,415    2,315,580 
Unrealized depreciation on foreign currency forward contracts   3,928,493    6,911,994 
           
Total liabilities   226,427,558    57,070,723 
           
Commitments and Contingencies (Note 2)          
Shareholders’ equity
          
Shareholders’ equity   4,138,630,893    3,887,786,746 
           
Total liabilities and shareholders’ equity  $4,365,058,451   $3,944,857,469 
           
Shares outstanding (Note 1)   517,869,037    222,594,037 
           
See accompanying notes to financial statements.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Investment Income
         
Interest  $1,026,882  $549,742 
Expenses
         
Management fee   10,616,957   12,169,010 
Brokerage commissions   1,908,765   2,903,800 
Futures account fees   1,804,923   2,853,404 
          
Total expenses   14,330,645   17,926,214 
          
Net investment income (loss)   (13,303,763)   (17,376,472) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   408,448,775   (534,133,804) 
Swap agreements   705,182,989   55,764,481 
Foreign currency forward contracts   3,062,506   1,163,291 
Short-term U.S. government and agency obligations   227,575   19,761 
          
Net realized gain (loss)   1,116,921,845   (477,186,271) 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   52,639,066   (257,111,138) 
Swap agreements   (268,832,355)   (139,568,146) 
Foreign currency forward contracts   1,536,969   6,725,056 
Short-term U.S. government and agency obligations   (3,257,507)   106,285 
          
Change in net unrealized appreciation (depreciation)   (217,913,827)   (389,847,943) 
          
Net realized and unrealized gain (loss)   899,008,018   (867,034,214) 
          
Net income (loss)
  $885,704,255  $(884,410,686) 
          
   
Three Months Ended

March 31,
 
   
2023
  
2022*
 
Investment Income
         
Interest  $33,875,375  $1,026,882 
Expenses
         
Management fee   9,254,328   10,616,957 
Brokerage commissions   2,374,632   1,908,765 
Futures account fees   402,762   1,804,923 
          
Total expenses   12,031,722   14,330,645 
          
Net investment income (loss)   21,843,653   (13,303,763) 
          
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts   (1,085,860,567)   408,448,775 
Swap agreements   90,224,693   705,182,989 
Foreign currency forward contracts   (2,453,816)   3,062,506 
Short-term U.S. government and agency obligations   (13,530)   227,575 
          
Net realized gain (loss)   (998,103,220)   1,116,921,845 
          
Change in net unrealized appreciation (depreciation) on
         
Futures contracts   (32,561,423)   52,639,066 
Swap agreements   (150,345,998)   (268,832,355) 
Foreign currency forward contracts   1,417,263   1,536,969 
Short-term U.S. government and agency obligations   (217,091)   (3,257,507) 
          
Change in net unrealized appreciation (depreciation)   (181,707,249)   (217,913,827) 
          
Net realized and unrealized gain (loss)   (1,179,810,469)   899,008,018 
          
Net income (loss)
  $(1,157,966,816)  $885,704,255 
          
*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.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $4,173,474,343  $4,474,251,414 
          
Addition of 202,260,000 and 43,781,250 shares, respectively (Note 1)   3,082,800,285   3,034,497,796 
Redemption of 110,275,489 and 35,372,500 shares, respectively (Note 1)   (2,803,912,313)   (2,090,134,871) 
          
Net addition (redemption) of 91,984,511 and 8,408,750 shares, respectively (Note 1)   278,887,972   944,362,925 
          
Net investment income (loss)   (13,303,763)   (17,376,472) 
Net realized gain (loss)   1,116,921,845   (477,186,271) 
Change in net unrealized appreciation (depreciation)   (217,913,827)   (389,847,943) 
          
Net income (loss)   885,704,255   (884,410,686) 
          
Shareholders’ equity, end of period
  $5,338,066,570  $4,534,203,653 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022*
 
Shareholders’ equity, beginning of period
  $3,887,786,746  $4,173,474,343 
          
Addition of 512,825,000 and 132,610,000 shares, respectively (Note 1)   4,125,870,321   3,082,800,285 
Redemption of 217,550,000 and 111,335,123 shares, respectively (Note 1)   (2,717,059,358)   (2,803,912,313) 
          
Net addition (redemption) of 295,275,000 and 21,274,877 shares, respectively (Note 1)   1,408,810,963   278,887,972 
          
Net investment income (loss)   21,843,653   (13,303,763) 
Net realized gain (loss)   (998,103,220)   1,116,921,845 
Change in net unrealized appreciation (depreciation)   (181,707,249)   (217,913,827) 
          
Net income (loss)   (1,157,966,816)   885,704,255 
          
Shareholders’ equity, end of period
  $4,138,630,893  $5,338,066,570 
          
*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.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
         
   
Three Months Ended

March 31,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)  $885,704,255  $(884,410,686) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (3,797,102,540)   (3,414,460,174) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   3,431,442,943   2,422,995,930 
Net amortization and accretion on short-term U.S. government and agency obligations   (1,049,820)   (358,976) 
Net realized (gain) loss on investments   (227,575)   (19,761) 
Change in unrealized (appreciation) depreciation on investments   270,552,893   132,736,805 
Decrease (Increase) in securities sold receivable
   (6,195,418)   0   
Decrease (Increase) in receivable on futures contracts   (378,744,093)   (23,776,916) 
Decrease (Increase) in interest receivable   22,942   (105,237) 
Increase (Decrease) in payable to Sponsor   876,923   637,842 
Increase (Decrease) in brokerage commissions and futures account fees payable   112,745   397,470 
Increase (Decrease) in payable on futures contracts   5,526,212   17,409,669 
Increase (Decrease) in securities purchased payable   0     38,977,944 
          
Net cash provided by (used in) operating activities   410,919,467   (1,709,976,090) 
          
Cash flow from financing activities
         
Proceeds from addition of shares   3,059,813,655   3,079,449,757 
Payment on shares redeemed   (2,796,612,911)   (2,105,182,292) 
          
Net cash provided by (used in) financing activities   263,200,744   974,267,465 
          
Net increase (decrease) in cash
   674,120,211   (735,708,625) 
Cash, beginning of period   1,408,701,238   3,256,463,457 
          
Cash, end of period  $2,082,821,449  $2,520,754,832 
          
   
Three Months Ended
March 31,
 
  
2023
  
2022*
 
Cash flow from operating activities
         
Net income (loss)  $(1,157,966,816)  $885,704,255 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:         
Purchases of short-term U.S. government and agency obligations   (18,561,204,980)   (3,797,102,540) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations   18,914,616,336   3,431,442,943 
Net amortization and accretion on short-term U.S. government and agency obligations   (15,486,607)   (1,049,820) 
Net realized (gain) loss on investments   13,530   (227,575) 
Change in unrealized (appreciation) depreciation on investments   149,145,826   270,552,893 
Decrease (Increase) in securities sold receivable   —     (6,195,418) 
Decrease (Increase) in receivable on futures contracts   85,542,272   (378,744,093) 
Decrease (Increase) in interest receivable   (1,775,294)   22,942 
Increase (Decrease) in payable to Sponsor   19,076   876,923 
Increase (Decrease) in brokerage commissions and futures account fees payable   (8,695)   112,745 
Increase (Decrease) in payable on futures contracts   9,174,527   5,526,212 
          
Net cash provided by (used in) operating activities   (577,930,825)   410,919,467 
          
Cash flow from financing activities
         
Proceeds from addition of shares   4,047,735,876   3,059,813,655 
Payment on shares redeemed   (2,662,086,765)   (2,796,612,911) 
          
Net cash provided by (used in) financing activities   1,385,649,111   263,200,744 
          
Net increase (decrease) in cash
   807,718,286   674,120,211 
Cash, beginning of period   1,826,767,616   1,408,701,238 
          
Cash, end of period  $2,634,485,902  $2,082,821,449 
          
*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.
 
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PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
March 31, 20222023
(unaudited)
NOTE 1 -– ORGANIZATION
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2022,2023, 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 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of 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.
EachThe “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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Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the three months March 31, 2022,2023, and during the year ended December 31, 2021.2022. 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 VIX Short-Term Futures ETFUltraShort Bloomberg Natural GasJanuary 13, 2022
1-for-5
reverse Share split
January 14, 2022
ProShares UltraShort Yen  May 25, 20212022  1-for-10 reverse
2-for-1
forward Share split
  May 26, 20212022
ProShares Ultra Bloomberg Crude OilMay 25, 2022
4-for-1
forward Share split
May 26, 2022
ProShares UltraShort Bloomberg Natural GasMay 25, 2022
1-for-4
reverse Share split
May 26, 2022
ProShares UltraShort Bloomberg Crude Oil  May 25, 20212022  1-for-4
1-for-5
reverse Share split
  May 26, 2021
ProShares UltraShort SilverMay 25, 20211-for-4 reverse Share splitMay 26, 2021
ProShares VIX Short-Term Futures ETFMay 25, 20211-for-4 reverse Share splitMay 26, 2021
ProShares UltraShort Bloomberg Natural GasJanuary 13, 20221-for-5 reverse Share splitJanuary 14, 2022
The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.
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, 2021,2022, as filed with the SEC on February 25, 2022.
2023.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote.
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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.
Statements of Cash Flows
The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March 31, 20222023 and 2021,2022, 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.
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Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 20222023 were typically as follows. All times are Eastern Standard Time:
 
Fund
  
Create/Redeem
Cut-off*
  
NAV Calculation
Time
  
NAV

Calculation Date
Ultra Silver and UltraShort Silver  1:00 p.m.  1:25 p.m.  March 31, 20222023
Ultra Gold and UltraShort Gold  1:00 p.m.  1:30 p.m.  March 31, 20222023
Ultra Bloomberg Crude Oil,         
Ultra Bloomberg Natural Gas,         
UltraShort Bloomberg Crude Oil and         
UltraShort Bloomberg Natural Gas  2:00 p.m.  2:30 p.m.  March 31, 2022
Short Euro,2023
Ultra Euro,         
Ultra Yen,
UltraShort Australian Dollar,         
UltraShort Euro and         
UltraShort Yen  3:00 p.m.  4:00 p.m.  March 31, 20222023
Short VIX Short-Term Futures ETF,         
Ultra VIX Short-Term Futures ETF,         
VIX
Mid-Term
Futures ETF and
         
VIX Short-Term Futures ETF  2:00 p.m.  4:00 p.m.  March 31, 20222023
 
*Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2022.2023.
Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2022.2023.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
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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 ShortUltraShort Euro Funds,Fund, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver Australian Dollar and ShortUltraShort Euro FundsFund are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. 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
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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 March 31, 20222023 using the fair value hierarchy:
 
                     
   
Level I - Quoted Prices
  
Level II - Other Significant

Observable Inputs
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

Agreements
  
Total
 
ProShares Short Euro  $—     $2,656  $—    $—    $2,656 
ProShares Short VIX Short-Term Futures ETF   180,357,257    35,984,462   —     —     216,341,719 
ProShares Ultra Bloomberg Crude Oil   1,016,050,654    245,591,163   —     (128,285,274)   1,133,356,543 
ProShares Ultra Bloomberg Natural Gas   95,749,617    76,824,603   —     —     172,574,220 
ProShares Ultra Euro   4,685,054    —     (50,318)   —     4,634,736 
ProShares Ultra Gold   298,473,849    (7,245,013)   —     (8,110,556)   283,118,280 
ProShares Ultra Silver   465,290,460    9,192,378   —     (23,850,730)   450,632,108 
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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  $94,860,624   $14,271,188  $—    $—    $109,131,812 
ProShares Ultra Bloomberg Crude Oil   199,701,685    29,494,163   —     (67,202,386)   161,993,462 
ProShares Ultra Bloomberg Natural Gas   299,709,730    (324,515,287)   —     (39,088,319)   (63,893,876) 
ProShares Ultra Euro   —      —     318,711   —     318,711 
ProShares Ultra Gold   94,860,624    5,096,411   —     15,353,259   115,310,294 
ProShares Ultra Silver   149,798,740    28,674,611   —     62,363,833   240,837,184 
ProShares Ultra VIX Short-Term Futures ETF  
$

193,118,875   
$

(161,212,660)  
$

—    
$
—    $31,906,215    69,863,821    (34,509,203)   —     —     35,354,618 
ProShares Ultra Yen   993,910    —     (231,651)   —     762,259    —      —     490,482   —     490,482 
ProShares UltraShort Australian Dollar   —      (96,657)   —     —     (96,657) 
ProShares UltraShort Bloomberg Crude Oil   172,675,022    (6,293,470)   —     —     166,381,552    44,957,679    21,216,008   —     —     66,173,687 
ProShares UltraShort Bloomberg Natural Gas   109,627,801    (74,095,907)   —     —     35,531,894    24,996,803    40,936,595   —     —     65,933,398 
ProShares UltraShort Euro   41,892,032    —     134,035   —     42,026,067    —      —     (2,315,243)   —     (2,315,243) 
ProShares UltraShort Gold   21,937,571    325,987   —     908,323   23,171,881    —      (162,157)   —     (1,185,388)   (1,347,545) 
ProShares UltraShort Silver   13,910,829    267,147   —     273,094   14,451,070    —      (824,037)   —     (3,022,322)   (3,846,359) 
ProShares UltraShort Yen   20,954,357    —     2,335,982   —     23,290,339    —      —     (1,165,171)   —     (1,165,171) 
ProShares VIX
Mid-Term
Futures ETF
   63,802,455    (959,563)   —     —     62,842,892    44,934,404    (200,688)   —     —     44,733,716 
ProShares VIX Short-Term Futures ETF   169,589,079    (43,304,937)   —     —     126,284,142    104,841,062    (8,648,831)   —     —     96,192,231 
                                  
Combined Trust:
  
$
2,869,108,822
 
  
$
74,980,189
 
 
$
2,188,048
 
 
$
(159,065,143
) 
 
$
2,787,211,916
 
  
$
1,128,525,172
 
  
$
(229,171,227
) 
 
$
(2,671,221
) 
 
$
(32,781,323
) 
 
$
863,901,401
 
 
*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, 20212022 using the fair value hierarchy:
 
          
  
Level I - Quoted Prices
 
Level II - Other Significant
Observable Inputs
     
Level I – Quoted Prices
 
Level II – Other Significant
Observable Inputs
   
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
 
Foreign

Currency

Forward

Contracts
 
Swap

Agreements
 
Total
   
Short-Term U.S.
Government and
Agencies
   
Futures
Contracts
*
 
Foreign
Currency
Forward
Contracts
 
Swap
Agreements
 
Total
 
ProShares Short Euro  $—     $(5,400)  $—    $—    $(5,400) 
ProShares Short VIX Short-Term Futures ETF   147,815,719    31,275,278   —     —     179,090,997   $144,307,676   $11,092,381  $—    $—    $155,400,057 
ProShares Ultra Bloomberg Crude Oil   848,757,567    147,455,525   —     63,928,293   1,060,141,385    313,465,007    26,291,716   —     74,159,577   413,916,300 
ProShares Ultra Bloomberg Natural Gas   90,922,438    (8,206,161)   —     —     82,716,277    263,260,158    (310,613,969)   —     —     (47,353,811) 
ProShares Ultra Euro   997,678    —     82,652   —     1,080,330    —      —     415,656   —     415,656 
ProShares Ultra Gold   207,956,320    654,894   —     8,639,188   217,250,402    129,123,489    3,242,088   —     6,496,466   138,862,043 
ProShares Ultra Silver   451,872,982    2,506,545   —     40,591,699   494,971,226    228,657,634    29,426,574   —     39,224,212   297,308,420 
ProShares Ultra VIX Short-Term Futures ETF   221,660,593    (126,356,757)   —     (477,437)   94,826,399    34,732,372    (36,555,453)   —     —     (1,823,081) 
ProShares Ultra Yen   —      —     (93,112)   —     (93,112)    —      —     984,549   —     984,549 
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    89,426,935    10,244,893   —     —     99,671,828 
ProShares UltraShort Bloomberg Natural Gas   123,821,548    13,436,251   —     —     137,257,799    61,482,526    85,889,398   —     —     147,371,924 
ProShares UltraShort Euro   46,961,125    —     (208,041)   —     46,753,084    39,996,624    —     (2,461,256)   —     37,535,368 
ProShares UltraShort Gold   25,980,516    158,079   —     (993,117)   25,145,478    —      (98,886)   —     (592,957)   (691,843) 
ProShares UltraShort Silver   22,994,261    652,493   —     (1,921,414)   21,725,340    —      (940,500)   —     (1,722,623)   (2,663,123) 
ProShares UltraShort Yen   20,987,825    —     869,580   —     21,857,405    22,998,059    —     (3,027,433)   —     19,970,626 
ProShares VIX
Mid-Term
Futures ETF
   85,922,969    (624,388)   —     —     85,298,581    49,882,348    (4,791,223)   —     —     45,091,125 
ProShares VIX Short-Term Futures ETF   150,861,898    (30,130,619)   —     —     120,731,279    89,347,714    (9,796,823)   —     —     79,550,891 
                                  
Combined Trust:
  
$
2,505,429,337
 
  
$
22,341,123
 
 
$
651,079
 
 
$
109,767,212
 
 
$
2,638,188,751
 
  
$
1,466,680,542
 
  
$
(196,609,804
) 
 
$
(4,088,484
) 
 
$
117,564,675
 
 
$
1,383,546,929
 
 
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*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
There were no transfers into or out of Level 3 for the fiscal year end.
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The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.
Brokerage Commissions and Futures Account Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,
give-up
fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,
on-going
analysis of tax law, regulation, and interpretations thereof.
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NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
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Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.
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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
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may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
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Swap Agreements
Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are
two-party
contracts that have traditionally been entered into primarily with institutional investors in
over-the-counter
(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.
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Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.
The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.
Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 20222023
contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.
The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated
tri-party
account at the Custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
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The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag
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between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2022,2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2022,2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
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Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’
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Table of Contents
performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of March 31, 20222023
 
 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  $35,984,462*   $—    ProShares Short VIX
Short-Term Futures ETF
 $14,271,188*  $—   
 ProShares Ultra VIX Short-Term Futures ETF   —     161,212,660*  ProShares Ultra VIX
Short-Term Futures ETF		  —     34,509,203* 
 ProShares VIX
Mid-Term
Futures ETF		  269,090*   1,228,653*  
ProShares VIX Mid-Term

Futures ETF		  640,869*   841,557* 
 ProShares VIX Short-Term Futures ETF   —     43,304,937*  ProShares VIX Short-
Term Futures ETF		  —     8,648,831* 
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  245,591,163*   128,285,274*  ProShares Ultra
Bloomberg Crude Oil		  29,494,163*   67,202,386* 
 ProShares Ultra Bloomberg Natural Gas  76,824,603*    —    ProShares Ultra
Bloomberg Natural Gas		  —     363,603,606* 
 ProShares Ultra Gold   —     15,355,569*  ProShares Ultra Gold  20,449,670*   —   
 ProShares Ultra Silver  9,192,378*   23,850,730*  ProShares Ultra Silver  91,038,444*   —   
 ProShares UltraShort Bloomberg Crude Oil  116,312*   6,409,782*  ProShares UltraShort
Bloomberg Crude Oil		  21,216,008*   —   
 ProShares UltraShort Bloomberg Natural Gas   —     74,095,907*  ProShares UltraShort
Bloomberg Natural Gas		  40,936,595*   —   
 ProShares UltraShort Gold  1,234,310*    —    ProShares UltraShort
Gold		  —     1,347,545* 
 ProShares UltraShort Silver  733,630*   193,389*  ProShares UltraShort
Silver		  —     3,846,359* 
Foreign Exchange Contracts  Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts  Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts 
 ProShares Short Euro  2,656*    —   
 ProShares Ultra Euro   —     50,318 
 ProShares Ultra Yen  7,119   238,770 
 ProShares UltraShort Australian Dollar   —     96,657* 
 ProShares UltraShort Euro  134,035    —   
 ProShares UltraShort Yen  2,372,690   36,708 
         
  Combined Trust: $372,462,448
*
 
  $454,359,354
*
 
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Table of Contents
Foreign Exchange
Contracts
     Unrealized appreciation
on foreign currency
forward contracts, and/or
receivables on open
futures contracts		      


 		Unrealized depreciation
on foreign currency
forward contracts, and/or
payable on open futures
contracts		 
 
 
 
 		    
   ProShares Ultra Euro     319,670       959 
   ProShares Ultra Yen     502,639       12,157 
   ProShares UltraShort
Euro		 
 		    332,826       2,648,069 
   ProShares UltraShort Yen     102,137       1,267,308 
                   
      
Combined Trust:
 
$
219,304,209
*
 
     
$
483,927,980
*
 
 
*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
Fair Value of Derivative Instruments as of December 31, 2022
109
    
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not
Accounted for as Hedging
Instruments
 
Fund
 
Statements of
Financial Condition
Location
 
Unrealized
Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts   Receivable on open
futures contracts,
unrealized
appreciation on swap
agreements		      

 		Payable on open futures
contracts, unrealized
depreciation on swap
agreements		 

 
 		    
  ProShares Short VIX
Short-Term Futures ETF
   $11,092,381*      $—   
  ProShares Ultra VIX
Short-Term Futures ETF		    —         36,555,453* 
  
ProShares VIX Mid-Term

Futures ETF		    —         4,791,223* 
  ProShares VIX Short-
Term Futures ETF		    —         9,796,823* 
Commodities Contracts   Receivables on open
futures contracts and/or
unrealized appreciation
on swap agreements		      

 		Payable on open futures
contracts and/or
unrealized depreciation on
swap agreements		 
 
 
 		    
  ProShares Ultra
Bloomberg Crude Oil		    100,451,293*       —   
  ProShares Ultra
Bloomberg Natural Gas		    —         310,613,969* 
  ProShares Ultra Gold    9,738,554*       —   
  ProShares Ultra Silver    68,650,786*       —   
  ProShares UltraShort
Bloomberg Crude Oil		    13,202,924*       2,958,031* 
  ProShares UltraShort
Bloomberg Natural Gas		    85,889,398*       —   
  ProShares UltraShort
Gold		    —         691,843* 
  ProShares UltraShort
Silver		    —         2,663,123* 
Foreign Exchange
Contracts
   Unrealized appreciation
on foreign currency
forward contracts, and/or
receivables on open
futures contracts		      


 		Unrealized depreciation
on foreign currency
forward contracts, and/or
payable on open futures
contracts		 
 
 
 
 		    
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Table of Contents
 
Fair Value of Derivative Instruments as of December 31, 2021
 
 
      Asset Derivatives  Liability Derivatives 
Derivatives Not
Accounted for as
Hedging Instruments
  Fund  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts    Receivables on open futures contracts, unrealized appreciation on swap agreements   Payable on open futures contracts, unrealized depreciation on swap agreements  
  ProShares Short VIX Short-Term Futures ETF    $31,275,278*    $—   
  ProShares Ultra VIX Short-Term Futures ETF     —       126,834,194* 
  ProShares VIX
Mid-Term
Futures ETF		     642,035*     1,266,423* 
  ProShares VIX Short-Term Futures ETF     —       30,130,619* 
Commodities Contracts    Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements  
  ProShares Ultra Bloomberg Crude Oil     211,383,818*     —   
  ProShares Ultra Bloomberg Natural Gas     —       8,206,161* 
  ProShares Ultra Gold     9,294,082*     —   
  ProShares Ultra Silver     43,098,244*     —   
  ProShares UltraShort Bloomberg Crude Oil     549,283*     8,958,745* 
  ProShares UltraShort Bloomberg Natural Gas     13,436,251*     —   
  ProShares UltraShort Gold     158,079*     993,117* 
  ProShares UltraShort Silver     652,493*     1,921,414* 
Foreign Exchange Contracts    Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts   Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts  
  ProShares Short Euro     —       5,400* 
  ProShares Ultra Euro     84,150     1,498 
  ProShares Ultra Yen     821     93,933 
  ProShares UltraShort Australian Dollar     —       65,155* 
  ProShares UltraShort Euro     135,118     343,159 
  ProShares UltraShort Yen     1,237,168     367,588 
               
    Combined Trust:  $311,946,820
*
 
   $179,187,406
*
 
   ProShares Ultra Euro     514,115  


  98,459 
   ProShares Ultra Yen     1,152,834  


  168,285 
   ProShares UltraShort
Euro		 
 		    193,192  


  2,654,448 
   ProShares UltraShort Yen     963,369  


  3,990,802 
            


    
      
Combined Trust:
 
$
291,848,846
*
 
 


 
$
374,982,459
*
 
 
*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 Effect of Derivative Instruments on the Statement of Operations
110
For the three months ended March 31, 2023
Derivatives Not Accounted
for as Hedging Instruments
 
Location of Gain
(Loss) on Derivatives
Recognized in Income
 
Fund
 
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
  
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on
futures contracts and/or swap agreements		          
    
ProShares Short VIX Short-Term
Futures ETF
 $29,604,148  $3,178,807 
    ProShares Ultra VIX Short-Term Futures ETF  (182,233,430)   2,046,250 
    
ProShares VIX
Mid-Term
Futures ETF
  (15,820,720)   4,590,535 
    ProShares VIX Short-Term Futures ETF  (46,096,702)   1,147,992 
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  85,780,427   (138,159,516) 
    ProShares Ultra Bloomberg Natural Gas  (1,061,631,294)   (52,989,637) 
    ProShares Ultra Gold  10,799,896   10,711,116 
    ProShares Ultra Silver  (28,743,864)   22,387,658 
    ProShares UltraShort Bloomberg Crude Oil  27,614,279   10,971,115 
    ProShares UltraShort Bloomberg Natural Gas  183,408,644   (44,952,803) 
    ProShares UltraShort Gold  (1,030,881)   (655,702) 
    ProShares UltraShort Silver  2,713,623   (1,183,236) 
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Table of Contents
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  280,279   (96,945) 
    ProShares Ultra Yen  (298,808)   (494,067) 
    ProShares UltraShort Euro  (1,407,311)   146,013 
    ProShares UltraShort Yen  (1,027,976)   1,862,262 
             
    
Combined Trust:
 
$
(998,089,690
) 
 
$
(181,490,158
) 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2022
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  Fund  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
 
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
 
Fund
 
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
 
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements      Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on
futures contracts and/or swap agreements		 
    ProShares Short VIX Short-Term Futures ETF  $(41,100,614)  $4,709,184  ProShares Short VIX Short-Term Futures ETF $(41,100,614)  $4,709,184 
    ProShares Ultra VIX Short-Term Futures ETF   280,994,684  (34,378,466)  ProShares Ultra VIX Short-Term Futures ETF 280,994,684  (34,378,466) 
    
ProShares VIX
Mid-Term
Futures ETF
   4,791,833  (335,175)  
ProShares VIX
Mid-Term
Futures ETF
 4,791,833  (335,175) 
    ProShares VIX Short-Term Futures ETF   53,734,127  (13,174,318)  ProShares VIX Short-Term Futures ETF 53,734,127  (13,174,318) 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements      
Net r
e
alized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
 
    ProShares Ultra Bloomberg Crude Oil   799,423,070  (94,077,929)  ProShares Ultra Bloomberg Crude Oil 799,423,070  (94,077,929) 
    ProShares Ultra Bloomberg Natural Gas   76,220,688  85,030,764  ProShares Ultra Bloomberg Natural Gas 76,220,688  85,030,764 
    ProShares Ultra Gold   57,818,596  (24,649,651)  ProShares Ultra Gold 57,818,596  (24,649,651) 
    ProShares Ultra Silver   116,637,027  (57,756,596)  ProShares Ultra Silver 116,637,027  (57,756,596) 
    ProShares UltraShort Bloomberg Crude Oil   (106,482,101)  2,115,992  ProShares UltraShort Bloomberg Crude Oil (106,482,101)  2,115,992 
    ProShares UltraShort Bloomberg Natural Gas   (114,665,698)  (87,532,158)  ProShares UltraShort Bloomberg Natural Gas (114,665,698)  (87,532,158) 
    ProShares UltraShort Gold   (6,308,673)  2,069,348 
    ProShares UltraShort Silver   (7,373,746)  1,809,162 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Short Euro   59,419  8,056 
    ProShares Ultra Euro   (441,030)  (132,970) 
    ProShares Ultra Yen   (118,771)  (138,539) 
    ProShares UltraShort Australian Dollar   (116,848)  (31,502) 
    ProShares UltraShort Euro   2,542,134  342,076 
    ProShares UltraShort Yen   1,080,173  1,466,402 
           
    Combined Trust:  $1,116,694,270  $(214,656,320) 
 
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Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2021
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  Fund  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
    ProShares Short VIX Short-Term Futures ETF  $24,209,417  $42,121,892 
    ProShares Ultra VIX Short-Term Futures ETF   (704,518,024)   (284,378,776) 
    
ProShares VIX
Mid-Term
Futures ETF
   3,539,316   (8,276,672) 
    ProShares VIX Short-Term Futures ETF   (76,634,593)   (53,438,914) 
Commodities Contracts  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
    ProShares Ultra Bloomberg Crude Oil   334,351,228   34,994,083 
    ProShares Ultra Bloomberg Natural Gas   41,582,385   (17,800,783) 
    ProShares Ultra Gold   (51,248,132)   (1,234,299) 
    ProShares Ultra Silver   4,910,551   (137,765,702) 
    ProShares UltraShort Bloomberg Crude Oil   (49,177,765)   5,636,634 
    ProShares UltraShort Bloomberg Natural Gas   (6,359,394)   15,893,547 
    ProShares UltraShort Gold   4,003,190   (180,664) 
    ProShares UltraShort Silver   (2,932,351)   7,465,764 
Foreign Exchange Contracts  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Short Euro   69,393   78,554 
    ProShares Ultra Euro   (27,342)   (311,140) 
    ProShares Ultra Yen   (139,467)   (256,089) 
    ProShares UltraShort Australian Dollar   (164,544)   206,052 
    ProShares UltraShort Euro   70,527   4,391,397 
    ProShares UltraShort Yen   1,259,573   2,900,888 
             
    Combined Trust:  $(477,206,032)  $(389,954,228) 
112F-99
Table of Contents
    ProShares UltraShort Gold  (6,308,673)   2,069,348 
    ProShares UltraShort Silver  (7,373,746)   1,809,162 
Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts          
    ProShares Short Euro  59,419   8,056 
    ProShares Ultra Euro  (441,030)   (132,970) 
    ProShares Ultra Yen  (118,771)   (138,539) 
    ProShares UltraShort Australian Dollar  (116,848)   (31,502) 
    ProShares UltraShort Euro  2,542,134   342,076 
    ProShares UltraShort Yen  1,080,173   1,466,402 
             
    
Combined Trust:
 
$
1,116,694,270
 
 
$
(214,656,320
) 
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 arrangementsarrang
e
ments do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2022.2023.
 
113F-100
Table of Contents
                         
Fair Values of Derivative Instruments as of March 31, 2022
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts

of Recognized

Assets presented

in the

Statements of

Financial

Condition
   
Gross Amounts

Offset in the

Statements of
Financial

Condition
   
Net Amounts of
Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts

of Recognized

Liabilities

presented in the
Statements of
Financial

Condition
   
Gross Amounts

Offset in the

Statements of

Financial

Condition
   
Net Amounts of

Liabilities

presented in the

Statements of

Financial

Condition
 
ProShares Ultra Bloomberg Crude Oil Swap agreements  $0     $0     $0     $128,285,274   $0     $128,285,274 
ProShares Ultra Euro Foreign currency forward contracts   0      0      0      50,318    0      50,318 
ProShares Ultra Gold Swap agreements   0      0      0      8,110,556    0      8,110,556 
ProShares Ultra Silver Swap agreements   0      0      0      23,850,730    0      23,850,730 
ProShares Ultra Yen Foreign currency forward contracts   7,119    0      7,119    238,770    0      238,770 
ProShares UltraShort Euro Foreign currency forward contracts   134,035    0      134,035    0      0      0   
ProShares UltraShort Gold Swap agreements   908,323    0      908,323    0      0      0   
ProShares UltraShort Silver Swap agreements   273,094    0      273,094    0      0      0   
ProShares UltraShort Yen Foreign currency forward contracts   2,372,690    0      2,372,690    36,708    0      36,708 
Fair Values of Derivative Instruments as of March 31, 2023
 
   
  
Assets
  
Liabilities
 
Fund
 
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil                        
Swap agreements $—    $—    $—    $67,202,386  $—    $67,202,386 
ProShares Ultra Bloomberg Natural Gas                        
Swap agreements  —     —     —     39,088,319   —     39,088,319 
ProShares Ultra Euro                        
Foreign currency forward contracts  319,670   —     319,670   959   —     959 
ProShares Ultra Gold                        
Swap agreements  15,353,259   —     15,353,259   —     —     —   
ProShares Ultra Silver                        
Swap agreements  62,363,833   —     62,363,833   —     —     —   
ProShares Ultra Yen                        
Foreign currency forward contracts  502,639   —     502,639   12,157   —     12,157 
ProShares UltraShort Euro                        
Foreign currency forward contracts  332,826   —     332,826   2,648,069   —     2,648,069 
ProShares UltraShort Gold                        
Swap agreements  —     —     —     1,185,388   —     1,185,388 
ProShares UltraShort Silver                        
Swap agreements  —     —     —     3,022,322   —     3,022,322 
ProShares UltraShort Yen                        
Foreign currency forward contracts  102,137   —     102,137   1,267,308   —     1,267,308 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2022.2023. These amounts may be collateralizedcollat
e
ralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2023
 
Fund
 
Amounts of Recognized Assets /
(Liabilities) presented in the
Statements of Financial Condition
  
Financial Instruments for the
Benefit of (the Funds) / the
Counterparties
  
Cash Collateral for the
Benefit of (the Funds) / the
        Counterparties        
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil                
Citibank, N.A. $(10,629,759)  $—    $10,629,759  $—   
Goldman Sachs International  (13,216,202)   —     13,216,202   —   
Morgan Stanley & Co. International PLC  (18,411,182)   —     18,411,182   —   
Societe Generale  (10,019,635)   —     10,019,635   —   
UBS AG  (14,925,608)   —     14,925,608   —   
ProShares Ultra Bloomberg
Natural Gas
 
 
 
 
Citibank N.A.
 
 
(15,605,398
) 
 
 
15,605,398
 
 
 
—  
 
 
 
—  
 
Goldman Sachs International
 
 
(23,296,489
) 
 
 
—  
 
 
 
—  
 
 
 
(23,296,489
) 
UBS AG
 
 
(186,432
) 
 
 
186,432
 
 
 
—  
 
 
 
—  
 
114
F-101
Table of Contents
        
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2022
 
Fund
  
Amounts of Recognized Assets /

(Liabilities) presented in the

Statements of Financial Condition
 
Financial Instruments for

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

Benefit of (the Funds) / the

Counterparties
 
Net Amount
 
ProShares Ultra Bloomberg Crude Oil   
Citibank, N.A.  $(18,119,250)  $0    $18,119,250  $0   
Goldman Sachs International   (36,248,743)   28,534,743   7,714,000   0   
Morgan Stanley & Co. International PLC   (31,383,289)   31,383,289   0     0   
Societe Generale   (17,086,634)   17,086,634   0     0   
UBS AG   (25,447,358)   0     25,447,358   0   
ProShares Ultra Euro    
Goldman Sachs International   (7,961)   7,961   0     0     145,994   —     —     145,994 
UBS AG   (42,357)   42,357   0     0     172,717   —     —     172,717 
ProShares Ultra Gold    
Citibank, N.A.   (2,792,482)   0     2,792,482   0     6,674,065   (6,674,065)   —     —   
Goldman Sachs International   (2,413,156)   625,156   1,788,000   0     3,169,970   (3,169,970)   —     —   
UBS AG   (2,904,918)   2,904,918   0     0     5,509,224   (5,509,224)   —     —   
ProShares Ultra Silver    
Citibank, N.A.   (7,141,286)   0     7,141,286   0     22,200,338   (21,755,480)   —     444,858 
Goldman Sachs International   (5,875,157)   0     5,875,157   0     2,932,172   (2,905,625)   —     26,547 
Morgan Stanley & Co. International PLC   (5,474,180)   5,474,180   0     0     18,503,019   —     (17,394,000)   1,109,019 
UBS AG   (5,360,107)   0     5,360,107   0     18,728,304   (17,967,788)   (9,608)   750,908 
ProShares Ultra Yen    
Goldman Sachs International   (140,970)   140,970   0     0     219,212   (219,212)   —     —   
UBS AG   (90,861)   0     0     (90,861)   271,270   (263,083)   —     8,187 
ProShares UltraShort Euro    
Goldman Sachs International   83,304   0     0     83,304   (1,111,073)   —     1,111,073   —   
UBS AG   50,731   0     0     50,731   (1,204,170)   —     1,204,170   —   
ProShares UltraShort Gold    
Citibank, N.A.   372,654   0     0     372,654   (227,829)   —     227,829   —   
Goldman Sachs International   244,146   (244,146)   0     0     (495,713)   —     495,713   —   
UBS AG   291,523   0     (291,523)   0     (461,846)   —     461,846   —   
ProShares UltraShort Silver    
Citibank, N.A.   (193,389)   193,389   0     0     (357,884)   —     357,884   —   
Goldman Sachs International   259,041   (259,041)   0     0     (1,303,722)   —     1,303,722   —   
Morgan Stanley & Co. International PLC   204,525   0     (204,525)   0     (1,031,085)   —     1,031,085   —   
UBS AG   2,917   0     0     2,917   (329,631)   —     320,000   (9,631) 
ProShares UltraShort Yen    
Goldman Sachs International   748,238   (748,238)   0     0     (606,028)   —     606,028   —   
UBS AG   1,587,744   0   (1,587,744)  0     (559,143)   —     559,143   —   
 
115F-102
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, 2021:2022:
 
            
Fair Values of Derivative Instruments as of December 31, 2021
 
Fair Values of Derivative Instruments as of December 31, 2022
Fair Values of Derivative Instruments as of December 31, 2022
 
  
Assets
   
Liabilities
  
Assets
 
Liabilities
 
Fund
  
Gross Amounts

of Recognized

Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts

Offset in the

Statements of

Financial

Condition
   
Net Amounts of
Assets presented

in the

Statements of
Financial

Condition
   
Gross Amounts

of Recognized

Liabilities

presented in the

Statements of
Financial

Condition
   
Gross Amounts
Offset in the
Statements of
Financial

Condition
   
Net Amounts of

Liabilities

presented in the

Statements of

Financial

Condition
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
 
Gross Amounts
Offset in the
Statements of
Financial
Condition
 
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
 
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
 
Gross Amounts
Offset in the
Statements of
Financial
Condition
 
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil                   
Swap agreements  $63,928,293   $0     $63,928,293   $0     $0     $0    $74,159,577  $—    $74,159,577  $—    $—    $—   
ProShares Ultra Euro                   
Foreign currency forward contracts   84,150    0      84,150    1,498    0      1,498   514,115   —     514,115   98,459   —     98,459 
ProShares Ultra Gold                   
Swap agreements   8,639,188    0      8,639,188    0      0      0     6,496,466   —     6,496,466   —     —     —   
ProShares Ultra Silver                   
Swap agreements   40,591,699    0      40,591,699    0      0      0   
ProShares Ultra VIX Short-Term Futures ETF                  
Swap agreements   0      0      0      477,437    0      477,437   39,224,212   —     39,224,212   —     —     —   
ProShares Ultra Yen                   
Foreign currency forward contracts   821    0      821    93,933    0      93,933   1,152,834   —     1,152,834   168,285   —     168,285 
ProShares UltraShort Euro                   
Foreign currency forward contracts   135,118    0      135,118    343,159    0      343,159   193,192   —     193,192   2,654,448   —     2,654,448 
ProShares UltraShort Gold                   
Swap agreements   0      0      0      993,117    0      993,117   —     —     —     592,957   —     592,957 
ProShares UltraShort Silver                   
Swap agreements   0      0      0      1,921,414    0      1,921,414   —     —     —     1,722,623   —     1,722,623 
ProShares UltraShort Yen                   
Foreign currency forward contracts   1,237,168    0      1,237,168    367,588    0      367,588   963,369   —     963,369   3,990,802   —     3,990,802 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021.2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022
 
Fund
 
Amounts of Recognized
Assets / (Liabilities)
presented in the Statements
of Financial Condition
  
Financial Instruments for
the Benefit of (the Funds) /
the Counterparties
  
Cash Collateral for the
Benefit of (the Funds) / the
        Counterparties        
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil                
Citibank, N.A. $11,723,388  $—    $—    $11,723,388 
Goldman Sachs International  14,575,933   (9,281,322)   —     5,294,611 
Morgan Stanley & Co. International PLC  20,305,392   —     —     20,305,392 
Societe Generale  11,075,235   (7,038,055)   —     4,037,180 
UBS AG  16,479,629   (10,808,424)   (41,993)   5,629,212 
116
F-103
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  $0    $(9,839,441)  $0   
Goldman Sachs International   13,920,431   (13,889,225)   (31,206)   0   
Morgan Stanley & Co. International PLC   17,042,319   0     (17,042,319)   0   
Societe Generale   9,295,046   (9,292,398)   (2,648)   0   
UBS AG   13,831,056   0     (13,831,056)   0   
ProShares Ultra Euro    
Goldman Sachs International   10,301   0     0     10,301   217,491   —     —     217,491 
UBS AG   72,351   0     0     72,351   198,165   (198,165)   —     —   
ProShares Ultra Gold    
Citibank, N.A.   2,974,490   0     (2,100,000)   874,490   2,582,849   —     —     2,582,849 
Goldman Sachs International   2,570,443   (1,877,749)   (250)   692,444   1,226,772   (1,193,425)   —     33,347 
UBS AG   3,094,255   0     (2,180,000)   914,255   2,686,845   (2,682,652)   (4,193)   —   
ProShares Ultra Silver    
Citibank, N.A.   10,785,304   0     (7,890,000)   2,895,304   12,628,472   —     —     12,628,472 
Goldman Sachs International   10,781,897   (8,181,572)   (5,925)   2,594,400   1,667,621   (1,667,621)   —     —   
Morgan Stanley & Co. International PLC   10,046,034   0     (7,306,000)   2,740,034   13,862,180   —     —     13,862,180 
UBS AG   8,978,464   0     (6,570,000)   2,408,464   11,065,939   (11,065,939)   —     —   
ProShares Ultra VIX Short-Term Futures ETF   
Goldman Sachs & Co.   (477,437)   0     0     (477,437) 
ProShares Ultra Yen    
Goldman Sachs International   (54,919)   0     54,919   0     683,120   (308,636)   —     374,484 
UBS AG   (38,193)   0     0     (38,193)   301,429   —     —     301,429 
ProShares UltraShort Euro    
Goldman Sachs International   (83,325)   83,325   0     0     (1,121,150)   —     1,121,150   —   
UBS AG   (124,716)   124,716   0     0     (1,340,106)   —     1.340,106   —   
ProShares UltraShort Gold    
Citibank, N.A.   (407,735)   407,735   0     0     (181,291)   —     181,291   —   
Goldman Sachs International   (266,413)   266,413   0     0     (231,533)   —     231,533   —   
UBS AG   (318,969)   318,969   0     0     (180,133)   —     180,133   —   
ProShares UltraShort Silver    
Citibank, N.A.   (367,632)   367,632   0     0     (203,969)   —     203,969   —   
Goldman Sachs International   (486,710)   368,710   118,000   0     (743,029)   —     743,029   —   
Morgan Stanley & Co. International PLC   (385,104)   0     385,104   0     (587,758)   —     587,758   —   
UBS AG   (681,968)   681,968   0     0     (187,867)   —     187,867   —   
ProShares UltraShort Yen    
Goldman Sachs International   312,169   (302,523)   0     9,646   (936,322)   —     936,322   —   
UBS AG   557,411   0     (520,000)   37,411   (2,091,111)   —     1,690,000   (401,111) 
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 ProShares UltraShort Australian Dollar ETF 
and
ProShares Short Euro ETF 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 fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent,
as
well as accounting and auditing fees and
F-104
Table of Contents
expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule
K-1
preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.
Non-Recurring
Fees and Expenses
Each Fund pays all its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
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Table of Contents
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds.Funds (the “Administrator”). 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(the “Custodian”). 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 (the “Transfer Agent”) of the Funds for entities that have entered into an Authorized ParticipantsParticipant Agreement with one or more of the Funds (“Authorized Participants”) and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – 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.
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
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services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
Transaction fees for the three months ended March 31, 20222023 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
 
  
Fund
  
Three Months Ended
March 31, 2022
   
Three Months Ended
March 31, 2023
 
ProShares Short Euro  $0   
ProShares Short VIX Short-Term Futures ETF   60,144   $112,214 
ProShares Ultra Bloomberg Crude Oil   0      —   
ProShares Ultra Bloomberg Natural Gas   0      —   
ProShares Ultra Euro   0      —   
ProShares Ultra Gold   0      —   
ProShares Ultra Silver   0      —   
ProShares Ultra VIX Short-Term Futures ETF   1,226,762    431,018 
ProShares Ultra Yen   0      —   
ProShares UltraShort Australian Dollar   0   
ProShares UltraShort Bloomberg Crude Oil   0      —   
ProShares UltraShort Bloomberg Natural Gas   0      —   
ProShares UltraShort Euro   0      —   
ProShares UltraShort Gold   0      —   
ProShares UltraShort Silver   0      —   
ProShares UltraShort Yen   0      —   
ProShares VIX
Mid-Term
Futures ETF
   18,967    6,465 
ProShares VIX Short-Term Futures ETF   100,970    84,321 
        
Combined Trust:
  $1,406,843   $634,018 
 
119F-106
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NOTE 76 – FINANCIAL HIGHLIGHTS
S
elected Data for a Share Outstanding Throughout the Three Months Ended March
120
 31, 2023
For the Three Months Ended March 31, 2023 (unaudited)
Per Share Operating
Performance
  
Short VIX
Short-Term

Futures
ETF
  
Ultra
Bloomberg
Crude Oil
  
Ultra
Bloomberg
Natural Gas
  
Ultra Euro
  
Ultra Gold
  
Ultra Silver
 
Net asset value, at December 31, 2022  $58.71  $30.26  $18.15  $11.27  $55.09  $31.75 
Net investment income (loss)   0.37   0.14   0.03   0.08   0.39   0.19 
Net realized and unrealized gain (loss)#   4.65   (3.87)   (14.49)   0.14   7.38   (0.84) 
Change in net asset value from operations   5.02   (3.73)   (14.46)   0.22   7.77   (0.65) 
Net asset value, at March 31, 2023  $63.73  $26.53  $3.69  $11.49  $62.86  $31.10 
Market value per share, at December 31, 2022
†
  $58.68  $30.31  $17.78  $11.26  $55.27  $32.00 
Market value per share, at March 31, 2023
†
  $63.75  $26.47  $3.61  $11.49  $63.02  $31.23 
Total Return, at net asset value^
   8.6%   (12.3)%   (79.7)%   2.0%   14.1%   (2.0)% 
Total Return, at market value^
   8.6%   (12.7)%   (79.7)%   2.0%   14.0%   (2.4)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.16%   1.00%   1.42%   0.95%   0.97%   0.98% 
Net investment income gain (loss)   2.38%   2.05%   2.24%   2.86%   2.70%   2.70% 
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Three Months Ended March 31, 2023 (unaudited)
Per Share Operating
Performance
  
Ultra VIX
Short-Term
Futures ETF
  
Ultra Yen
  
UltraShort
Bloomberg
Crude Oil
  
UltraShort
Bloomberg
Natural Gas
  
UltraShort
Euro
  
UltraShort
Gold
 
Net asset value, at December 31, 2022  $6.87  $34.54  $23.93  $27.00  $29.46  $31.10 
Net investment income (loss)   0.02   0.23   0.18   0.25   0.21   0.18 
Net realized and unrealized gain (loss)#   (2.26)   (1.72)   1.04   43.86   (0.63)   (4.40) 
Change in net asset value from operations   (2.24)   (1.49)   1.22   44.11   (0.42)   (4.22) 
Net asset value, at March 31, 2023  $4.63  $33.05  $25.15  $71.11  $29.04  $26.88 
Market value per share, at December 31, 2022
†
  $6.86  $34.56  $23.85  $27.56  $29.45  $30.99 
Market value per share, at March 31, 2023
†
  $4.65  $33.02  $25.22  $72.42  $29.04  $26.84 
Total Return, at net asset value^
   (32.7)%   (4.3)%   5.1%   163.4%   (1.4)%   (13.6)% 
Total Return, at market value^
   (32.2)%   (4.5)%   5.8%   162.8%   (1.4)%   (13.4)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.57%   0.95%   1.08%   1.72%   0.95%   0.99% 
Net investment income gain (loss)   1.48%   2.78%   2.85%   2.08%   2.85%   2.48% 
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Three Months Ended March 31, 2023 (unaudited)
Per Share Operating
Performance
  
UltraShort
Silver
  
UltraShort
Yen
  
VIX Mid-

Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2022  $19.46  $53.68  $30.41  $11.40 
Net investment income (loss)   0.11   0.39   0.18   0.06 
Net realized and unrealized gain (loss)#   (0.94)   1.91   (3.80)   (2.43) 
Change in net asset value from operations   (0.83)   2.30   (3.62)   (2.37) 
Net asset value, at March 31, 2023  $18.63  $55.98  $26.79  $9.03 
Market value per share, at December 31, 2022
†
  $19.30  $53.57  $30.36  $11.38 
Market value per share, at March 31, 2023
†
  $18.56  $56.00  $26.82  $9.05 
Total Return, at net asset value^
   (4.2)%   4.3%   (11.9)%   (20.8)% 
Total Return, at market value^
   (3.8)%   4.5%   (11.7)%   (20.5)% 
Ratios to Average Net Assets**
                 
Expense ratio^^   1.04%   0.95%   0.97%   1.09% 
Net investment income gain (loss)   2.12%   2.87%   2.70%   2.39% 
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2022
For the Three Months Ended March 31, 2022 (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
   
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  $44.91  $61.56  $86.16  $25.55  $13.32  $59.69   $61.56  $21.54  $25.55  $13.32  $59.69  $34.84 
Net investment income (loss)   (0.11)   (0.17)   (0.31)   (0.11)   (0.02)   (0.14)    (0.17)   (0.08)   (0.11)   (0.02)   (0.14)   (0.08) 
Net realized and unrealized gain (loss)#   1.43   (6.84)   65.89   30.62   (0.83)   7.44    (6.84)   16.48   30.62   (0.83)   7.44   4.30 
Change in net asset value from operations   1.32   (7.01)   65.58   30.51   (0.85)   7.30    (7.01)   16.40   30.51   (0.85)   7.30   4.22 
Net asset value, at March 31, 2022  $46.23  $54.55  $151.74  $56.06  $12.47  $66.99   $54.55  $37.94  $56.06  $12.47  $66.99  $39.06 
Market value per share, at December 31, 2021
†
  $44.92  $61.55  $86.78  $26.09  $13.33  $59.81   $61.55  $21.70  $26.09  $13.33  $59.81  $34.74 
Market value per share, at March 31, 2022
†
  $46.18  $54.56  $153.30  $56.31  $12.46  $66.14   $54.56  $38.33  $56.31  $12.46  $66.14  $38.53 
Total Return, at net asset value^
   2.9%   (11.4)%   76.1%   119.4%   (6.4)%   12.2%    (11.4)%   76.1%   119.4%   (6.4)%   12.2%   12.1% 
Total Return, at market value^
   2.8%   (11.4)%   76.7%   115.8%   (6.5)%   10.6%    (11.4)%   76.7%   115.8%   (6.5)%   10.6%   10.9% 
Ratios to Average Net Assets**
      
Expense ratio^^   0.97%   1.34%   1.09%   1.33%   0.95%   1.01%    1.34%   1.09%   1.33%   0.95%   1.01%   0.99% 
Net investment income gain (loss)   (0.98)%   (1.25)%   (0.99)%   (1.23)%   (0.74)%   (0.87)%    (1.25)%   (0.99)%   (1.23)%   (0.74)%   (0.87)%   (0.88)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
121F-110
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For the Three Months Ended March 31, 2022 (unaudited)
 
            
Per Share Operating
Performance
  
Ultra Silver
 
Ultra VIX

Short-Term

Futures ETF
*
 
Ultra Yen
 
UltraShort

Australian

Dollar
 
UltraShort
Bloomberg
Crude Oil
*
 
UltraShort
Bloomberg
Natural Gas
*
   
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  $34.84  $12.41  $47.29  $48.25  $12.85  $61.85   $12.41  $47.29  $64.26  $247.40  $25.84  $31.71 
Net investment income (loss)   (0.08)   (0.07)   (0.09)   (0.12)   (0.02)   (0.11)    (0.07)   (0.09)   (0.10)   (0.44)   (0.05)   (0.06) 
Net realized and unrealized gain (loss)#   4.30   1.16   (5.18)   (2.87)   (7.00)   (45.56)    1.16   (5.18)   (34.99)   (182.25)   1.51   (4.42) 
Change in net asset value from operations   4.22   1.09   (5.27)   (2.99)   (7.02)   (45.67)    1.09   (5.27)   (35.09)   (182.69)   1.46   (4.48) 
Net asset value, at March 31, 2022  $39.06  $13.50  $42.02  $45.26  $5.83  $16.18   $13.50  $42.02  $29.17  $64.71  $27.30  $27.23 
Market value per share, at December 31, 2021
†
  $34.74  $12.43  $47.29  $48.41  $12.75  $60.55   $12.43  $47.29  $63.75  $242.20  $25.86  $31.66 
Market value per share, at March 31, 2022
†
  $38.53  $13.46  $42.09  $45.35  $5.79  $16.14   $13.46  $42.09  $28.95  $64.56  $27.31  $27.61 
Total Return, at net asset value^
   12.1%   8.8%   (11.1)%   (6.2)%   (54.6)%   (73.9)%    8.8%   (11.1)%   (54.6)%   (73.9)%   5.6%   (14.1)% 
Total Return, at market value^
   10.9%   8.3%   (11.0)%   (6.3)%   (54.6)%   (73.4)%    8.3%   (11.0)%   (54.6)%   (73.4)%   5.6%   (12.8)% 
Ratios to Average Net Assets**
      
Expense ratio^^   0.99%   1.78%   0.95%   1.03%   1.24%   1.56%    1.78%   0.95%   1.24%   1.56%   0.95%   1.02% 
Net investment income gain (loss)   (0.88)%   (1.73)%   (0.80)%   (1.01)%   (1.13)%   (1.46)%    (1.73)%   (0.80)%   (1.13)%   (1.46)%   (0.83)%   (0.88)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
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For the Three Months Ended March 31, 2022 (unaudited)
 
            
Per Share Operating
Performance
  
UltraShort
Euro
 
UltraShort
Gold
 
UltraShort
Silver
*
 
UltraShort
Yen
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
*
   
UltraShort
Silver
 
UltraShort
Yen
*
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2021  $25.84  $31.71  $26.77  $83.00  $30.61  $15.12   $26.77  $41.50  $30.61  $15.12 
Net investment income (loss)   (0.05)   (0.06)   (0.06)   (0.17)   (0.08)   (0.05)    (0.06)   (0.08)   (0.08)   (0.05) 
Net realized and unrealized gain (loss)#   1.51   (4.42)   (5.26)   9.81   0.92   1.54    (5.26)   4.90   0.92   1.54 
Change in net asset value from operations   1.46   (4.48)   (5.32)   9.64   0.84   1.49    (5.32)   4.82   0.84   1.49 
Net asset value, at March 31, 2022  $27.30  $27.23  $21.45  $92.64  $31.45  $16.61   $21.45  $46.32  $31.45  $16.61 
Market value per share, at December 31, 2021
†
  $25.86  $31.66  $26.84  $82.99  $30.57  $15.17   $26.84  $41.50  $30.57  $15.17 
Market value per share, at March 31, 2022
†
  $27.31  $27.61  $21.78  $92.73  $31.50  $16.57   $21.78  $46.37  $31.50  $16.57 
Total Return, at net asset value^
   5.6%   (14.1)%   (19.9)%   11.6%   2.7%   9.9%    (19.9)%   11.6%   2.7%   9.9% 
Total Return, at market value^
   5.6%   (12.8)%   (18.9)%   11.7%   3.0%   9.2%    (18.9)%   11.7%   3.0%   9.2% 
Ratios to Average Net Assets**
      
Expense ratio^^   0.95%   1.02%   1.08%   0.95%   1.09%   1.23%    1.08%   0.95%   1.09%   1.23% 
Net investment income gain (loss)   (0.83)%   (0.88)%   (0.94)%   (0.80)%   (0.99)%   (1.15)%    (0.94)%   (0.80)%   (0.99)%   (1.15)% 
 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.

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Table of Contents
Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2021
For the Three Months Ended March 31, 2021 (unaudited)
                         
Per Share Operating
Performance             
  
Short Euro
  
Short VIX

Short-Term

Futures ETF
  
Ultra

Bloomberg

Crude Oil
  
Ultra

Bloomberg

Natural Gas
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at December 31, 2020  $41.92  $41.42  $36.38  $21.00  $15.79  $67.57 
Net investment income (loss)   (0.09)   (0.14)   (0.13)   (0.09)   (0.03)   (0.14) 
Net realized and unrealized gain (loss)
#
   1.86   5.85   16.31   0.40   (1.31)   (13.11) 
Change in net asset value from operations   1.77   5.71   16.18   0.31   (1.34)   (13.25) 
Net asset value, at March 31, 2021  $43.69  $47.13  $52.56  $21.31  $14.45  $54.32 
Market value per share, at December 31, 2020
†
  $41.35  $41.44  $36.27  $21.07  $15.81  $68.20 
Market value per share, at March 31, 2021
†
  $43.52  $47.10  $52.85  $21.20  $14.47  $53.91 
Total Return, at net asset value^
   4.2%   13.8%   44.5%   1.5%   (8.5)%   (19.6)% 
Total Return, at market value^
   5.2%   13.7%   45.7%   0.6%   (8.5)%   (21.0)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   0.97%   1.35%   1.10%   1.60%   0.95%   1.03% 
Net investment income gain (loss)   (0.91)%   (1.31)%   (1.04)%   (1.55)%   (0.90)%   (0.97)% 
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Three Months Ended March 31, 2021 (unaudited)
                         
Per Share Operating
Performance             
  
Ultra Silver
  
Ultra VIX

Short-Term

Futures ETF
*
  
Ultra Yen
  
UltraShort

Australian

Dollar
  
UltraShort

Bloomberg

Crude Oil
*
  
UltraShort

Bloomberg

Natural Gas
*
 
Net asset value, at December 31, 2020  $50.71  $106.68  $59.83  $44.45  $46.45  $237.96 
Net investment income (loss)   (0.12)   (0.40)   (0.13)   (0.11)   (0.10)   (0.72) 
Net realized and unrealized gain (loss)#   (9.24)   (49.96)   (7.92)   0.84   (17.55)   (41.56) 
Change in net asset value from operations   (9.36)   (50.36)   (8.05)   0.73   (17.65)   (42.28) 
Net asset value, at March 31, 2021  $41.35  $56.32  $51.78  $45.18  $28.80  $195.68 
Market value per share, at December 31, 2020
†
  $51.28  $106.50  $59.82  $43.89  $46.56  $236.90 
Market value per share, at March 31, 2021
†
  $41.10  $56.50  $51.78  $45.19  $28.60  $196.60 
Total Return, at net asset value^
   (18.5)%   (47.2)%   (13.4)%   1.6%   (38.0)%   (17.8)% 
Total Return, at market value^
   (19.9)%   (47.0)%   (13.5)%   3.0%   (38.6)%   (17.0)% 
Ratios to Average Net Assets**
                         
Expense ratio^^   1.07%   1.77%   0.95%   1.02%   1.34%   1.60% 
Net investment income gain (loss)   (1.02)%   (1.75)%   (0.90)%   (0.97)%   (1.29)%   (1.55)% 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Three Months Ended March 31, 2021 (unaudited)
                         
Per Share Operating
Performance             
  
UltraShort

Euro
  
UltraShort

Gold
  
UltraShort

Silver
*
  
UltraShort

Yen
  
VIX Mid-

Term Futures

ETF
  
VIX Short-

Term Futures

ETF
*
 
Net asset value, at December 31, 2020  $22.53  $31.43  $27.73  $67.83  $36.73  $55.03 
Net investment income (loss)   (0.05)   (0.09)   (0.07)   (0.16)   (0.09)   (0.16) 
Net realized and unrealized
gain (loss)#
   1.93   6.26   0.26   10.06   (1.90)   (17.58) 
Change in net asset value
from operations
   1.88   6.17   0.19   9.90   (1.99)   (17.74) 
Net asset value, at
March 31, 2021
  $24.41  $37.60  $27.92  $77.73  $34.74  $37.29 
Market value per share, at
December 31, 2020
†
  $22.52  $31.14  $27.40  $67.81  $36.70  $54.96 
Market value per share, at
March 31, 2021
†
  $24.42  $37.89  $28.04  $77.75  $35.06  $37.40 
Total Return, at net asset value^
   8.4%   19.6%   0.7%   14.7%   (5.4)%   (32.3)% 
Total Return, at market value^
   8.4%   21.7%   2.3%   14.6%   (4.5)%   (32.0)% 
Ratios to Average Net Assets**                         
Expense ratio^^   0.95%   1.07%   1.15%   0.95%   1.03%   1.30% 
Net investment income gain (loss)   (0.90)%   (1.03)%   (1.11)%   (0.90)%   (0.98)%   (1.26)% 
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended March 31, 2021.
^^
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 7 – 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.
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Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to hereinin this Counterparty Risk section 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 are 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.” TheAlthough some of the SEC requirements have largelynot yet to bebeen made effective, but the CFTC requirements are largely in place. The CFTC requirements have includedinclude rules for some of the types of derivatives transactions in which the Funds will engage,engages, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, all of the relevant CFTC rules 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 uncleared 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 uncleared 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 or otherwise, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. 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.
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In addition, cleared derivatives benefit from daily
marking-to-marketmark-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 FCMfutures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from itsthe futures commission merchant’s proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of futures customer segregated funds, under which the clearing house may access all of the commingled 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 exposesBilateral OTC derivatives expose the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, 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 (1.5x) multiplier) include a two times the inverse
(-2x),
or a two times (2x) multiplier, a
single-day
movement in the relevant benchmark approaching 50% at any point in the day 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 20192022 may specify a January 20202023 expiration. As that contract nears expiration, it may be replaced by selling the January 20202023 contract and purchasing the contract expiring in March 2020.2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 20202023 contract would take place at a price that is higher than the price at which the March 20202023 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.
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. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.
Change to Investment Strategies
Following this portfolio transition each Oil Fund has 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
Description of the New Benchmark
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out)
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into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.
Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus
COVID-19),
have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the
COVID-19
pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 2020, the market for crude oil futures contracts experienced a period of “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 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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NOTE 8 – SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.
On March 11, 2022, ProShare Capital Management LLC announced that it plans to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidating funds”. The last day the liquidating funds will accept creation and redemption orders is May 2, 2022. Trading in the liquidating funds will be halted prior to market open on May 3, 2022. Beginning on May 3, 2022, the funds will not be traded on their respective exchanges, and there will be no secondary market for fund shares. On or about May 3, 2022, the funds will begin the process of liquidating their portfolios and will no longer be managed in accordance with their investment objectives. Any shareholders remaining in the liquidating funds will have their shares redeemed at net asset value on or about May 12, 2022.
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 March 31, 2022, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.
On 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.
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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.
As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.
Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from
-0.5x,
-1x,
-2x,
1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.
Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX
Mid-Term
Futures Index (the
“Mid-Term
VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).
ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may
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purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a
per-Share
market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2022 and 2021, each of the Funds earned interest income as follows:
Fund  
Interest Income

Three Months

Ended

March 31, 2022
   
Interest Income

Three Months

Ended

March 31, 2021
 
ProShares Short Euro  $(93)   $596 
ProShares Short VIX Short-Term Futures ETF   94,343    33,890 
ProShares Ultra Bloomberg Crude Oil   308,880    168,075 
ProShares Ultra Bloomberg Natural Gas   39,581    13,815 
ProShares Ultra Euro   4,587    584 
ProShares Ultra Gold   95,113    35,827 
ProShares Ultra Silver   140,449    98,129 
ProShares Ultra VIX Short-Term Futures ETF   95,261    113,969 
ProShares Ultra Yen   873    356 
ProShares UltraShort Australian Dollar   115    258 
ProShares UltraShort Bloomberg Crude Oil   53,907    10,835 
ProShares UltraShort Bloomberg Natural Gas   55,825    7,883 
ProShares UltraShort Euro   15,405    7,166 
ProShares UltraShort Gold   9,685    2,962 
ProShares UltraShort Silver   8,920    3,117 
ProShares UltraShort Yen   9,399    3,596 
ProShares VIX
Mid-Term
Futures ETF
   23,923    10,224 
ProShares VIX Short-Term Futures ETF   70,709    38,460 
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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed
“off-exchange”
between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on
Form 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
tri-party
accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
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The Sponsor attempts to minimize certain of these market and credit risks by normally:
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
limiting the outstanding amounts due from counterparties to the Funds;
not posting margin directly with a counterparty;
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
limiting the amount of margin or premium posted at a FCM; and
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance
Sheet Arrangements and Contractual Obligations
As of May 9, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate
off-balance
sheet financing arrangements and have no loan guarantee arrangements or
off-balance
sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2022.
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based
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on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
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.
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Results of Operations for the Three Months Ended March 31, 2022 Compared to the Three Months Ended March 31, 2021
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $2,245,421  $4,191,955 
NAV end of period
  $4,623,400  $2,184,540 
Percentage change in NAV
   105.9%   (47.9)% 
Shares outstanding beginning of period
   50,000   100,000 
Shares outstanding end of period
   100,000   50,000 
Percentage change in shares outstanding
   100.0%   (50.0)% 
Shares created
   50,000   —   
Shares redeemed
   —     50,000 
Per share NAV beginning of period
  $44.91  $41.92 
Per share NAV end of period
  $46.23  $43.69 
Percentage change in per share NAV
   2.9%   4.2% 
Percentage change in benchmark
   (2.8)%   (4.0)% 
Benchmark annualized volatility
   8.6%   6.2% 
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2021 to 100,000 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 4.2% for the three months ended March 31, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2022.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(6,909)   $(8,638) 
Management fee
   6,672    9,053 
Brokerage commission
   144    181 
Net realized gain (loss)
   63,871    69,393 
Change in net unrealized appreciation (depreciation)
   8,056    78,642 
Net Income (loss)
  $65,018   $139,397 
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2022.
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ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $423,812,594  $409,371,468 
NAV end of period
  $495,588,849  $527,130,851 
Percentage change in NAV
   16.9%   28.8% 
Shares outstanding beginning of period
   6,884,307   9,884,307 
Shares outstanding end of period
   9,084,307   11,184,307 
Percentage change in shares outstanding
   32.0%   13.2% 
Shares created
   3,000,000   2,400,000 
Shares redeemed
   800,000   1,100,000 
Per share NAV beginning of period
  $61.56  $41.42 
Per share NAV end of period
  $54.55  $47.13 
Percentage change in per share NAV
   (11.4)%   13.8% 
Percentage change in benchmark
   10.2%   (32.0)% 
Benchmark annualized volatility
   86.4%   81.9% 
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,884,307 outstanding Shares at December 31, 2021 to 9,084,307 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 11,184,307 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 13.8% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(1,296,922)   $(1,442,366) 
Management fee
   986,537    1,042,569 
Brokerage commission
   187,698    175,910 
Futures account fees
   217,030    257,777 
Net realized gain (loss)
   (41,111,108)    24,209,417 
Change in net unrealized appreciation (depreciation)
   4,297,907    42,125,118 
Net Income (loss)
  $(38,110,123)   $64,892,169 
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The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a increase in the value of futures prices during the three months ended March 31, 2022.
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ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $1,103,783,570  $902,739,250 
NAV end of period
  $1,336,980,685  $1,088,579,093 
Percentage change in NAV
   21.2%   20.6% 
Shares outstanding beginning of period
   12,810,774   24,810,774 
Shares outstanding end of period
   8,810,774   20,710,774 
Percentage change in shares outstanding
   (31.2)%   (16.5)% 
Shares created
   2,150,000   2,350,000 
Shares redeemed
   6,150,000   6,450,000 
Per share NAV beginning of period
  $86.16  $36.38 
Per share NAV end of period
  $151.74  $52.56 
Percentage change in per share NAV
   76.1%   44.5% 
Percentage change in benchmark
   36.7%   22.0% 
Benchmark annualized volatility
   46.0%   32.3% 
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 12,810,774 outstanding Shares at December 31, 2021 to 8,810,774 outstanding Shares at March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 20,710,774 outstanding Shares at March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 76.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 44.5% for the three months ended March 31, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 36.7% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to an greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

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

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $193,892,178  $169,800,371 
NAV end of period
  $145,069,486  $74,307,070 
Percentage change in NAV
   (25.2)%   (56.2)% 
Shares outstanding beginning of period
   7,587,527   8,087,527 
Shares outstanding end of period
   2,587,527   3,487,527 
Percentage change in shares outstanding
   (65.9)%   (56.9)% 
Shares created
   2,600,000   3,400,000 
Shares redeemed
   7,600,000   8,000,000 
Per share NAV beginning of period
  $25.55  $21.00 
Per share NAV end of period
  $56.06  $21.31 
Percentage change in per share NAV
   119.4%   1.5% 
Percentage change in benchmark
   58.4%   3.0% 
Benchmark annualized volatility
   72.9%   42.1% 
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During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 2,587,527 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 3,487,527 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 119.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended March 31, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 58.4% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 3.0% for the three months ended March 31, 2021, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(516,598)   $(415,145) 
Management fee
   396,610    254,815 
Brokerage commission
   88,452    92,297 
Futures account fees
   71,117    81,848 
Net realized gain (loss)
   76,217,236    41,582,936 
Change in net unrealized appreciation (depreciation)
   84,867,744    (17,798,868) 
Net Income (loss)
  $160,568,382   $23,368,923 
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended March 31, 2022.
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

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

March 31, 2022
   
Three Months Ended

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

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $232,780,534  $263,540,473 
NAV end of period
  $355,029,822  $214,548,056 
Percentage change in NAV
   52.5%   (18.6)% 
Shares outstanding beginning of period
   3,900,000   3,900,000 
Shares outstanding end of period
   5,300,000   3,950,000 
Percentage change in shares outstanding
   35.9%   1.3% 
Shares created
   1,500,000   600,000 
Shares redeemed
   100,000   550,000 
Per share NAV beginning of period
  $59.69  $67.57 
Per share NAV end of period
  $66.99  $54.32 
Percentage change in per share NAV
   12.2%   (19.6)% 
Percentage change in benchmark
   6.6%   (9.8)% 
Benchmark annualized volatility
   17.3%   18.4% 
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 5,300,000 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 3,950,000 outstanding Shares at March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 19.6% for the three months ended March 31, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 6.6% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 9.8% for the three months ended March 31, 2021, can be attributed to an increase in the value of gold futures contracts during the period ended March 31, 2022.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

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

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $515,453,594  $745,304,028 
NAV end of period
  $558,375,842  $572,501,249 
Percentage change in NAV
   8.3%   (23.2)% 
Shares outstanding beginning of period
   14,796,526   14,696,526 
Shares outstanding end of period
   14,296,526   13,846,526 
Percentage change in shares outstanding
   (3.4)%   (5.8)% 
Shares created
   1,000,000   2,400,000 
Shares redeemed
   1,500,000   3,250,000 
Per share NAV beginning of period
  $34.84  $50.71 
Per share NAV end of period
  $39.06  $41.35 
Percentage change in per share NAV
   12.1%   (18.5)% 
Percentage change in benchmark
   7.5%   (7.2)% 
Benchmark annualized volatility
   31.9%   44.4% 
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,296,526 outstanding Shares at March 31, 2022. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 13,846,526 outstanding Shares at March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 18.5% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, can be attributed to an increase in the value of silver futures contracts during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(1,128,206)   $(1,741,775) 
Management fee
   1,217,599    1,631,135 
Brokerage commission
   30,551    46,582 
Futures account fees
   20,505    162,187 
Net realized gain (loss)
   116,637,037    4,910,742 
Change in net unrealized appreciation (depreciation)
   (58,036,245)    (137,743,781) 
Net Income (loss)
  $57,472,586   $(134,574,814) 
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.
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ProShares Ultra VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $816,679,636  $1,356,204,199 
NAV end of period
  $1,127,608,641  $1,284,373,170 
Percentage change in NAV
   38.1%   (5.3)% 
Shares outstanding beginning of period
   65,828,420   12,713,091 
Shares outstanding end of period
   83,528,420   22,803,091 
Percentage change in shares outstanding
   26.9%   79.4% 
Shares created
   83,100,000   19,630,000 
Shares redeemed
   65,400,000   9,540,000 
Per share NAV beginning of period
  $12.41  $106.68 
Per share NAV end of period
  $13.50  $56.32 
Percentage change in per share NAV
   8.8%   (47.2)% 
Percentage change in benchmark
   10.2%   (32.0)% 
Benchmark annualized volatility
   86.4%   81.9% 
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During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,420 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 22,803,091 outstanding Shares at March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.8% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 47.2% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(3,585,362)   $(8,069,549) 
Management fee
   1,961,177    4,383,077 
Brokerage commission
   936,758    1,956,628 
Futures account fees
   782,688    1,843,813 
Net realized gain (loss)
   280,979,531    (704,499,504) 
Change in net unrealized appreciation (depreciation)
   (35,000,884)    (284,359,331) 
Net Income (loss)
  $242,393,285   $(996,928,384) 
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $2,362,849  $2,989,499 
NAV end of period
  $2,099,705  $2,587,694 
Percentage change in NAV
   (11.1)%   (13.4)% 
Shares outstanding beginning of period
   49,970   49,970 
Shares outstanding end of period
   49,970   49,970 
Percentage change in shares outstanding
   —  %   —  % 
Shares created
   —     —   
Shares redeemed
   —     —   
Per share NAV beginning of period
  $47.29  $59.83 
Per share NAV end of period
  $42.02  $51.78 
Percentage change in per share NAV
   (11.1)%   (13.4)% 
Percentage change in benchmark
   (5.5)%   (6.8)% 
Benchmark annualized volatility
   7.1%   5.1% 
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 13.4% for the three months ended March 31, 2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
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The benchmark’s decline of 5.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 6.8% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(4,556)   $(6,293) 
Management fee
   5,429    6,649 
Net realized gain (loss)
   (117,223)    (139,467) 
Change in net unrealized appreciation (depreciation)
   (141,365)    (256,045) 
Net Income (loss)
  $(263,144)   $(401,805) 
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2022.
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ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $2,412,623  $2,222,639 
NAV end of period
  $2,263,025  $2,258,880 
Percentage change in NAV
   (6.2)%   1.6% 
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
  $48.25  $44.45 
Per share NAV end of period
  $45.26  $45.18 
Percentage change in per share NAV
   (6.2)%   1.6% 
Percentage change in benchmark
   3.0%   (1.5)% 
Benchmark annualized volatility
   9.8%   10.9% 
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.6% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 3.0% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 1.5% for the three months ended March 31, 2021, can be attributed to an increase in the value of the Australian dollar versus the U.S. dollar during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(6,081)   $(5,267) 
Management fee
   5,696    5,139 
Brokerage commission
   500    386 
Net realized gain (loss)
   (112,009)    (164,544) 
Change in net unrealized appreciation (depreciation)
   (31,508)    206,052 
Net Income (loss)
  $(149,598)   $36,241 
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2022.
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ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $114,167,602  $96,839,233 
NAV end of period
  $416,799,231  $91,718,390 
Percentage change in NAV
   265.1%   (5.3)% 
Shares outstanding beginning of period
   8,883,799   2,084,971 
Shares outstanding end of period
   71,433,799   3,184,971 
Percentage change in shares outstanding
   704.1%   52.8% 
Shares created
   77,850,000   1,950,000 
Shares redeemed
   15,300,000   850,000 
Per share NAV beginning of period
  $12.85  $46.45 
Per share NAV end of period
  $5.83  $28.80 
Percentage change in per share NAV
   (54.6)%   (38.0)% 
Percentage change in benchmark
   36.6%   22.0% 
Benchmark annualized volatility
   46.0%   32.3% 
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During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 8,883,799 outstanding Shares at December 31, 2021 to 71,433,799 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund 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
. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 2,804,971 outstanding Shares at December 31, 2020 to 3,184,971 outstanding Shares at March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 54.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 38.0% for the three months ended March 31, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 36.6% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(585,973)   $(301,184) 
Management fee
   492,647    221,263 
Brokerage commission
   77,056    43,044 
Futures account fees
   70,177    47,712 
Net realized gain (loss)
   (106,482,101)    (49,177,765) 
Change in net unrealized appreciation (depreciation)
   1,929,042    5,638,844 
Net Income (loss)
  $(105,139,032)   $(43,840,105) 
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 2022.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.
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ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $242,145,130  $24,977,745 
NAV end of period
  $250,340,837  $69,459,275 
Percentage change in NAV
   3.4%   178.1% 
Shares outstanding beginning of period
   3,914,966   104,966 
Shares outstanding end of period
   15,474,477   354,966 
Percentage change in shares outstanding
   295.3%   238.2% 
Shares created
   18,560,000   820,000 
Shares redeemed
   7,000,489   570,000 
Per share NAV beginning of period
  $61.85  $237.96 
Per share NAV end of period
  $16.18  $195.68 
Percentage change in per share NAV
   (73.9)%   (17.8)% 
Percentage change in benchmark
   58.4%   3.0% 
Benchmark annualized volatility
   72.9%   42.1% 
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,914,966 outstanding Shares at December 31, 2021 to 15,474,477 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 104,966 outstanding Shares at December 31, 2020 to 354,966 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 73.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 17.8% for the three months ended March 31, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
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The benchmark’s rise of 58.4% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 3.0% for the three months ended March 31, 2021, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(837,419)   $(260,407) 
Management fee
   542,364    159,337 
Brokerage commission
   220,951    85,680 
Futures account fees
   129,929    23,273 
Net realized gain (loss)
   (114,724,308)    (6,359,394) 
Change in net unrealized appreciation (depreciation)
   (87,787,071)    15,895,064 
Net Income (loss)
  $(203,348,798)   $9,275,263 
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas, during the three months ended March 31, 2022.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas.
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $54,263,045  $52,953,339 
NAV end of period
  $50,498,084  $54,932,137 
Percentage change in NAV
   (6.9)%   3.7% 
Shares outstanding beginning of period
   2,100,000   2,350,000 
Shares outstanding end of period
   1,850,000   2,250,000 
Percentage change in shares outstanding
   (11.9)%   (4.3)% 
Shares created
   50,000   200,000 
Shares redeemed
   300,000   300,000 
Per share NAV beginning of period
  $25.84  $22.53 
Per share NAV end of period
  $27.30  $24.41 
Percentage change in per share NAV
   5.6%   8.4% 
Percentage change in benchmark
   (2.8)%   (4.0)% 
Benchmark annualized volatility
   8.6%   6.2% 
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 1,850,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of 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 March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,250,000 outstanding Shares at March 31, 2021.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 8.4% for the three months ended March 31, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2022.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(102,051)   $(116,872) 
Management fee
   117,456    124,038 
Net realized gain (loss)
   2,753,108    70,527 
Change in net unrealized appreciation (depreciation)
   268,741    4,392,237 
Net Income (loss)
  $2,919,798   $4,345,892 
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2022.
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ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

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

March 31, 2022
   
Three Months Ended

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

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $26,537,000  $28,885,775 
NAV end of period
  $23,406,516  $45,144,664 
Percentage change in NAV
   (11.8)%   56.3% 
Shares outstanding beginning of period
   991,329   1,041,744 
Shares outstanding end of period
   1,091,329   1,616,744 
Percentage change in shares outstanding
   10.1%   55.2% 
Shares created
   1,100,000   2,450,000 
Shares redeemed
   1,000,000   1,875,000 
Per share NAV beginning of period
  $26.77  $27.73 
Per share NAV end of period
  $21.45  $27.92 
Percentage change in per share NAV
   (19.9)%   0.7% 
Percentage change in benchmark
   7.5%   (7.2)% 
Benchmark annualized volatility
   31.9%   44.4% 
During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,091,329 outstanding Shares at March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,616,744 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 0.7% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, can be attributed to an increase in the value of the silver futures contracts during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(60,608)   $(99,063) 
Management fee
   60,953    84,745 
Brokerage commission
   5,301    7,444 
Futures account fees
   3,274    9,991 
Net realized gain (loss)
   (7,373,936)    (2,932,266) 
Change in net unrealized appreciation (depreciation)
   1,789,652    7,466,511 
Net Income (loss)
  $(5,644,892)   $4,435,182 
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The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares UltraShort Silver.
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ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $24,840,784  $23,691,070 
NAV end of period
  $27,726,701  $34,921,840 
Percentage change in NAV
   11.6%   47.4% 
Shares outstanding beginning of period
   299,290   349,290 
Shares outstanding end of period
   299,290   449,290 
Percentage change in shares outstanding
   —  %   28.6% 
Shares created
   100,000   100,000 
Shares redeemed
   100,000   —   
Per share NAV beginning of period
  $83.00  $67.83 
Per share NAV end of period
  $92.64  $77.73 
Percentage change in per share NAV
   11.6%   14.7% 
Percentage change in benchmark
   (5.5)%   (6.8)% 
Benchmark annualized volatility
   7.1%   5.1% 
During the three months ended March 31, 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 December 31, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 349,290 outstanding Shares at December 31, 2020 to 449,290 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 11.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 14.7% for the three months ended March 31, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s decline of 5.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 6.8% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(50,421)   $(62,957) 
Management fee
   59,820    66,553 
Net realized gain (loss)
   1,183,144    1,259,573 
Change in net unrealized appreciation (depreciation)
   1,438,464    2,901,742 
Net Income (loss)
  $2,571,187   $4,098,358 
The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2022.
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ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $112,875,680  $72,075,095 
NAV end of period
  $97,869,914  $75,122,747 
Percentage change in NAV
   (13.4)%   4.2% 
Shares outstanding beginning of period
   3,687,403   1,962,403 
Shares outstanding end of period
   3,112,403   2,162,403 
Percentage change in shares outstanding
   (15.6)%   10.2% 
Shares created
   700,000   400,000 
Shares redeemed
   1,275,000   200,000 
Per share NAV beginning of period
  $30.61  $36.73 
Per share NAV end of period
  $31.45  $34.74 
Percentage change in per share NAV
   2.7%   (5.4)% 
Percentage change in benchmark
   3.3%   (5.1)% 
Benchmark annualized volatility
   32.8%   30.6% 
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During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 2,162,403 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.7% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 5.4% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
The benchmark’s rise of 3.3% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 5.1% for the three months ended March 31, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

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

March 31, 2022
  
Three Months Ended

March 31, 2021
 
NAV beginning of period
  $269,703,164  $293,390,549 
NAV end of period
  $404,950,400  $349,578,758 
Percentage change in NAV
   50.1%   19.2% 
Shares outstanding beginning of period
   17,832,826   5,331,579 
Shares outstanding end of period
   24,382,826   9,375,329 
Percentage change in shares outstanding
   36.7%   75.8% 
Shares created
   9,950,000   6,331,250 
Shares redeemed
   3,400,000   2,287,500 
Per share NAV beginning of period
  $15.12  $55.03 
Per share NAV end of period
  $16.61  $37.29 
Percentage change in per share NAV
   9.9%   (32.3)% 
Percentage change in benchmark
   10.2%   (32.0)% 
Benchmark annualized volatility
   86.4%   81.9% 
During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 24,382,826 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 9,375,329 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 32.3% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.
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The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:
   
Three Months Ended

March 31, 2022
   
Three Months Ended

March 31, 2021
 
Net investment income (loss)
  $(952,113)   $(1,224,804) 
Management fee
   705,691    825,460 
Brokerage commission
   116,474    172,658 
Futures account fees
   200,657    265,146 
Net realized gain (loss)
   53,734,224    (76,634,593) 
Change in net unrealized appreciation (depreciation)
   (13,448,381)    (53,430,854) 
Net Income (loss)
  $39,333,730   $(131,290,251) 
The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2022.
*
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 March 31, 2022 and 2021, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of March 31, 2022 and 2021, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.
                     
Futures Positions as of March 31, 2022
 
 
Contract
  
  Long or  

Short
  
  Expiration  
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)  Short  June 2022   33   $1.11    125,000   $(4,578,338) 
                     
Futures Positions as of March 31, 2021
 
 
Contract
  
  Long or  

Short
  
Expiration  
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Euro Fx Currency Futures (CME)  Short  June 2021   15   $1.17    125,000   $(2,201,625) 
The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares Short VIX Short-Term Futures ETF
As of March 31, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.
                     
Futures Positions as of March 31, 2022
 
 
Contract
  
  Long or  

Short
  
  Expiration  
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Short  April 2022   4,910   $23.47    1,000   $(115,232,790) 
VIX Futures (Cboe)  Short  May 2022   5,324    24.99    1,000    (133,034,515) 
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Futures Positions as of March 31, 2021
 
 
Contract
  
  Long or  

Short
  
    Expiration    
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Short  April 2021   6,607   $20.73    1,000   $(136,989,538) 
VIX Futures (Cboe)  Short  May 2021   5,590    22.68    1,000    (126,757,722) 
The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares Ultra Bloomberg Crude Oil:
As of March 31, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
                     
Futures Positions as of March 31, 2022
 
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)  Long  June 2022   4,115   $98.52    1,000   $405,409,800 
WTI Crude Oil (NYMEX)  Long  December 2022   4,724    89.60    1,000    423,270,400 
WTI Crude Oil (NYMEX)  Long  June 2023   5,012    84.61    1,000    424,065,320 
             
Swap Agreements as of March 31, 2022
 
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index  Citibank, N.A.  Long  $89.7299   $202,256,578 
Bloomberg Commodity Balanced WTI Crude Oil Index  Goldman Sachs International  Long   89.7299    394,073,711 
Bloomberg Commodity Balanced WTI Crude Oil Index  Morgan Stanley & Co. International PLC  Long   89.7299    350,316,746 
Bloomberg Commodity Balanced WTI Crude Oil Index  Societe Generale  Long   89.7299    190,882,596 
Bloomberg Commodity Balanced WTI Crude Oil Index  UBS AG  Long   89.7299    284,170,376 
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Futures Positions as of March 31, 2021
 
 
Contract  
  Long or  

Short
    Expiration    Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index  Goldman Sachs International  Long  $49.0975   $108,014,255 
Bloomberg Commodity Balanced WTI Crude Oil Index  Morgan Stanley & Co.
International PLC		  Long   49.0975    202,730,402 
Bloomberg Commodity Balanced WTI Crude Oil Index  Societe Generale  Long   49.0975    104,445,210 
Bloomberg Commodity Balanced WTI Crude Oil Index  UBS AG  Long   49.0975    155,489,475 
The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Bloomberg Natural Gas:
As of March 31, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Long  May 2022   5,149   $5.64    10,000   $290,506,580 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Long  May 2021   5,698   $2.61    10,000   $148,603,840 
The March 31, 2022 and 2021 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 March 31, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  Goldman Sachs International  Long   04/08/22    4,422,921   1.1082   $4,901,569 
Euro  UBS AG  Long   04/08/22    11,991,502   1.1091    13,299,566 
Euro  UBS AG  Short   04/08/22    (5,127,000)   1.1044    (5,662,186) 
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  Goldman Sachs International  Long   04/09/21    2,210,921   1.2082   $2,671,235 
Euro  UBS AG  Long   04/09/21    4,249,502   1.2075    5,131,458 
Euro  UBS AG  Short   04/09/21    (276,000)   1.1884    (327,986) 
The March 31, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Gold:
As of March 31, 2022 and 2021 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Short
  Index Close   
Notional Amount

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

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)  Long  June 2021   722   $1,715.60    100   $123,866,320 
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Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Gold Subindex  Citibank, N.A.  Long  $189.7346   $105,063,244 
Bloomberg Gold Subindex  Goldman Sachs International  Long   189.7346    90,791,674 
Bloomberg Gold Subindex  UBS AG  Long   189.7346    109,293,502 
The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of March 31, 2022 and 2021 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Short
  Index Close   
Notional Amount

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

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)  Long  May 2021   1,667   $24.53    5,000   $204,474,220 
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Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  Long or
Short		  Index Close   
Notional Amount

at Value
 
Bloomberg Silver Subindex  Citibank, N.A.  Long  $223.9196   $291,359,450 
Bloomberg Silver Subindex  Goldman Sachs International  Long   223.9196    218,805,087 
Bloomberg Silver Subindex  Morgan Stanley & Co.
International PLC		  Long   223.9196    228,795,897 
Bloomberg Silver Subindex  UBS AG  Long   223.9196    201,503,724 
The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of March 31, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Short
  Expiration   Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long   April 2021    45,234   $20.73    1,000   $937,881,756 
VIX Futures (Cboe)  Long   May 2021    38,279    22.68    1,000    868,006,948 
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
  Index
Close		   
Notional Amount

at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index  Goldman Sachs & Co.  Long  $11.4000   $120,270,000 
The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 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
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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 March 31, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  Goldman Sachs International  Long   04/08/22    321,397,517   0.008653   $2,781,048 
Yen  UBS AG  Long   04/08/22    234,765,856   0.008634    2,027,006 
Yen  Goldman Sachs International  Short   04/08/22    (6,529,000)   0.008177    (53,386) 
Yen  UBS AG  Short   04/08/22    (37,680,000)   0.008411    (316,941) 
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  Goldman Sachs International  Long   04/09/21    332,532,517   0.009354   $3,110,368 
Yen  UBS AG  Long   04/09/21    263,662,756   0.009355    2,466,565 
Yen  UBS AG  Short   04/09/21    (21,110,000)   0.009176    (193,709) 
The March 31, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Australian Dollar:
As of March 31, 2022 and 2021, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.
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Table of Contents
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)  Short      June 2022       60   $74.92    1,000   $(4,497,900) 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Australian Dollar Fx Currency Futures (CME)  Short      June 2021       60   $75.98    1,000   $(4,560,900) 
The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Crude Oil:
As of March 31, 2022 and 2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

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

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)  Short  June 2021   1,020   $59.18    1,000   $(60,363,600) 
WTI Crude Oil (NYMEX)  Short  December 2021   1,082    56.85    1,000    (61,511,700) 
WTI Crude Oil (NYMEX)  Short  June 2022   1,125    54.72    1,000    (61,560,000) 
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The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. March 31, 2022 and 2021 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 March 31, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Short      May 2022       8,883   $5.64    10,000   $(501,178,860) 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Natural Gas (NYMEX)  Short      May 2021       5,327   $2.61    10,000   $(138,928,160) 
The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of March 31, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  UBS AG  Long   04/08/22    13,916,000   1.1059   $15,390,379 
Euro  Goldman Sachs International  Short   04/08/22    (46,280,263)   1.1082    (51,288,713) 
Euro  UBS AG  Short   04/08/22    (58,998,199)   1.1072    (65,320,957) 
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Table of Contents
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Euro  UBS AG  Long   04/09/21    12,078,000   1.1877   $14,345,411 
Euro  Goldman Sachs International  Short   04/09/21    (37,401,263)   1.2082    (45,188,206) 
Euro  UBS AG  Short   04/09/21    (68,453,199)   1.2035    (82,380,948) 
The March 31, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of March 31, 2022 and 2021 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)  Short  June 2022   134   $1,954.00    100   $(26,183,600) 
Swap Agreements as of March 31, 2022
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Gold Subindex  Citibank, N.A.  Short  $214.4125   $(16,074,140) 
Bloomberg Gold Subindex  Goldman Sachs International  Short   214.4125    (10,515,819) 
Bloomberg Gold Subindex  UBS AG  Short   214.4125    (12,574,684) 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Gold Futures (COMEX)  Short  June 2021   247   $1,715.60    100   $(42,375,320) 
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
   Index Close   
Notional Amount

at Value
 
Bloomberg Gold Subindex  Citibank, N.A.   Short   $189.7346   $(14,224,080) 
Bloomberg Gold Subindex  Goldman Sachs International   Short    189.7346    (14,746,325) 
Bloomberg Gold Subindex  UBS AG   Short    189.7346    (11,127,395) 
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Table of Contents
The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of March 31, 2022 and 2021 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)  Short  May 2022   167   $25.13    5,000   $(20,986,055) 
Swap Agreements as of March 31, 2022
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Silver Subindex  Citibank, N.A.  Short  $227.4218   $(3,066,720) 
Bloomberg Silver Subindex  Goldman Sachs International  Short   227.4218    (11,171,645) 
Bloomberg Silver Subindex  Morgan Stanley & Co.
International PLC		  Short   227.4218    (8,833,290) 
Bloomberg Silver Subindex  UBS AG  Short   227.4218    (2,824,603) 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
Silver Futures (COMEX)  Short  May 2021   347   $24.53    5,000   $(42,563,020) 
Swap Agreements as of March 31, 2021
 
 
Reference Index  Counterparty  
Long or

Short
  Index Close   
Notional Amount

at Value
 
Bloomberg Silver Subindex  Citibank, N.A.  Short  $223.9196   $(8,308,475) 
Bloomberg Silver Subindex  Goldman Sachs International  Short   223.9196    (15,457,845) 
Bloomberg Silver Subindex  Morgan Stanley & Co.
International PLC		  Short   223.9196    (8,697,261) 
Bloomberg Silver Subindex  UBS AG  Short   223.9196    (15,222,974) 
The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 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
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(increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of March 31, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of March 31, 2022
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  UBS AG  Long   04/08/22    2,874,020,000   0.008228   $23,648,854 
Yen  Goldman Sachs International  Short   04/08/22    (1,973,114,165)   0.008595    (16,958,793) 
Yen  UBS AG  Short   04/08/22    (7,652,928,574)   0.008428    (64,498,778) 
Foreign Currency Forward Contracts as of March 31, 2021
 
 
Reference
Currency
  Counterparty  
Long or

Short
  
Settlement

Date
   Local Currency  Forward Rate   
Market Value

USD
 
Yen  UBS AG  Long   04/09/21    167,310,000   0.009212   $1,541,327 
Yen  Goldman Sachs International  Short   04/09/21    (2,009,085,165)   0.009354    (18,792,128) 
Yen  UBS AG  Short   04/09/21    (5,895,178,875)   0.009324    (54,965,979) 
The March 31, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares VIX
Mid-Term
Futures ETF
As of March 31, 2022 and 2021, the ProShares VIX
Mid-Term
Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.
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Table of Contents
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long  July 2022   593   $26.11    1,000   $15,480,562 
VIX Futures (Cboe)  Long  August 2022   1,235    26.25    1,000    32,424,802 
VIX Futures (Cboe)  Long  September 2022   1,235    26.60    1,000    32,852,729 
VIX Futures (Cboe)  Long  October 2022   642    26.86    1,000    17,245,083 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long  July 2021   550   $24.30    1,000   $13,365,000 
VIX Futures (Cboe)  Long  August 2021   1,016    24.45    1,000    24,842,318 
VIX Futures (Cboe)  Long  September 2021   1,016    24.85    1,000    25,249,530 
VIX Futures (Cboe)  Long  October 2021   466    25.01    1,000    11,653,868 
The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares VIX Short-Term Futures ETF
As of March 31, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.
Futures Positions as of March 31, 2022
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long      April 2022       8,017   $23.47    1,000   $188,150,973 
VIX Futures (Cboe)  Long  May 2022   8,681    24.99    1,000    216,918,224 
Futures Positions as of March 31, 2021
 
 
Contract  
Long or

Short
  Expiration  Contracts   
Valuation

Price
   
Contract

Multiplier
   
Notional Amount

at Value
 
VIX Futures (Cboe)  Long      April 2021       8,754   $20.73    1,000   $181,505,436 
VIX Futures (Cboe)  Long  May 2021   7,407    22.68    1,000    167,959,651 
The March 31, 2022 and 2021 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).
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
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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, 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
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Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2022 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.
As of March 31, 2022, the Trust is not a party to any material 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.
F-116
Table of Contents
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
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.
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Table of Contents
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 merchantsFCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchantsFCMs may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
NOTE 8 – 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.
F-117

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. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2022 and in this Quarterly Report on Form 10-Q for the period ended March 31, 2023, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. None of the Trust, the Sponsor, the Trustee, or the 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.

Introduction

Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.

The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) 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, -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

1

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.

The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

Forward and Reverse Splits

On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding. ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2023 and 2022, each of the Funds earned interest income as follows:

Fund

  Interest Income
Three Months
Ended
March 31, 2023		   Interest Income
Three Months
Ended
March 31, 2022		 

ProShares Short VIX Short-Term Futures ETF

  $2,109,122   $94,343 

ProShares Ultra Bloomberg Crude Oil

   6,007,908    308,880 

ProShares Ultra Bloomberg Natural Gas

   8,958,523    39,581 

ProShares Ultra Euro

   97,237    4,587 

ProShares Ultra Gold

   1,649,014    95,113 

ProShares Ultra Silver

   3,374,396    140,449 

ProShares Ultra VIX Short-Term Futures ETF

   4,416,655    95,261 

ProShares Ultra Yen

   120,118    873 

ProShares UltraShort Bloomberg Crude Oil

   2,003,209    53,907 

ProShares UltraShort Bloomberg Natural Gas

   1,186,752    55,825 

ProShares UltraShort Euro

   647,120    15,405 

ProShares UltraShort Gold

   132,562    9,685 

ProShares UltraShort Silver

   200,078    8,920 

ProShares UltraShort Yen

   204,200    9,399 

ProShares VIX Mid-Term Futures ETF

   647,920    23,923 

ProShares VIX Short-Term Futures ETF

   2,120,561    70,709 

2

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

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

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

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

Market Risk

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

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

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

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

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

3

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

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

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

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

limiting the outstanding amounts due from counterparties to the Funds;

not posting margin directly with a counterparty;

requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

limiting the amount of margin or premium posted at a futures commission merchant (FCM): and

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 8, 2023, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the 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 (“GAAP”) requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2023.

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

4

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 and Silver 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 and Silver Funds, are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based 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, National Futures Association 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.

5

Results of Operations for the Three Months Ended March 31, 2023 Compared to the Three Months Ended March 31, 2022

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $339,591,638  $423,812,594 

NAV end of period

  $295,340,393  $495,588,849 

Percentage change in NAV

   (13.0)%   16.9% 

Shares outstanding beginning of period

   5,784,307   6,884,307 

Shares outstanding end of period

   4,634,307   9,084,307 

Percentage change in shares outstanding

   (19.9)%   32.0% 

Shares created

   2,450,000   3,000,000 

Shares redeemed

   3,600,000   800,000 

Per share NAV beginning of period

  $58.71  $61.56 

Per share NAV end of period

  $63.73  $54.55 

Percentage change in per share NAV

   8.6%   (11.4)% 

Percentage change in benchmark

   (20.3)%   10.2% 

Benchmark annualized volatility

   68.1%   86.4% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307 outstanding Shares at December 31, 2022 to 4,634,307 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,884,307 outstanding Shares at December 31, 2021 to 9,084,307 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.6% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 11.4% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 20.3% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 10.2% for the three months ended March 31, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

6

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $1,416,842   $(1,296,922) 

Management fee

   565,777    986,537 

Brokerage commission

   126,503    187,698 

Futures account fees

   —      217,030 

Net realized gain (loss)

   29,604,148    (41,111,108) 

Change in net unrealized appreciation (depreciation)

   3,155,177    4,297,907 

Net Income (loss)

  $34,176,167   $(38,110,123) 

The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2023.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $859,094,274  $1,103,783,570 

NAV end of period

  $811,668,456  $1,336,980,685 

Percentage change in NAV

   (5.5)%   21.2% 

Shares outstanding beginning of period

   28,393,096   51,243,096 

Shares outstanding end of period

   30,593,096   35,243,096 

Percentage change in shares outstanding

   7.7%   (31.2)% 

Shares created

   19,100,000   8,600,000 

Shares redeemed

   16,900,000   24,600,000 

Per share NAV beginning of period

  $30.26  $21.54 

Per share NAV end of period

  $26.53  $37.94 

Percentage change in per share NAV

   (12.3)%   76.1% 

Percentage change in benchmark

   (5.4)%   36.7% 

Benchmark annualized volatility

   30.8%   46.0% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The decrease in the Fund’s NAV was offset by an increase from 28,393,096 outstanding Shares at December 31, 2022 to 30,593,096 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM. The increase in the Fund’s NAV was offset by a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 35,243,096 outstanding Shares at March 31, 2022.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 76.1% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 5.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 36.7% for the three months ended March 31, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2023.

7

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $4,038,946   $(3,224,160) 

Management fee

   1,874,618    3,084,812 

Brokerage commission

   94,344    195,541 

Futures account fees

   —      252,687 

Net realized gain (loss)

   85,780,427    799,419,934 

Change in net unrealized appreciation (depreciation)

   (138,210,442)    (94,663,987) 

Net Income (loss)

  $(48,391,069)   $701,531,787 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the three months ended March 31, 2023.

*

See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $586,151,113  $193,892,178 

NAV end of period

  $1,139,983,773  $145,069,486 

Percentage change in NAV

   94.5%   (25.2)% 

Shares outstanding beginning of period

   32,287,527   7,587,527 

Shares outstanding end of period

   309,087,527   2,587,527 

Percentage change in shares outstanding

   857.3%   (65.9)% 

Shares created

   379,450,000   2,600,000 

Shares redeemed

   102,650,000   7,600,000 

Per share NAV beginning of period

  $18.15  $25.55 

Per share NAV end of period

  $3.69  $56.06 

Percentage change in per share NAV

   (79.7)%   119.4% 

Percentage change in benchmark

   (50.4)%   58.4% 

Benchmark annualized volatility

   78.6%   72.9% 

During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 32,287,527 outstanding Shares at December 31, 2022 to 309,087,527 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 2,587,527 outstanding Shares at March 31, 2022.

8

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 79.7% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 119.4% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 50.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 58.4% for the three months ended March 31, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $5,489,641   $(516,598) 

Management fee

   2,328,410    396,610 

Brokerage commission

   952,779    88,452 

Futures account fees

   187,693    71,117 

Net realized gain (loss)

   (1,061,634,864)    76,217,236 

Change in net unrealized appreciation (depreciation)

   (53,009,690)    84,867,744 

Net Income (loss)

  $(1,109,154,913)   $160,568,382 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2023.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $10,704,662  $8,659,095 

NAV end of period

  $8,616,433  $6,236,982 

Percentage change in NAV

   (19.5)%   (28.0)% 

Shares outstanding beginning of period

   950,000   650,000 

Shares outstanding end of period

   750,000   500,000 

Percentage change in shares outstanding

   (21.1)%   (23.1)% 

Shares created

   200,000   100,000 

Shares redeemed

   400,000   250,000 

Per share NAV beginning of period

  $11.27  $13.32 

Per share NAV end of period

  $11.49  $12.47 

Percentage change in per share NAV

   2.0%   (6.4)% 

Percentage change in benchmark

   1.31%   (2.8)% 

Benchmark annualized volatility

   9.21%   8.6% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 750,000 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the

9

decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at December 31, 2021 to 500,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.0% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 6.4% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s rise of 1.31% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $72,991   $(15,691) 

Management fee

   24,246    20,278 

Net realized gain (loss)

   280,279    (446,979) 

Change in net unrealized appreciation (depreciation)

   (96,945)    (138,425) 

Net Income (loss)

  $256,325   $(601,095) 

The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended March 31, 2023.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $173,524,136  $232,780,534 

NAV end of period

  $201,161,529  $355,029,822 

Percentage change in NAV

   15.9%   52.5% 

Shares outstanding beginning of period

   3,150,000   3,900,000 

Shares outstanding end of period

   3,200,000   5,300,000 

Percentage change in shares outstanding

   1.6%   35.9% 

Shares created

   400,000   1,500,000 

Shares redeemed

   350,000   100,000 

Per share NAV beginning of period

  $55.09  $59.69 

Per share NAV end of period

  $62.86  $66.99 

Percentage change in per share NAV

   14.1%   12.2% 

Percentage change in benchmark

   8.1%   6.6% 

Benchmark annualized volatility

   15.7%   17.3% 

10

During the three months ended March 31, 2023, 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 Gold SubindexSM. The increase in the Fund’s NAV also resulted in part from an increase from 3,150,000 outstanding Shares at December 31, 2022 to 3,200,000 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 5,300,000 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.1% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 12.2% for the three months ended March 31, 2022, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s rise of 8.1% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 6.6% for the three months ended March 31, 2022, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $1,213,285   $(617,466) 

Management fee

   427,114    671,415 

Brokerage commission

   8,615    21,659 

Futures account fees

   —      19,505 

Net realized gain (loss)

   10,799,896    57,818,596 

Change in net unrealized appreciation (depreciation)

   10,688,379    (24,820,511) 

Net Income (loss)

  $22,701,560   $32,380,619 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in average net assets, which was offset by an increase in futures prices, during the three months ended March 31, 2023.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

11

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $414,285,878  $515,453,594 

NAV end of period

  $429,115,334  $558,375,842 

Percentage change in NAV

   3.6%   8.3% 

Shares outstanding beginning of period

   13,046,526   14,796,526 

Shares outstanding end of period

   13,796,526   14,296,526 

Percentage change in shares outstanding

   5.7%   (3.4)% 

Shares created

   1,900,000   1,000,000 

Shares redeemed

   1,150,000   1,500,000 

Per share NAV beginning of period

  $31.75  $34.84 

Per share NAV end of period

  $31.10  $39.06 

Percentage change in per share NAV

   (2.0)%   12.1% 

Percentage change in benchmark

   0.8%   7.5% 

Benchmark annualized volatility

   27.6%   31.9% 

During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,796,526 outstanding Shares at March 31, 2023. 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 Silver SubindexSM. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,296,526 outstanding Shares at March 31, 2022.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.0% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 12.1% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s rise of 0.8% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 7.5% for the three months ended March 31, 2022, can be attributed to a lesser increase in the value of silver futures contracts during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $2,476,275   $(1,128,206) 

Management fee

   871,559    1,217,599 

Brokerage commission

   26,562    30,551 

Futures account fees

   —      20,505 

Net realized gain (loss)

   (28,743,864)    116,637,037 

Change in net unrealized appreciation (depreciation)

   22,352,120    (58,036,245) 

Net Income (loss)

  $(3,915,469)   $57,472,586 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2023.

12

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $639,318,362  $816,679,636 

NAV end of period

  $535,980,236  $1,127,608,641 

Percentage change in NAV

   (16.2)%   38.1% 

Shares outstanding beginning of period

   93,078,420   65,828,420 

Shares outstanding end of period

   115,878,420   83,528,420 

Percentage change in shares outstanding

   24.5%   26.9% 

Shares created

   83,700,000   83,100,000 

Shares redeemed

   60,900,000   65,400,000 

Per share NAV beginning of period

  $6.87  $12.41 

Per share NAV end of period

  $4.63  $13.50 

Percentage change in per share NAV

   (32.7)%   8.8% 

Percentage change in benchmark

   (20.3)%   10.2% 

Benchmark annualized volatility

   68.1%   86.4% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 93,078,420 outstanding Shares at December 31, 2022 to 115,878,420 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,420 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 32.7% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 8.8% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 20.3% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 10.2% for the three months ended March 31, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

13

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $2,141,823   $(3,585,362) 

Management fee

   1,373,770    1,961,177 

Brokerage commission

   777,701    936,758 

Futures account fees

   123,361    782,688 

Net realized gain (loss)

   (182,241,208)    280,979,531 

Change in net unrealized appreciation (depreciation)

   2,037,527    (35,000,884) 

Net Income (loss)

  $(178,061,858)   $242,393,285 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2023.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $13,814,796  $2,362,849 

NAV end of period

  $9,915,083  $2,099,705 

Percentage change in NAV

   (28.2)%   (11.1)% 

Shares outstanding beginning of period

   399,970   49,970 

Shares outstanding end of period

   299,970   49,970 

Percentage change in shares outstanding

   (25.0)%   —  % 

Shares created

   50,000   —   

Shares redeemed

   150,000   —   

Per share NAV beginning of period

  $34.54  $47.29 

Per share NAV end of period

  $33.05  $42.02 

Percentage change in per share NAV

   (4.3)%   (11.1)% 

Percentage change in benchmark

   (1.16)%   (5.5)% 

Benchmark annualized volatility

   12.37%   7.1% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,970 outstanding Shares at December 31, 2022 to 299,970 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (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, 2021 to March 31, 2022.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 11.1% for the three months ended March 31, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

14

The benchmark’s decline of 1.16% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 5.5% for the three months ended March 31, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $89,558   $(4,556) 

Management fee

   30,560    5,429 

Net realized gain (loss)

   (298,808)    (117,223) 

Change in net unrealized appreciation (depreciation)

   (494,067)    (141,365) 

Net Income (loss)

  $(703,317)   $(263,144) 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the three months ended March 31, 2023.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $222,697,337  $114,167,602 

NAV end of period

  $144,762,563  $416,799,231 

Percentage change in NAV

   (35.0)%   265.1% 

Shares outstanding beginning of period

   9,305,220   1,776,760 

Shares outstanding end of period

   5,755,220   14,286,760 

Percentage change in shares outstanding

   (38.2)%   704.1% 

Shares created

   5,300,000   15,570,000 

Shares redeemed

   8,850,000   3,060,000 

Per share NAV beginning of period

  $23.93  $64.26 

Per share NAV end of period

  $25.15  $29.17 

Percentage change in per share NAV

   5.1%   (54.6)% 

Percentage change in benchmark

   (5.4)%   36.6% 

Benchmark annualized volatility

   30.8%   46.0% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 5,755,220 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 14,286,760 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM.

15

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.1% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 54.6% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 5.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 36.6% for the three months ended March 31, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $1,452,572   $(585,973) 

Management fee

   484,880    492,647 

Brokerage commission

   65,757    77,056 

Futures account fees

   —      70,177 

Net realized gain (loss)

   27,614,767    (106,482,101) 

Change in net unrealized appreciation (depreciation)

   10,956,230    1,929,042 

Net Income (loss)

  $40,023,569   $(105,139,032) 

The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the three months ended March 31, 2023.

*

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

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

16

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $134,109,520  $242,145,130 

NAV end of period

  $146,981,760  $250,340,837 

Percentage change in NAV

   9.6%   3.4% 

Shares outstanding beginning of period

   4,966,856   978,742 

Shares outstanding end of period

   2,066,856   3,868,619 

Percentage change in shares outstanding

   (58.4)%   295.3% 

Shares created

   7,250,000   4,640,000 

Shares redeemed

   10,150,000   1,750,123 

Per share NAV beginning of period

  $27.00  $247.40 

Per share NAV end of period

  $71.11  $64.71 

Percentage change in per share NAV

   163.4%   (73.9)% 

Percentage change in benchmark

   (50.4)%   58.4% 

Benchmark annualized volatility

   78.6%   72.9% 

During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 2,066,856 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 3,868,619 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 163.4% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 73.9% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 50.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 58.4% for the three months ended March 31, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $650,640   $(837,419) 

Management fee

   296,862    542,364 

Brokerage commission

   209,641    220,951 

Futures account fees

   29,609    129,929 

Net realized gain (loss)

   183,405,966    (114,724,308) 

Change in net unrealized appreciation (depreciation)

   (44,959,798)    (87,787,071) 

Net Income (loss)

  $139,096,808   $(203,348,798) 

The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas, during the three months ended March 31, 2023.

*

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

17

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $75,113,179  $54,263,045 

NAV end of period

  $59,537,260  $50,498,084 

Percentage change in NAV

   (20.7)%   (6.9)% 

Shares outstanding beginning of period

   2,550,000   2,100,000 

Shares outstanding end of period

   2,050,000   1,850,000 

Percentage change in shares outstanding

   (19.6)%   (11.9)% 

Shares created

   100,000   50,000 

Shares redeemed

   600,000   300,000 

Per share NAV beginning of period

  $29.46  $25.84 

Per share NAV end of period

  $29.04  $27.30 

Percentage change in per share NAV

   (1.4)%   5.6% 

Percentage change in benchmark

   1.31%   (2.8)% 

Benchmark annualized volatility

   9.21%   8.6% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 2,050,000 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times 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 March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 1,850,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.4% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s rise of 1.31% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

18

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $485,552   $(102,051) 

Management fee

   161,568    117,456 

Net realized gain (loss)

   (1,407,311)    2,753,108 

Change in net unrealized appreciation (depreciation)

   141,211    268,741 

Net Income (loss)

  $(780,548)   $2,919,798 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended March 31, 2023.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $15,456,037  $26,859,844 

NAV end of period

  $16,049,273  $32,598,451 

Percentage change in NAV

   3.8%   21.4% 

Shares outstanding beginning of period

   496,977   846,977 

Shares outstanding end of period

   596,977   1,196,977 

Percentage change in shares outstanding

   20.1%   41.3% 

Shares created

   300,000   450,000 

Shares redeemed

   200,000   100,000 

Per share NAV beginning of period

  $31.10  $31.71 

Per share NAV end of period

  $26.88  $27.23 

Percentage change in per share NAV

   (13.6)%   (14.1)% 

Percentage change in benchmark

   8.1%   6.6% 

Benchmark annualized volatility

   15.7%   17.3% 

During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 596,977 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,196,977 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.6% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 14.1% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s rise of 8.1% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 6.6% for the three months ended March 31, 2022, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2023.

19

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $94,828   $(61,130) 

Management fee

   36,373    66,138 

Brokerage commission

   1,361    2,811 

Futures account fees

   —      1,866 

Net realized gain (loss)

   (1,030,881)    (6,308,669) 

Change in net unrealized appreciation (depreciation)

   (655,702)    2,028,779 

Net Income (loss)

  $(1,591,755)   $(4,341,020) 

The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a greater increase in the value of the futures prices during the three months ended March 31, 2023.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $31,932,799  $26,537,000 

NAV end of period

  $20,335,691  $23,406,516 

Percentage change in NAV

   (36.3)%   (11.8)% 

Shares outstanding beginning of period

   1,641,329   991,329 

Shares outstanding end of period

   1,091,329   1,091,329 

Percentage change in shares outstanding

   (33.5)%   10.1% 

Shares created

   650,000   1,100,000 

Shares redeemed

   1,200,000   1,000,000 

Per share NAV beginning of period

  $19.46  $26.77 

Per share NAV end of period

  $18.63  $21.45 

Percentage change in per share NAV

   (4.2)%   (19.9)% 

Percentage change in benchmark

   0.8%   7.5% 

Benchmark annualized volatility

   27.6%   31.9% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 1,091,329 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,091,329 outstanding Shares at March 31, 2022.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 19.9% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

20

The benchmark’s rise of 0.8% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 7.5% for the three months ended March 31, 2022, can be attributed to a lesser increase in the value of the silver futures contracts during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $134,207   $(60,608) 

Management fee

   60,168    60,953 

Brokerage commission

   5,703    5,301 

Futures account fees

   —      3,274 

Net realized gain (loss)

   2,713,623    (7,373,936) 

Change in net unrealized appreciation (depreciation)

   (1,183,236)    1,789,652 

Net Income (loss)

  $1,664,594   $(5,644,892) 

The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2023.

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $21,397,736  $24,840,784 

NAV end of period

  $25,111,818  $27,726,701 

Percentage change in NAV

   17.4%   11.6% 

Shares outstanding beginning of period

   398,580   598,580 

Shares outstanding end of period

   448,580   598,580 

Percentage change in shares outstanding

   12.5%   —  % 

Shares created

   200,000   200,000 

Shares redeemed

   150,000   200,000 

Per share NAV beginning of period

  $53.68  $41.50 

Per share NAV end of period

  $55.98  $46.32 

Percentage change in per share NAV

   4.3%   11.6% 

Percentage change in benchmark

   (1.16)%   (5.5)% 

Benchmark annualized volatility

   12.37%   7.1% 

During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 398,580 outstanding Shares at December 31, 2022 to 448,580 outstanding Shares at March 31, 2023. 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 Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 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 December 31, 2021 to March 31, 2022.

21

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 11.6% for the three months ended March 31, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 1.16% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 5.5% for the three months ended March 31, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $153,388   $(50,421) 

Management fee

   50,812    59,820 

Net realized gain (loss)

   (1,027,976)    1,183,144 

Change in net unrealized appreciation (depreciation)

   1,859,501    1,438,464 

Net Income (loss)

  $984,913   $2,571,187 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2023.

*

See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Short Yen.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

22

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $84,014,959  $112,875,680 

NAV end of period

  $67,306,087  $97,869,914 

Percentage change in NAV

   (19.9)%   (13.4)% 

Shares outstanding beginning of period

   2,762,403   3,687,403 

Shares outstanding end of period

   2,512,403   3,112,403 

Percentage change in shares outstanding

   (9.1)%   (15.6)% 

Shares created

   275,000   700,000 

Shares redeemed

   525,000   1,275,000 

Per share NAV beginning of period

  $30.41  $30.61 

Per share NAV end of period

  $26.79  $31.45 

Percentage change in per share NAV

   (11.9)%   2.7% 

Percentage change in benchmark

   (11.4)%   3.3% 

Benchmark annualized volatility

   36.4%   32.8% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,512,403 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.9% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 2.7% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 11.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 3.3% for the three months ended March 31, 2022, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $477,188   $(252,097) 

Management fee

   150,123    215,663 

Brokerage commission

   9,169    24,869 

Futures account fees

   11,440    35,488 

Net realized gain (loss)

   (15,820,720)    4,791,497 

Change in net unrealized appreciation (depreciation)

   4,582,460    (473,835) 

Net Income (loss)

  $(10,761,072)   $4,065,565 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2023.

23

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		  Three Months Ended
March 31, 2022		 

NAV beginning of period

  $266,580,320  $269,703,164 

NAV end of period

  $226,765,204  $404,950,400 

Percentage change in NAV

   (14.9)%   50.1% 

Shares outstanding beginning of period

   23,382,826   17,832,826 

Shares outstanding end of period

   25,107,826   24,382,826 

Percentage change in shares outstanding

   7.4%   36.7% 

Shares created

   11,500,000   9,950,000 

Shares redeemed

   9,775,000   3,400,000 

Per share NAV beginning of period

  $11.40  $15.12 

Per share NAV end of period

  $9.03  $16.61 

Percentage change in per share NAV

   (20.8)%   9.9% 

Percentage change in benchmark

   (20.3)%   10.2% 

Benchmark annualized volatility

   68.1%   86.4% 

During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 23,382,826 outstanding Shares at December 31, 2022 to 25,107,826 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 24,382,826 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 20.8% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 9.9% for the three months ended March 31, 2022, was primarily due to deprecation in the value of the assets held by the Fund during the three months ended March 31, 2023.

The benchmark’s decline of 20.3% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 10.2% for the three months ended March 31, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:

   Three Months Ended
March 31, 2023		   Three Months Ended
March 31, 2022		 

Net investment income (loss)

  $1,455,917   $(952,113) 

Management fee

   517,488    705,691 

Brokerage commission

   96,497    116,474 

Futures account fees

   50,659    200,657 

Net realized gain (loss)

   (46,096,694)    53,734,224 

Change in net unrealized appreciation (depreciation)

   1,130,026    (13,448,381) 

Net Income (loss)

  $(43,510,751)   $39,333,730 

The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2023.

24

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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

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

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of March 31, 2023 and 2022, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2023 and 2022, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2023 

Contract

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

VIX Futures (Cboe)

   Short    April 2023    4,007   $20.76    1,000   $(83,202,149) 

VIX Futures (Cboe)

   Short    May 2023    2,915    22.13    1,000    (64,504,578) 

25

Futures Positions as of March 31, 2022 

Contract

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

VIX Futures (Cboe)

   Short    April 2022    4,910   $23.47    1,000   $(115,232,790) 

VIX Futures (Cboe)

   Short    May 2022    5,324    24.99    1,000    (133,034,515) 

The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 2023 and 2022, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and 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 March 31, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2023 

Contract

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

WTI Crude Oil (NYMEX)

  Long  June 2023   2,112   $75.80    1,000   $160,089,600 

WTI Crude Oil (NYMEX)

  Long  December 2023   2,182    73.55    1,000    160,486,100 

WTI Crude Oil (NYMEX)

  Long  June 2024   2,261    71.23    1,000    161,051,030 

Swap Agreements as of March 31, 2023 

Reference Index

  Counterparty   Long or
Short		   Index
Close		   Notional Amount
at Value		 

Bloomberg Commodity Balanced WTI Crude Oil

        

Index

   Citibank, N.A.    Long   $80.1009   $180,552,235 

Bloomberg Commodity Balanced WTI Crude Oil

        

Index

   Goldman Sachs International    Long    80.1009    224,484,374 

Bloomberg Commodity Balanced WTI Crude Oil

   Morgan Stanley & Co.       

Index

   International PLC    Long    80.1009    312,723,926 

Bloomberg Commodity Balanced WTI Crude Oil

        

Index

   Societe Generale    Long    80.1009    170,398,805 

Bloomberg Commodity Balanced WTI Crude Oil

        

Index

   UBS AG    Long    80.1009    253,675,785 

Futures Positions as of March 31, 2022 

Contract

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

WTI Crude Oil (NYMEX)

  Long  June 2022   4,115   $98.52    1,000   $405,409,800 

WTI Crude Oil (NYMEX)

  Long  December 2022   4,724    89.60    1,000    423,270,400 

WTI Crude Oil (NYMEX)

  Long  June 2023   5,012    84.61    1,000    424,065,320 

26

Swap Agreements as of March 31, 2022 

Reference Index

  Counterparty  Long or
Short		  Index
Close		   Notional Amount
at Value		 

Bloomberg Commodity Balanced WTI Crude Oil

Index

  Citibank, N.A.  Long  $89.7299   $202,256,578 

Bloomberg Commodity Balanced WTI Crude Oil

Index

  Goldman Sachs International  Long   89.7299    394,073,711 

Bloomberg Commodity Balanced WTI Crude Oil

Index

  Morgan Stanley & Co.
International PLC		  Long   89.7299    350,316,746 

Bloomberg Commodity Balanced WTI Crude Oil

Index

  Societe Generale  Long   89.7299    190,882,596 

Bloomberg Commodity Balanced WTI Crude Oil

Index

  UBS AG  Long   89.7299    284,170,376 

The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of March 31, 2023 and 2022, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts and swap agreements linked to the Bloomberg Natural Gas SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2023 

Contract

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

Natural Gas (NYMEX)

  Long  May 2023   95,284   $2.22    10,000   $2,111,493,440 

Swap Agreements as of March 31, 2023 

Reference Index

  Counterparty  Long or
Short		  Index
Close		   Notional Amount
at Value		 

Bloomberg Natural Gas Subindex

  Citibank, N.A.  Long  $0.0885   $67,247,193 

Bloomberg Natural Gas Subindex

  Goldman Sachs International  Long   0.0885    100,389,846 

Bloomberg Natural Gas Subindex

  UBS AG  Long   0.0885    803,815 

Futures Positions as of March 31, 2022 

Contract

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

Natural Gas (NYMEX)

  Long  May 2022   5,149   $5.64    10,000   $290,506,580 

The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. 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.

27

ProShares Ultra Euro:

As of March 31, 2023 and 2022, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2023 

Reference
Currency

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

Euro

  Goldman Sachs International  Long  04/14/23   8,826,921   1.0680   $9,427,525 

Euro

  UBS AG  Long  04/14/23   9,821,502   1.0684    10,492,894 

Euro

  Goldman Sachs International  Short  04/14/23   (308,000)   1.0633    (327,497) 

Euro

  UBS AG  Short  04/14/23   (2,461,000)   1.0877    (2,676,882) 

Foreign Currency Forward Contracts as of March 31, 2022 

Reference
Currency

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

Euro

  Goldman Sachs International  Long  04/08/22   4,422,921   1.1082   $4,901,569 

Euro

  UBS AG  Long  04/08/22   11,991,502   1.1091    13,299,566 

Euro

  UBS AG  Short  04/08/22   (5,127,000)   1.1044    (5,662,185) 

The March 31, 2023 and 2022 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of March 31, 2023 and 2022 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2023 

Contract

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

Gold Futures (COMEX)

  Long  June 2023   667   $1,986.20    100   $132,479,540 

Swap Agreements as of March 31, 2023 

Reference Index

  Counterparty  Long or
Short		  Index Close   Notional Amount
at Value		 

Bloomberg Gold Subindex

  Citibank, N.A.  Long  $209.1875   $115,835,052 

Bloomberg Gold Subindex

  Goldman Sachs International  Long   209.1875    55,017,986 

Bloomberg Gold Subindex

  UBS AG  Long   209.1875    98,916,314 

28

Futures Positions as of March 31, 2022 

Contract

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

Gold Futures (COMEX)

  Long  June 2022   1,871   $1,954.00    100   $365,593,400 

Swap Agreements as of March 31, 2022 

Reference Index

  Counterparty  Long or
Short		  Index Close   Notional Amount
at Value		 

Bloomberg Gold Subindex

  Citibank, N.A.  Long  $214.4125   $118,728,333 

Bloomberg Gold Subindex

  Goldman Sachs International  Long   214.4125    102,600,526 

Bloomberg Gold Subindex

  UBS AG  Long   214.4125    123,508,801 

The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of March 31, 2023 and 2022 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2023 

Contract

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

Silver Futures (COMEX)

  Long  May 2023   2,879   $24.16    5,000   $347,725,620 

Swap Agreements as of March 31, 2023 

Reference Index

  Counterparty   Long or
Short		  Index Close   Notional Amount
at Value		 
    Long  $211.9607   $159,299,488 

Bloomberg Silver Subindex

   Citibank, N.A.   Long   211.9607    177,727,745 

Bloomberg Silver Subindex

   Goldman Sachs International   Long   211.9607    23,479,523 

Bloomberg Silver Subindex

   UBS AG   Long   211.9607    149,931,926 

Futures Positions as of March 31, 2022 

Contract

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

Silver Futures (COMEX)

  Long  May 2022   1,351   $25.13    5,000   $169,773,415 

29

Swap Agreements as of March 31, 2022 

Reference Index

  Counterparty  Long or
Short		  Index Close   Notional Amount
at Value		 

Bloomberg Silver Subindex

  Citibank, N.A.  Long  $227.4218   $237,998,246 

Bloomberg Silver Subindex

  Goldman Sachs International  Long   227.4218    249,395,557 

Bloomberg Silver Subindex

  Morgan Stanley & Co.
International PLC		  Long   227.4218    232,374,365 

Bloomberg Silver Subindex

  UBS AG  Long   227.4218    227,857,585 

The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2023 and 2022, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2023 

Contract

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

VIX Futures (Cboe)

  Long  April 2023   21,811   $20.76    1,000   $452,887,966 

VIX Futures (Cboe)

  Long  May 2023   15,863    22.13    1,000    351,024,396 

Futures Positions as of March 31, 2022 

Contract

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

VIX Futures (Cboe)

  Long  April 2022   33,482   $23.47    1,000   $785,789,058 

VIX Futures (Cboe)

  Long  May 2022   36,263    24.99    1,000    906,128,965 

The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Yen:

As of March 31, 2023 and 2022, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to exchange rate price risk.

30

Foreign Currency Forward Contracts as of March 31, 2023 

Reference

Currency

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

Yen

  Goldman Sachs International  Long  04/14/23   1,492,519,517   0.007400   $11,044,802 

Yen

  UBS AG  Long  04/14/23   1,730,435,856   0.007387    12,782,072 

Yen

  Goldman Sachs International  Short  04/14/23   (16,977,000)   0.007387    (125,407) 

Yen

  UBS AG  Short  04/14/23   (577,337,000)   0.007533    (4,348,806) 

Foreign Currency Forward Contracts as of March 31, 2022 

Reference
Currency

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

Yen

  Goldman Sachs International  Long  04/08/22   321,397,517   0.008653   $2,781,048 

Yen

  UBS AG  Long  04/08/22   234,765,856   0.008634    2,027,006 

Yen

  Goldman Sachs International  Short  04/08/22   (6,529,000)   0.008177    (53,386) 

Yen

  UBS AG  Short  04/08/22   (37,680,000)   0.008411    (316,941) 

The March 31, 2023 and 2022 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 2023 and 2022, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.

31

Futures Positions as of March 31, 2023 

Contract

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

WTI Crude Oil (NYMEX)

   Short   June 2023   1,269   $75.80    1,000   $(96,190,200) 

WTI Crude Oil (NYMEX)

   Short   December 2023   1,312    73.55    1,000    (96,497,600) 

WTI Crude Oil (NYMEX)

   Short   June 2024   1,359    71.23    1,000    (96,801,570) 

Futures Positions as of March 31, 2022 

Contract

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

WTI Crude Oil (NYMEX)

   Short   June 2022   2,737   $98.52    1,000   $(269,649,240) 

WTI Crude Oil (NYMEX)

   Short   December 2022   3,147    89.60    1,000    (281,971,200) 

WTI Crude Oil (NYMEX)

   Short   June 2023   3,339    84.61    1,000    (282,512,790) 

The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract 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.

ProShares UltraShort Bloomberg Natural Gas:

As of March 31, 2023 and 2022, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2023 

Contract

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

Natural Gas (NYMEX)

   Short   May 2023   13,265   $2.22    10,000   $(293,952,400) 

Futures Positions as of March 31, 2022 

Contract

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

Natural Gas (NYMEX)

   Short   May 2022   8,883   $5.64    10,000   $(501,178,860) 

The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

32

ProShares UltraShort Euro:

As of March 31, 2023 and 2022, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2023 

Reference
Currency

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

Euro

  Goldman Sachs International   Long    04/14/23    13,747,000   1.0724   $14,742,763 

Euro

  UBS AG   Long    04/14/23    21,381,000   1.0781    23,050,631 

Euro

  Goldman Sachs International   Short    04/14/23    (71,345,263)   1.0673    (76,146,038) 

Euro

  UBS AG   Short    04/14/23    (73,465,199)   1.0668    (78,376,112) 

Foreign Currency Forward Contracts as of March 31, 2022 

Reference
Currency

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

Euro

  UBS AG  Long   04/08/22    13,916,000   1.1059   $15,390,379 

Euro

  Goldman Sachs International  Short   04/08/22    (46,280,263)   1.1082    (51,288,713) 

Euro

  UBS AG  Short   04/08/22    (58,998,199)   1.1072    (65,320,957) 

The March 31, 2023 and 2022 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

As of March 31, 2023 and 2022 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2023 

Contract

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

Gold Futures (COMEX)

   Short   June 2023   76   $1,986.20    100   $(15,095,120) 

Swap Agreements as of March 31, 2023 

Reference Index

  Counterparty  Long or
Short		  Index Close   Notional Amount
at Value		 

Bloomberg Gold Subindex

  Citibank, N.A.  Short  $209.1875   $(3,932,159) 

Bloomberg Gold Subindex

  Goldman Sachs International  Short   209.1875    (5,153,543) 

Bloomberg Gold Subindex

  UBS AG  Short   209.1875    (7,971,123) 

Futures Positions as of March 31, 2022 

Contract

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

Gold Futures (COMEX)

   Short   June 2022   134   $1,954.00    100   $(26,183,600) 

33

Swap Agreements as of March 31, 2022 

Reference Index

  Counterparty  Long or
Short		  Index Close   Notional Amount
at Value		 

Bloomberg Gold Subindex

  Citibank, N.A.  Short  $214.4125   $(16,074,140) 

Bloomberg Gold Subindex

  Goldman Sachs International  Short   214.4125    (10,515,819) 

Bloomberg Gold Subindex

  UBS AG  Short   214.4125    (12,574,684) 

The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of March 31, 2023 and 2022 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2023 

Contract

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

Silver Futures (COMEX)

  Short  May 2023   137   $24.16    5,000   $(16,546,860) 

Swap Agreements as of March 31, 2023 

Reference Index

  Counterparty  Long or
Short		   Index Close   Notional Amount
at Value		 

Bloomberg Silver Subindex

  Citibank, N.A.   Short   $211.9607   $(2,858,231) 

Bloomberg Silver Subindex

  Goldman Sachs International   Short    211.9607    (10,412,145) 

Bloomberg Silver Subindex

  Morgan Stanley & Co.
International PLC		   Short    211.9607    (8,232,766) 

Bloomberg Silver Subindex

  UBS AG   Short    211.9607    (2,632,575) 

Futures Positions as of March 31, 2022 

Contract

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

Silver Futures (COMEX)

  Short  May 2022   167   $25.13    5,000   $(20,986,055) 

34

Swap Agreements as of March 31, 2022 

Reference Index

  Counterparty  Long or
Short		  Index Close   Notional Amount
at Value		 

Bloomberg Silver Subindex

  Citibank, N.A.  Short  $227.4218   $(3,066,720) 

Bloomberg Silver Subindex

  Goldman Sachs International  Short   227.4218    (11,171,645) 

Bloomberg Silver Subindex

  Morgan Stanley & Co.
International PLC		  Short   227.4218    (8,833,290) 

Bloomberg Silver Subindex

  UBS AG  Short   227.4218    (2,824,603) 

The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of March 31, 2023 and 2022, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2023 

Reference Currency

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

Yen

  Goldman Sachs International  Long   04/14/23    1,438,381,000   0.007577   $10,898,111 

Yen

  UBS AG  Long   04/14/23    1,461,674,000   0.007452    10,891,748 

Yen

  Goldman Sachs International  Short   04/14/23    (4,075,246,165)   0.007410    (30,197,307) 

Yen

  UBS AG  Short   04/14/23    (5,475,162,574)   0.007421    (40,629,712) 

Foreign Currency Forward Contracts as of March 31, 2022 

Reference
Currency

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

Yen

  UBS AG  Long   04/08/22    2,874,020,000   0.008228   $23,648,854 

Yen

  Goldman Sachs International  Short   04/08/22    (1,973,114,165)   0.008595    (16,958,793) 

Yen

  UBS AG  Short   04/08/22    (7,652,928,574)   0.008428    (64,498,778) 

The March 31, 2023 and 2022 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

35

ProShares VIX Mid-Term Futures ETF

As of March 31, 2023 and 2022, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2023 

Contract

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

VIX Futures (Cboe)

   Long   July 2023   545   $23.59    1,000   $12,858,785 

VIX Futures (Cboe)

   Long   August 2023   942    23.70    1,000    22,324,458 

VIX Futures (Cboe)

   Long   September 2023   942    23.99    1,000    22,599,428 

VIX Futures (Cboe)

   Long   October 2023   396    24.05    1,000    9,523,800 

Futures Positions as of March 31, 2022 

Contract

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

VIX Futures (Cboe)

  Long  July 2022   593   $26.11    1,000   $15,480,562 

VIX Futures (Cboe)

  Long  August 2022   1,235    26.25    1,000    32,424,802 

VIX Futures (Cboe)

  Long  September 2022   1,235    26.60    1,000    32,852,729 

VIX Futures (Cboe)

  Long  October 2022   642    26.86    1,000    17,245,083 

The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of March 31, 2023 and 2022, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of March 31, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2023 

Contract

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

VIX Futures (Cboe)

   Long   April 2023   6,151   $20.76    1,000   $127,720,594 

VIX Futures (Cboe)

   Long   May 2023   4,474    22.13    1,000    99,002,909 

Futures Positions as of March 31, 2022 

Contract

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

VIX Futures (Cboe)

  Long  April 2022   8,017   $23.47    1,000   $188,150,973 

VIX Futures (Cboe)

  Long  May 2022   8,681    24.99    1,000    216,918,224 

36

The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

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) 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).

37

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, -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 in “Note 2 - Significant Accounting Policies - Final Net Asset Value for Fiscal Period”), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described 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 creation/redemption 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. 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).

38

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 March 31, 2023, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2023 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.

39

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of March 31, 2023, the Trust is not a party to any material legal proceedings.

Item 1A. Risk Factors.

Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust

Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not 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.

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks

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 FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some FCMs may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.

40

Natural Disasters and Public Health Disruptions, such as the

COVID-19
Virus, Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund
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)COVID-19 including its variants),
have been and may continue to be highly disruptive to economies and markets andmarkets. These conditions 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, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during MarchTo attempt to curb the spread of COVID-19, federal, state, and April 2020,local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the U.S. federal government passed various legislation inmandates were rolled back or eliminated entirely due to actions taken within the courts. In response to the
COVID-19
pandemic,COVID’s shock to the effectslabor market and resultseconomy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of which are uncertain.increases in unemployment insurance and stimulus packages. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability 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. During much of 2020 and the first quarter of 2021, the unemployment rate in the U.S. has 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 marginmargins and collateral requirements in ways that have a significant negative impact on Fund
186
Table of Contents
performance orr 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 transacttransaction 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

The outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to COVID-19, SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and Expectations Could Become Outdated As a Result of Global Economic Shocks

their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The onsetextent 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 containimpact of any outbreak on 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 tradingtheir investments depend on many factors, including the duration and scope of Fund Sharessuch outbreak, the development and distribution of treatments and vaccines for viruses such as COVID-19, the extent of any such outbreak’s disruption to become inaccurate or outdated quickly, resulting in significantimportant global, regional and unexpected losses.
The Funds as welllocal supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted.

Additionally, public health issues, war (such as the Sponsorwar between Russia and its service providers are vulnerable to the effectsUkraine), military conflicts, sanctions, acts of public health crises, including the ongoing

COVID-19
pandemic
Pandemicsterrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and other public health criseseconomies. A widespread crisis 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 adverselyalso affect the price ofglobal economy in ways that cannot necessarily be foreseen at 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 costscurrent time. How long such events will last and resulting in a sustained premiumwhether they will continue or discount in the shares of the Funds. The duration of the outbreak and its effectsrecur cannot be determined with any reasonable amount of certainty. A prolonged outbreakpredicted. Impacts from these events 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 Fundshave significant impact on a Fund’s performance, 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 technologyFund may decline significantly.

41

Item 2. Unregistered Sales of Equity Securities and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the abilityUse of the employees of such service providers to perform essential tasks on behalf of the Funds.

Proceeds.

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

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 March 31, 2023:

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

      
   01/01/23 to 01/31/23    2,200,000   $62.86 
   02/01/23 to 02/28/23    1,050,000   $64.50 
   03/01/23 to 03/31/23    350,000   $63.64 

ProShares Ultra Bloomberg Crude Oil

      

Common Units of Beneficial Interest

      
   01/01/23 to 01/31/23    3,100,000   $29.90 
   02/01/23 to 02/28/23    3,700,000   $28.81 
   03/01/23 to 03/31/23    10,100,000   $25.61 

ProShares Ultra Bloomberg Natural Gas

      

Common Units of Beneficial Interest

      
   01/01/23 to 01/31/23    7,350,000   $10.61 
   02/01/23 to 02/28/23    57,800,000   $6.16 
   03/01/23 to 03/31/23    37,500,000   $6.27 

ProShares Ultra Euro

      

Common Units of Beneficial Interest

      
   01/01/23 to 01/31/23    —     $—   
   02/01/23 to 02/28/23    300,000   $11.52 
   03/01/23 to 03/31/23    100,000   $11.62 

ProShares Ultra Gold

      

Common Units of Beneficial Interest

      
   01/01/23 to 01/31/23    50,000   $61.88 
   02/01/23 to 02/28/23    150,000   $55.99 
   03/01/23 to 03/31/23    150,000   $56.97 

42

a) None.
Not applicable.
187
Table of Contents
Title of Securities Registered
*
 
Shares Sold For the

Three Months

Ended March 31,

2022
  
Sale Price of Shares Sold

For the Three Months

Ended March 31, 2022
 
ProShares Short Euro
  
Common Units of Beneficial Interest
  50,000  $2,312,961 
ProShares Short VIX Short-Term Futures ETF
  
Common Units of Beneficial Interest
  3,000,000  $156,515,471 
ProShares Ultra Bloomberg Crude Oil
  
Common Units of Beneficial Interest
  2,150,000  $330,317,033 
ProShares Ultra Bloomberg Natural Gas
  
Common Units of Beneficial Interest
  2,600,000  $87,880,355 
ProShares Ultra Euro
  
Common Units of Beneficial Interest
  100,000  $1,316,267 
ProShares Ultra Gold
  
Common Units of Beneficial Interest
  1,500,000  $95,684,676 
ProShares Ultra Silver
  
Common Units of Beneficial Interest
  1,000,000  $39,033,941 
ProShares Ultra VIX Short-Term Futures ETF
  
Common Units of Beneficial Interest
  83,100,000  $1,171,715,867 
ProShares Ultra Yen
  
Common Units of Beneficial Interest
  —    $—   
ProShares UltraShort Australian Dollar
  
Common Units of Beneficial Interest
  —    $—   
ProShares UltraShort Bloomberg Crude Oil
  
Common Units of Beneficial Interest
  77,850,000  $510,028,879 
ProShares UltraShort Bloomberg Natural Gas
  
Common Units of Beneficial Interest
  18,560,000  $454,959,241 
ProShares UltraShort Euro
  
Common Units of Beneficial Interest
  50,000  $1,371,662 
ProShares UltraShort Gold
  
Common Units of Beneficial Interest
  450,000  $13,189,949 
ProShares UltraShort Silver
  
Common Units of Beneficial Interest
  1,100,000  $25,560,144 
ProShares UltraShort Yen
  
Common Units of Beneficial Interest
  100,000  $9,605,322 
ProShares VIX
Mid-Term
Futures ETF
  
Common Units of Beneficial Interest
  700,000  $22,135,602 
ProShares VIX Short-Term Futures ETF
  
Common Units of Beneficial Interest
  9,950,000  $161,172,915 
 
 
 
  
 
 
 
Total Trust:
 
 
202,260,000
 
 
$
3,082,800,286
 
 
 
 
  
 
 
 

Title of Securities Registered*

  

 

  Total Number of
Shares Redeemed		   Average Price
Per Share		 

ProShares Ultra Silver

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   500,000   $31.11 
  02/01/23 to 02/28/23   100,000   $26.65 
  03/01/23 to 03/31/23   550,000   $26.07 

ProShares Ultra VIX Short-Term Futures ETF

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   850,000   $5.73 
  02/01/23 to 02/28/23   10,600,000   $5.27 
  03/01/23 to 03/31/23   49,450,000   $6.07 

ProShares Ultra Yen

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   50,000   $34.84 
  02/01/23 to 02/28/23   50,000   $32.27 
  03/01/23 to 03/31/23   50,000   $33.07 

ProShares UltraShort Bloomberg Crude Oil

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   1,450,000   $26.37 
  02/01/23 to 02/28/23   2,850,000   $25.33 
  03/01/23 to 03/31/23   4,550,000   $28.86 

ProShares UltraShort Bloomberg Natural Gas

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   5,200,000   $40.04 
  02/01/23 to 02/28/23   2,050,000   $63.09 
  03/01/23 to 03/31/23   2,900,000   $58.90 

ProShares UltraShort Euro

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   50,000   $30.02 
  02/01/23 to 02/28/23   350,000   $29.68 
  03/01/23 to 03/31/23   200,000   $29.48 

ProShares UltraShort Gold

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   —     $—   
  02/01/23 to 02/28/23   150,000   $30.85 
  03/01/23 to 03/31/23   50,000   $30.89 

ProShares UltraShort Silver

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   300,000   $19.36 
  02/01/23 to 02/28/23   750,000   $23.64 
  03/01/23 to 03/31/23   150,000   $24.06 

ProShares UltraShort Yen

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   50,000   $54.92 
  02/01/23 to 02/28/23   —     $—   
  03/01/23 to 03/31/23   100,000   $56.81 

ProShares VIX Mid-Term Futures ETF

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   175,000   $27.45 
  02/01/23 to 02/28/23   275,000   $25.96 
  03/01/23 to 03/31/23   75,000   $26.18 

ProShares VIX Short-Term Futures ETF

      

Common Units of Beneficial Interest

      
  01/01/23 to 01/31/23   1,650,000   $10.68 
  02/01/23 to 02/28/23   2,200,000   $9.71 
  03/01/23 to 03/31/23   5,925,000   $11.04 

*

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

43

Item 3.
Defaults Upon Senior Securities.

Item 3. Defaults Upon Senior Securities.

None.

Item 4.
Mine Safety Disclosures.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

44

188
Table of Contents
Item 5.
Other Information.
None.
189
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  Inline XBRL Instance Document (1)
101.SCH  Inline XBRL Taxonomy Extension Schema (1)
101.CAL  Inline XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF  Inline XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB  Inline XBRL Taxonomy Extension Label Linkbase (1)
101.PRE  Inline XBRL Taxonomy Extension Presentation Linkbase (1)
104.1  Cover Page Interactive Data File -– The cover page interactive data file does not appear in the interactive data file because its XBRL tags 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.

45

190
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

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson
Principal Executive Officer
Date: May 9, 20228, 2023

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: May 9, 20228, 2023

46

191