0001415311 us-gaap:SwapMember ck0001415311:ProsharesUltraShortSilverMember us-gaap:PrivatePlacementMember 2022-01-01 2022-09-302022-06-30
Table of Contents
 
 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
FORM
10-Q
 
 
 
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
for the quarterly period ended SeptemberJune 30, 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 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 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 August 
4
October 31
, 2022,2023, the registrant had 183,944,037108,589,214 shares of common stock, $0 par value per share, outstanding.
 
 
 



Part I. FINANCIAL INFORMATION
Item 1.
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:
  
   21 
   76 
   1211 
   1716 
   2221 
   2726 
   3231 
   3736 
   4241 
   4746 
   5251 
   5756 
   6261 
   6766 
   7271 
   7776 
   8281 
   8685 
1

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

(unaudited)
   
December 31, 2021
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $136,764,766 and $147,851,244, respectively)
  $136,590,474   $147,815,719 
Short-term U.S. government and agency obligations (Note 3) (cost $89,711,485 and $144,283,581, respectively)
  $89,727,034   $144,307,676 
Cash
   20,797,038    44,359,519    62,993,244    6,852,395 
Segregated cash balances with brokers for futures contracts
   89,792,144    138,651,465    110,594,314    127,094,546 
Receivable on open futures contracts
   77,902,927    99,544,338    18,825,539    67,086,947 
Interest receivable
   234,601    2,868    432,544    475,930 
  
 
   
 
   
 
   
 
 
Total assets
   325,317,184    430,373,909    282,572,675    345,817,494 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      6,125,130    —      5,861,814 
Payable on open futures contracts
   2,882,905    —   
Brokerage commissions and futures account fees payable
   8,444    104,312    8,756    21,576 
Payable to Sponsor
   588,662    331,873 
Non-recurring
fees and expenses payable
   6,122    —   
Payable to Sponsor
   210,652    342,466 
  
 
   
 
   
 
   
 
 
Total liabilities
   3,486,133    6,561,315    219,408    6,225,856 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   321,831,051    423,812,594    282,353,267    339,591,638 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $325,317,184   $430,373,909   $282,572,675   $345,817,494 
  
 
   
 
   
 
   
 
 
Shares outstanding
   6,634,307    6,884,307    3,334,307    5,784,307 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $48.51   $61.56   $84.68   $58.71 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $48.59   $61.55   $84.68   $58.68 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
1

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(32% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due 07/06/23
  $15,000,000   $14,993,694 
4.959% due 07/13/23
   25,000,000    24,964,895 
5.104% due 08/01/23
   25,000,000    24,897,695 
4.972% due 08/08/23
   25,000,000    24,870,750 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $89,711,485)
    $89,727,034 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires July 2023
   5,241   $78,672,651   $21,799,615 
VIX Futures - Cboe, expires August 2023
   3,810    62,485,143    2,129,590 
      
 
 
 
      $23,929,205 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
2

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULESTATEMENTS OF INVESTMENTS
OPERATIO
SEPTEMBER 30, 2022NS
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(42% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $77,000,000   $76,818,657 
2.682% due 11/17/22
   50,000,000    49,820,000 
3.026% due 12/01/22
   10,000,000    9,951,817 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $136,764,766)
       $136,590,474 
        
 
 
 
Futures Contracts Sold
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2022
   3,083   $97,163,828   $(12,969,545
VIX Futures - Cboe, expires November 2022
   2,052    63,759,128    (3,296,473
             
 
 
 
             $(16,266,018
             
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $2,437,210  $225,134  $4,546,332  $319,477 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   617,036   1,034,361   1,182,813   2,020,898 
Brokerage commissions
   123,422   177,552   249,925   365,250 
Futures account fees
   —     107,221   —     324,251 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   740,458   1,319,134   1,432,738   2,710,399 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,696,752   (1,094,000  3,113,594   (2,390,922
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   65,228,142   (13,029,194  94,832,290   (54,129,808
Short-term U.S. government and agency obligations
   (25,811  (76,018  (25,811  (86,512
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   65,202,331   (13,105,212  94,806,479   (54,216,320
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   9,658,017   (34,466,848  12,836,824   (29,757,664
Short-term U.S. government and agency obligations
   15,084   (40,932  (8,546  (452,209
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   9,673,101   (34,507,780  12,828,278   (30,209,873
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   74,875,432   (47,612,992  107,634,757   (84,426,193
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $76,572,184  $(48,706,992 $110,748,351  $(86,817,115
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
 
3

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

September 30,
  
Nine Months Ended

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

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
  
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $403,644,956  $588,615,946  $423,812,594  $409,371,468   $295,340,393  $495,588,849  $339,591,638  $423,812,594 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 450,000, 550,000, 5,050,000 and 3,400,000 shares, respectively
   23,538,063   30,777,084   255,975,394   150,390,026 
Redemption of 2,200,000, 4,000,000, 5,300,000 and 6,150,000 shares, respectively
   (115,486,048  (220,625,671  (281,273,902  (320,049,434
Addition of 550,000, 1,600,000, 3,000,000 and 4,600,000 shares, respectively
   38,020,154   75,921,860   185,319,488   232,437,331 
Redemption of 1,850,000, 2,300,000, 5,450,000 and 3,100,000 shares, respectively
   (127,579,464  (119,158,761  (353,306,210  (165,787,854
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of (1,750,000), (3,450,000), (250,000) and (2,750,000) shares, respectively
   (91,947,985  (189,848,587  (25,298,508  (169,659,408
Net addition (redemption) of (1,300,000
), (700,000), (2,450,000) and 1,500,000 shares, respectively
   (89,559,310  (43,236,901  (167,986,722  66,649,477 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (90,304  (1,466,273  (2,481,226  (4,774,396   1,696,752   (1,094,000  3,113,594   (2,390,922
Net realized gain (loss)
   27,694,574   34,572,603   (26,521,746  168,119,037    65,202,331   (13,105,212  94,806,479   (54,216,320
Change in net unrealized appreciation (depreciation)
   (17,470,190  (43,349,844  (47,680,063  (14,532,856   9,673,101   (34,507,780  12,828,278   (30,209,873
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   10,134,080   (10,243,514  (76,683,035  148,811,785    76,572,184   (48,706,992  110,748,351   (86,817,115
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $321,831,051  $388,523,845  $321,831,051  $388,523,845   $282,353,267  $403,644,956  $282,353,267  $403,644,956 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See ac
comp
anying notes to financial statements.
4

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $110,748,351  $(86,817,115
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (278,358,687  (569,767,938
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   334,826,194   565,832,801 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,921,222  (206,220
Net realized (gain) loss on investments
   25,811   86,512 
Change in unrealized (appreciation) depreciation on investments
   8,546   452,209 
Decrease (Increase) in receivable on open futures contracts
   48,261,408   (6,253,293
Decrease (Increase) in interest receivable
   43,386   (73,181
Increase (Decrease) in payable to Sponsor
   (131,814  (2,886
Increase (Decrease) in brokerage commissions and futures account fees payable
   (12,820  (92,191
Increase (Decrease) in payable on open futures contracts
   —     1,735,890 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   213,489,153   (95,105,412
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   185,319,488   232,437,331 
Payment on shares redeemed
   (359,168,024  (171,912,984
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (173,848,536  60,524,347 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   39,640,617   (34,581,065
Cash, beginning of period
   133,946,941   183,010,984 
  
 
 
  
 
 
 
Cash, end of period
  $173,587,558  $148,429,919 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
 
5

PROSHARES SHORT VIX SHORT-TERM FUTURES ETFULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)FINANCIAL CONDITION
 
   
Nine Months Ended

September 30,
 
   
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(76,683,035 $148,811,785 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (1,119,341,677  (411,950,977
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,130,832,801   351,997,423 
Net amortization and accretion on short-term U.S. government and agency obligations
   (491,158  (42,672
Net realized (gain) loss on investments
   86,512   1,303 
Change in unrealized (appreciation) depreciation on investments
   138,767   2,095 
Decrease (Increase) in receivable on open futures contracts
   21,641,411   3,053,471 
Decrease (Increase) in interest receivable
   (231,733  2,611 
Increase (Decrease) in payable to Sponsor
   256,789   (22,522
Increase (Decrease) in brokerage commissions and futures account fees payable
   (95,868  (28,666
Increase (Decrease) in payable on open futures contracts
   2,882,905   (996,159
Increase (Decrease) in
non-recurring
fees and expenses payable
   6,122   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (40,998,164  90,827,692 
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   255,975,394   150,390,026 
Payment on shares redeemed
   (287,399,032  (320,049,434
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (31,423,638  (169,659,408
   
 
 
  
 
 
 
Net increase (decrease) in cash
   (72,421,802  (78,831,716
Cash, beginning of period
   183,010,984   266,579,220 
   
 
 
  
 
 
 
Cash, end of period
  $110,589,182  $187,747,504 
   
 
 
  
 
 
 
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $413,892,685 and $313,413,683, respectively)
  $413,997,952   $313,465,007 
Cash
   67,718,783    224,296,858 
Segregated cash balances with brokers for futures contracts
   75,508,570    76,813,658 
Segregated cash balances with brokers for swap agreements
   182,681,745    175,489,745 
Unrealized appreciation on swap agreements
   —      74,159,577 
Receivable on open futures contracts
   2,846,634    8,466,027 
Interest receivable
   449,770    618,549 
  
 
 
   
 
 
 
Total assets
   743,203,454    873,309,421 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   1,186,903    13,545,014 
Payable on open futures contracts
   1,541,204    —   
Brokerage commissions and futures account fees payable
   7,646    7,154 
Payable to Sponsor
   581,092    662,979 
Unrealized depreciation on swap agreements
   1,692,241    —   
  
 
 
   
 
 
 
Total liabilities
   5,009,086    14,215,147 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   738,194,368    859,094,274 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $743,203,454   $873,309,421 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   31,093,096    28,393,096 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $23.74   $30.26 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $23.65   $30.31 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6

PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(56% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
5.132% due 07/06/23
  $100,000,000   $99,957,960 
4.959% due 07/13/23
   40,000,000    39,943,832 
5.242% due 07/18/23
   100,000,000    99,789,580 
5.251% due 07/25/23
   75,000,000    74,769,690 
5.104% due 08/01/23
   50,000,000    49,795,390 
4.972% due 08/08/23
   50,000,000    49,741,500 
        
 
 
 
Total short-term U.S. government and agency obligations
          
(cost $413,892,685)
       $413,997,952 
        
 
 
 
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
WTI Crude Oil - NYMEX, expires September 2023
   2,315   $163,855,700   $534,428 
WTI Crude Oil - NYMEX, expires December 2023
   2,393    168,467,200    3,955,084 
WTI Crude Oil - NYMEX, expires June 2024
   2,478    171,031,560    4,928,794 
             
 
 
 
             $9,418,306 
             
 
 
 
Total Return Swap Agreements
^
  
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.35  07/06/23   $172,685,565   $(303,753
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.35   07/06/23    214,703,580    (377,662
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.35   07/06/23    179,707,950    (316,105
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.25   07/06/23    162,974,521    (275,938
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
  0.30   07/06/23    242,623,120    (418,783
                
 
 
 
            Total Unrealized
Depreciation
 
 
  $(1,692,241
                
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 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 June 30, 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.
7

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITIONOPERATIONS
(unaudited)
 
   
September 30, 2022

(unaudited)
   
December 31, 2021
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $535,375,763 and $848,800,309, respectively)
  $535,064,695   $848,757,567 
Cash
   130,593,006    86,582,912 
Segregated cash balances with brokers for futures contracts
   55,730,479    130,704,477 
Segregated cash balances with brokers for swap agreements
   146,636,745    —   
Unrealized appreciation on swap agreements
   —      63,928,293 
Receivable on open futures contracts
   891,736    —   
Interest receivable
   320,767    3,523 
   
 
 
   
 
 
 
Total assets
   869,237,428    1,129,976,772 
   
 
 
   
 
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   16,409,207    —   
Payable on open futures contracts
   2,911,771    25,317,560 
Brokerage commissions and futures account fees payable
   6,468    24,677 
Payable to Sponsor
   1,344,783    850,965 
Unrealized depreciation on swap agreements
   123,956,198    —   
Non-recurring
fees and expenses payable
   13,739    —   
   
 
 
   
 
 
 
Total liabilities
   144,642,166    26,193,202 
   
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   724,595,262    1,103,783,570 
   
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $869,237,428   $1,129,976,772 
   
 
 
   
 
 
 
Shares outstanding (Note 1)
   27,643,096    51,243,096 
   
 
 
   
 
 
 
Net asset value per share (Note 1)
  $26.21   $21.54 
   
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $26.26   $21.70 
   
 
 
   
 
 
 
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $5,878,092  $1,264,011  $11,886,000  $1,572,891 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   1,744,998   3,098,904   3,619,616   6,183,716 
Brokerage commissions
   94,303   140,210   188,647   335,751 
Futures account fees
   —     109,601   —     362,288 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   1,839,301   3,348,715   3,808,263   6,881,755 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   4,038,791   (2,084,704  8,077,737   (5,308,864
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   29,371,809   244,497,710   40,205,833   510,907,542 
Swap agreements
   (105,727,226  118,798,382   (30,780,823  651,811,620 
Short-term U.S. government and agency obligations
   (59,378  (4,653  (59,378  (7,789
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (76,414,795  363,291,439   9,365,632   1,162,711,373 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (20,075,857  (187,136,364  (16,873,410  (89,000,726
Swap agreements
   65,510,145   (24,001,881  (75,851,818  (216,215,448
Short-term U.S. government and agency obligations
   104,869   (405,864  53,943   (991,922
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   45,539,157   (211,544,109  (92,671,285  (306,208,096
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (30,875,638  151,747,330   (83,305,653  856,503,277 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(26,836,847 $149,662,626  $(75,227,916 $851,194,413 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
 
7
8

PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULESTATEMENTS OF INVESTMENTS
SEPTEMBER 30, 2022CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(74% of shareholders’ equity)
          
Federal Home Loan Discount Notes
^^
:
          
3.900% due 10/03/22
  $200,000,000   $199,971,110 
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
   50,000,000    49,989,230 
0.637% due 11/03/22
   181,000,000    180,573,727 
2.682% due 11/17/22
   30,000,000    29,892,000 
3.026% due 12/01/22
   75,000,000    74,638,628 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $535,375,763)
       $535,064,695 
        
 
 
 
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $811,668,456  $1,336,980,685  $859,094,274  $1,103,783,570 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 15,550,000, 1,700,000, 34,650,000 and 10,300,000 shares, respectively (Note 1)
   353,363,209   72,419,653   812,713,784   402,736,686 
Redemption of 15,050,000, 11,450,000, 31,950,000 and 36,050,000 shares, respectively (Note 1)
   (400,000,450  (498,195,726  (858,385,774  (1,296,847,431
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 500,000,
(9,750,000)
, 2,700,000 and (25,750,000) shares, respectively (Note 1)
   (46,637,241  (425,776,073  (45,671,990  (894,110,745
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   4,038,791   (2,084,704  8,077,737   (5,308,864
Net realized gain (loss)
   (76,414,795  363,291,439   9,365,632   1,162,711,373 
Change in net unrealized appreciation (depreciation)
   45,539,157   (211,544,109  (92,671,285  (306,208,096
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (26,836,847  149,662,626   (75,227,916  851,194,413 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $738,194,368  $1,060,867,238  $738,194,368  $1,060,867,238 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
9

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(75,227,916 $851,194,413 
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
   (8,286,191,814  (4,782,347,856
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   8,193,611,806   5,104,987,142 
Net amortization and accretion on short-term U.S. government and agency obligations
   (7,958,372  (1,304,714
Net realized (gain) loss on investments
   59,378   7,789 
Change in unrealized (appreciation) depreciation on investments
   75,797,875   217,207,370 
Decrease (Increase) in receivable on open futures contracts
   5,619,393   —   
Decrease (Increase) in interest receivable
   168,779   (210,318
Increase (Decrease) in payable to Sponsor
   (81,887  174,702 
Increase (Decrease) in brokerage commissions and futures account fees payable
   492   (12,077
Increase (Decrease) in payable on open futures contracts
   1,541,204   (4,104,319
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (92,661,062  1,385,592,132 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   812,713,784   402,736,686 
Payment on shares redeemed
   (870,743,885  (1,276,766,479
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (58,030,101  (874,029,793
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (150,691,163  511,562,339 
Cash, beginning of period
   476,600,261   217,287,389 
  
 
 
  
 
 
 
Cash, end of period
  $325,909,098  $728,849,728 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
1
0

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $298,722,860 and $263,209,299, respectively)
  $298,783,390   $263,260,158 
Cash
   193,070,994    13,689,494 
Segregated cash balances with brokers for futures contracts
   405,057,584    163,045,170 
Segregated cash balances with brokers for swap agreements
   83,160,000    —   
Unrealized appreciation on swap agreements
   46,088,257    —   
Receivable on open futures contracts
   117,556,776    149,650,221 
Interest receivable
   1,694,276    653,922 
  
 
 
   
 
 
 
Total assets
   1,145,411,277    590,298,965 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   3,473,947    1,826,653 
Payable on open futures contracts
   —      1,835,443 
Brokerage commissions and futures account fees payable
   69,389    35,242 
Payable to Sponsor
   846,663    450,514 
  
 
 
   
 
 
 
Total liabilities
   4,389,999    4,147,852 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   1,141,021,278    586,151,113 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $1,145,411,277   $590,298,965 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   16,421,876    1,614,376 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $69.48   $363.08 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $68.99   $355.60 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
1
1

PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(26% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.242% due 07/18/23
  $100,000,000   $99,789,580 
5.104% due 08/01/23
   50,000,000    49,795,390 
4.972% due 08/08/23
   50,000,000    49,741,500 
5.161% due 08/10/23
   100,000,000    99,456,920 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $298,722,860)
    $298,783,390 
    
 
 
 
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2022
   1,450   $114,144,000   $14,409,192 
WTI Crude Oil - NYMEX, expires June 2023
   1,535    112,055,000    (9,187,751
WTI Crude Oil - NYMEX, expires December 2023
   1,610    112,152,600    (9,069,369
             
 
 
 
             $(3,847,928
             
 
 
 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires September 2023
   71,349   $1,979,221,260   $248,335,437 
Total Return Swap Agreements
^
 
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35  10/06/22   $175,709,387   $(19,603,867
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35   10/06/22    218,463,160    (24,373,900
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35   10/06/22    304,335,914    (33,954,709
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.25   10/06/22    165,828,296    (18,489,319
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.30   10/06/22    246,871,587    (27,534,403
                 
 
 
 
             Total Unrealized
Depreciation
 
 
  $(123,956,198
                 
 
 
 
   
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  07/06/23   $148,091,216   $22,537,665 
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex
   0.50  07/06/23    101,183,890    15,398,946 
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex
   0.32  07/06/23    52,717,728    8,028,280 
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex
   0.35  07/06/23    810,173    123,366 
       
 
 
 
      Total Unrealized
Appreciation
 
 
  $46,088,257 
       
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 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 SeptemberJune 30, 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.
 
81
2

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

September 30,
  
Nine Months Ended

September 30,
 
   
2022
  
2021
  
2022
  
2021
 
Investment Income
                 
Interest
  $2,391,191  $86,370  $3,964,082  $365,778 
   
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
                 
Management fee
   2,118,088   2,775,351   8,301,804   8,104,728 
Brokerage commissions
   85,906   198,498   421,657   701,710 
Futures account fees
   19,466   215,514   381,754   632,199 
Non-recurring
fees and expenses
   13,739   27,500   13,739   27,500 
   
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   2,237,199   3,216,863   9,118,954   9,466,137 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   153,992   (3,130,493  (5,154,872  (9,100,359
   
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
                 
Net realized gain (loss) on
                 
Futures contracts
   (58,028,223  92,637,432   452,879,319   539,758,995 
Swap agreements
   (286,550,709  13,693,131   365,260,911   221,428,455 
Short-term U.S. government and agency obligations
   —     (4,742  (7,789  (4,742
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (344,578,932  106,325,821   818,132,441   761,182,708 
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
                 
Futures contracts
   (62,302,727  (48,048,297  (151,303,453  123,440,274 
Swap agreements
   28,330,957   31,138,258   (187,884,491  52,643,567 
Short-term U.S. government and agency obligations
   723,596   31,451   (268,326  (7,634
   
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (33,248,174  (16,878,588  (339,456,270  176,076,207 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (377,827,106  89,447,233   478,676,171   937,258,915 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(377,673,114 $86,316,740  $473,521,299  $928,158,556 
   
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
9

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

September 30,
  
Nine Months Ended

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

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

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

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

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

PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(37% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $32,000,000   $31,924,637 
3.026% due 12/01/22
   75,000,000    74,638,627 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $106,619,159)
       $106,563,264 
        
 
 
 
Futures Contracts Purchased
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2022
   8,556   $578,898,960   $(97,363,745
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
13

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
  
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
              
Interest
  $909,204  $7,355  $1,095,255  $32,714   $8,866,705  $146,470  $17,825,228  $186,051 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Expenses
              
Management fee
   658,525   161,130   1,589,759   568,903    2,588,571   534,624   4,916,981   931,234 
Brokerage commissions
   97,589   40,472   300,747   195,831    1,145,371   114,706   2,098,150   203,158 
Futures account fees
   43,620   18,263   177,950   112,998    211,785   63,213   399,478   134,330 
Non-recurring
fees and expenses
   4,791   —     4,791   —   
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Total expenses
   804,525   219,865   2,073,247   877,732    3,945,727   712,543   7,414,609   1,268,722 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   104,679   (212,510  (977,992  (845,018   4,920,978   (566,073  10,410,619   (1,082,671
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
              
Net realized gain (loss) on
              
Futures contracts
   (5,889,116  33,925,711   235,322,266   80,409,384    (539,203,219  164,990,694   (1,639,994,302  241,211,382 
Swap agreements
   (77,680,050  —     (38,520,261  —   
Short-term U.S. government and agency obligations
   (4,181  12   (7,633  563    (3,646  —     (7,216  (3,452
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized gain (loss)
   (5,893,297  33,925,723   235,314,633   80,409,947    (616,886,915  164,990,694   (1,678,521,779  241,207,930 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
              
Futures contracts
   97,063,212   25,134,988   (89,157,584  35,685,009    572,850,724   (271,251,560  558,949,406   (186,220,796
Swap agreements
   85,176,576   —     46,088,257   —   
Short-term U.S. government and agency obligations
   158,315   720   (41,614  (252   29,724   (36,909  9,671   (199,929
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   97,221,527   25,135,708   (89,199,198  35,684,757    658,057,024   (271,288,469  605,047,334   (186,420,725
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   91,328,230   59,061,431   146,115,435   116,094,704    41,170,109   (106,297,775  (1,073,474,445  54,787,205 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
  $91,432,909  $58,848,921  $145,137,443  $115,249,686   $46,091,087  $(106,863,848 $(1,063,063,826 $53,704,534 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
141
3

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended 
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $187,297,842  $70,213,227  $193,892,178  $169,800,371   $1,139,983,773  $145,069,486  $586,151,113  $193,892,178 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 6,000,000, 1,150,000, 15,100,000 and 5,200,000 shares, respectively
   425,638,048   79,122,213   1,063,004,747   169,309,627 
Redemption of 5,300,000, 1,400,000, 17,250,000 and 11,550,000 shares, respectively
   (414,982,702  (63,145,980  (1,112,648,271  (309,321,303
Addition of 13,792,500, 325,000, 32,765,000 and 455,000 shares, respectively (Note 1)
   814,876,179   549,486,344   3,160,825,013   637,366,699 
Redemption of 12,825,000, 217,500, 17,957,500 and 597,500 shares, respectively (Note 1)
   (859,929,761  (400,394,140  (1,542,891,022  (697,665,569
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of 700,000, (250,000), (2,150,000) and (6,350,000) shares, respectively
   10,655,346   15,976,233   (49,643,524  (140,011,676
Net addition (redemption) of 967,500, 107,500, 14,807,500 and (142,500) shares, respectively (Note 1)
   (45,053,582  149,092,204   1,617,933,991   (60,298,870
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   104,679   (212,510  (977,992  (845,018   4,920,978   (566,073  10,410,619   (1,082,671
Net realized gain (loss)
   (5,893,297  33,925,723   235,314,633   80,409,947    (616,886,915  164,990,694   (1,678,521,779  241,207,930 
Change in net unrealized appreciation (depreciation)
   97,221,527   25,135,708   (89,199,198  35,684,757    658,057,024   (271,288,469  605,047,334   (186,420,725
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   91,432,909   58,848,921   145,137,443   115,249,686    46,091,087   (106,863,848  (1,063,063,826  53,704,534 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $289,386,097  $145,038,381  $289,386,097  $145,038,381   $1,141,021,278  $187,297,842  $1,141,021,278  $187,297,842 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying
notes
to
financial
statements.
 
151
4

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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $145,137,443  $115,249,686   $(1,063,063,826 $53,704,534 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (750,045,262  (143,979,838   (10,025,950,123  (520,892,453
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   734,916,266   140,999,619    9,997,363,885   505,991,302 
Net amortization and accretion on short-term U.S. government and agency obligations
   (561,077  (16,708   (6,934,539  (119,696
Net realized (gain) loss on investments
   7,633   (563   7,216   3,452 
Change in unrealized (appreciation) depreciation on investments
   41,614   252    (46,097,928  199,929 
Decrease (Increase) in receivable on open futures contracts
   (36,015,281  1,271,737    32,093,445   20,455,330 
Decrease (Increase) in interest receivable
   (157,395  3,261    (1,040,354  (38,738
Increase (Decrease) in payable to Sponsor
   294,750   (86,599   396,149   68,086 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (48,246  145    34,147   (57,121
Increase (Decrease) in payable on open futures contracts
   1,186,502   —      (1,835,443  26,800,768 
Increase (Decrease) in
non-recurring
fees and expenses payable
   4,791   —   
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   94,761,738   113,440,992    (1,115,027,371  86,115,393 
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   1,083,453,488   156,788,492    3,160,825,013   638,028,828 
Payment on shares redeemed
   (1,109,986,578  (320,453,849   (1,541,243,728  (691,677,317
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   (26,533,090  (163,665,357   1,619,581,285   (53,648,489
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   68,228,648   (50,224,365   504,553,914   32,466,904 
Cash, beginning of period
   54,135,725   137,292,722    176,734,664   54,135,725 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $122,364,373  $87,068,357   $681,288,578  $86,602,629 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
161
5

PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2022

(unaudited)
   
December 31, 2021
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $697,652 and $998,130, respectively)
  $696,356   $997,678 
Cash
   11,775,775    6,891,458   $6,440,727   $9,156,418 
Segregated cash balances with brokers for foreign currency forward contracts
   1,359,000    691,000��   833,000    1,103,000 
Unrealized appreciation on foreign currency forward contracts
   —      84,150    241,390    514,115 
Receivable from capital shares sold
   478,304    —   
Interest receivable
   13,338    153    28,208    40,421 
  
 
   
 
   
 
   
 
 
Total assets
   14,322,773    8,664,439    7,543,325    10,813,954 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   21,934    3,846 
Payable to Sponsor
   6,188    10,833 
Unrealized depreciation on foreign currency forward contracts
   431,231    1,498    1,702    98,459 
Non-recurring
fees and expenses payable
   237    —   
  
 
   
 
   
 
   
 
 
Total liabilities
   453,402    5,344    7,890    109,292 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   13,869,371    8,659,095    7,535,435    10,704,662 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $14,322,773   $8,664,439   $7,543,325   $10,813,954 
  
 
   
 
   
 
   
 
 
Shares outstanding
   1,450,000    650,000    650,000    950,000 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $9.57   $13.32   $11.59   $11.27 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $9.57   $13.33   $11.61   $11.26 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
171
6

PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20222023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(5% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.554% due 11/03/22
  $698,000   $696,356 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $697,652)
       $696,356 
        
 
 
 
Foreign Currency Forward Contracts
^
 
  
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
  
Settlement Date
   
Contract Amount
in Local Currency
 
Contract Amount
in U.S. Dollars
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
               
Euro with Goldman Sachs International
   10/07/22    12,276,921  $12,037,961  $(194,303  07/14/23    7,784,921  $8,501,340  $129,303 
Euro with UBS AG
   10/07/22    17,572,502   17,230,469   (236,275  07/14/23    7,204,502   7,867,506   112,087 
         
 
      
 
 
        Total Unrealized
Depreciation
 
 
 $(430,578     Total Unrealized
Appreciation
 
 
 $241,390 
         
 
      
 
 
Contracts to Sell
               
Euro with Goldman Sachs International
  07/14/23    (93,000 $(101,558 $(197
Euro with UBS AG
   10/07/22    (1,566,000 $(1,535,519 $(653  07/14/23    (1,152,000  (1,258,014  (1,505
         
 
      
 
 
        Total Unrealized
Depreciation
 
 
 $(653     Total Unrealized
Depreciation
 
 
 $(1,702
         
 
      
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of SeptemberJune 30, 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.
 
181
7

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
              
Interest
  $36,856  $393  $47,965  $1,415   $88,182  $6,522  $185,419  $11,109 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Expenses
              
Management fee
   31,331   8,664   66,646   28,158    19,851   15,037   44,097   35,315 
Non-recurring
fees and expenses
   237   —     237   —   
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Total expenses
   31,568   8,664   66,883   28,158    19,851   15,037   44,097   35,315 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   5,288   (8,271  (18,918  (26,743   68,331   (8,515  141,322   (24,206
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
              
Net realized gain (loss) on
              
Foreign currency forward contracts
   (1,618,381  (254,219  (2,505,776  (186,149   78,291   (446,365  358,570   (887,395
Short-term U.S. government and agency obligations
   —     —     (5,949  —      —     —     —     (5,949
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized gain (loss)
   (1,618,381  (254,219  (2,511,725  (186,149   78,291   (446,365  358,570   (893,344
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
              
Foreign currency forward contracts
   (98,836  72,810   (513,883  (251,422   (79,023  (282,077  (175,968  (415,047
Short-term U.S. government and agency obligations
   3,824   43   (844  4    —     787   —     (4,668
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   (95,012  72,853   (514,727  (251,418   (79,023  (281,290  (175,968  (419,715
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   (1,713,393  (181,366  (3,026,452  (437,567   (732  (727,655  182,602   (1,313,059
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
  $(1,708,105 $(189,637 $(3,045,370 $(464,310  $67,599  $(736,170 $323,924  $(1,337,265
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
191
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended 
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $9,415,626  $3,668,741  $8,659,095  $4,737,350   $8,616,433  $6,236,982  $10,704,662  $8,659,095 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 700,000, –, 1,250,000 and 100,000 shares, respectively
   7,168,239   —     13,537,061   1,488,793 
Redemption of 100,000, –, 450,000 and 150,000 shares, respectively
   (1,006,389  —     (5,281,415  (2,282,729
Addition of –, 450,000, 200,000 and 550,000 shares, respectively
   —     5,052,555   2,296,437   6,368,822 
Redemption of 100,000, 100,000, 500,000 and 350,000 shares, respectively
   (1,148,597  (1,137,741  (5,789,588  (4,275,026
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of 600,000, –, 800,000 and (50,000) shares, respectively
   6,161,850   —     8,255,646   (793,936
Net addition (redemption) of (100,000), 350,000, (300,000) and 200,000 shares, respectively
   (1,148,597  3,914,814   (3,493,151  2,093,796 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   5,288   (8,271  (18,918  (26,743   68,331   (8,515  141,322   (24,206
Net realized gain (loss)
   (1,618,381  (254,219  (2,511,725  (186,149   78,291   (446,365  358,570   (893,344
Change in net unrealized appreciation (depreciation)
   (95,012  72,853   (514,727  (251,418   (79,023  (281,290  (175,968  (419,715
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   (1,708,105  (189,637  (3,045,370  (464,310   67,599   (736,170  323,924   (1,337,265
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $13,869,371  $3,479,104  $13,869,371  $3,479,104   $7,535,435  $9,415,626  $7,535,435  $9,415,626 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
20
19

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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $(3,045,370 $(464,310  $323,924  $(1,337,265
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (5,984,290  (3,999,381   —     (5,984,289
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   6,290,250   3,000,000    —     2,290,249 
Net amortization and accretion on short-term U.S. government and agency obligations
   (11,431  (531   —     (9,602
Net realized (gain) loss on investments
   5,949   —      —     5,949 
Change in unrealized (appreciation) depreciation on investments
   514,727   251,418    175,968   419,715 
Decrease (Increase) in interest receivable
   (13,185  62    12,213   (1,382
Increase (Decrease) in payable to Sponsor
   18,088   (812   (4,645  2,121 
Increase (Decrease) in
non-recurring
fees and expenses payable
   237   —   
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   (2,225,025  (1,213,554   507,460   (4,614,504
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   13,058,757   1,488,793    2,296,437   6,368,822 
Payment on shares redeemed
   (5,281,415  (2,282,729   (5,789,588  (4,275,026
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   7,777,342   (793,936   (3,493,151  2,093,796 
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   5,552,317   (2,007,490   (2,985,691  (2,520,708
Cash, beginning of period
   7,582,458   4,652,092    10,259,418   7,582,458 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $13,134,775  $2,644,602   $7,273,727  $5,061,750 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
212
0

PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2022

(unaudited)
   
December 31, 2021
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $143,646,462 and $207,964,168, respectively)
  $143,619,527   $207,956,320 
Short-term U.S. government and agency obligations (Note 3) (cost $134,680,616 and $129,100,287, respectively)
  $134,714,723   $129,123,489 
Cash
   8,231,351    9,328,332    15,660,964    16,568,417 
Segregated cash balances with brokers for futures contracts
   2,374,050    6,093,750    4,415,600    2,611,350 
Segregated cash balances with brokers for swap agreements
   12,629,200    —      32,723,000    18,730,000 
Unrealized appreciation on swap agreements
   —      8,639,188    —      6,496,466 
Receivable on open futures contracts
   120,937    944,644    496,067    8,169 
Interest receivable
   40,392    690    107,021    126,595 
  
 
   
 
   
 
   
 
 
Total assets
   167,015,457    232,962,924    188,117,375    173,664,486 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Brokerage commissions and futures account fees payable
   —      4,034 
Payable to Sponsor
   303,801    178,356 
Payable to Sponsor
   147,761    140,350 
Unrealized depreciation on swap agreements
   6,686,424    —      7,053,083    —   
Non-recurring
fees and expenses payable
   2,940    —   
  
 
   
 
   
 
   
 
 
Total liabilities
   6,993,165    182,390    7,200,844    140,350 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   160,022,292    232,780,534    180,916,531    173,524,136 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $167,015,457   $232,962,924   $188,117,375   $173,664,486 
  
 
   
 
   
 
   
 
 
Shares outstanding
   3,400,000    3,900,000    3,100,000    3,150,000 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $47.07   $59.69   $58.36   $55.09 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $46.93   $59.81   $58.24   $55.27 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
222
1

PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20222023
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(90% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $50,000,000   $49,989,230 
0.223% due 11/03/22
   14,000,000    13,967,029 
2.682% due 11/17/22
   40,000,000    39,856,000 
3.026% due 12/01/22
   40,000,000    39,807,268 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $143,646,462)
       $143,619,527 
        
 
 
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(74% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due
07/06/23
  $50,000,000   $49,978,980 
4.959% due
07/13/23
   20,000,000    19,971,916 
5.242% due
07/18/23
   15,000,000    14,968,437 
5.104% due
08/01/23
   50,000,000    49,795,390 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $134,680,616)
    $134,714,723 
    
 
 
 
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2022
   409   $68,384,800   $(1,627,042
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Gold Futures - COMEX, expires August 2023
   530   $102,258,200   $(5,385,731
Total Return Swap Agreements
^
 
  
Rate Paid

(Received)
*
 
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
   
Rate Paid
(Received)
*
 
Termination
Date
   
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25  10/06/22   $100,068,860   $(2,464,705   0.25  07/06/23   $111,454,930   $(3,028,491
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25   10/06/22    47,529,603    (1,657,776   0.25  07/06/23    52,937,566    (1,438,439
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25   10/06/22    104,098,025    (2,563,943   0.25  07/06/23    95,175,948    (2,586,153
          
 
        
 
 
        Total Unrealized
Depreciation
 
 
  $(6,686,424      Total Unrealized
Depreciation
 
 
  $(7,053,083
          
 
        
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 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 SeptemberJune 30, 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.
 
232
2

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
              
Interest
  $678,282  $14,338  $1,092,549  $70,259   $1,983,196  $319,154  $3,632,210  $414,267 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Expenses
              
Management fee
   475,457   582,103   1,863,020   1,718,350    474,261   716,148   901,375   1,387,563 
Brokerage commissions
   8,176   9,421   43,899   32,974    6,925   14,064   15,540   35,723 
Futures account fees
   —     19,008   28,169   64,764    —     8,664   —     28,169 
Non-recurring
fees and expenses
   2,940   —     2,940   —   
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Total expenses
   486,573   610,532   1,938,028   1,816,088    481,186   738,876   916,915   1,451,455 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   191,709   (596,194  (845,479  (1,745,829   1,502,010   (419,722  2,715,295   (1,037,188
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
              
Net realized gain (loss) on
              
Futures contracts
   (13,871,427  (3,125,004  (22,577,746  (12,636,331   5,160,588   (28,896,339  7,921,167   (8,706,319
Swap agreements
   (25,954,159  (18,733,085  (17,330,327  (14,963,523   12,035,981   (29,004,744  20,075,298   8,623,832 
Short-term U.S. government and agency obligations
   (708  —     (708  245    (28,462  —     (28,462  —   
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized gain (loss)
   (39,826,294  (21,858,089  (39,908,781  (27,599,609   17,168,107   (57,901,083  27,968,003   (82,487
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
              
Futures contracts
   2,305,467   319,305   (2,281,936  (6,583,282   (10,482,142  3,312,504   (8,627,819  (4,587,403
Swap agreements
   (234,566  15,245,013   (15,325,612  (12,547,844   (22,406,342  1,658,698   (13,549,549  (15,091,046
Short-term U.S. government and agency obligations
   151,932   9,966   (19,087  (5,396   33,642   (159  10,905   (171,019
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   2,222,833   15,574,284   (17,626,635  (19,136,522   (32,854,842  4,971,043   (22,166,463  (19,849,468
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   (37,603,461  (6,283,805  (57,535,416  (46,736,131   (15,686,735  (52,930,040  5,801,540   (19,931,955
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
  $(37,411,752 $(6,879,999 $(58,380,895 $(48,481,960  $(14,184,725 $(53,349,762 $8,516,835  $(20,969,143
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
242
3

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended 
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $239,938,853  $243,456,703  $232,780,534  $263,540,473   $201,161,529  $355,029,822  $173,524,136  $232,780,534 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 50,000, 250,000, 1,650,000 and 1,250,000 shares, respectively
   2,645,499   14,836,141   104,903,214   75,112,671 
Redemption of 900,000, 350,000, 2,150,000 and 1,000,000 shares, respectively
   (45,150,308  (20,494,998  (119,280,561  (59,253,337
Addition of 50,000, 100,000, 450,000 and 1,600,000 shares, respectively
   3,236,120   6,573,039   28,209,474   102,257,715 
Redemption of 150,000, 1,150,000, 500,000 and 1,250,000 shares, respectively
   (9,296,393  (68,314,246  (29,333,914  (74,130,253
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of (850,000), (100,000), (500,000) and 250,000 shares, respectively
   (42,504,809  (5,658,857  (14,377,347  15,859,334 
Net addition (redemption) of (100,000), (1,050,000), (50,000) and 350,000 shares, respectively
   (6,060,273  (61,741,207  (1,124,440  28,127,462 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   191,709   (596,194  (845,479  (1,745,829   1,502,010   (419,722  2,715,295   (1,037,188
Net realized gain (loss)
   (39,826,294  (21,858,089  (39,908,781  (27,599,609   17,168,107   (57,901,083  27,968,003   (82,487
Change in net unrealized appreciation (depreciation)
   2,222,833   15,574,284   (17,626,635  (19,136,522   (32,854,842  4,971,043   (22,166,463  (19,849,468
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   (37,411,752  (6,879,999  (58,380,895  (48,481,960   (14,184,725  (53,349,762  8,516,835   (20,969,143
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $160,022,292  $230,917,847  $160,022,292  $230,917,847   $180,916,531  $239,938,853  $180,916,531  $239,938,853 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
252
4

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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $(58,380,895 $(48,481,960  $8,516,835  $(20,969,143
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (913,776,847  (502,945,919   (492,848,662  (704,533,509
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   978,997,411   391,999,771    489,813,291   704,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (903,566  (45,150   (2,573,420  (377,637
Net realized (gain) loss on investments
   708   (245   28,462   —   
Change in unrealized (appreciation) depreciation on investments
   15,344,699   12,553,240    13,538,644   15,262,065 
Decrease (Increase) in receivable on open futures contracts
   823,707   (2,562,837   (487,898  944,644 
Decrease (Increase) in interest receivable
   (39,702  3,902    19,574   (31,715
Increase (Decrease) in payable to Sponsor
   125,445   (42,591   7,411   24,571 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (4,034  5,068    —     (4,034
Increase (Decrease) in
non-recurring
fees and expenses payable
   2,940   —   
Increase (Decrease) in payable on open futures contracts
   —     1,022,544 
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   22,189,866   (149,516,721   16,014,237   (4,662,214
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   104,903,214   75,112,671    28,209,474   102,257,715 
Payment on shares redeemed
   (119,280,561  (56,471,438   (29,333,914  (71,305,703
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   (14,377,347  18,641,233    (1,124,440  30,952,012 
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   7,812,519   (130,875,488   14,889,797   26,289,798 
Cash, beginning of period
   15,422,082   183,452,109    37,909,767   15,422,082 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $23,234,601  $52,576,621   $52,799,564  $41,711,880 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
262
5

PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2022

(unaudited)
   
December 31, 2021
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $162,706,493 and $451,896,236, respectively)
  $162,611,595   $451,872,982 
Short-term U.S. government and agency obligations (Note 3) (cost $224,295,385 and $228,617,421, respectively)
  $224,344,440   $228,657,634 
Cash
   42,840,235    10,985,565    43,579,042    74,136,821 
Segregated cash balances with brokers for futures contracts
   16,278,750    14,502,938    19,465,500    19,452,250 
Segregated cash balances with brokers for swap agreements
   70,036,000    —      85,841,000    56,423,000 
Unrealized appreciation on swap agreements
   26,804,548    40,591,699    —      39,224,212 
Receivable from capital shares sold
   4,168,994    —   
Receivable on open futures contracts
   1,699,398    1,384,919    1,635,164    —   
Interest receivable
   73,633    1,582    270,810    300,712 
  
 
   
 
   
 
   
 
 
Total assets
   324,513,153    519,339,685    375,135,956    418,194,629 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   —      3,483,770    —      1,615,382 
Brokerage commissions and futures account fees payable
   —      9,833 
Payable to Sponsor
   536,368    392,488 
Non-recurring
fees and expenses payable
   5,922    —   
Payable on open futures contracts
   —      1,948,902 
Payable to Sponsor
   298,935    344,467 
Unrealized depreciation on swap agreements
   18,045,362    —   
  
 
   
 
   
 
   
 
 
Total liabilities
   542,290    3,886,091    18,344,297    3,908,751 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   323,970,863    515,453,594    356,791,659    414,285,878 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $324,513,153   $519,339,685   $375,135,956   $418,194,629 
  
 
   
 
   
 
   
 
 
Shares outstanding
   15,546,526    14,796,526    13,196,526    13,046,526 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $20.84   $34.84   $27.04   $31.75 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $20.76   $34.74   $26.95   $32.00 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
272
6

PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20222023
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(50% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $50,000,000   $49,989,230 
0.223% due 11/03/22
   43,000,000    42,898,731 
2.682% due 11/17/22
   50,000,000    49,820,000 
3.026% due 12/01/22
   20,000,000    19,903,634 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $162,706,493)
       $162,611,595 
        
 
 
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(63% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due 07/06/23
  $25,000,000   $24,989,490 
4.959% due 07/13/23
   50,000,000    49,929,790 
5.242% due 07/18/23
   50,000,000    49,894,790 
5.104% due 08/01/23
   50,000,000    49,795,390 
4.972% due 08/08/23
   25,000,000    24,870,750 
5.161% due 08/10/23
   25,000,000    24,864,230 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $224,295,385)
    $224,344,440 
    
 
 
 
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2022
   2,163   $205,906,785   $(329,232
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Silver Futures - COMEX, expires September 2023
   2,047   $235,609,700   $(9,977,916
Total Return Swap Agreements
^
 
  
Rate Paid

(Received)
*
 
Termination

Date
   
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
  
Rate Paid
(Received)
*
 
Termination
Date
 
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25  10/06/22   $142,330,643   $8,433,031   0.25  07/06/23  $166,412,438   $(6,281,114
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.30   10/06/22    18,803,260    1,725,874   0.30  07/06/23   21,984,663    (830,545
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   10/06/22    156,302,767    9,256,039   0.30  07/06/23   149,157,444    (5,634,927
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   10/06/22    124,719,934    7,389,604   0.25  07/06/23   140,386,283    (5,298,776
          
 
      
 
 
        Total Unrealized
Appreciation
 
 
  $26,804,548     Total Unrealized
Depreciation
 
 
  $(18,045,362
          
 
      
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 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 SeptemberJune 30, 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.
 
282
7

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
  
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
              
Interest
  $824,171  $44,511  $1,386,134  $208,169   $3,701,182  $421,514  $7,075,578  $561,963 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Expenses
              
Management fee
   798,802   1,394,627   3,098,741   4,640,919    976,505   1,082,340   1,848,064   2,299,939 
Brokerage commissions
   34,796   27,419   94,079   114,716    47,075   28,732   73,637   59,283 
Futures account fees
   —     47,170   26,693   258,250    —     6,188   —     26,693 
Non-recurring
fees and expenses
   5,922   —     5,922   —   
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Total expenses
   839,520   1,469,216   3,225,435   5,013,885    1,023,580   1,117,260   1,921,701   2,385,915 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (15,349  (1,424,705  (1,839,301  (4,805,716   2,677,602   (695,746  5,153,877   (1,823,952
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
              
Net realized gain (loss) on
              
Futures contracts
   (13,577,109  (49,762,947  (30,191,493  (32,273,408   17,097,790   (10,869,422  20,739,536   (16,614,384
Swap agreements
   (133,807,652  (151,552,363  (156,750,416  (47,760,872   47,564,510   (145,324,753  15,178,900   (22,942,764
Short-term U.S. government and agency obligations
   (6,553  (4,720  (7,717  (4,529   (46,857  (1,174  (46,857  (1,164
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized gain (loss)
   (147,391,314  (201,320,030  (186,949,626  (80,038,809   64,615,443   (156,195,349  35,871,579   (39,558,312
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
              
Futures contracts
   3,988,709   9,589,898   (2,835,777  (42,630,013   (38,652,527  (13,510,319  (39,404,490  (6,824,486
Swap agreements
   87,216,478   (15,630,674  (13,787,151  (149,513,235   (80,409,195  (36,561,200  (57,269,574  (101,003,629
Short-term U.S. government and agency obligations
   272,285   22,486   (71,644  (13,068   44,380   (64,280  8,842   (343,929
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   91,477,472   (6,018,290  (16,694,572  (192,156,316   (119,017,342  (50,135,799  (96,665,222  (108,172,044
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   (55,913,842  (207,338,320  (203,644,198  (272,195,125   (54,401,899  (206,331,148  (60,793,643  (147,730,356
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
  $(55,929,191 $(208,763,025 $(205,483,499 $(277,000,841  $(51,724,297 $(207,026,894 $(55,639,766 $(149,554,308
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
292
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
  
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $355,577,515  $661,778,727  $515,453,594  $745,304,028   $429,115,334  $558,375,841  $414,285,878  $515,453,594 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 2,450,000, 1,050,000, 4,250,000 and 4,450,000 shares, respectively
   52,469,935   38,538,861   118,129,234   205,312,655 
Redemption of 1,250,000, 300,000, 3,500,000 and 4,000,000 shares, respectively
   (28,147,396  (11,245,087  (104,128,466  (193,306,366
Addition of 700,000, 800,000, 2,600,000 and 1,800,000 shares, respectively
   20,692,563   26,625,358   71,924,842   65,659,299 
Redemption of 1,300,000, 750,000, 2,450,000 and 2,250,000 shares, respectively
   (41,291,941  (22,396,790  (73,779,295  (75,981,070
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of 1,200,000, 750,000, 750,000 and 450,000 shares, respectively
   24,322,539   27,293,774   14,000,768   12,006,289 
Net addition (redemption) of (600,000), 50,000, 150,000 and (450,000) shares, respectively
   (20,599,378  4,228,568   (1,854,453  (10,321,771
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (15,349  (1,424,705  (1,839,301  (4,805,716   2,677,602   (695,746  5,153,877   (1,823,952
Net realized gain (loss)
   (147,391,314  (201,320,030  (186,949,626  (80,038,809   64,615,443   (156,195,349  35,871,579   (39,558,312
Change in net unrealized appreciation (depreciation)
   91,477,472   (6,018,290  (16,694,572  (192,156,316   (119,017,342  (50,135,799  (96,665,222  (108,172,044
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   (55,929,191  (208,763,025  (205,483,499  (277,000,841   (51,724,297  (207,026,894  (55,639,766  (149,554,308
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $323,970,863  $480,309,476  $323,970,863  $480,309,476   $356,791,659  $355,577,515  $356,791,659  $355,577,515 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
3029


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

September 30,
   
Six Months Ended
June 30,
 
  
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $(205,483,499 $(277,000,841  $(55,639,766 $(149,554,308
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (2,619,720,954  (1,369,823,802   (2,203,304,232  (1,255,430,782
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,909,963,011   1,119,994,333    2,212,588,221   1,416,997,680 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,060,031  (160,958   (5,008,810  (497,182
Net realized (gain) loss on investments
   7,717   4,529    46,857   1,164 
Change in unrealized (appreciation) depreciation on investments
   13,858,795   149,526,303    57,260,732   101,347,558 
Decrease (Increase) in receivable on open futures contracts
   (314,479  (421,500   (1,635,164  1,384,919 
Decrease (Increase) in interest receivable
   (72,051  6,942    29,902   (55,579
Increase (Decrease) in payable to Sponsor
   143,880   (90,946   (45,532  (78,578
Increase (Decrease) in brokerage commissions and futures account fees payable
   (9,833  9,969    —     (9,833
Increase (Decrease) in payable on open futures contracts
   —     (2,038,135   (1,948,902  2,248,743 
Increase (Decrease) in
non-recurring
fees and expenses payable
   5,922   —   
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   97,318,478   (379,994,106   2,343,306   116,353,802 
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   113,960,240   205,312,655    71,924,842   64,418,960 
Payment on shares redeemed
   (107,612,236  (193,306,366   (75,394,677  (79,464,840
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   6,348,004   12,006,289    (3,469,835  (15,045,880
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   103,666,482   (367,987,817   (1,126,529  101,307,922 
Cash, beginning of period
   25,488,503   446,401,960    150,012,071   25,488,503 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $129,154,985  $78,414,143   $148,885,542  $126,796,425 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
313
0

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

(unaudited)
   
December 31, 2021
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $273,396,698 and $221,725,609, respectively)
  $273,202,387   $221,660,593 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $34,728,989, respectively)
  $—     $34,732,372 
Cash
   134,170,524    108,688,034    116,071,941    71,086,482 
Segregated cash balances with brokers for futures contracts
   363,142,800    463,432,845    222,756,461    323,761,025 
Receivable on open futures contracts
   262,520,415    33,597,688    50,445,515    209,470,270 
Interest receivable
   1,050,905    5,060    952,517    1,246,402 
  
 
   
 
   
 
   
 
 
Total assets
   1,034,087,031    827,384,220    390,226,434    640,296,551 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   36,597,293    —   
Payable on open futures contracts
   —      9,447,456    2,056,385    348,988 
Brokerage commissions and futures account fees payable
   66,068    167,855    44,656    58,772 
Payable to Sponsor
   1,913,775    611,836 
Unrealized depreciation on swap agreements
   —      477,437 
Non-recurring
fees and expenses payable
   20,117    —   
Payable to Sponsor
   361,334    570,429 
  
 
   
 
   
 
   
 
 
Total liabilities
   38,597,253    10,704,584    2,462,375    978,189 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   995,489,778    816,679,636    387,764,059    639,318,362 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $1,034,087,031   $827,384,220   $390,226,434   $640,296,551 
  
 
   
 
   
 
   
 
 
Shares outstanding
   77,328,420    65,828,420 
Shares outstanding (Note 1)
   20,977,842    9,307,842 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $12.87   $12.41 
Net asset value per share (Note 1)
  $18.48   $68.69 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $12.85   $12.43 
Market value per share (Note 1) (Note 2)
  $18.49   $68.60 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
323
1

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires July 2023
   21,591   $324,102,501   $(69,897,187
VIX Futures - Cboe, expires August 2023
   15,704    257,550,311    (9,932,533
      
 
 
 
      $(79,829,720
      
 
 
 
See accompanying notes to financial statements.
3
2

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $4,750,595  $430,670  $9,167,250  $525,931 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   1,330,081   2,293,738   2,703,851   4,254,915 
Brokerage commissions
   712,511   970,211   1,490,212   1,906,969 
Futures account fees
   126,999   444,123   250,360   1,226,811 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   2,169,591   3,708,072   4,444,423   7,388,695 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   2,581,004   (3,277,402  4,722,827   (6,862,764
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (426,304,544  91,039,435   (608,537,974  349,477,533 
Swap agreements
   —     —     —     22,556,586 
Short-term U.S. government and agency obligations
   4,188   (337,934  (3,590  (353,087
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (426,300,356  90,701,501   (608,541,564  371,681,032 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (45,320,517  196,657,178   (43,274,267  161,801,275 
Swap agreements
   —     —     —     477,437 
Short-term U.S. government and agency obligations
   5,340   78,171   (3,383  (544,247
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (45,315,177  196,735,349   (43,277,650  161,734,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (471,615,533  287,436,850   (651,819,214  533,415,497 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(469,034,529 $284,159,448  $(647,096,387 $526,552,733 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
3

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $535,980,236  $1,127,608,641  $639,318,362  $816,679,636 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 12,940,000, 5,840,000, 21,310,000 and 14,150,000 shares, respectively (Note 1)
   455,030,425   799,757,076   891,490,874   1,971,472,943 
Redemption of 3,550,000, 7,470,000, 9,640,000 and 14,010,000 shares, respectively (Note 1)
   (134,212,073  (1,235,841,632  (495,948,790  (2,339,021,779
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 9,390,000, (1,630,000), 11,670,000 and 140,000 shares, respectively (Note 1)
   320,818,352   (436,084,556  395,542,084   (367,548,836
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   2,581,004   (3,277,402  4,722,827   (6,862,764
Net realized gain (loss)
   (426,300,356  90,701,501   (608,541,564  371,681,032 
Change in net unrealized appreciation (depreciation)
   (45,315,177  196,735,349   (43,277,650  161,734,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (469,034,529  284,159,448   (647,096,387  526,552,733 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $387,764,059  $975,683,533  $387,764,059  $975,683,533 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
4

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULESTATEMENTS OF INVESTMENTS
SEPTEMBER 30, 2022CASH FLOWS
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(27% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
2.253% due 10/06/22
  $50,000,000   $49,989,230 
0.223% due 11/03/22
   94,000,000    93,778,621 
2.682% due 11/17/22
   50,000,000    49,820,000 
3.026% due 12/01/22
   80,000,000    79,614,536 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $273,396,698)
       $273,202,387 
        
 
 
 
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(647,096,387 $526,552,733 
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
   (1,156,102,958  (1,476,792,269
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,192,359,088   1,454,556,289 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,530,731  (252,157
Net realized (gain) loss on investments
   3,590   353,166 
Change in unrealized (appreciation) depreciation on investments
   3,383   66,810 
Decrease (Increase) in receivable on open futures contracts
   159,024,755   (225,561,488
Decrease (Increase) in interest receivable
   293,885   (193,393
Increase (Decrease) in payable to Sponsor
   (209,095  126,268 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (14,116  (96,420
Increase (Decrease) in payable on open futures contracts
   1,707,397   (9,447,456
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (451,561,189  269,312,083 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   891,490,874   1,969,293,116 
Payment on shares redeemed
   (495,948,790  (2,339,021,779
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   395,542,084   (369,728,663
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (56,019,105  (100,416,580)
Cash, beginning of period
   394,847,507   572,120,879 
  
 
 
  
 
 
 
Cash, end of period
  $338,828,402  $471,704,299 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
5

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Cash
  $11,390,854   $11,444,958 
Segregated cash balances with brokers for foreign currency forward contracts
   1,767,000    1,357,000 
Unrealized appreciation on foreign currency forward contracts
   18,889    1,152,834 
Interest receivable
   39,252    39,204 
  
 
 
   
 
 
 
Total assets
   13,215,995    13,993,996 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable to Sponsor
   8,505    10,915 
Unrealized depreciation on foreign currency forward contracts
   876,516    168,285 
  
 
 
   
 
 
 
Total liabilities
   885,021    179,200 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   12,330,974    13,814,796 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $13,215,995   $13,993,996 
  
 
 
   
 
 
 
Shares outstanding
   449,970    399,970 
  
 
 
   
 
 
 
Net asset value per share
  $27.40   $34.54 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $27.42   $34.56 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
3
6

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 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
      
Yen with Goldman Sachs International
   07/14/23    1,507,359,517  $10,470,698  $(407,188
Yen with UBS AG
   07/14/23    2,188,352,856   15,201,139   (469,328
      
 
 
 
      Total Unrealized
Depreciation
 
 
 $(876,516
      
 
 
 
Contracts to Sell
      
Yen with Goldman Sachs International
   07/14/23    (1,461 $(10 $—   
Yen with UBS AG
   07/14/23    (158,537,000  (1,101,259  18,889 
      
 
 
 
      Total Unrealized
Appreciation
 
 
 $18,889 
      
 
 
 
^
The positions and counterparties herein are as of June 30, 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.
3
7

PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $114,980  $3,064  $235,098  $3,937 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   25,330   8,036   55,890   13,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   25,330   8,036   55,890   13,465 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   89,650   (4,972  179,208   (9,528
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
   (770,142  (761,478  (1,068,950  (880,249
Short-term U.S. government and agency obligations
   —     —     —     1,548 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (770,142  (761,478  (1,068,950  (878,701
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
   (1,348,109  154,501   (1,842,176  15,962 
Short-term U.S. government and agency obligations
   —     (2,316  —     (5,142
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (1,348,109  152,185   (1,842,176  10,820 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (2,118,251  (609,293  (2,911,126  (867,881
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(2,028,601 $(614,265 $(2,731,918 $(877,409
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
3
8

PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $9,915,083  $2,099,705  $13,814,796  $2,362,849 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 150,000, 100,000, 200,000 and 100,000 shares, respectively
   4,444,492   3,539,333   6,257,118   3,539,333 
Redemption of –, –, 150,000 and – shares, respectively
   —     —     (5,009,022  —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 150,000, 100,000, 50,000 and 100,000 shares, respectively
   4,444,492   3,539,333   1,248,096   3,539,333 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   89,650   (4,972  179,208   (9,528
Net realized gain (loss)
   (770,142  (761,478  (1,068,950  (878,701
Change in net unrealized appreciation (depreciation)
   (1,348,109  152,185   (1,842,176  10,820 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (2,028,601  (614,265  (2,731,918  (877,409
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $12,330,974  $5,024,773  $12,330,974  $5,024,773 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
39


PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(2,731,918 $(877,409
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
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —     1,548 
Net amortization and accretion on short-term U.S. government and agency obligations
   —     (2,342
Net realized (gain) loss on investments
   —     (1,548
Change in unrealized (appreciation) depreciation on investments
   1,842,176   (10,820
Decrease (Increase) in interest receivable
   (48  (1,269
Increase (Decrease) in payable to Sponsor
   (2,410  1,139 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (892,200  (1,886,470
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   6,257,118   3,539,333 
Payment on shares redeemed
   (5,009,022  —   
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,248,096   3,539,333 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   355,896   1,652,863 
Cash, beginning of period
   12,801,958   2,457,820 
  
 
 
  
 
 
 
Cash, end of period
  $13,157,854  $4,110,683 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
40

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $74,834,094 and $89,407,308, respectively)
  $74,852,080   $89,426,935 
Cash
   5,264,925    74,627,051 
Segregated cash balances with brokers for futures contracts
   36,646,185    65,184,460 
Receivable from capital shares sold
   2,561,440    41,694 
Receivable on open futures contracts
   —      1,604,847 
Interest receivable
   119,269    384,856 
  
 
 
   
 
 
 
Total assets
   119,443,899    231,269,843 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   5,187,383    1,257,090 
Payable on open futures contracts
   1,300,062    7,102,680 
Brokerage commissions and futures account fees payable
   3,914    4,134 
Payable to Sponsor
   97,588    208,602 
  
 
 
   
 
 
 
Total liabilities
   6,588,947    8,572,506 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   112,854,952    222,697,337 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $119,443,899   $231,269,843 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   4,405,220    9,305,220 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $25.62   $23.93 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $25.70   $23.85 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
4
1

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal
Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(66% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.132% due 07/06/23
  $25,000,000   $24,989,490 
4.959% due 07/13/23
   25,000,000    24,964,895 
5.104% due 08/01/23
   25,000,000    24,897,695 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $74,834,094)
    $74,852,080 
    
 
 
 
Futures Contracts PurchasedSold
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2022
   28,597   $901,263,052   $167,070,593 
VIX Futures - Cboe, expires November 2022
   19,065    592,381,961    29,704,256 
             
 
 
 
             $196,774,849 
             
 
 
 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
WTI Crude Oil - NYMEX, expires September 2023
   1,038   $73,469,640   $877,640 
WTI Crude Oil - NYMEX, expires December 2023
   1,073    75,539,200    7,336,619 
WTI Crude Oil - NYMEX, expires June 2024
   1,111    76,681,220    4,771,897 
      
 
 
 
      $12,986,156 
      
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
4
2

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $1,560,028  $289,299  $3,563,237  $343,206 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   359,177   946,110   844,057   1,438,757 
Brokerage commissions
   60,079   107,079   125,836   184,135 
Futures account fees
   —     85,802   —     155,979 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   419,256   1,138,991   969,893   1,778,871 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,140,772   (849,692  2,593,344   (1,435,665
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   28,046,795   (102,594,000  55,661,074   (209,076,101
Short-term U.S. government and agency obligations
   (12,271  —     (11,783  —   
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   28,034,524   (102,594,000  55,649,291   (209,076,101
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (8,229,852  34,810,301   2,741,263   36,926,293 
Short-term U.S. government and agency obligations
   13,244   (53,187  (1,641  (240,137
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (8,216,608  34,757,114   2,739,622   36,686,156 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   19,817,916   (67,836,886  58,388,913   (172,389,945
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $20,958,688  $(68,686,578 $60,982,257  $(173,825,610
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
4
3

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $144,762,563  $416,799,231  $222,697,337  $114,167,602 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 6,250,000, 12,320,000, 11,550,000 and 27,890,000 shares, respectively (Note 1)
   149,281,563   278,861,920   277,187,438   788,890,799 
Redemption of 7,600,000, 4,851,540, 16,450,000 and 7,911,540 shares, respectively (Note 1)
   (202,147,862  (125,817,269  (448,012,080  (228,075,487
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (1,350,000), 7,468,460, (4,900,000) and 19,978,460 shares, respectively (Note 1)
   (52,866,299  153,044,651   (170,824,642  560,815,312 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   1,140,772   (849,692  2,593,344   (1,435,665
Net realized gain (loss)
   28,034,524   (102,594,000  55,649,291   (209,076,101
Change in net unrealized appreciation (depreciation)
   (8,216,608  34,757,114   2,739,622   36,686,156 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   20,958,688   (68,686,578  60,982,257   (173,825,610
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $112,854,952  $501,157,304  $112,854,952  $501,157,304 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
4
4

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $60,982,257  $(173,825,610
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
Purchases of short-term U.S. government and agency obligations
   (378,541,825  (988,742,468
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   394,924,819   812,000,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,821,563  (217,252
Net realized (gain) loss on investments
   11,783   —   
Change in unrealized (appreciation) depreciation on investments
   1,641   240,137 
Decrease (Increase) in receivable on open futures contracts
   1,604,847   (28,947,961
Decrease (Increase) in interest receivable
   265,587   (98,456
Increase (Decrease) in payable to Sponsor
   (111,014  264,125 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (220  4,674 
Increase (Decrease) in payable on open futures contracts
   (5,802,618  11,507,191 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   71,513,694   (367,815,620
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   274,667,692   788,890,799 
Payment on shares redeemed
   (444,081,787  (228,075,487
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (169,414,095  560,815,312 
  
 
 
  
 
 
 
Net increase (decrease) in cash
   (97,900,401  192,999,692 
Cash, beginning of period
   139,811,511   54,443,553 
  
 
 
  
 
 
 
Cash, end of period
  $41,911,110  $247,443,245 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
4
5

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31,
2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $34,827,196 and $61,469,726, respectively)
  $34,829,828   $61,482,526 
Cash
   59,777,081    5,724,380 
Segregated cash balances with brokers for futures contracts
   38,892,240    38,758,160 
Receivable from capital shares sold
   2,752,997    —   
Receivable on open futures contracts
   25,849,741    33,637,888 
Interest receivable
   247,504    293,818 
  
 
 
   
 
 
 
Total assets
   162,349,391    139,896,772 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   14,487,618    5,365,196 
Payable on open futures contracts
   6,434,160    282,362 
Brokerage commissions and futures account fees payable
   8,448    7,497 
Payable to Sponsor
   94,202    132,197 
  
 
 
   
 
 
 
Total liabilities
   21,024,428    5,787,252 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   141,324,963    134,109,520 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $162,349,391   $139,896,772 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   2,566,856    4,966,856 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $55.06   $27.00 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $55.45   $27.56 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
4
6

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(25% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
5.104% due 08/01/23
  $10,000,000   $9,959,078 
4.972% due 08/08/23
   25,000,000    24,870,750 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $34,827,196)
    $34,829,828 
    
 
 
 
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires September 2023
   10,189   $282,642,860   $(20,310,332
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
334
7

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

September 30,
  
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

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

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

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

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

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

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(10% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.554% due 11/03/22
  $1,000,000   $997,645 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,501)
       $997,645 
        
 
 
 
Foreign Currency Forward Contracts
^
   
Settlement Date
   
Contract Amount

in Local Currency
  
Contract Amount

in U.S. Dollars
  
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                  
Yen with Goldman Sachs International
   10/07/22    1,186,245,517  $8,201,765  $(41,852
Yen with UBS AG
   10/07/22    1,919,545,856   13,271,845   (59,320
                
 
 
 
             Total Unrealized
Depreciation
 
 
 $(101,172
                
 
 
 
Contracts to Sell
                  
Yen with Goldman Sachs International
   10/07/22    (33,368,000 $(230,708 $1,998 
Yen with UBS AG
   10/07/22    (133,030,000  (919,774  4,057 
                
 
 
 
             Total Unrealized
Appreciation
 
 
 $6,055 
                
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
38

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

September 30,
  
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

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

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

September 30,
 
   
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $(2,540,757 $(449,619
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (995,769  (1,499,740
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,548   500,000 
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,732  (230
Net realized (gain) loss on investments
   (1,548  —   
Change in unrealized (appreciation) depreciation on investments
   3,861   126,370 
Decrease (Increase) in interest receivable
   (9,886  45 
Increase (Decrease) in payable to Sponsor
   14,302   (355
Increase (Decrease) in
non-recurring
fees and expenses payable
   194   —   
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (3,531,787  (1,323,529
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   11,824,658   —   
Payment on shares redeemed
   (1,487,561  —   
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   10,337,097   —   
   
 
 
  
 
 
 
Net increase (decrease) in cash
   6,805,310   (1,323,529
Cash, beginning of period
   2,457,820   2,924,696 
   
 
 
  
 
 
 
Cash, end of period
  $9,263,130  $1,601,167 
   
 
 
  
 
 
 
See accompanying notes to financial statements.
41

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

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

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

Contracts
   
Notional Amount

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

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

September 30,
  
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

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

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

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

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

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

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

Contracts
   
Notional Amount

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

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
              
Interest
  $953,050  $9,879  $1,131,063  $25,512   $1,344,889  $122,188  $2,531,641  $178,013 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Expenses
              
Management fee
   730,949   258,824   1,784,017   609,472    302,274   510,704   599,136   1,053,068 
Brokerage commissions
   173,386   67,808   539,244   249,831    233,647   144,907   443,288   365,858 
Futures account fees
   48,485   42,064   255,370   99,190    26,758   76,956   56,367   206,885 
Non-recurring
fees and expenses
   5,374   —     5,374   —   
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Total expenses
   958,194   368,696   2,584,005   958,493    562,679   732,567   1,098,791   1,625,811 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (5,144  (358,817  (1,452,942  (932,981   782,210   (610,379  1,432,850   (1,447,798
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
              
Net realized gain (loss) on
              
Futures contracts
   8,173,631   (95,609,878  (389,138,752  (112,274,576   48,736,428   (282,646,685  232,145,072   (397,312,383
Short-term U.S. government and agency obligations
   (57,864  —     (116,673  —      1,415   (199  (1,263  (58,809
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized gain (loss)
   8,115,767   (95,609,878  (389,255,425  (112,274,576   48,737,843   (282,646,884  232,143,809   (397,371,192
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
              
Futures contracts
   (23,776,729  (17,870,697  116,857,361   (35,668,153   (61,246,927  228,166,248   (106,199,730  140,634,090 
Short-term U.S. government and agency obligations
   309,345   (839  (32,689  (2,080   (3,173  (87,121  (10,168  (342,034
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   (23,467,384  (17,871,536  116,824,672   (35,670,233   (61,250,100  228,079,127   (106,209,898  140,292,056 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   (15,351,617  (113,481,414  (272,430,753  (147,944,809   (12,512,257  (54,567,757  125,933,911   (257,079,136
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
  $(15,356,761 $(113,840,231 $(273,883,695 $(148,877,790  $(11,730,047 $(55,178,136 $127,366,761  $(258,526,934
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
494
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $211,823,446  $97,525,300  $242,145,130  $24,977,745   $146,981,760  $250,340,837  $134,109,520  $242,145,130 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 58,900,000, 1,025,000, 82,240,000 and 1,402,500 shares, respectively (Note 1)
   790,506,039   210,189,776   1,734,541,781   446,153,207 
Redemption of 49,900,000, 265,000, 69,251,886 and 442,500 shares, respectively (Note 1)
   (744,582,726  (55,406,168  (1,460,413,218  (183,784,485
Addition of 6,600,000, 18,700,000, 13,850,000 and 23,340,000 shares, respectively (Note 1)
   457,417,060   489,076,501   833,426,697   944,035,742 
Redemption of 6,100,000, 17,601,764, 16,250,000 and 19,351,886 shares, respectively (Note 1)
   (451,343,810  (472,415,756  (953,578,015  (715,830,492
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of 9,000,000, 760,000, 12,988,114 and 960,000 shares, respectively (Note 1)
   45,923,313   154,783,608   274,128,563   262,368,722 
Net addition (redemption) of 500,000, 1,098,236, (2,400,000) and 3,988,114 shares, respectively (Note 1)
   6,073,250   16,660,745   (120,151,318  228,205,250 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (5,144  (358,817  (1,452,942  (932,981   782,210   (610,379  1,432,850   (1,447,798
Net realized gain (loss)
   8,115,767   (95,609,878  (389,255,425  (112,274,576   48,737,843   (282,646,884  232,143,809   (397,371,192
Change in net unrealized appreciation (depreciation)
   (23,467,384  (17,871,536  116,824,672   (35,670,233   (61,250,100  228,079,127   (106,209,898  140,292,056 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   (15,356,761  (113,840,231  (273,883,695  (148,877,790   (11,730,047  (55,178,136  127,366,761   (258,526,934
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $242,389,998  $138,468,677  $242,389,998  $138,468,677   $141,324,963  $211,823,446  $141,324,963  $211,823,446 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
5049


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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $(273,883,695 $(148,877,790  $127,366,761  $(258,526,934
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (641,286,804  (144,983,115   (119,017,542  (346,906,626
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   680,730,195   98,000,000    146,569,111   410,859,860 
Net amortization and accretion on short-term U.S. government and agency obligations
   (447,861  (12,252   (910,302  (110,657
Net realized (gain) loss on investments
   116,673       1,263   58,809 
Change in unrealized (appreciation) depreciation on investments
   32,689   2,080    10,168   342,034 
Decrease (Increase) in receivable on open futures contracts
   (17,665,801      7,788,147   (43,089,309
Decrease (Increase) in interest receivable
   (278,702  (2,114   46,314   (35,299
Increase (Decrease) in payable to Sponsor
   354,079   85,465    (37,995  (37,097
Increase (Decrease) in brokerage commissions and futures account fees payable
   (23,511  27,103    951   (35,587
Increase (Decrease) in payable on open futures contracts
   (8,542,438  14,455,099    6,151,798   (1,699,127
Increase (Decrease) in
non-recurring
fees and expenses payable
   5,374    
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   (260,889,802  (181,305,524   167,968,674   (239,179,933
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   1,734,541,781   446,153,207    830,673,700   944,035,742 
Payment on shares redeemed
   (1,464,617,750  (170,017,033   (944,455,593  (706,724,583
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   269,924,031   276,136,174    (113,781,893  237,311,159 
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   9,034,229   94,830,650    54,186,781   (1,868,774
Cash, beginning of period
   113,000,927   19,147,382    44,482,540   113,000,927 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $122,035,156  $113,978,032   $98,669,321  $111,132,153 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
515
0

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2022

(unaudited)
   
December 31,
2021
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $45,894,901 and $46,968,288, respectively)
  $45,854,318   $46,961,125 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively)
  $—     $39,996,624 
Cash
   42,105,160    7,554,065    45,515,144    30,687,235 
Segregated cash balances with brokers for foreign currency forward contracts
   3,350,000    —      7,024,121    6,844,121 
Unrealized appreciation on foreign currency forward contracts
   3,108,883    135,118    29,100    193,192 
Receivable from capital shares sold
   549    —   
Interest receivable
   62,104    603    192,965    109,830 
  
 
   
 
   
 
   
 
 
Total assets
   94,481,014    54,650,911    52,761,330    77,831,002 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   3,484,180    —   
Payable to Sponsor
   142,878    44,707 
Payable to Sponsor
   42,155    63,375 
Unrealized depreciation on foreign currency forward contracts
   267,843    343,159    1,787,874    2,654,448 
Non-recurring
fees and expenses payable
   1,835    —   
  
 
   
 
   
 
   
 
 
Total liabilities
   3,896,736    387,866    1,830,029    2,717,823 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   90,584,278    54,263,045    50,931,301    75,113,179 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $94,481,014   $54,650,911   $52,761,330   $77,831,002 
  
 
   
 
   
 
   
 
 
Shares outstanding
   2,600,000    2,100,000    1,750,000    2,550,000 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $34.84   $25.84   $29.10   $29.46 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $34.88   $25.86   $29.11   $29.45 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
525
1

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20222023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(51% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $16,000,000   $15,962,318 
2.682% due 11/17/22
   30,000,000    29,892,000 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $45,894,901)
       $45,854,318 
        
 
 
 
Foreign Currency Forward Contracts
^
 
  
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
   
Settlement Date
   
Contract Amount
in Local Currency
 
Contract Amount
in U.S. Dollars
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                
Euro with Goldman Sachs International
   07/14/23    4,446,000  $4,855,150  $(36,237
Euro with UBS AG
   10/07/22    38,000,000  $37,260,363  $(267,843   07/14/23    12,460,000   13,606,649   29,100 
         
 
       
 
 
        Total Unrealized
Depreciation
 
 
 $(267,843      Total Unrealized
Depreciation
 
 
 $(7,137
         
 
       
 
 
Contracts to Sell
                
Euro with Goldman Sachs International
   10/07/22    (78,612,263 $(77,082,144 $1,292,731    07/14/23    (51,941,263 $(56,721,233 $(836,536
Euro with UBS AG
   10/07/22    (144,189,199  (141,382,682  1,816,152    07/14/23    (58,308,199  (63,674,095  (915,101
         
 
       
 
 
        Total Unrealized
Appreciation
 
 
 $3,108,883       Total Unrealized
Depreciation
 
 
 $(1,751,637
         
 
       
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of SeptemberJune 30, 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.
5
2

PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 
2023
  
2022
  
2023
  
2022
 
Investment Income
    
Interest
 $593,746  $39,011  $1,240,866  $54,416 
 
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
    
Management fee
  131,101   146,934   292,669   264,390 
 
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
  131,101   146,934   292,669   264,390 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
  462,645   (107,923  948,197   (209,974
 
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Foreign currency forward contracts
  (1,045,942  3,065,129   (2,453,253  5,607,263 
Short-term U.S. government and agency obligations
  —     —     —     210,974 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
  (1,045,942  3,065,129   (2,453,253  5,818,237 
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Foreign currency forward contracts
  556,469   3,061,048   702,482   3,403,124 
Short-term U.S. government and agency obligations
  —     (21,310  (4,802  (94,645
 
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
  556,469   3,039,738   697,680   3,308,479 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
  (489,473  6,104,867   (1,755,573  9,126,716 
 
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
 $(26,828 $5,996,944  $(807,376 $8,916,742 
 
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
3

PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $59,537,260  $50,498,084  $75,113,179  $54,263,045 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of –, 500,000, 100,000 and 550,000 shares, respectively
   —     14,656,401   3,051,886   16,028,063 
Redemption of 300,000, 300,000, 900,000 and 600,000 shares, respectively
   (8,579,131  (8,881,332  (26,426,388  (16,937,753
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (300,000), 200,000, (800,000) and (50,000) shares, respectively
   (8,579,131  5,775,069   (23,374,502  (909,690
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   462,645   (107,923  948,197   (209,974
Net realized gain (loss)
   (1,045,942  3,065,129   (2,453,253  5,818,237 
Change in net unrealized appreciation (depreciation)
   556,469   3,039,738   697,680   3,308,479 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (26,828  5,996,944   (807,376  8,916,742 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $50,931,301  $62,270,097  $50,931,301  $62,270,097 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
4

PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(807,376 $8,916,742 
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  (44,986,222
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   95,000,000   72,210,974 
Net amortization and accretion on short-term U.S. government and agency obligations
   (83,003  (32,410
Net realized (gain) loss on investments
   —     (210,974
Change in unrealized (appreciation) depreciation on investments
   (697,680  (3,308,479
Decrease (Increase) in interest receivable
   (83,135  (17,256
Increase (Decrease) in payable to Sponsor
   (21,220  6,691 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   38,382,411   32,579,066 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   3,051,886   16,028,063 
Payment on shares redeemed
   (26,426,388  (16,937,753
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (23,374,502  (909,690
  
 
 
  
 
 
 
Net increase (decrease) in cash
   15,007,909   31,669,376 
Cash, beginning of period
   37,531,356   7,554,065 
  
 
 
  
 
 
 
Cash, end of period
  $52,539,265  $39,223,441 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
5
5

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Cash
  $13,595,466   $12,252,100 
Segregated cash balances with brokers for futures contracts
   657,360    232,313 
Segregated cash balances with brokers for swap agreements
   2,476,000    3,536,000 
Unrealized appreciation on swap agreements
   440,571    —   
Receivable on open futures contracts
   40,101    —   
Interest receivable
   61,501    42,135 
  
 
 
   
 
 
 
Total assets
   17,270,999    16,062,548 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   1,445,160    —   
Payable on open futures contracts
   2,300    700 
Payable to Sponsor
   14,161    12,854 
Unrealized depreciation on swap agreements
   —      592,957 
  
 
 
   
 
 
 
Total liabilities
   1,461,621    606,511 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   15,809,378    15,456,037 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $17,270,999   $16,062,548 
  
 
 
   
 
 
 
Shares outstanding
   546,977    496,977 
  
 
 
   
 
 
 
Net asset value per share
  $28.90   $31.10 
  
 
 
   
 
 
 
Market value per share (Note 2)
  $28.96   $30.99 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
5
6

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Futures Contracts Sold
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Gold Futures - COMEX, expires August 2023
   79   $15,242,260   $970,805 
Total Return Swap Agreements
^
   
Rate Paid
(Received)
*
  
Termination
Date
   
Notional Amount
at Value
**
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25  07/06/23   $    (3,783,471 $101,527 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20  07/06/23    (4,958,670  133,231 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25  07/06/23    (7,669,707  205,813 
      
 
 
 
      Total Unrealized
Appreciation
 
 
 $440,571 
      
 
 
 
^
The positions and counterparties herein are as of June 30, 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.
53

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

September 30,
   
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

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

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

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

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
   
September 30, 2022

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

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

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2022
   157   $26,250,400   $1,536,681 
Total Return Swap Agreements
^
   
Rate Paid

(Received)
*
  
Termination

Date
   
Notional Amount

at Value
**
  
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25  10/06/22   $(13,547,911 $329,122 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20   10/06/22    (8,863,141  215,613 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25   10/06/22    (10,598,433  257,469 
                
 
 
 
             Total Unrealized
Appreciation
 
 
 $802,204 
                
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of SeptemberJune 30, 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.
 
585
7

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
              
Interest
  $72,261  $3,075  $101,921  $9,213   $184,052  $19,975  $316,614  $29,660 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Expenses
              
Management fee
   76,652   66,304   218,466   199,999    42,869   75,676   79,242   141,814 
Brokerage commissions
   3,565   3,301   9,361   9,174    1,605   2,985   2,966   5,796 
Futures account fees
   —     1,856   2,446   8,344    —     580   —     2,446 
Non-recurring
fees and expenses
   639      639    
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Total expenses
   80,856   71,461   230,912   217,517    44,474   79,241   82,208   150,056 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (8,595  (68,386  (128,991  (208,304   139,578   (59,266  234,406   (120,396
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
              
Net realized gain (loss) on
              
Futures contracts
   2,017,269   (883,113  1,336,740   (1,598,368   (562,109  1,310,720   (676,159  (680,529
Swap agreements
   2,970,959   2,096,834   1,900,685   (169,268   (991,042  3,247,150   (1,907,873  (1,070,274
Short-term U.S. government and agency obligations
   —     —     4   169    —     —     —     4 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized gain (loss)
   4,988,228   1,213,721   3,237,429   (1,767,467   (1,553,151  4,557,870   (2,584,032  (1,750,799
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
              
Futures contracts
   725,119   (153,889  1,378,602   628,980    1,132,962   485,575   1,069,691   653,483 
Swap agreements
   81,220   (1,744,696  1,795,321   1,098,851    1,625,959   (187,339  1,033,528   1,714,101 
Short-term U.S. government and agency obligations
   35,207   166   (13,647  (50   —     (8,285  —     (48,854
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   841,546   (1,898,419  3,160,276   1,727,781    2,758,921   289,951   2,103,219   2,318,730 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   5,829,774   (684,698  6,397,705   (39,686   1,205,770   4,847,821   (480,813  567,931 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
  $5,821,179  $(753,084 $6,268,714  $(247,990  $1,345,348  $4,788,555  $(246,407 $447,535 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
595
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended 
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $34,611,284  $32,835,014  $26,859,844  $20,337,376   $16,049,273  $32,598,451  $15,456,037  $26,859,844 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 350,000, 650,000, 1,500,000 and 1,700,000 shares, respectively
   12,520,359   21,916,482   46,264,925   59,279,388 
Redemption of 650,000, 800,000, 1,550,000 and 1,550,000 shares, respectively
   (23,318,097  (26,267,390  (49,758,758  (51,637,752
Addition of 300,000, 700,000, 600,000 and 1,150,000 shares, respectively
   7,934,073   20,554,617   16,298,343   33,744,566 
Redemption of 350,000, 800,000, 550,000 and 900,000 shares, respectively
   (9,519,316  (23,330,339  (15,698,595  (26,440,661
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of (300,000), (150,000), (50,000) and 150,000 shares, respectively
   (10,797,738  (4,350,908  (3,493,833  7,641,636 
Net addition (redemption) of (50,000), (100,000), 50,000 and 250,000 shares, respectively
   (1,585,243  (2,775,722  599,748   7,303,905 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (8,595  (68,386  (128,991  (208,304   139,578   (59,266  234,406   (120,396
Net realized gain (loss)
   4,988,228   1,213,721   3,237,429   (1,767,467   (1,553,151  4,557,870   (2,584,032  (1,750,799
Change in net unrealized appreciation (depreciation)
   841,546   (1,898,419  3,160,276   1,727,781    2,758,921   289,951   2,103,219   2,318,730 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   5,821,179   (753,084  6,268,714   (247,990   1,345,348   4,788,555   (246,407  447,535 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $29,634,725  $27,731,022  $29,634,725  $27,731,022   $15,809,378  $34,611,284  $15,809,378  $34,611,284 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
6059


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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $6,268,714  $(247,990  $(246,407 $447,535 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (17,987,492  (40,994,386   —     (17,987,491
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   35,999,990   22,999,935    —     29,999,990 
Net amortization and accretion on short-term U.S. government and agency obligations
   (26,784  (4,402   —     (21,000
Net realized (gain) loss on investments
   (4  (169   —     (4
Change in unrealized (appreciation) depreciation on investments
   (1,781,674  (1,098,801   (1,033,528  (1,665,247
Decrease (Increase) in receivable on open futures contracts
   —     1,317    (40,101  (5,100
Decrease (Increase) in interest receivable
   (25,595  443    (19,366  (6,385
Increase (Decrease) in payable to Sponsor
   22,778   3,016    1,307   (1,526
Increase (Decrease) in brokerage commissions and futures account fees payable
   (294  211    —     (294
Increase (Decrease) in payable on open futures contracts
   (49,875  294,581    1,600   (77,583
Increase (Decrease) in
non-recurring
fees and expenses payable
   639   —   
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   22,420,403   (19,046,245   (1,336,495  10,682,895 
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   46,264,925   59,279,388    16,298,343   32,164,882 
Payment on shares redeemed
   (49,758,758  (51,637,752   (14,253,435  (26,440,661
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   (3,493,833  7,641,636    2,044,908   5,724,221 
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   18,926,570   (11,404,609   708,413   16,407,116 
Cash, beginning of period
   1,990,354   20,633,371    16,020,413   1,990,354 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $20,916,924  $9,228,762   $16,728,826  $18,397,470 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
616
0

PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2022

(unaudited)
   
December 31,
2021
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,597 and $22,995,121, respectively)
  $1,995,290   $22,994,261 
Cash
   24,898,921    1,829,901   $12,006,167   $21,887,346 
Segregated cash balances with brokers for futures contracts
   3,809,063    1,081,575    1,325,250    2,820,937 
Segregated cash balances with brokers for swap agreements
   4,826,000    2,572,000    6,881,000    7,875,000 
Unrealized appreciation on swap agreements
   845,012    —   
Receivable from capital shares sold
   —      972,789 
Receivable on open futures contracts
   —      15,446    245,272    59,575 
Interest receivable
   25,398    378    61,813    60,480 
  
 
   
 
   
 
   
 
 
Total assets
   35,554,672    28,493,561    21,364,514    33,676,127 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   2,049,307    —   
Payable on open futures contracts
   598,764    5,840    5,550    —   
Brokerage commissions and futures account fees payable
   —      747 
Payable to Sponsor
   40,841    28,560 
Payable to Sponsor
   19,184    20,705 
Unrealized depreciation on swap agreements
   1,151,403    1,921,414    —      1,722,623 
Non-recurring
fees and expenses payable
   612    —   
  
 
   
 
   
 
   
 
 
Total liabilities
   1,791,620    1,956,561    2,074,041    1,743,328 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   33,763,052    26,537,000    19,290,473    31,932,799 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $35,554,672   $28,493,561   $21,364,514   $33,676,127 
  
 
   
 
   
 
   
 
 
Shares outstanding
   991,329    991,329    941,329    1,641,329 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $34.06   $26.77   $20.49   $19.46 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $34.15   $26.84   $20.58   $19.30 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
626
1

PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20222023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(6% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $2,000,000   $1,995,290 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $1,999,597)
       $1,995,290 
        
 
 
 
Futures Contracts Sold
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2022
   506   $48,168,670   $1,453,369 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Silver Futures - COMEX, expires September 2023
   139   $15,998,900   $958,923 
Total Return Swap Agreements
^
 
  
Rate Paid

(Received)
*
 
Termination

Date
   
Notional Amount

at Value
**
 
Unrealized

Appreciation

(Depreciation)/Value
   
Rate Paid
(Received)
*
 
Termination
Date
   
Notional Amount
at Value
**
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25  10/06/22   $(2,288,972 $(136,329   0.25  07/06/23   $(2,676,258 $100,100 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25   10/06/22    (8,338,415  (496,626   0.25  07/06/23    (9,749,240  364,653 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30   10/06/22    (6,593,089  (392,881   0.30  07/06/23    (7,708,614  288,063 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25   10/06/22    (2,108,259  (125,567   0.25  07/06/23    (2,464,968  92,196 
         
 
       
 
 
        Total Unrealized
Depreciation
 
 
 $(1,151,403      Total Unrealized
Appreciation
 
 
 $845,012 
         
 
       
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of SeptemberJune 30, 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 SeptemberJune 30, 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.
 
636
2

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
              
Interest
  $63,222  $3,100  $90,885  $8,895   $323,734  $18,743  $523,812  $27,663 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Expenses
              
Management fee
   67,215   90,963   190,549   248,539    82,417   62,381   142,585   123,334 
Brokerage commissions
   8,699   8,141   20,677   19,409    8,958   6,677   14,661   11,978 
Futures account fees
   —     6,528   4,443   20,726    —     1,169   —     4,443 
Non-recurring
fees and expenses
   612   —     612   —   
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Total expenses
   76,526   105,632   216,281   288,674    91,375   70,227   157,246   139,755 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (13,304  (102,532  (125,396  (279,779   232,359   (51,484  366,566   (112,092
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
              
Net realized gain (loss) on
              
Futures contracts
   1,719,839   523,159   6,370,119   (929,991   3,460,638   5,944,050   4,792,636   4,650,280 
Swap agreements
   4,495,568   6,138,986   1,882,774   (1,216,671   (2,347,042  3,467,182   (965,417  (2,612,794
Short-term U.S. government and agency obligations
   —     —     (190  85    (906  —     (906  (190
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized gain (loss)
   6,215,407   6,662,145   8,252,703   (2,146,577   1,112,690   9,411,232   3,826,313   2,037,296 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
              
Futures contracts
   (1,063,521  2,684,085   800,876   3,176,052    1,782,960   2,249,743   1,899,423   1,864,397 
Swap agreements
   (3,024,441  1,237,760   770,011   7,288,071    3,867,334   1,599,944   2,567,635   3,794,452 
Short-term U.S. government and agency obligations
   12,438   751   (3,447  (336   —     3,625   —     (15,885
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   (4,075,524  3,922,596   1,567,440   10,463,787    5,650,294   3,853,312   4,467,058   5,642,964 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   2,139,883   10,584,741   9,820,143   8,317,210    6,762,984   13,264,544   8,293,371   7,680,260 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
  $2,126,579  $10,482,209  $9,694,747  $8,037,431   $6,995,343  $13,213,060  $8,659,937  $7,568,168 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
646
3

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended 
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $33,052,840  $34,859,763  $26,537,000  $28,885,775   $20,335,691  $23,406,516  $31,932,799  $26,537,000 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 1,000,000, 1,000,000, 2,800,000 and 3,750,000 shares, respectively
   34,082,044   26,169,229   77,349,605   91,351,542 
Redemption of 1,050,000, 1,200,000, 2,800,000 and 3,500,415 shares, respectively
   (35,498,411  (31,137,324  (79,818,300  (87,900,871
Addition of 2,450,000, 700,000, 3,100,000 and 1,800,000 shares, respectively
   41,523,335   17,707,417   55,312,875   43,267,561 
Redemption of 2,600,000, 750,000, 3,800,000 and 1,750,000 shares, respectively
   (49,563,896  (21,274,153  (76,615,138  (44,319,889
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of (50,000), (200,000), – and 249,585 shares, respectively
   (1,416,367  (4,968,095  (2,468,695  3,450,671 
Net addition (redemption) of (150,000), (50,000), (700,000) and 50,000 shares, respectively
   (8,040,561  (3,566,736  (21,302,263  (1,052,328
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   (13,304  (102,532  (125,396  (279,779   232,359   (51,484  366,566   (112,092
Net realized gain (loss)
   6,215,407   6,662,145   8,252,703   (2,146,577   1,112,690   9,411,232   3,826,313   2,037,296 
Change in net unrealized appreciation (depreciation)
   (4,075,524  3,922,596   1,567,440   10,463,787    5,650,294   3,853,312   4,467,058   5,642,964 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   2,126,579   10,482,209   9,694,747   8,037,431    6,995,343   13,213,060   8,659,937   7,568,168 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $33,763,052  $40,373,877  $33,763,052  $40,373,877   $19,290,473  $33,052,840  $19,290,473  $33,052,840 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
656
4

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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $9,694,747  $8,037,431   $8,659,937  $7,568,168 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (20,979,052  (49,994,362   (14,880,254  (20,979,051
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   41,999,081   27,999,988    14,937,156   30,999,081 
Net amortization and accretion on short-term U.S. government and agency obligations
   (24,695  (4,676   (57,808  (21,212
Net realized (gain) loss on investments
   190   (85   906   190 
Change in unrealized (appreciation) depreciation on investments
   (766,564  (7,287,735   (2,567,635  (3,778,567
Decrease (Increase) in receivable on open futures contracts
   15,446   39,445    (185,697  (176,048
Decrease (Increase) in interest receivable
   (25,020  335    (1,333  (4,807
Increase (Decrease) in payable to Sponsor
   12,281   3,356    (1,521  (9,072
Increase (Decrease) in brokerage commissions and futures account fees payable
   (747  1,471    —     (747
Increase (Decrease) in payable on open futures contracts
   592,924   90,385    5,550   (5,840
Increase (Decrease) in
non-recurring
fees and expenses payable
   612   —   
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   30,519,203   (21,114,447   5,909,301   13,592,095 
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   77,349,605   89,788,249    56,285,664   41,679,928 
Payment on shares redeemed
   (79,818,300  (84,774,285   (74,565,831  (44,319,889
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   (2,468,695  5,013,964    (18,280,167  (2,639,961
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   28,050,508   (16,100,483   (12,370,866  10,952,134 
Cash, beginning of period
   5,483,476   32,155,049    32,583,283   5,483,476 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $33,533,984  $16,054,566   $20,212,417  $16,435,610 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
666
5

PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2022

(unaudited)
   
December 31,
2021
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $4,998,992 and $20,990,068, respectively)
  $4,988,225   $20,987,825 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively)
  $—     $22,998,059 
Cash
   44,231,706    3,003,251    22,448,405    451,616 
Segregated cash balances with brokers for foreign currency forward contracts
   2,320,000    —      2,582,511    3,652,511 
Unrealized appreciation on foreign currency forward contracts
   580,211    1,237,168    2,238,472    963,369 
Interest receivable
   42,493    339    86,880    36,071 
  
 
   
 
   
 
   
 
 
Total assets
   52,162,635    25,228,583    27,356,268    28,101,626 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable to Sponsor
   68,901    20,211 
Payable for capital shares redeemed
   —      2,683,455 
Payable to Sponsor
   19,992    29,633 
Unrealized depreciation on foreign currency forward contracts
   155,443    367,588    258,620    3,990,802 
Non-recurring
fees and expenses payable
   953    —   
  
 
   
 
   
 
   
 
 
Total liabilities
   225,297    387,799    278,612    6,703,890 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   51,937,338    24,840,784    27,077,656    21,397,736 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $52,162,635   $25,228,583   $27,356,268   $28,101,626 
  
 
   
 
   
 
   
 
 
Shares outstanding (Note 1)
   798,580    598,580    398,580    398,580 
  
 
   
 
   
 
   
 
 
Net asset value per share (Note 1)
  $65.04   $41.50   $67.94   $53.68 
  
 
   
 
   
 
   
 
 
Market value per share (Note 1) (Note 2)
  $65.02   $41.50   $67.95   $53.57 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
676
6

PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20222023
(unaudited)
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(10% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $5,000,000   $4,988,225 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $4,998,992)
       $4,988,225 
        
 
 
 
Foreign Currency Forward Contracts
^
 
  
Settlement Date
   
Contract Amount

in Local Currency
 
Contract Amount

in U.S. Dollars
 
Unrealized

Appreciation

(Depreciation)/

Value
   
Settlement Date
   
Contract Amount
in Local Currency
 
Contract Amount
in U.S. Dollars
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                
Yen with Goldman Sachs International
   10/07/22    513,732,000  $3,551,971  $(61,321
Yen with UBS AG
   10/07/22    1,169,990,000   8,089,375   (94,122   07/14/23    1,228,677,000  $8,534,862  $(258,620
         
 
       
 
 
        Total Unrealized
Depreciation
 
 
 $(155,443      Total Unrealized
Depreciation
 
 
 $(258,620
         
 
       
 
 
Contracts to Sell
                
Yen with Goldman Sachs International
   10/07/22    (4,358,922,165 $(30,137,828 $154,005    07/14/23    (3,428,392,165 $(23,814,929 $890,062 
Yen with UBS AG
   10/07/22    (12,349,528,574  (85,385,320  426,206    07/14/23    (5,596,567,574  (38,875,908  1,348,410 
         
 
       
 
 
        Total Unrealized
Appreciation
 
 
 $580,211       Total Unrealized
Appreciation
 
 
 $2,238,472 
         
 
       
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of SeptemberJune 30, 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.
 
686
7

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

September 30,
 
Nine Months Ended

September 30,
  
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
             
Interest
  $115,191  $2,392  $151,503  $9,558  $255,354  $26,913  $459,554  $36,312 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Expenses
             
Management fee
   106,598   57,037   259,599   196,036   58,179   93,181   108,991   153,001 
Non-recurring
fees and expenses
   953   —     953   —   
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Total expenses
   107,551   57,037   260,552   196,036   58,179   93,181   108,991   153,001 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net investment income (loss)
   7,640   (54,645  (109,049  (186,478  197,175   (66,268  350,563   (116,689
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
             
Net realized gain (loss) on
             
Foreign currency forward contracts
   5,879,873   197,444   14,877,216   3,055,103   1,370,771   7,917,170   342,795   8,997,343 
Short-term U.S. government and agency obligations
   —     —     102,971   —     —     —     —     102,971 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net realized gain (loss)
   5,879,873   197,444   14,980,187   3,055,103   1,370,771   7,917,170   342,795   9,100,314 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
             
Foreign currency forward contracts
   (546,737  (190,261  (444,812  1,066,540   3,145,023   (1,364,477  5,007,285   101,925 
Short-term U.S. government and agency obligations
   22,866   329   (8,524  (207  —     (3,452  (2,761  (31,390
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   (523,871  (189,932  (453,336  1,066,333   3,145,023   (1,367,929  5,004,524   70,535 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   5,356,002   7,512   14,526,851   4,121,436   4,515,794   6,549,241   5,347,319   9,170,849 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net income (loss)
  $5,363,642  $(47,133 $14,417,802  $3,934,958  $4,712,969  $6,482,973  $5,697,882  $9,054,160 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
69
6
8


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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended 
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $45,568,882  $27,231,748  $24,840,784  $23,691,070   $25,111,818  $27,726,701  $21,397,736  $24,840,784 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 250,000, –, 1,100,000 and 200,000 shares, respectively (Note 1)
   15,352,183   —     59,472,902   7,132,412 
Redemption of 250,000, 100,000, 900,000 and 300,000 shares, respectively (Note 1)
   (14,347,369  (3,855,693  (46,794,150  (11,429,518
Addition of 250,000, 650,000, 450,000 and 850,000 shares, respectively (Note 1)
   14,899,838   34,515,397   26,056,375   44,120,719 
Redemption of 300,000, 450,000, 450,000 and 650,000 shares, respectively (Note 1)
   (17,646,969  (23,156,189  (26,074,337  (32,446,781
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net addition (redemption) of –, (100,000), 200,000 and (100,000) shares, respectively (Note 1)
   1,004,814   (3,855,693  12,678,752   (4,297,106
Net addition (redemption) of (50,000), 200,000, – and 200,000 shares, respectively (Note 1)
   (2,747,131  11,359,208   (17,962  11,673,938 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   7,640   (54,645  (109,049  (186,478   197,175   (66,268  350,563   (116,689
Net realized gain (loss)
   5,879,873   197,444   14,980,187   3,055,103    1,370,771   7,917,170   342,795   9,100,314 
Change in net unrealized appreciation (depreciation)
   (523,871  (189,932  (453,336  1,066,333    3,145,023   (1,367,929  5,004,524   70,535 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   5,363,642   (47,133  14,417,802   3,934,958    4,712,969   6,482,973   5,697,882   9,054,160 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $51,937,338  $23,328,922  $51,937,338  $23,328,922   $27,077,656  $45,568,882  $27,077,656  $45,568,882 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
70
69

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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $14,417,802  $3,934,958   $5,697,882  $9,054,160 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (17,984,732  (43,494,229   —     (17,984,733
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   34,102,971   26,500,000    23,000,000   28,102,971 
Net amortization and accretion on short-term U.S. government and agency obligations
   (24,192  (4,425   (4,702  (20,093
Net realized (gain) loss on investments
   (102,971  —      —     (102,971
Change in unrealized (appreciation) depreciation on investments
   453,336   (1,066,333   (5,004,524  (70,535
Decrease (Increase) in interest receivable
   (42,154  553    (50,809  (12,261
Increase (Decrease) in payable to Sponsor
   48,690   (1,517   (9,641  11,416 
Increase (Decrease) in
non-recurring
fees and expenses payable
   953   —   
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   30,869,703   (14,130,993   23,628,206   18,977,954 
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   59,472,902   7,132,412    26,056,375   44,120,719 
Payment on shares redeemed
   (46,794,150  (11,429,518   (28,757,792  (32,446,781
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   12,678,752   (4,297,106   (2,701,417  11,673,938 
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   43,548,455   (18,428,099   20,926,789   30,651,892 
Cash, beginning of period
   3,003,251   24,274,564    4,104,127   3,003,251 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $46,551,706  $5,846,465   $25,030,916  $33,655,143 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
717
0

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

(unaudited)
   
December 31,
2021
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $31,993,547 and $85,937,303, respectively)
  $31,924,637   $85,922,969 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively)
  $—     $49,882,348 
Cash
   63,807,096    8,130,069    42,134,389    19,575,939 
Segregated cash balances with brokers for futures contracts
   15,672,400    18,941,750    8,099,770    14,384,050 
Receivable on open futures contracts
   828,618    63,397    —      142,794 
Interest receivable
   85,354    1,097    189,748    88,180 
  
 
   
 
   
 
   
 
 
Total assets
   112,318,105    113,059,282    50,423,907    84,073,311 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   1,761,987    —   
Payable on open futures contracts
   —      94,495    962,275    —   
Brokerage commissions and futures account fees payable
   —      7,124    4,683    3,688 
Payable to Sponsor
   133,494    81,983 
Non-recurring
fees and expenses payable
   2,050    —   
Payable to Sponsor
   35,536    54,664 
  
 
   
 
   
 
   
 
 
Total liabilities
   1,897,531    183,602    1,002,494    58,352 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   110,420,574    112,875,680    49,421,413    84,014,959 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $112,318,105   $113,059,282   $50,423,907   $84,073,311 
  
 
   
 
   
 
   
 
 
Shares outstanding
   3,112,403    3,687,403    2,412,403    2,762,403 
  
 
   
 
   
 
   
 
 
Net asset value per share
  $35.48   $30.61   $20.49   $30.41 
  
 
   
 
   
 
   
 
 
Market value per share (Note 2)
  $35.50   $30.57   $20.48   $30.36 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
727
1

PROSHARES VIX MID-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2023
(unaudited)
Futures Contracts Purchased
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires October 2023
   501   $9,192,799   $(2,627,316
VIX Futures - Cboe, expires November 2023
   865    16,305,250    (4,252,873
VIX Futures - Cboe, expires December 2023
   865    16,564,750    (2,707,689
VIX Futures - Cboe, expires January 2024
   364    7,352,800    (290,336
      
 
 
 
      $(9,878,214
      
 
 
 
See accompanying notes to financial statements.
7
2

PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Investment Income
     
Interest
  $650,585  $52,826  $1,298,505  $76,749 
  
 
 
  
 
 
  
 
 
  
 
 
 
Expenses
     
Management fee
   134,066   210,584   284,189   426,247 
Brokerage commissions
   12,200   15,500   21,369   40,369 
Futures account fees
   11,856   10,906   23,296   46,394 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total expenses
   158,122   236,990   328,854   513,010 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   492,463   (184,164  969,651   (436,261
  
 
 
  
 
 
  
 
 
  
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Futures contracts
   (6,943,333  7,862,052   (22,764,053  12,653,885 
Short-term U.S. government and agency obligations
   —     —     —     (336
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized gain (loss)
   (6,943,333  7,862,052   (22,764,053  12,653,549 
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Futures contracts
   (9,677,526  4,040,230   (5,086,991  3,705,055 
Short-term U.S. government and agency obligations
   2,424   (47,560  (5,651  (186,220
  
 
 
  
 
 
  
 
 
  
 
 
 
Change in net unrealized appreciation (depreciation)
   (9,675,102  3,992,670   (5,092,642  3,518,835 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net realized and unrealized gain (loss)
   (16,618,435  11,854,722   (27,856,695  16,172,384 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  $(16,125,972 $11,670,558  $(26,887,044 $15,736,123 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
3

PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
   
Three Months Ended
June 30,
  
Six Months Ended 
June 30,
 
  
2023
  
2022
  
2023
  
2022
 
Shareholders’ equity, beginning of period
  $67,306,087  $97,869,914  $84,014,959  $112,875,680 
  
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 575,000, 300,000, 850,000 and 1,000,000 shares, respectively
   14,067,422   10,043,451   21,818,758   32,179,053 
Redemption of 675,000, 700,000, 1,200,000 and 1,975,000 shares, respectively
   (15,826,124  (23,862,652  (29,525,260  (65,069,585
  
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of (100,000), (400,000), (350,000) and (975,000) shares, respectively
   (1,758,702  (13,819,201  (7,706,502  (32,890,532
  
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   492,463   (184,164  969,651   (436,261
Net realized gain (loss)
   (6,943,333  7,862,052   (22,764,053  12,653,549 
Change in net unrealized appreciation (depreciation)
   (9,675,102  3,992,670   (5,092,642  3,518,835 
  
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (16,125,972  11,670,558   (26,887,044  15,736,123 
  
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $49,421,413  $95,721,271  $49,421,413  $95,721,271 
  
 
 
  
 
 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
4

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022
 
Cash flow from operating activities
   
Net income (loss)
  $(26,887,044 $15,736,123 
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
   (254,817,825  (51,992,010
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   305,000,000   105,998,548 
Net amortization and accretion on short-term U.S. government and agency obligations
   (305,478  (45,127
Net realized (gain) loss on investments
   —     336 
Change in unrealized (appreciation) depreciation on investments
   5,651   186,220 
Decrease (Increase) in receivable on open futures contracts
   142,794   (752,378
Decrease (Increase) in interest receivable
   (101,568  (21,835
Increase (Decrease) in payable to Sponsor
   (19,128  (20,792
Increase (Decrease) in brokerage commissions and futures account fees payable
   995   (7,124
Increase (Decrease) in payable on open futures contracts
   962,275   (94,495
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   23,980,672   68,987,466 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   21,818,758   32,179,053 
Payment on shares redeemed
   (29,525,260  (65,069,585
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (7,706,502  (32,890,532
  
 
 
  
 
 
 
Net increase (decrease) in cash
   16,274,170   36,096,934 
Cash, beginning of period
   33,959,989   27,071,819 
  
 
 
  
 
 
 
Cash, end of period
  $50,234,159  $63,168,753 
  
 
 
  
 
 
 
See accompanying notes to financial statements.
7
5

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
    
Short-term U.S. government and agency obligations (Note 3) (cost $74,762,717 and $89,329,814, respectively)
  $74,783,454   $89,347,714 
Cash
   50,424,148    33,526,868 
Segregated cash balances with brokers for futures contracts
   88,397,850    91,634,942 
Receivable on open futures contracts
   18,506,138    52,643,553 
Interest receivable
   385,471    403,667 
  
 
 
   
 
 
 
Total assets
   232,497,061    267,556,744 
  
 
 
   
 
 
 
Liabilities and shareholders’ equity
    
Liabilities
    
Payable for capital shares redeemed
   —      570,473 
Payable on open futures contracts
   2,131,494    223,719 
Brokerage commissions and futures account fees payable
   19,141    27,102 
Payable to Sponsor
   118,596    155,130 
  
 
 
   
 
 
 
Total liabilities
   2,269,231    976,424 
  
 
 
   
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
    
Shareholders’ equity
   230,227,830    266,580,320 
  
 
 
   
 
 
 
Total liabilities and shareholders’ equity
  $232,497,061   $267,556,744 
  
 
 
   
 
 
 
Shares outstanding (Note 1)
   9,226,565    4,676,565 
  
 
 
   
 
 
 
Net asset value per share (Note 1)
  $24.95   $57.00 
  
 
 
   
 
 
 
Market value per share (Note 1) (Note 2)
  $24.96   $56.90 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
7
6

PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBERJUNE 30, 20222023
(unaudited)
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
          
(29% of shareholders’ equity)
          
U.S. Treasury Bills
^^
:
          
0.223% due 11/03/22
  $32,000,000   $31,924,637 
        
 
 
 
Total short-term U.S. government and agency obligations
(cost $31,993,547)
       $31,924,637 
        
 
 
 
   
Principal Amount
   
Value
 
Short-term U.S. government and agency obligations
    
(32% of shareholders’ equity)
    
U.S. Treasury Bills
^^
:
    
4.959% due 07/13/23
  $15,000,000   $14,978,937 
5.242% due 07/18/23
   25,000,000    24,947,395 
5.251% due 07/25/23
   20,000,000    19,938,584 
5.161% due 08/10/23
   15,000,000    14,918,538 
    
 
 
 
Total short-term U.S. government and agency obligations
    
(cost $74,762,717)
    $74,783,454 
    
 
 
 
Futures Contracts Purchased
 
   
Number of

Contracts
   
Notional Amount

at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2023
   728   $22,351,129   $1,353,160 
VIX Futures - Cboe, expires February 2023
   1,214    36,796,340    2,580,598 
VIX Futures - Cboe, expires March 2023
   1,214    36,638,520    2,105,825 
VIX Futures - Cboe, expires April 2023
   486    14,700,868    277,649 
             
 
 
 
             $6,317,232 
             
 
 
 
   
Number of
Contracts
   
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/
Value
 
VIX Futures - Cboe, expires July 2023
   8,545   $128,268,995   $(26,123,108
VIX Futures - Cboe, expires August 2023
   6,216    101,944,265    (3,849,779
      
 
 
 
      $(29,972,887
      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
737
7

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

September 30,
  
Nine Months Ended

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

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

September 30,
  
Nine Months Ended

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

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

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

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

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

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

Contracts
   
Notional Amount

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

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

September 30,
 
Nine Months Ended

September 30,
  
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Investment Income
             
Interest
  $1,400,201  $11,739  $1,678,813  $91,187  $2,440,291  $207,903  $4,560,852  $278,612 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Expenses
             
Management fee
   874,070   660,051   2,353,478   2,154,874   530,826   773,717   1,048,314   1,479,408 
Brokerage commissions
   203,095   97,516   490,751   365,013   95,391   171,182   191,888   287,656 
Futures account fees
   54,944   151,758   371,384   591,272   48,732   115,783   99,391   316,440 
Non-recurring
fees and expenses
   8,700   —     8,700   —   
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Total expenses
   1,140,809   909,325   3,224,313   3,111,159   674,949   1,060,682   1,339,593   2,083,504 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net investment income (loss)
   259,392   (897,586  (1,545,500  (3,019,972  1,765,342   (852,779  3,221,259   (1,804,892
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
             
Net realized gain (loss) on
             
Futures contracts
   (45,457,319  (51,868,433  31,935,990   (304,349,667  (127,229,299  23,659,182   (173,326,001  77,393,309 
Short-term U.S. government and agency obligations
   —     —     (300  —     (10,613  (397  (10,605  (300
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net realized gain (loss)
   (45,457,319  (51,868,433  31,935,690   (304,349,667  (127,239,912  23,658,785   (173,336,606  77,393,009 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
             
Futures contracts
   51,449,994   42,164,263   84,956,040   27,731,186   (21,324,056  46,680,364   (20,176,064  33,506,046 
Short-term U.S. government and agency obligations
   248,953   4,034   (104,697  (1,396  20,803   (79,587  2,837   (353,650
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   51,698,947   42,168,297   84,851,343   27,729,790   (21,303,253  46,600,777   (20,173,227  33,152,396 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   6,241,628   (9,700,136  116,787,033   (276,619,877  (148,543,165  70,259,562   (193,509,833  110,545,405 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net income (loss)
  $6,501,020  $(10,597,722 $115,241,533  $(279,639,849 $(146,777,823 $69,406,783  $(190,288,574 $108,740,513 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
797
8

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

September 30,
 
Nine Months Ended

September 30,
   
Three Months Ended
June 30,
 
Six Months Ended 
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022
 
2023
 
2022
 
Shareholders’ equity, beginning of period
  $341,714,316  $272,352,675  $269,703,164  $293,390,549   $226,765,204  $404,950,400  $266,580,320  $269,703,164 
Addition of 4,460,000, 1,635,000, 6,760,000 and 3,625,000 shares, respectively (Note 1)
   159,301,302   141,195,554   267,768,654   302,368,469 
Redemption of 255,000, 2,760,000, 2,210,000 and 3,440,000 shares, respectively (Note 1)
   (9,060,853  (273,838,421  (113,832,570  (339,097,830
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Addition of 17,775,000, 6,300,000, 35,900,000 and 16,556,250 shares, respectively
   261,088,034   142,476,815   563,456,503   593,853,539 
Redemption of 10,950,000, 1,350,000, 28,150,000 and 5,630,003 shares, respectively
   (171,766,742  (35,454,435  (510,864,572  (238,826,906
  
 
  
 
  
 
  
 
 
Net addition (redemption) of 6,825,000, 4,950,000, 7,750,000 and 10,926,247 shares, respectively
   89,321,292   107,022,380   52,591,931   355,026,633 
Net addition (redemption) of 4,205,000, (1,125,000), 4,550,000 and 185,000 shares, respectively (Note 1)
   150,240,449   (132,642,867  153,936,084   (36,729,361
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net investment income (loss)
   259,392   (897,586  (1,545,500  (3,019,972   1,765,342   (852,779  3,221,259   (1,804,892
Net realized gain (loss)
   (45,457,319  (51,868,433  31,935,690   (304,349,667   (127,239,912  23,658,785   (173,336,606  77,393,009 
Change in net unrealized appreciation (depreciation)
   51,698,947   42,168,297   84,851,343   27,729,790    (21,303,253  46,600,777   (20,173,227  33,152,396 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Net income (loss)
   6,501,020   (10,597,722  115,241,533   (279,639,849   (146,777,823  69,406,783   (190,288,574  108,740,513 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
Shareholders’ equity, end of period
  $437,536,628  $368,777,333  $437,536,628  $368,777,333   $230,227,830  $341,714,316  $230,227,830  $341,714,316 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
 
See accompanying notes to financial statements.
 
80
79

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

September 30,
   
Six Months Ended
June 30,
 
2022
 
2021
 
2023
 
2022
 
Cash flow from operating activities
        
Net income (loss)
  $115,241,533  $(279,639,849  $(190,288,574 $108,740,513 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
        
Purchases of short-term U.S. government and agency obligations
   (2,462,189,566  (425,941,319   (318,231,573  (772,834,858
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,455,998,870   383,000,000    334,754,108   753,998,870 
Net amortization and accretion on short-term U.S. government and agency obligations
   (725,037  (50,698   (1,966,043  (182,283
Net realized (gain) loss on investments
   300   —      10,605   300 
Change in unrealized (appreciation) depreciation on investments
   104,697   1,396    (2,837  353,650 
Decrease (Increase) in receivable on open futures contracts
   (67,758,303  834,150    34,137,415   (36,332,848
Decrease (Increase) in interest receivable
   (362,333  (1,076   18,196   (70,359
Increase (Decrease) in payable to Sponsor
   372,867   17,527    (36,534  32,486 
Increase (Decrease) in brokerage commissions and futures account fees payable
   (20,676  (28,852   (7,961  (20,252
Increase (Decrease) in payable on open futures contracts
   (2,037,391  1,181,913    1,907,775   (2,037,391
Increase (Decrease) in
non-recurring
fees and expenses payable
   8,700   —   
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) operating activities
   38,633,661   (320,626,808   (139,705,423  51,647,828 
  
 
  
 
   
 
  
 
 
Cash flow from financing activities
        
Proceeds from addition of shares
   566,483,117   593,853,539    267,768,654   305,395,083 
Payment on shares redeemed
   (498,163,549  (238,826,906   (114,403,043  (339,097,830
  
 
  
 
   
 
  
 
 
Net cash provided by (used in) financing activities
   68,319,568   355,026,633    153,365,611   (33,702,747
  
 
  
 
   
 
  
 
 
Net increase (decrease) in cash
   106,953,229   34,399,825    13,660,188   17,945,081 
Cash, beginning of period
   115,960,816   206,562,147    125,161,810   115,960,816 
  
 
  
 
   
 
  
 
 
Cash, end of period
  $222,914,045  $240,961,972   $138,821,998  $133,905,897 
  
 
  
 
   
 
  
 
 
See accompanying notes to financial statements.
 
818
0

PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
 
  
September 30, 2022

(unaudited)
   
December 31,
2021
   
June 30, 2023
(unaudited)
   
December 31, 2022
 
Assets
          
Short-term U.S. government and agency obligations (Note 3) (cost $1,816,371,072 and $2,505,722,885, respectively)
  $1,815,105,624   $2,505,429,337 
Short-term U.S. government and agency obligations (Note 3) (cost $1,345,727,038 and $1,466,423,925, respectively)
  $1,346,032,901   $1,466,680,542 
Cash
   851,017,429    394,413,910    768,092,274    625,964,378 
Segregated cash balances with brokers for futures contracts
   964,952,140    1,010,799,328    1,011,816,684    925,792,861 
Segregated cash balances with brokers for foreign currency forward contracts
   7,679,000    916,000    12,206,632    12,956,632 
Segregated cash balances with brokers for swap agreements
   235,294,945    2,572,000    393,762,745    262,053,745 
Unrealized appreciation on swap agreements
   27,606,752    113,159,180    47,373,840    119,880,255 
Unrealized appreciation on foreign currency forward contracts
   3,695,149    1,457,257    2,527,851    2,823,510 
Receivable from capital shares sold
   4,647,847    23,475,355    5,314,437    1,014,483 
Receivable on open futures contracts
   539,065,223    205,819,074    236,446,947    522,770,291 
Interest receivable
   3,118,925    22,943    5,319,549    4,920,772 
  
 
   
 
   
 
   
 
 
Total assets
   4,452,183,034    4,258,064,384    3,828,893,860    3,944,857,469 
  
 
   
 
   
 
   
 
 
Liabilities and shareholders’ equity
          
Liabilities
          
Payable for capital shares redeemed
   94,141,256    25,594,902    27,830,318    32,725,077 
Payable on open futures contracts
   13,255,922    51,142,167    14,433,430    11,742,794 
Brokerage commissions and futures account fees payable
   149,226    476,241    166,633    165,165 
Payable to Sponsor
   7,423,558    3,178,585 
Payable to Sponsor
   2,902,544    3,210,113 
Unrealized depreciation on swap agreements
   131,794,025    3,391,968    26,790,686    2,315,580 
Unrealized depreciation on foreign currency forward contracts
   955,689    806,178    2,924,712    6,911,994 
Non-recurring
fees and expenses payable
   81,773    —   
  
 
   
 
   
 
   
 
 
Total liabilities
   247,801,449    84,590,041    75,048,323    57,070,723 
  
 
   
 
   
 
   
 
 
Commitments and Contingencies (Note 2)
          
Shareholders’ equity
          
Shareholders’ equity
   4,204,381,585    4,173,474,343    3,753,845,537    3,887,786,746 
  
 
   
 
   
 
   
 
 
Total liabilities and shareholders’ equity
  $4,452,183,034   $4,258,064,384   $3,828,893,860   $3,944,857,469 
  
 
   
 
   
 
   
 
 
Shares outstanding (Note 9)
   197,794,037    151,164,114 
Shares outstanding (Note 1)
   111,471,547    89,444,047 
  
 
   
 
   
 
   
 
 
See accompanying notes to financial statements.
 
828
1

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

September 30,
 
Nine Months Ended

September 30,
  
Three Months Ended
June 30,
 
Six Months Ended
June 30,
 
2022
 
2021
 
2022
 
2021
 
2023
 
2022*
 
2023
 
2022*
 
Investment Income
             
Interest
  $14,620,209  $225,068  $19,240,564  $1,311,362  $35,172,821  $3,593,473  $69,048,196  $4,620,355 
Expenses
             
Management fee
   11,269,281   9,892,153   33,494,289   32,386,686   9,417,542   11,608,051   18,671,870   22,225,008 
Brokerage commissions
   2,210,735   1,808,557   6,013,653   6,704,455   2,541,487   1,894,153   4,916,119   3,802,918 
Futures account fees
   449,872   1,447,030   3,285,001   5,996,930   426,130   1,030,206   828,892   2,835,129 
Non-recurring
fees and expenses
   81,773   27,500   81,773   27,500 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Total expenses
   14,011,661   13,175,240   42,874,716   45,115,571   12,385,159   14,532,410   24,416,881   28,863,055 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net investment income (loss)
   608,548   (12,950,172  (23,634,152  (43,804,209  22,787,662   (10,938,937  44,631,315   (24,242,700
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Realized and unrealized gain (loss) on investment activity
             
Net realized gain (loss) on
             
Futures contracts
   (321,993,985  (240,784,887  188,147,013   (1,427,934,171  (903,140,314  101,692,223   (1,989,000,881  510,140,998 
Swap agreements
   (438,845,993  (160,769,089  217,520,213   50,628,405   (127,144,869  (48,816,783  (36,920,176  656,366,206 
Foreign currency forward contracts
   13,695,610   2,892,137   26,532,572   4,813,162   (367,022  9,774,456   (2,820,838  12,836,962 
Short-term U.S. government and agency obligations
   (71,343  (10,753  (264,143  11,145   (182,341  (420,375  (195,871  (192,800
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net realized gain (loss)
   (747,215,711  (398,672,592  431,935,655   (1,372,481,459  (1,030,834,546  62,229,521   (2,028,937,766  1,179,151,366 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation) on
             
Futures contracts
   291,970,061   158,443,180   354,740,180   230,326,477   370,415,259   10,131,053   337,853,836   62,770,119 
Swap agreements
   112,369,648   38,179,426   (213,954,485  (93,072,018  53,364,477   (57,491,778  (96,981,521  (326,324,133
Foreign currency forward contracts
   (1,017,583  (724,910  2,088,381   3,952,272   2,274,360   1,568,995   3,691,623   3,105,964 
Short-term U.S. government and agency obligations
   3,053,986   88,814   (971,900  (38,045  266,337   (768,379  49,246   (4,025,886
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Change in net unrealized appreciation (depreciation)
   406,376,112   195,986,510   141,902,176   141,168,686   426,320,433   (46,560,109  244,613,184   (264,473,936
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net realized and unrealized gain (loss)
   (340,839,599  (202,686,082  573,837,831   (1,231,312,773  (604,514,113  15,669,412   (1,784,324,582  914,677,430 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
Net income (loss)
  $(340,231,051 $(215,636,254 $550,203,679  $(1,275,116,982 $(581,726,451 $4,730,475  $(1,739,693,267 $890,434,730 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
*
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.
 
838
2

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

September 30,
  
Nine Months Ended

September 30,
 
  
2022
  
2021
  
2022
  
2021
 
Shareholders’ equity, beginning of period
  $4,563,369,776  $4,404,846,864  $4,173,474,343  $4,474,251,414 
   
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 204,975,000, 55,595,000, 449,280,000 and 130,216,250 shares, respectively (Note 1)
   3,360,951,964   1,649,296,999   8,989,738,725   5,597,393,110 
Redemption of 185,800,000, 55,500,000, 431,338,426 and 142,595,323 shares, respectively (Note 1)
   (3,379,709,104  (1,600,549,402  (9,509,035,162  (4,558,569,335
   
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 19,175,000, 95,000, 17,941,574 and (12,379,073) shares, respectively (Note 1)
   (18,757,140  48,747,597   (519,296,437  1,038,823,775 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
   608,548   (12,950,172  (23,634,152  (43,804,209
Net realized gain (loss)
   (747,215,711  (398,672,592  431,935,655   (1,372,481,459
Change in net unrealized appreciation (depreciation)
   406,376,112   195,986,510   141,902,176   141,168,686 
   
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
   (340,231,051  (215,636,254  550,203,679   (1,275,116,982
   
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
  $4,204,381,585  $4,237,958,207  $4,204,381,585  $4,237,958,207 
   
 
 
  
 
 
  
 
 
  
 
 
 
*
The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
84

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

September 30,
 
  
2022
  
2021
 
Cash flow from operating activities
         
Net income (loss)
  $550,203,679  $(1,275,116,982
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
         
Purchases of short-term U.S. government and agency obligations
   (32,181,153,315  (6,612,113,856
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   32,879,938,110   5,319,975,559 
Net amortization and accretion on short-term U.S. government and agency obligations
   (9,697,124  (740,687
Net realized (gain) loss on investments
   264,143   (11,145
Change in unrealized (appreciation) depreciation on investments
   212,838,004   89,157,791 
Decrease (Increase) in receivable on futures contracts
   (333,246,149  (47,134,619
Decrease (Increase) in interest receivable
   (3,095,982  26,005 
Increase (Decrease) in payable to Sponsor
   4,244,972   (248,437
Increase (Decrease) in brokerage commissions and futures account fees payable
   (327,015  (220,325
Increase (Decrease) in payable on futures contracts
   (37,886,245  (3,570,592
Increase (Decrease) in
non-recurring
fees and expenses payable
   81,773   27,500 
   
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   1,082,164,851   (2,529,969,788
   
 
 
  
 
 
 
Cash flow from financing activities
         
Proceeds from addition of shares
   9,008,566,233   5,632,395,070 
Payment on shares redeemed
   (9,440,488,808  (4,510,804,732
   
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   (431,922,575  1,121,590,338 
   
 
 
  
 
 
 
Net increase (decrease) in cash
   650,242,276   (1,408,379,450
Cash, beginning of period
   1,408,701,238   3,256,463,457 
   
 
 
  
 
 
 
Cash, end of period
  $2,058,943,514  $1,848,084,007 
   
 
 
  
 
 
 
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 
2023
  
2022*
  
2023
  
2022*
 
Shareholders’ equity, beginning of period
 $4,138,630,893  $5,338,066,570  $3,887,786,746  $4,173,474,343 
 
 
 
  
 
 
  
 
 
  
 
 
 
Addition of 64,617,500, 46,420,000, 132,435,000 and 93,810,000 shares, respectively (Note 1)
  2,534,087,735   2,545,986,476   6,659,958,056   5,628,786,761 
Redemption of 53,005,000, 51,800,804, 110,407,500 and 94,335,926 shares, respectively (Note 1)
  (2,337,146,640  (3,325,413,745  (5,054,205,998  (6,129,326,058
 
 
 
  
 
 
  
 
 
  
 
 
 
Net addition (redemption) of 11,612,500,
(5,380,804
), 22,027,500 and (525,926) shares, respectively (Note 1)
  196,941,095   (779,427,269  1,605,752,058   (500,539,297
 
 
 
  
 
 
  
 
 
  
 
 
 
Net investment income (loss)
  22,787,662   (10,938,937  44,631,315   (24,242,700
Net realized gain (loss)
  (1,030,834,546  62,229,521   (2,028,937,766  1,179,151,366 
Change in net unrealized appreciation (depreciation)
  426,320,433   (46,560,109  244,613,184   (264,473,936
 
 
 
  
 
 
  
 
 
  
 
 
 
Net income (loss)
  (581,726,451  4,730,475   (1,739,693,267  890,434,730 
 
 
 
  
 
 
  
 
 
  
 
 
 
Shareholders’ equity, end of period
 $3,753,845,537  $4,563,369,776  $3,753,845,537  $4,563,369,776 
 
 
 
  
 
 
  
 
 
  
 
 
 
 
*
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.
 
858
3

PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
   
Six Months Ended
June 30,
 
  
2023
  
2022*
 
Cash flow from operating activities
   
Net income (loss)
  $(1,739,693,267 $890,434,730 
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
   (23,583,170,670  (11,579,158,324
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   23,734,747,679   12,000,836,596 
Net amortization and accretion on short-term U.S. government and agency obligations
   (31,075,993  (3,419,714
Net realized (gain) loss on investments
   195,871   192,879 
Change in unrealized (appreciation) depreciation on investments
   93,240,652   327,244,055 
Decrease (Increase) in receivable on futures contracts
   286,323,344   (318,333,532
Decrease (Increase) in interest receivable
   (398,777  (872,124
Increase (Decrease) in payable to Sponsor
   (307,569  557,811 
Increase (Decrease) in brokerage commissions and futures account fees payable
   1,468   (331,006
Increase (Decrease) in payable on futures contracts
   2,690,636   25,823,690 
  
 
 
  
 
 
 
Net cash provided by (used in) operating activities
   (1,237,446,626  1,342,975,061 
  
 
 
  
 
 
 
Cash flow from financing activities
   
Proceeds from addition of shares
   6,655,658,102   5,625,888,021 
Payment on shares redeemed
   (5,059,100,757  (6,100,935,295
  
 
 
  
 
 
 
Net cash provided by (used in) financing activities
   1,596,557,345   (475,047,274
  
 
 
  
 
 
 
Net increase (decrease) in cash
   359,110,719   867,927,787 
Cash, beginning of period
   1,826,767,616   1,408,701,238 
  
 
 
  
 
 
 
Cash, end of period
  $2,185,878,335  $2,276,629,025 
  
 
 
  
 
 
 
*
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.
8
4

PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
SeptemberJune 30, 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 SeptemberJune 30, 2022,2023, the following sixteen 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 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”); 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 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 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.
Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each
The “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
8
5

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.
Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the ninesix months SeptemberJune 30, 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.
 
86

Fund
  
Execution Date
(Prior to Opening
of Trading)
  
Type of Split
  
Date Trading
Resumed at Post-

Split Price
ProShares Ultra VIX Short-Term Futures ETFMay 25, 20211-for-10 reverse Share splitMay 26, 2021
ProShares UltraShort Bloomberg Crude OilMay 25, 20211-for-4 reverse Share splitMay 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 Gas
  January 13, 2022  
1-for-5 reverse Share split
 January 14, 2022
ProShares UltraShort Yen
  May 25, 2022  2-for-1 forward Share split  May 26, 2022
ProShares Ultra Bloomberg Crude Oil
  May 25, 2022  4-for-1 forward Share split  May 26, 2022
ProShares UltraShort Bloomberg Natural Gas
  May 25, 2022  1-for-4 reverse Share split  May 26, 2022
ProShares UltraShort Bloomberg Crude Oil
  May 25, 2022  1-for-5 reverse Share split  May 26, 2022
ProShares Ultra Bloomberg Natural Gas
June 23, 20231-for-20 reverse Share splitJune 24, 2023
ProShares Ultra VIX Short-Term Futures
June 23, 20231-for-10 reverse Share splitJune 24, 2023
ProShares VIX Short-Term Futures
June 23, 20231-for-5 reverse Share splitJune 24, 2023
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”).
8
6

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, 2022.28, 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.
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.
87

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 SeptemberJune 30, 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.
8
7

Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the ninesix months ended SeptemberJune 30, 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.  SeptemberJune 30, 20222023
Ultra Gold and UltraShort Gold
  1:00 p.m.  1:30 p.m.  SeptemberJune 30, 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.  SeptemberJune 30, 20222023
Ultra Euro,
  
Ultra Euro,    
Ultra Yen,
  
Ultra Yen,    
UltraShort Euro and
  
UltraShort Euro and    
UltraShort Yen
  3:00 p.m.  4:00 p.m.  SeptemberJune 30, 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.  SeptemberJune 30, 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 ninesix months ended SeptemberJune 30, 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 ninesix months ended SeptemberJune 30, 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.
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 and Ultra Short
8
8

UltraShort Euro 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 and Ultra ShortUltraShort Euro Fund 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
88

contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
 
89


The following table summarizes the valuation of investments at SeptemberJune 30, 20222023 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 VIX Short-Term Futures ETF
  $136,590,474   $(16,266,018 $—    $—    $120,324,456   $89,727,034   $23,929,205  $—    $—    $113,656,239 
ProShares Ultra Bloomberg Crude Oil
   535,064,695    (3,847,928  —     (123,956,198  407,260,569    413,997,952    9,418,306   —     (1,692,241  421,724,017 
ProShares Ultra Bloomberg Natural Gas
   106,563,264    (97,363,745  —     —     9,199,519    298,783,390    248,335,437   —     46,088,257   593,207,084 
ProShares Ultra Euro
   696,356    —     (431,231  —     265,125    —      —     239,688   —     239,688 
ProShares Ultra Gold
   143,619,527    (1,627,042  —     (6,686,424  135,306,061    134,714,723    (5,385,731  —     (7,053,083  122,275,909 
ProShares Ultra Silver
   162,611,595    (329,232  —     26,804,548   189,086,911    224,344,440    (9,977,916  —     (18,045,362  196,321,162 
ProShares Ultra VIX Short-Term Futures ETF
   273,202,387    196,774,849   —     —     469,977,236    —      (79,829,720  —     —     (79,829,720
ProShares Ultra Yen
   997,645    —     (95,117  —     902,528    —      —     (857,627  —     (857,627
ProShares UltraShort Bloomberg Crude Oil
   120,666,762    105,314,104   —     —     225,980,866    74,852,080    12,986,156   —     —     87,838,236 
ProShares UltraShort Bloomberg Natural Gas
   84,676,656    130,293,612   —     —     214,970,268    34,829,828    (20,310,332  —     —     14,519,496 
ProShares UltraShort Euro
   45,854,318    —     2,841,040   —     48,695,358    —      —     (1,758,774  —     (1,758,774
ProShares UltraShort Gold
   7,981,159    1,536,681   —     802,204   10,320,044    —      970,805   —     440,571   1,411,376 
ProShares UltraShort Silver
   1,995,290    1,453,369   —     (1,151,403  2,297,256    —      958,923   —     845,012   1,803,935 
ProShares UltraShort Yen
   4,988,225    —     424,768   —     5,412,993    —      —     1,979,852   —     1,979,852 
ProShares VIX
Mid-Term
Futures ETF
   31,924,637    6,317,232   —     —     38,241,869    —      (9,878,214  —     —     (9,878,214
ProShares VIX Short-Term Futures ETF
   157,672,634    54,825,421   —     —     212,498,055    74,783,454    (29,972,887  —     —     44,810,567 
  
 
   
 
  
 
  
 
  
 
   
 
   
 
  
 
  
 
  
 
 
Combined Trust:
  
$
1,815,105,624
 
  
$
377,081,303
 
 
$
2,739,460
 
 
$
(104,187,273
 
$
2,090,739,114
 
  
$
1,346,032,901
 
  
$
141,244,032
 
 
$
(396,861
 
$
20,583,154
 
 
$
1,507,463,226
 
 
*
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
    
Fund
  
Short-Term U.S.

Government and

Agencies
   
Futures

Contracts
*
  
Foreign

Currency

Forward

Contracts
  
Swap

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

Government and
Agencies
   
Futures
Contracts
*
  
Foreign
Currency
Forward
Contracts
   
Swap
Agreements
   
Total
 
ProShares Short VIX Short-Term Futures ETF
  $144,307,676   $11,092,381  $—     $—     $155,400,057 
ProShares Ultra Bloomberg Crude Oil
   313,465,007    26,291,716   —      74,159,577    413,916,300 
ProShares Ultra Bloomberg Natural Gas
   263,260,158    (310,613,969  —      —      (47,353,811
9
0

   
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 Ultra Euro
  $—     $—    
$

415,656  
$

—    
$

415,656 
ProShares Ultra Gold
   129,123,489    3,242,088   —     6,496,466   138,862,043 
ProShares Ultra Silver
   228,657,634    29,426,574   —     39,224,212   297,308,420 
ProShares Ultra VIX Short-Term Futures ETF
   34,732,372    (36,555,453  —     —     (1,823,081
ProShares Ultra Yen
   —      —     984,549   —     984,549 
ProShares UltraShort Bloomberg Crude Oil
   89,426,935    10,244,893   —     —     99,671,828 
ProShares UltraShort Bloomberg Natural Gas
  
 61,482,526   
 85,889,398  
 —    
 —    
 147,371,924 
ProShares UltraShort Euro
   39,996,624    —     (2,461,256  —     37,535,368 
ProShares UltraShort Gold
   —      (98,886  —     (592,957  (691,843
ProShares UltraShort Silver
   —      (940,500  —     (1,722,623  (2,663,123
ProShares UltraShort Yen
   22,998,059    —     (3,027,433  —     19,970,626 
ProShares VIX Mid-Term Futures ETF
   49,882,348    (4,791,223  —     —     45,091,125 
ProShares VIX Short-Term Futures ETF
   89,347,714    (9,796,823  —     —     79,550,891 
  
 
 
   
 
 
  
 
 
  
 
 
  
 
 
 
Combined Trust:
  
$
1,466,680,542
 
  
$
(196,609,804
 
$
(4,088,484
 
$
117,564,675
 
 
$
1,383,546,929
 
 
*
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.
90

There were no transfers into or out of Level 3 for the fiscalquarter ended June 30, 2023 or the year end.end December 31, 2022.
The inputs or methodology used for valuing investment
s
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
9
1

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.ann
ually.
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.
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
91

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
From the beginning of the reporting period until the close of business on May 2, 2022, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the
9
2

seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.
Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
92

When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
93

When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
Swap Agreements
Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are
two-party
contracts that have traditionally been entered into primarily with institutional investors in
over-the-counter
(“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.
 
9394

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 SeptemberJune 30, 2022
2023 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
95

will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of SeptemberJune 30, 2022,2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
94

The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a
96

counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of SeptemberJune 30, 2022,2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
 
959
7

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 SeptemberJune 30, 20222023
 
      
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    $—      $16,266,018
  ProShares Ultra VIX Short-Term Futures ETF     196,774,849    —   
  ProShares VIX
Mid-Term
Futures ETF
     6,317,232    —   
  ProShares VIX Short-Term Futures ETF     54,825,421    —   
Commodities Contracts
    Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements  
  ProShares Ultra Bloomberg Crude Oil     14,409,192    142,213,318
  ProShares Ultra Bloomberg Natural Gas     —       97,363,745
  ProShares Ultra Gold     —       8,313,466
  ProShares Ultra Silver     26,804,548    329,232
  ProShares UltraShort Bloomberg Crude Oil     105,314,104    —   
  ProShares UltraShort Bloomberg Natural Gas     130,293,612    —   
  ProShares UltraShort Gold     2,338,885    —   
  ProShares UltraShort Silver     1,453,369    1,151,403
Foreign Exchange Contracts
    Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts   Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts  
  ProShares Ultra Euro     —       431,231 
  ProShares Ultra Yen     6,055     101,172 
  ProShares UltraShort Euro     3,108,883     267,843 
  ProShares UltraShort Yen     580,211     155,443 
      
 
 
    
 
 
 
    
Combined Trust:
  
$
542,226,361
*
 
   
$
266,592,871
*
 
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 agreementsPayable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF$23,929,205
*
$              —  
ProShares Ultra VIX Short-Term Futures ETF—  79,829,720
*
ProShares VIX Mid-Term Futures ETF—  9,878,214
*
ProShares VIX Short-Term Futures ETF—  29,972,887
*
Commodities Contracts
Receivables on open futures contracts and/or unrealized appreciation on swap agreementsPayable on open futures contracts and/or unrealized depreciation on swap agreements
ProShares Ultra Bloomberg Crude Oil9,418,306
*
1,692,241
*
ProShares Ultra Bloomberg Natural Gas294,423,694
*
—  
ProShares Ultra Gold—  12,438,814
*
ProShares Ultra Silver—  28,023,278
*
ProShares UltraShort Bloomberg Crude Oil12,986,156
*
—  
9
8

      
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial
Condition Location
  
Unrealized
Appreciation
   
Statements of
Financial
Condition Location
  
Unrealized
Depreciation
 
   ProShares UltraShort Bloomberg Natural Gas      —         20,310,332
*
 
   ProShares UltraShort Gold      1,411,376
*
       —   
   ProShares UltraShort Silver      1,803,935
*
       —   
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      241,390       1,702 
   ProShares Ultra Yen      18,889       876,516 
   ProShares UltraShort Euro      29,100       1,787,874 
   ProShares UltraShort Yen      2,238,472       258,620 
         
 
 
      
 
 
 
      
Combined Trust:
  
 
$346,500,523
*
 
     
 
$185,070,198
*
 
 
*
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.
96

Fair Value of Derivative Instruments as of December 31, 20212022
 
      
Asset Derivatives
  
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
  
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts
    
Receivable on open futures contracts, unrealized
appreciation on swap agreements
   
Payable on open futures contracts, unrealized
depreciation on swap agreements
  
  ProShares Short VIX Short-Term Futures ETF    $31,275,278   $—   
  ProShares Ultra VIX Short-Term Futures ETF     —       126,834,194
  ProShares VIX
Mid-Term
Futures ETF
     642,035    1,266,423
  ProShares VIX Short-Term Futures ETF     —       30,130,619
Commodities Contracts
    Receivables on open futures contracts and/or unrealized appreciation on swap agreements   Payable on open futures contracts and/or unrealized depreciation on swap agreements  
  ProShares Ultra Bloomberg Crude Oil     211,383,818    —   
  ProShares Ultra Bloomberg Natural Gas     —       8,206,161
  ProShares Ultra Gold     9,294,082    —   
  ProShares Ultra Silver     43,098,244    —   
  ProShares UltraShort Bloomberg Crude Oil     549,283    8,958,745
  ProShares UltraShort Bloomberg Natural Gas     13,436,251    —   
  ProShares UltraShort Gold     158,079    993,117
  ProShares UltraShort Silver     652,493    1,921,414
Foreign Exchange Contracts
    Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts   Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts  
  ProShares Short Euro     —       5,400
  ProShares Ultra Euro     84,150     1,498 
  ProShares Ultra Yen     821     93,933 
  ProShares UltraShort Australian Dollar     —       65,155
  ProShares UltraShort Euro     135,118     343,159 
  ProShares UltraShort Yen     1,237,168     367,588 
      
 
 
    
 
 
 
    
Combined Trust:
  
$
311,946,820
*
 
   
$
179,187,406
*
 
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 agreementsPayable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF$11,092,381
*
$—  
 
97
99

Asset Derivatives
Liability Derivatives
Derivatives Not
Accounted for as
Hedging Instruments
Fund
Statements of
Financial
Condition Location
Unrealized
Appreciation
Statements of
Financial
Condition Location
Unrealized
Depreciation
ProShares 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 agreementsPayable on open futures contracts and/or unrealized depreciation on swap agreements
ProShares Ultra Bloomberg Crude Oil100,451,293
*
—  
ProShares Ultra Bloomberg Natural Gas—  310,613,969
*
ProShares Ultra Gold9,738,554
*
—  
ProShares Ultra Silver68,650,786
*
—  
ProShares UltraShort Bloomberg Crude Oil13,202,924
*
2,958,031
*
ProShares UltraShort Bloomberg Natural Gas85,889,398
*
—  
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 contractsUnrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
10
0

      
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial
Condition Location
  
Unrealized
Appreciation
   
Statements of
Financial
Condition Location
  
Unrealized
Depreciation
 
  ProShares 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
*
 
The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 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
   $65,228,142    $9,658,017 
    
ProShares Ultra VIX Short-Term Futures ETF
   (426,304,544)    (45,320,517) 
    
ProShares VIX Mid-Term Futures ETF
   (6,943,333)    (9,677,526) 
    
ProShares VIX Short-Term Futures ETF
   (127,229,299)    (21,324,056) 
10
1

Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
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
   (76,355,417)    45,434,288 
    
ProShares Ultra Bloomberg Natural Gas
   (616,883,269)    658,027,300 
    
ProShares Ultra Gold
   17,196,569    (32,888,484) 
    
ProShares Ultra Silver
   64,662,300    (119,061,722) 
    
ProShares UltraShort Bloomberg Crude Oil
   28,046,795    (8,229,852) 
    
ProShares UltraShort Bloomberg Natural Gas
   48,736,428    (61,246,927) 
    
ProShares UltraShort Gold
   (1,553,151)    2,758,921 
    
ProShares UltraShort Silver
   1,113,596    5,650,294 
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
   78,291    (79,023) 
    
ProShares Ultra Yen
   (770,142)    (1,348,109) 
    
ProShares UltraShort Euro
   (1,045,942)    556,469 
    
ProShares UltraShort Yen
   1,370,771    3,145,023 
      
 
 
   
 
 
 
    
Combined Trust
  
 
$(1,030,652,205)
 
  
 
$426,054,096
 
10
2

The Effect of Derivative Instruments on the Statement of Operations
For the threesix months ended SeptemberJune 30, 20222023
 
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  $27,694,574  $(17,783,632    
ProShares Short VIX Short-Term Futures ETF
   $94,832,290    $12,836,824 
    ProShares Ultra VIX Short-Term Futures ETF   (289,871,717  161,330,331     
ProShares Ultra VIX Short-Term Futures ETF
   (608,537,974)    (43,274,267) 
    ProShares VIX
Mid-Term
Futures ETF
   (1,349,272  3,236,565     
ProShares VIX Mid-Term Futures ETF
   (22,764,053)    (5,086,991) 
    ProShares VIX Short-Term Futures ETF   (45,457,319  51,449,994     
ProShares VIX Short-Term Futures ETF
   (173,326,001)    (20,176,064) 
Commodities Contracts
  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements       
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
      
    ProShares Ultra Bloomberg Crude Oil   (344,578,932  (33,971,770    
ProShares Ultra Bloomberg Crude Oil
   9,425,010    (92,725,228) 
    ProShares Ultra Bloomberg Natural Gas   (5,889,116  97,063,212     
ProShares Ultra Bloomberg Natural Gas
   (1,678,514,563)    605,037,663 
    ProShares Ultra Gold   (39,825,586  2,070,901     
ProShares Ultra Gold
   27,996,465    (22,177,368) 
    ProShares Ultra Silver   (147,384,761  91,205,187     
ProShares Ultra Silver
   35,918,436    (96,674,064) 
    ProShares UltraShort Bloomberg Crude Oil   66,444,885   76,797,273 
    ProShares UltraShort Bloomberg Natural Gas   8,173,631   (23,776,729
    ProShares UltraShort Gold   4,988,228   806,339 
    ProShares UltraShort Silver   6,215,407   (4,087,962
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Ultra Euro   (1,618,381  (98,836
    ProShares Ultra Yen   (1,652,590  (17,967
    ProShares UltraShort Euro   11,086,708   (354,043
    ProShares UltraShort Yen   5,879,873   (546,737
      
 
  
 
 
    
Combined Trust
  
$
(747,144,368
 
$
403,322,126
 
10
3

Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
    
ProShares UltraShort Bloomberg Crude Oil
   55,661,074    2,741,263 
    
ProShares UltraShort Bloomberg Natural Gas
   232,145,072    (106,199,730) 
    
ProShares UltraShort Gold
   (2,584,032)    2,103,219 
    
ProShares UltraShort Silver
   3,827,219    4,467,058 
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
   358,570    (175,968) 
    
ProShares Ultra Yen
   (1,068,950)    (1,842,176) 
    
ProShares UltraShort Euro
   (2,453,253)    702,482 
    
ProShares UltraShort Yen
   342,795    5,007,285 
      
 
 
   
 
 
 
    
Combined Trust:
  
 
$(2,028,741,895)
 
  
 
$244,563,938
 
 
*
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.
 
9810
4

The Effect of Derivative Instruments on the Statement of Operations
For the ninethree months ended SeptemberJune 30, 2022
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
 
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
   
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  $(26,435,234 $(47,541,296    
ProShares Short VIX Short-Term Futures ETF
   $(13,029,194)    $(34,466,848) 
    ProShares Ultra VIX Short-Term Futures ETF   82,162,402   323,609,043     
ProShares Ultra VIX Short-Term Futures ETF
   91,039,435    196,657,178 
    ProShares VIX
Mid-Term
Futures ETF
   11,304,613   6,941,620     
ProShares VIX Mid-Term Futures ETF
   7,862,052    4,040,230 
    ProShares VIX Short-Term Futures ETF   31,935,990   84,956,040     
ProShares VIX Short-Term Futures ETF
   23,659,182    46,680,364 
Commodities Contracts
  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements       
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
      
    ProShares Ultra Bloomberg Crude Oil   818,140,230   (339,187,944    
ProShares Ultra Bloomberg Crude Oil
   363,296,092    (211,138,245) 
    ProShares Ultra Bloomberg Natural Gas   235,322,266   (89,157,584    
ProShares Ultra Bloomberg Natural Gas
   164,990,694    (271,251,560) 
    ProShares Ultra Gold   (39,908,073  (17,607,548    
ProShares Ultra Gold
   (57,901,083)    4,971,202 
    ProShares Ultra Silver   (186,941,909  (16,622,928    
ProShares Ultra Silver
   (156,194,175)    (50,071,519) 
    ProShares UltraShort Bloomberg Crude Oil   (142,631,216  113,723,566     
ProShares UltraShort Bloomberg Crude Oil
   (102,594,000)    34,810,301 
    ProShares UltraShort Bloomberg Natural Gas   (389,138,752  116,857,361     
ProShares UltraShort Bloomberg Natural Gas
   (282,646,685)    228,166,248 
    ProShares UltraShort Gold   3,237,425   3,173,923 
    ProShares UltraShort Silver   8,252,893   1,570,887 
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Ultra Euro   (2,505,776  (513,883
    ProShares Ultra Yen   (2,532,839  (2,005
    ProShares UltraShort Euro   16,693,971   3,049,081 
    ProShares UltraShort Yen   14,877,216   (444,812
      
 
  
 
 
    
Combined Trust:
  
$
431,833,207
 
 
$
142,803,521
 
 
9910
5

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

(Loss) on

Derivatives

Recognized in

Income
  
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
  Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements     
    ProShares Short VIX Short-Term Futures ETF  $34,573,906  $(43,362,244
    ProShares Ultra VIX Short-Term Futures ETF   (198,380,990  186,737,241 
    ProShares VIX
Mid-Term
Futures ETF
   (4,024,133  10,651,835 
    ProShares VIX Short-Term Futures ETF   (51,868,433  42,164,263 
Commodities Contracts
  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements     
    ProShares Ultra Bloomberg Crude Oil   106,330,563   (16,910,039
    ProShares Ultra Bloomberg Natural Gas   33,925,711   25,134,988 
    ProShares Ultra Gold   (21,858,089  15,564,318 
    ProShares Ultra Silver   (201,315,310  (6,040,776
    ProShares UltraShort Bloomberg Crude Oil   (11,449,562  (1,521,543
    ProShares UltraShort Bloomberg Natural Gas   (95,609,878  (17,870,697
    ProShares UltraShort Gold   1,213,721   (1,898,585
    ProShares UltraShort Silver   6,662,145   3,921,845 
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts     
    ProShares Short Euro   57,489   (4,770
    ProShares Ultra Euro   (254,219  72,810 
    ProShares Ultra Yen   (25,554  10,988 
    ProShares UltraShort Australian Dollar   188,884   56,770 
    ProShares UltraShort Euro   2,974,466   (618,447
    
ProShares UltraShort Yen
   197,444   (190,261
      
 
 
  
 
 
 
    
Combined Trust
  
$
(398,661,839
 
$
195,897,696
 
100
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
    
ProShares UltraShort Gold
   4,557,870    298,236 
    
ProShares UltraShort Silver
   9,411,232    3,849,687 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      
    
ProShares Ultra Euro
   (446,365)    (282,077) 
    
ProShares Ultra Yen
   (761,478)    154,501 
    
ProShares UltraShort Euro
   3,065,129    3,061,048 
    
ProShares UltraShort Yen
   7,917,170    (1,364,477) 
      
 
 
   
 
 
 
    
Combined Trust
  
 
$62,225,876
 
  
 
$(45,885,731)
 

The Effect of Derivative Instruments on the Statement of Operations
For the ninesix months ended SeptemberJune 30, 20212022
 
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  $168,120,340  $(14,530,761    
ProShares Short VIX Short-Term Futures ETF
   $(54,129,808)    $(29,757,664) 
     ProShares Ultra VIX Short-Term Futures ETF   (1,757,428,075  146,502,120 
     ProShares VIX
Mid-Term
Futures ETF
   (14,890,359  5,950,464 
     ProShares VIX Short-Term Futures ETF   (304,349,667  27,731,186 
Commodities Contracts
  Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements        
     ProShares Ultra Bloomberg Crude Oil   761,187,450   176,083,841 
     ProShares Ultra Bloomberg Natural Gas   80,409,384   35,685,009 
     ProShares Ultra Gold   (27,599,854  (19,131,126
     ProShares Ultra Silver   (80,034,280  (192,143,248
     ProShares UltraShort Bloomberg Crude Oil   (86,637,748  (5,829,347
     ProShares UltraShort Bloomberg Natural Gas   (112,274,576  (35,668,153
     ProShares UltraShort Gold   (1,767,636  1,727,831 
     ProShares UltraShort Silver   (2,146,662  10,464,123 
Foreign Exchange Contracts
  Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts        
     ProShares Short Euro   88,710   91,407 
     ProShares Ultra Euro   (186,149  (251,422
     ProShares Ultra Yen   (305,028  (126,353
     ProShares UltraShort Australian Dollar   17,207   321,113 
     
ProShares UltraShort Euro
   2,249,236   3,263,507 
     
ProShares UltraShort Yen
   3,055,103   1,066,540 
        
 
  
 
 
     
Combined Trust:
  
$
(1,372,492,604
 
$
141,206,731
 
 
10110
6

Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
    
ProShares Ultra VIX Short-Term Futures ETF
   372,034,119    162,278,712 
    
ProShares VIX Mid-Term Futures ETF
   12,653,885    3,705,055 
    
ProShares VIX Short-Term Futures ETF
   77,393,309    33,506,046 
Commodities Contracts
  
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
      
    
ProShares Ultra Bloomberg Crude Oil
   1,162,719,162    (305,216,174) 
    
ProShares Ultra Bloomberg Natural Gas
   241,211,382    (186,220,796) 
    
ProShares Ultra Gold
   (82,487)    (19,678,449) 
    
ProShares Ultra Silver
   (39,557,148)    (107,828,115) 
    
ProShares UltraShort Bloomberg Crude Oil
   (209,076,101)    36,926,293 
    
ProShares UltraShort Bloomberg Natural Gas
   (397,312,383)    140,634,090 
    
ProShares UltraShort Gold
   (1,750,803)    2,367,584 
    
ProShares UltraShort Silver
   2,037,486    5,658,849 
10
7

Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      
    
ProShares Ultra Euro
   (887,395)    (415,047) 
    
ProShares Ultra Yen
   (880,249)    15,962 
    
ProShares UltraShort Euro
   5,607,263    3,403,124 
    
ProShares UltraShort Yen
   8,997,343    101,925 
      
 
 
   
 
 
 
    
Combined Trust:
  
 
$1,178,977,575
 
  
 
$(260,518,605)
 
Offsetting Assets and Liabilities
Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of SeptemberJune 30, 2022.​​​​​​​2023.
 
Fair Values of Derivative Instruments as of September 30, 2022
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                              
Swap agreements
  $—     $—     $—     $123,956,198   $—     $123,956,198 
ProShares Ultra Euro
                              
Foreign currency forward contracts
   —      —      —      431,231    —      431,231 
ProShares Ultra Gold
                              
Swap agreements
   —      —      —      6,686,424    —      6,686,424 
ProShares Ultra Silver
                              
Swap agreements
   26,804,548    —      26,804,548    —      —      —   
ProShares Ultra Yen
                              
Foreign currency forward contracts
   6,055    —      6,055    101,172    —      101,172 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   3,108,883    —      3,108,883    267,843    —      267,843 
ProShares UltraShort Gold
                              
Swap agreements
   802,204    —      802,204    —      —      —   
ProShares UltraShort Silver
                              
Swap agreements
   —      —      —      1,151,403    —      1,151,403 
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   580,211    —      580,211    155,443    —      155,443 
Fair Values of Derivative Instruments as of June 30, 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
  $—     $—     $—     $1,692,241   $—     $1,692,241 
ProShares Ultra Bloomberg Natural Gas
            
Swap agreements
   46,088,257    —      46,088,257    —      —      —   
 
10210
8

Fair Values of Derivative Instruments as of June 30, 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 Euro
                              
Foreign currency forward contracts
   241,390    —      241,390    1,702    —      1,702 
ProShares Ultra Gold
                              
Swap agreements
   —      —      —      7,053,083    —      7,053,083 
ProShares Ultra Silver
                              
Swap agreements
   —      —      —      18,045,362    —      18,045,362 
ProShares Ultra Yen
                              
Foreign currency forward contracts
   18,889    —      18,889    876,516    —      876,516 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   29,100      —      29,100      1,787,874    —      1,787,874 
ProShares UltraShort Gold
                              
Swap agreements
   440,571    —      440,571    —      —      —   
ProShares UltraShort Silver
                              
Swap agreements
   845,012    —      845,012    —      —      —   
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   2,238,472    —      2,238,472    258,620    —      258,620 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2023. 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 June 30, 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.
  $(303,753 $303,753   $—     $—   
Goldman Sachs International
   (377,662  —      377,662    —   
Morgan Stanley & Co. International PLC
   (316,105  —      316,105    —   
Societe Generale
   (275,938  275,938    —      —   
UBS AG
   (418,783  —      418,783    —   
1
09

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 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 Natural Gas
                 
Citibank, N.A.
   22,537,665   (18,660,347  —     3,877,318 
Goldman Sachs International
   15,398,946   (11,008,327  —     4,390,619 
Societe Generale S.A.
   8,028,280   (6,677,182  —     1,351,098 
UBS AG
   123,366   —     —     123,366 
ProShares Ultra Euro
                 
Goldman Sachs International
   129,106   —     —     129,106 
UBS AG
   110,582   —     —     110,582 
ProShares Ultra Gold
                 
Citibank, N.A.
   (3,028,491  —     3,028,491   —   
Goldman Sachs International
   (1,438,439  —     1,438,439   —   
UBS AG
   (2,586,153  —     2,586,153   —   
ProShares Ultra Silver
                 
Citibank, N.A.
   (6,281,114  —     6,281,114   —   
Goldman Sachs International
   (830,545  —     830,545   —   
Morgan Stanley & Co. International PLC
   (5,634,927  —     5,634,927   —   
UBS AG
   (5,298,776  —     5,298,776   —   
ProShares Ultra Yen
                 
Goldman Sachs International
   (407,188  —     407,188   —   
UBS AG
   (450,439  —     450,439   —   
ProShares UltraShort Euro
                 
Goldman Sachs International
   (872,773  —     872,773   —   
UBS AG
   (886,001  —     886,001   —   
ProShares UltraShort Gold
                 
Citibank, N.A.
   101,527   —     —     101,527 
Goldman Sachs International
   133,231   —     —     133,231 
UBS AG
   205,813   (22,545  —     183,268 
ProShares UltraShort Silver
                 
Citibank, N.A.
   100,100   —     —     100,100 
Goldman Sachs International
   364,653   (364,653  —     —   
Morgan Stanley & Co. International PLC
   288,063   —     (288,000  63 
UBS AG
   92,196   —     —     92,196 
ProShares UltraShort Yen
                 
Goldman Sachs International
   890,062   (817,881  —     72,181 
UBS AG
   1,089,790   (1,089,790  —     —   
110


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, 2022:
Fair Values of Derivative Instruments as of December 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
  $74,159,577   $—     $74,159,577   $—     $—     $—   
ProShares Ultra Euro
            
Foreign currency forward contracts
   514,115    —      514,115    98,459    —      98,459 
ProShares Ultra Gold
            
Swap agreements
   6,496,466    —      6,496,466    —      —      —   
ProShares Ultra Silver
            
Swap agreements
   39,224,212    —      39,224,212    —      —      —   
ProShares Ultra Yen
            
Foreign currency forward contracts
   1,152,834    —      1,152,834    168,285    —      168,285 
ProShares UltraShort Euro
            
Foreign currency forward contracts
   193,192    —      193,192    2,654,448    —      2,654,448 
ProShares UltraShort Gold
            
Swap agreements
   —      —      —      592,957    —      592,957 
ProShares UltraShort Silver
            
Swap agreements
   —      —      —      1,722,623    —      1,722,623 
ProShares UltraShort Yen
            
Foreign currency forward contracts
   963,369    —      963,369    3,990,802    —      3,990,802 
11
1

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30,December 31, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2022
 
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022
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
   
Amounts of
Recognized
Assets /
(Liabilities)
presented in
the
Statements of
Financial
Condition
 
Financial
Instruments
for the Benefit
of (the Funds) /
the
Counterparties
 
Cash
Collateral for
the Benefit of
(the Funds) /
the
Counterparties
 
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
              
Citibank, N.A.
  $(19,603,867 $—    $19,603,867  $—     $11,723,388  $—    $(7,220,000 $4,503,388 
Goldman Sachs International
   (24,373,900  —     24,373,900   —      14,575,933   (9,281,322  —     5,294,611 
Morgan Stanley & Co. International PLC
   (33,954,709  —     33,954,709   —      20,305,392   —     (12,510,000  7,795,392 
Societe Generale
   (18,489,319  17,977,319   512,000   —      11,075,235   (7,038,055  —     4,037,180 
UBS AG
   (27,534,403  19,575,403   7,959,000   —      16,479,629   (10,808,424  (41,993  5,629,212 
ProShares Ultra Euro
              
Goldman Sachs International
   (194,303  —     194,303   —      217,491   —     —     217,491 
UBS AG
   (236,928  —     236,928   —      198,165   (198,165  —     —   
ProShares Ultra Gold
              
Citibank, N.A.
   (2,464,705  —     2,464,705   —      2,582,849   —     (2,570,000  12,849 
Goldman Sachs International
   (1,657,776  1,588,776   69,000   —      1,226,772   (1,193,425  —     33,347 
UBS AG
   (2,563,943  —     2,563,943   —      2,686,845   (2,682,652  (4,193  —   
ProShares Ultra Silver
              
Citibank, N.A.
   8,433,031   —     —     8,433,031    12,628,472   —     (12,628,472  —   
Goldman Sachs International
   1,725,874   (1,222,261  —     503,613    1,667,621   (1,667,621  —     —   
Morgan Stanley & Co. International PLC
   9,256,039   —     (6,573,000  2,683,039    13,862,180   —     (10,733,000  3,129,180 
UBS AG
   7,389,604   (2,828,730  —     4,560,874    11,065,939   (11,065,939  —     —   
ProShares Ultra Yen
              
Goldman Sachs International
   (39,854  —     39,854   —      683,120   (308,636  —     374,484 
UBS AG
   (55,263  —     55,263   —      301,429   —     —     301,429 
ProShares UltraShort Euro
              
Goldman Sachs International
   1,292,731   (1,292,731  —     —      (1,121,150  —     1,121,150   —   
UBS AG
   1,548,309   (1,548,309  —     —      (1,340,106  —     1,340,106   —   
ProShares UltraShort Gold
              
Citibank, N.A.
   329,122   —     —     329,122    (181,291  —     181,291   —   
Goldman Sachs International
   215,613   (215,613  —     —      (231,533  —     231,533   —   
UBS AG
   257,469   (257,469  —     —      (180,133  —     180,133   —   
ProShares UltraShort Silver
              
Citibank, N.A.
   (136,329  —     136,329   —      (203,969  —     203,969   —   
Goldman Sachs International
   (496,626  —     496,626   —      (743,029  —     743,029   —   
Morgan Stanley & Co. International PLC
   (392,881  —     392,881   —      (587,758  —     587,758   —   
UBS AG
   (125,567  —     125,567   —      (187,867  —     187,867   —   
ProShares UltraShort Yen
              
Goldman Sachs International
   92,684   —     —     92,684    (936,322  —     936,322   —   
UBS AG
   332,084   —     —     332,084    (2,091,111  —     1,690,000   (401,111
 
10311
2

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2021:
Fair Values of Derivative Instruments as of December 31, 2021
 
   
Assets
   
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
   
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
   
Gross Amounts
Offset in the
Statements of
Financial
Condition
   
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                              
Swap agreements
  $63,928,293   $—     $63,928,293   $—     $—     $—   
ProShares Ultra Euro
                              
Foreign currency forward contracts
   84,150    —      84,150    1,498    —      1,498 
ProShares Ultra Gold
                              
Swap agreements
   8,639,188    —      8,639,188    —      —      —   
ProShares Ultra Silver
                              
Swap agreements
   40,591,699    —      40,591,699    —      —      —   
ProShares Ultra VIX Short-Term Futures ETF
                              
Swap agreements
   —      —      —      477,437    —      477,437 
ProShares Ultra Yen
                              
Foreign currency forward contracts
   821    —      821    93,933    —      93,933 
ProShares UltraShort Euro
                              
Foreign currency forward contracts
   135,118    —      135,118    343,159    —      343,159 
ProShares UltraShort Gold
                              
Swap agreements
   —      —      —      993,117    —      993,117 
ProShares UltraShort Silver
                              
Swap agreements
   —      —      —      1,921,414    —      1,921,414 
ProShares UltraShort Yen
                              
Foreign currency forward contracts
   1,237,168    —      1,237,168    367,588    —      367,588 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
104

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021
 
   
Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
  
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
  
Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties
  
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
                 
Citibank, N.A.
  $9,839,441  $—    $(9,839,441 $—   
Goldman Sachs International
   13,920,431   (13,889,225  (31,206  —   
Morgan Stanley & Co. International PLC
   17,042,319   —     (17,042,319  —   
Societe Generale
   9,295,046   (9,292,398  (2,648  —   
UBS AG
   13,831,056   —     (13,831,056  —   
ProShares Ultra Euro
                 
Goldman Sachs International
   10,301   —     —     10,301 
UBS AG
   72,351   —     —     72,351 
ProShares Ultra Gold
                 
Citibank, N.A.
   2,974,490   —     (2,100,000  874,490 
Goldman Sachs International
   2,570,443   (1,877,749  (250  692,444 
UBS AG
   3,094,255   —     (2,180,000  914,255 
ProShares Ultra Silver
                 
Citibank, N.A.
   10,785,304   —     (7,890,000  2,895,304 
Goldman Sachs International
   10,781,897   (8,181,572  (5,925  2,594,400 
Morgan Stanley & Co. International PLC
   10,046,034   —     (7,306,000  2,740,034 
UBS AG
   8,978,464   —     (6,570,000  2,408,464 
ProShares Ultra VIX Short-Term Futures ETF
                 
Goldman Sachs & Co.
   (477,437  —     —     (477,437
ProShares Ultra Yen
                 
Goldman Sachs International
   (54,919  —     54,919   —   
UBS AG
   (38,193  —     —     (38,193
ProShares UltraShort Euro
                 
Goldman Sachs International
   (83,325  83,325   —     —   
UBS AG
   (124,716  124,716   —     —   
ProShares UltraShort Gold
                 
Citibank, N.A.
   (407,735  407,735   —     —   
Goldman Sachs International
   (266,413  266,413   —     —   
UBS AG
   (318,969  318,969   —     —   
ProShares UltraShort Silver
                 
Citibank, N.A.
   (367,632  367,632   —     —   
Goldman Sachs International
   (486,710  368,710   118,000   —   
Morgan Stanley & Co. International PLC
   (385,104  —     385,104   —   
UBS AG
   (681,968  681,968   —     —   
ProShares UltraShort Yen
                 
Goldman Sachs International
   312,169   (302,523  —     9,646 
UBS AG
   557,411   —     (520,000  37,411 
NOTE 4 – AGREEMENTS
Management Fee
Each Leveraged Fund, the Short Euro Fund, and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.
The Sponsor stopped charging the Management Fee to the liquidated fundsProShares 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 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
105

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.
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.
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3

Table of Contents
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds (the “Transfer Agent”) 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.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 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.
11
4

Table of Contents
Transaction fees for the three and ninesix months ended SeptemberJune 30, 20222023 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
 
   
Three Months Ended
   
Nine Months Ended
 
Fund
  
September 30, 2022
   
September 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
  $41,819   $160,578 
ProShares Ultra Bloomberg Crude Oil
   —      —   
ProShares Ultra Bloomberg Natural Gas
   —      —   
ProShares Ultra Euro
   —      —   
ProShares Ultra Gold
   —      —   
ProShares Ultra Silver
   —      —   
ProShares Ultra VIX Short-Term Futures ETF
   1,075,047    3,257,919 
ProShares Ultra Yen
   —      —   
ProShares UltraShort Bloomberg Crude Oil
   —      —   
ProShares UltraShort Bloomberg Natural Gas
   —      —   
ProShares UltraShort Euro
   —      —   
ProShares UltraShort Gold
   —      —   
ProShares UltraShort Silver
   —      —   
ProShares UltraShort Yen
   —      —   
ProShares VIX
Mid-Term
Futures ETF
   13,179    42,404 
ProShares VIX Short-Term Futures ETF
   182,543    432,819 
   
 
 
   
 
 
 
Combined Trust:
  $1,312,588   $3,893,720 

Fund
  
Three Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2023
 
ProShares Short VIX Short-Term Futures ETF
  $49,722   $161,936 
ProShares Ultra Bloomberg Crude Oil
   —      —   
ProShares Ultra Bloomberg Natural Gas
   —      —   
ProShares Ultra Euro
   —      —   
ProShares Ultra Gold
   —      —   
ProShares Ultra Silver
   —      —   
ProShares Ultra VIX Short-Term Futures ETF
   389,333    820,351 
ProShares Ultra Yen
   —      —   
ProShares UltraShort Bloomberg Crude Oil
   —      —   
ProShares UltraShort Bloomberg Natural Gas
   —      —   
ProShares UltraShort Euro
   —      —   
ProShares UltraShort Gold
   —      —   
ProShares UltraShort Silver
   —      —   
ProShares UltraShort Yen
   —      —   
ProShares VIX Mid-Term Futures ETF
   9,046    15,511 
ProShares VIX Short-Term Futures ETF
   82,901    167,222 
   
 
 
   
 
 
 
Combined Trust:
  
$

531,002   
$

1,165,020 
 
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NOTE 6 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended SeptemberJune 30, 20222023
For the Three Months Ended SeptemberJune 30, 20222023 (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
   
Short VIX
Short-Term
Futures ETF
 
Ultra
Bloomberg
Crude Oil
 
Ultra
Bloomberg
Natural Gas*
 
Ultra
Euro
 
Ultra
Gold
 
Ultra
Silver
 
Net asset value, at June 30, 2022
  $48.14  $41.61  $39.53  $11.08  $56.46  $24.78 
Net asset value, at March 31, 2023
  $63.73  $26.53  $73.76  $11.49  $62.86  $31.10 
Net investment income (loss)
   (0.01  0.01   0.03   0.00(1)   0.05   0.00(2)    0.46   0.14   0.28   0.09   0.47   0.20 
Net realized and unrealized gain (loss)#
   0.38   (15.41  13.66   (1.51  (9.44  (3.94   20.49   (2.93  (4.56  0.01   (4.97  (4.26
Change in net asset value from operations
   0.37   (15.40  13.69   (1.51  (9.39  (3.94   20.95   (2.79  (4.28  0.10   (4.50  (4.06
Net asset value, at September 30, 2022
  $48.51  $26.21  $53.22  $9.57  $47.07  $20.84 
Market value per share, at June 30, 2022
  $48.21  $41.86  $42.10  $11.11  $56.50  $24.47 
Market value per share, at September 30, 2022
  $48.59  $26.26  $53.66  $9.57  $46.93  $20.76 
Net asset value, at June 30, 2023
  $84.68  $23.74  $69.48  $11.59  $58.36  $27.04 
Market value per share, at March 31, 2023
  $63.75  $26.47  $72.20  $11.49  $63.02  $31.23 
Market value per share, at June 30, 2023
  $84.68  $23.65  $68.99  $11.61  $58.24  $26.95 
Total Return, at net asset value^
   0.8  (37.0)%   34.6  (13.7)%   (16.6)%   (15.9)%    32.9  (10.5)%   (5.8)%   0.9  (7.2)%   (13.1)% 
Total Return, at market value^
   0.8  (37.3)%   27.5  (13.9)%   (16.9)%   (15.2)%    32.8  (10.7)%   (4.5)%   1.0  (7.6)%   (13.7)% 
Ratios to Average Net Assets**
                          
Expense ratio^^
   1.14  1.01  1.16  0.96  0.97  1.00   1.14  1.00  1.45  0.95  0.96  1.00
Net investment income gain (loss)
   (0.09)%   0.07  0.15  0.16  0.38  (0.02)%    2.61  2.20  1.81  3.27  3.01  2.61
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2022.2023.
^^
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.
(1)
Amount represents less than $0.005.
(2)
Amount represents greater than $(0.005).
 
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For the Three Months Ended SeptemberJune 30, 20222023 (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
   
Ultra VIX
Short-Term
Futures ETF*
 
Ultra
Yen
 
UltraShort
Bloomberg
Crude Oil
 
UltraShort
Bloomberg
Natural Gas
 
UltraShort
Euro
 
UltraShort
Gold
 
Net asset value, at June 30, 2022
  $14.51  $33.51  $23.04  $42.65  $30.38  $31.55 
Net asset value, at March 31, 2023
  $46.25  $33.05  $25.15  $71.11  $29.04  $26.88 
Net investment income (loss)
   0.00(1)   0.01   0.02   0.00(1)   0.01   (0.01   0.15   0.26   0.19   0.44   0.24   0.22 
Net realized and unrealized gain (loss)#
   (1.64  (4.49  7.28   (25.30  4.45   5.64    (27.92  (5.91  0.28   (16.49  (0.18  1.80 
Change in net asset value from operations
   (1.64  (4.48  7.30   (25.30  4.46   5.63    (27.77  (5.65  0.47   (16.05  0.06   2.02 
Net asset value, at September 30, 2022
  $12.87  $29.03  $30.34  $17.35  $34.84  $37.18 
Market value per share, at June 30, 2022
  $14.53  $33.49  $22.93  $40.02  $30.41  $31.59 
Market value per share, at September 30, 2022
  $12.85  $29.06  $30.28  $17.21  $34.88  $37.30 
Net asset value, at June 30, 2023
  $18.48  $27.40  $25.62  $55.06  $29.10  $28.90 
Market value per share, at March 31, 2023
  $46.50  $33.02  $25.22  $72.42  $29.04  $26.84 
Market value per share, at June 30, 2023
  $18.49  $27.42  $25.70  $55.45  $29.11  $28.96 
Total Return, at net asset value^
   (11.3)%   (13.3)%   31.7  (59.3)%   14.7  17.9   (60.0)%   (17.1)%   1.9  (22.6)%   0.2  7.5
Total Return, at market value^
   (11.6)%   (13.2)%   32.1  (57.0)%   14.7  18.1   (60.2)%   (17.0)%   1.9  (23.4)%   0.2  7.9
Ratios to Average Net Assets**
                    
Expense ratio^^
   1.46  0.96  1.11  1.25  0.96  1.00   1.55  0.95  1.11  1.77  0.95  0.98
Net investment income gain (loss)
   (0.14)%   0.18  0.32  (0.01)%   0.12  (0.11)%    1.84  3.36  3.01  2.47  3.36  3.09
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2022.2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents greater than $(0.005).
 
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For the Three Months Ended SeptemberJune 30, 20222023 (unaudited)
 
Per Share Operating
Performance
  
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 June 30, 2022
  $31.74  $57.06  $35.29  $18.22 
Net asset value, at March 31, 2023
  $18.63  $55.98  $26.79  $45.16 
Net investment income (loss)
   (0.02  0.01   0.00(1)   0.01    0.12   0.49   0.20   0.25 
Net realized and unrealized gain (loss)#
   2.34   7.97   0.19   (1.13   1.74   11.47   (6.50  (20.46
Change in net asset value from operations
   2.32   7.98   0.19   (1.12   1.86   11.96   (6.30  (20.21
Net asset value, at September 30, 2022
  $34.06  $65.04  $35.48  $17.10 
Market value per share, at June 30, 2022
  $32.19  $57.13  $35.38  $18.25 
Market value per share, at September 30, 2022
  $34.15  $65.02  $35.50  $17.10 
Net asset value, at June 30, 2023
  $20.49  $67.94  $20.49  $24.95 
Market value per share, at March 31, 2023
  $18.56  $56.00  $26.82  $45.25 
Market value per share, at June 30, 2023
  $20.58  $67.95  $20.48  $24.96 
Total Return, at net asset value^
   7.3  14.0  0.6  (6.1)%    10.0  21.4  (23.5)%   (44.8)% 
Total Return, at market value^
   6.1  13.8  0.3  (6.3)%    10.9  21.3  (23.6)%   (44.8)% 
Ratios to Average Net Assets**
              
Expense ratio^^
   1.08  0.96  0.93  1.11   1.05  0.95  1.00  1.08
Net investment income gain (loss)
   (0.19)%   0.07  (0.01)%   0.25   2.68  3.22  3.13  2.82
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2022.2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents greater than $(0.005).
 
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8

Table of Contents
Selected data for a Share outstanding throughout the three months ended SeptemberJune 30, 20212022
For the Three Months Ended SeptemberJune 30, 20212022 (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
   
Short VIX
Short-Term
Futures ETF
 
Ultra
Bloomberg
Crude Oil*
 
Ultra
Bloomberg
Natural Gas*
 
Ultra
Euro
 
Ultra
Gold
 
Ultra
Silver
 
Net asset value, at June 30, 2021
  $55.61  $19.56  $35.33  $14.67  $57.28  $45.97 
Net asset value, at March 31, 2022
  $54.55  $37.94  $1121.30  $12.47  $66.99  $39.06 
Net investment income (loss)
   (0.19  (0.05  (0.14  (0.03  (0.14  (0.10   (0.13  (0.07  (4.28  (0.02  (0.09  (0.05
Net realized and unrealized gain (loss)#
   (0.96  1.61   48.28   (0.72  (1.50  (14.16   (6.28  3.74   (326.32  (1.37  (10.44  (14.23
Change in net asset value from operations
   (1.15  1.56   48.14   (0.75  (1.64  (14.26   (6.41  3.67   (330.60  (1.39  (10.53  (14.28
Net asset value, at September 30, 2021
  $54.46  $21.12  $83.47  $13.92  $55.64  $31.71 
Market value per share, at June 30, 2021
  $55.55  $19.56  $37.17  $14.66  $57.22  $46.12 
Market value per share, at September 30, 2021
  $54.39  $21.06  $82.30  $13.92  $55.59  $31.99 
Net asset value, at June 30, 2022
  $48.14  $41.61  $790.70  $11.08  $56.46  $24.78 
Market value per share, at March 31, 2022
  $54.56  $38.33  $1126.20  $12.46  $66.14  $38.53 
Market value per share, at June 30, 2022
  $48.21  $41.86  $842.00  $11.11  $56.50  $24.47 
Total Return, at net asset value^
   (2.1)%   8.0  136.3  (5.1)%   (2.9)%   (31.0)%    (11.8)%   9.7  (29.5)%   (11.1)%   (15.7)%   (36.6)% 
Total Return, at market value^
   (2.1)%   7.7  121.4  (5.1)%   (2.9)%   (30.6)%    (11.6)%   9.2  (25.2)%   (10.8)%   (14.6)%   (36.5)% 
Ratios to Average Net Assets**
                    
Expense ratio^^
   1.33  1.10  1.30  0.95  1.00  1.00   1.21  1.01  1.26  0.95  0.98  0.98
Net investment income gain (loss)
   (1.32)%   (1.07)%   (1.25)%   (0.91)%   0.97  (0.97)%    (1.00)%   (0.64)%   (1.01)%   (0.54)%   (0.56)%   (0.61)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1111
19

Table of Contents
For the Three Months Ended SeptemberJune 30, 20212022 (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
   
Ultra VIX
Short-Term
Futures ETF*
 
Ultra
Yen
 
UltraShort
Bloomberg
Crude Oil*
 
UltraShort
Bloomberg
Natural Gas*
 
UltraShort
Euro
 
UltraShort
Gold
 
Net asset value, at June 30, 2021
  $27.91  $51.24  $90.56  $431.07  $23.81  $34.67 
Net asset value, at March 31, 2022
  $135.00  $42.02  $29.17  $64.71  $27.30  $27.23 
Net investment income (loss)
   (0.11  (0.12  (0.26  (0.91  (0.06  (0.08   (0.50  (0.05  (0.05  (0.08  (0.05  (0.05
Net realized and unrealized gain (loss)#
   (3.37  (0.29  (14.64  (289.76  1.19   0.21    10.63   (8.46  (6.08  (21.98  3.13   4.37 
Change in net asset value from operations
   (3.48  (0.41  (14.90  (290.67  1.13   0.13    10.13   (8.51  (6.13  (22.06  3.08   4.32 
Net asset value, at September 30, 2021
  $24.43  $50.83  $75.66  $140.40  $24.94  $34.80 
Market value per share, at June 30, 2021
  $27.98  $51.26  $90.55  $408.80  $23.82  $34.69 
Market value per share, at September 30, 2021
  $24.55  $50.82  $75.90  $142.40  $24.93  $34.82 
Net asset value, at June 30, 2022
  $145.13  $33.51  $23.04  $42.65  $30.38  $31.55 
Market value per share, at March 31, 2022
  $134.60  $42.09  $28.95  $64.56  $27.31  $27.61 
Market value per share, at June 30, 2022
  $145.30  $33.49  $22.93  $40.02  $30.41  $31.59 
Total Return, at net asset value^
   (12.5)%   (0.8)%   (16.5)%   (67.4)%   4.8  0.4   7.5  (20.3)%   (21.0)%   (34.1)%   11.3  15.9
Total Return, at market value^
   (12.3)%   (0.9)%   (16.2)%   (65.2)%   4.7  0.4   8.0  (20.4)%   (20.8)%   (38.0)%   11.4  14.4
Ratios to Average Net Assets**
                    
Expense ratio^^
   1.71  0.95  1.17  1.35  0.95  1.02   1.53  0.95  1.14  1.36  0.95  0.99
Net investment income gain (loss)
   (1.71)%   (0.91)%   (1.14)%   (1.32)%   (0.91)%   (0.98)%    (1.36)%   (0.59)%   (0.85)%   (1.14)%   (0.70)%   (0.74)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
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Table of Contents
For the Three Months Ended SeptemberJune 30, 20212022 (unaudited)
 
Per Share Operating
Performance
  
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 June 30, 2021
  $23.37  $38.98  $30.51  $24.09 
Net asset value, at March 31, 2022
  $21.45  $46.32  $31.45  $83.04 
Net investment income (loss)
   (0.07  (0.09  (0.08  (0.07   (0.05  (0.09  (0.06  (0.21
Net realized and unrealized gain (loss)#
   7.97   0.08   1.79   (1.34   10.34   10.83   3.90   8.26 
Change in net asset value from operations
   7.90   (0.01  1.71   (1.41   10.29   10.74   3.84   8.05 
Net asset value, at September 30, 2021
  $31.27  $38.97  $32.22  $22.68 
Market value per share, at June 30, 2021
  $23.28  $38.99  $30.54  $24.08 
Market value per share, at September 30, 2021
  $30.97  $38.98  $32.31  $22.80 
Net asset value, at June 30, 2022
  $31.74  $57.06  $35.29  $91.09 
Market value per share, at March 31, 2022
  $21.78  $46.37  $31.50  $82.85 
Market value per share, at June 30, 2022
  $32.19  $57.13  $35.38  $91.25 
Total Return, at net asset value^
   33.8  (0.0)%
@
 
  5.6  (5.8)%    48.0  23.2  12.2  9.6
Total Return, at market value^
   33.0  (0.0)%
@
 
  5.8  (5.3)%    47.8  23.2  12.3  10.1
Ratios to Average Net Assets**
              
Expense ratio^^
   1.10  0.95  1.04  1.17   1.06  0.95  0.96  1.16
Net investment income gain (loss)
   (1.07)%   (0.91)%   (1.01)%   (1.16)%    (0.78)%   (0.68)%   (0.74)%   (0.94)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
@
Amount represents greater than (0.05)%.
 
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Table of Contents
Selected Data for a Share Outstanding Throughout the ninesix Months Ended SeptemberJune 30, 20222023
For the NineSix Months Ended SeptemberJune 30, 20222023 (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, 2021
  $61.56  $21.54  $25.55  $13.32  $59.69  $34.84 
Net investment income (loss)
   (0.31  (0.16  (0.27  (0.02  (0.19  (0.13
Net realized and unrealized gain (loss)#
   (12.74  4.83   27.94   (3.73  (12.43  (13.87
Change in net asset value from operations
   (13.05  4.67   27.67   (3.75  (12.62  (14.00
Net asset value, at September 30, 2022
  $48.51  $26.21  $53.22  $9.57  $47.07  $20.84 
Market value per share, at December 31, 2021
  $61.55  $21.70  $26.09  $13.33  $59.81  $34.74 
Market value per share, at September 30, 2022
  $48.59  $26.26  $53.66  $9.57  $46.93  $20.76 
Total Return, at net asset value^
   (21.2)%   21.7  108.3  (28.2)%   (21.1)%   (40.2)% 
Total Return, at market value^
   (21.1)%   21.0  105.7  (28.2)%   (21.5)%   (40.2)% 
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.23  1.04  1.24  0.95  0.99  0.99
Net investment income gain (loss)
   (0.80)%   (0.59)%   (0.58)%   (0.27)%   (0.43)%   (0.56)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
114

Table of Contents
For the Nine Months Ended September 30, 2022 (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
   
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
  $12.41  $47.29  $64.26  $247.40  $25.84  $31.71 
Net asset value, at December 31, 2022
  $58.71  $30.26  $363.08  $11.27  $55.09  $31.75 
Net investment income (loss)
   (0.09  (0.04  (0.07  (0.14  (0.08  (0.13   0.83   0.27   0.81   0.17   0.86   0.39 
Net realized and unrealized gain (loss)#
   0.55   (18.22  (33.85  (229.91  9.08   5.60    25.14   (6.79  (294.41  0.15   2.41   (5.10
Change in net asset value from operations
   0.46   (18.26  (33.92  (230.05  9.00   5.47    25.97   (6.52  (293.60  0.32   3.27   (4.71
Net asset value, at September 30, 2022
  $12.87  $29.03  $30.34  $17.35  $34.84  $37.18 
Market value per share, at December 31, 2021
  $12.43  $47.29  $63.75  $242.20  $25.86  $31.66 
Market value per share, at September 30, 2022
  $12.85  $29.06  $30.28  $17.21  $34.88  $37.30 
Net asset value, at June 30, 2023
  $84.68  $23.74  $69.48  $11.59  $58.36  $27.04 
Market value per share, at December 31, 2022
  $58.68  $30.31  $355.60  $11.26  $55.27  $32.00 
Market value per share, at June 30, 2023
  $84.68  $23.65  $68.99  $11.61  $58.24  $26.95 
Total Return, at net asset value^
   3.7  (38.6)%   (52.8)%   (93.0)%   34.8  17.3   44.2  (21.5)%   (80.9)%   2.9  5.9  (14.8)% 
Total Return, at market value^
   3.4  (38.6)%   (52.5)%   (92.9)%   34.9  17.8   44.3  (22.0)%   (80.6)%   3.1  5.4  (15.8)% 
Ratios to Average Net Assets**
                    
Expense ratio^^
   1.57  0.96  1.15  1.38  0.95  1.00   1.15  1.00  1.43  0.95  0.97  0.99
Net investment income gain (loss)
   (0.97)%   (0.15)%   (0.38)%   (0.77)%   (0.37)%   (0.56)%    2.50  2.12  2.01  3.04  2.86  2.65
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2022.2023.
^^
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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Table of Contents
For the NineSix Months Ended SeptemberJune 30, 20222023 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Silver
 
UltraShort
Yen
*
 
VIX Mid-

Term Futures
ETF
 
VIX Short-
Term Futures
ETF
   
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
  $26.77  $41.50  $30.61  $15.12 
Net asset value, at December 31, 2022
  $68.69  $34.54  $23.93  $27.00  $29.46  $31.10 
Net investment income (loss)
   (0.13  (0.16  (0.15  (0.07   0.33   0.49   0.36   0.66   0.45   0.39 
Net realized and unrealized gain (loss)#
   7.42   23.70   5.02   2.05    (50.54  (7.63  1.33   27.40   (0.81  (2.59
Change in net asset value from operations
   7.29   23.54   4.87   1.98    (50.21  (7.14  1.69   28.06   (0.36  (2.20
Net asset value, at September 30, 2022
  $34.06  $65.04  $35.48  $17.10 
Market value per share, at December 31, 2021
  $26.84  $41.50  $30.57  $15.17 
Market value per share, at September 30, 2022
  $34.15  $65.02  $35.50  $17.10 
Net asset value, at June 30, 2023
  $18.48  $27.40  $25.62  $55.06  $29.10  $28.90 
Market value per share, at December 31, 2022
  $68.60  $34.56  $23.85  $27.56  $29.45  $30.99 
Market value per share, at June 30, 2023
  $18.49  $27.42  $25.70  $55.45  $29.11  $28.96 
Total Return, at net asset value^
   27.2  56.7  15.9  13.1   (73.1)%   (20.7)%   7.1  103.9  (1.2)%   (7.1)% 
Total Return, at market value^
   27.2  56.7  16.1  12.7   (73.1)%   (20.7)%   7.8  101.2  (1.2)%   (6.6)% 
Ratios to Average Net Assets**
                
Expense ratio^^
   1.08  0.95  0.99  1.16   1.56  0.95  1.09  1.74  0.95  0.99
Net investment income gain (loss)
   (0.63)%   (0.40)%   (0.59)%   (0.56)%    1.66  3.05  2.92  2.27  3.08  2.81
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2022.2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.85%0.95%, 0.95%, 0.95% and 0.85%0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11612
3

Table of Contents
Selected Data for a Share Outstanding Throughout
For the nineSix Months Ended SeptemberJune 30, 20212023 (unaudited) 
For the Nine Months Ended September 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Short VIX
Short-Term

Futures ETF
 
Ultra
Bloomberg
Crude Oil
*
 
Ultra
Bloomberg
Natural Gas
 
Ultra Euro
 
Ultra Gold
 
Ultra Silver
   
UltraShort
Silver
 
UltraShort
Yen
 
VIX Mid-
Term Futures
ETF
 
VIX Short-
Term Futures
ETF*
 
Net asset value, at December 31, 2020
  $41.42  $9.10  $21.00  $15.79  $67.57  $50.71 
Net asset value, at December 31, 2022
  $19.46  $53.68  $30.41  $57.00 
Net investment income (loss)
   (0.49  (0.12  (0.29  (0.10  (0.43  (0.33   0.24   0.88   0.38   0.53 
Net realized and unrealized gain (loss)#
   13.53   12.14   62.76   (1.77  (11.50  (18.67   0.79   13.38   (10.30  (32.58
Change in net asset value from operations
   13.04   12.02   62.47   (1.87  (11.93  (19.00   1.03   14.26   (9.92  (32.05
Net asset value, at September 30, 2021
  $54.46  $21.12  $83.47  $13.92  $55.64  $31.71 
Market value per share, at December 31, 2020
  $41.44  $9.07  $21.07  $15.81  $68.20  $51.28 
Market value per share, at September 30, 2021
  $54.39  $21.06  $82.30  $13.92  $55.59  $31.99 
Net asset value, at June 30, 2023
  $20.49  $67.94  $20.49  $24.95 
Market value per share, at December 31, 2022
  $19.30  $53.57  $30.36  $56.90 
Market value per share, at June 30, 2023
  $20.58  $67.95  $20.48  $24.96 
Total Return, at net asset value^
   31.5  132.2  297.6  (11.9)%   (17.7)%   (37.5)%    5.3  26.6  (32.6)%   (56.2)% 
Total Return, at market value^
   31.3  132.2  290.7  (11.9)%   (18.5)%   (37.6)%    6.6  26.8  (32.5)%   (56.1)% 
Ratios to Average Net Assets**
                  
Expense ratio^^
   1.35  1.11  1.47  0.95  1.00  1.03   1.05  0.95  0.98  1.09
Net investment income gain (loss)
   (1.33)%   (1.07)%   (1.41)%   (0.90)%   (0.97)%   (0.98)%    2.44  3.06  2.90  2.61
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2021.2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%0.85% and 0.95%0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
11712
4

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2022
For the NineSix Months Ended SeptemberJune 30, 20212022 (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, 2020
  $106.68  $59.83  $232.23  $951.82  $22.53  $31.43 
Net investment income (loss)
   (0.59  (0.36  (1.03  (4.56  (0.16  (0.25
Net realized and unrealized gain (loss)#
   (81.66  (8.64  (155.54  (806.86  2.57   3.62 
Change in net asset value from operations
   (82.25  (9.00  (156.57  (811.42  2.41   3.37 
Net asset value, at September 30, 2021
  $24.43  $50.83  $75.66  $140.40  $24.94  $34.80 
Market value per share, at December 31, 2020
  $106.50  $59.82  $232.80  $947.60  $22.52  $31.14 
Market value per share, at September 30, 2021
  $24.55  $50.82  $75.90  $142.40  $24.93  $34.82 
Total Return, at net asset value^
   (77.1)%   (15.0)%   (67.4)%   (85.3)%   10.7  10.7
Total Return, at market value^
   (77.0)%   (15.1)%   (67.4)%   (85.0)%   10.7  11.8
Ratios to Average Net Assets**
                         
Expense ratio^^
   1.75  0.95  1.24  1.49  0.95  1.03
Net investment income gain (loss)
   (1.71)%   (0.90)%   (1.18)%   (1.45)%   (0.90)%   (0.99)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 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.
118

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

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

Futures ETF
 
Ultra
Bloomberg
Crude Oil
*
 
Ultra
Bloomberg
Natural Gas*
 
Ultra Euro
 
Ultra Gold
 
Ultra Silver
 
Net asset value, at December 31, 2020
  $27.73  $33.91  $36.73  $55.03 
Net asset value, at December 31, 2021
  $61.56  $21.54  $511.08  $13.32  $59.69  $34.84 
Net investment income (loss)
   (0.20  (0.25  (0.25  (0.28   (0.29  (0.15  (5.86  (0.04  (0.22  (0.13
Net realized and unrealized gain (loss)#
   3.74   5.31   (4.26  (32.07   (13.13  20.22   285.48   (2.20  (3.01  (9.93
Change in net asset value from operations
   3.54   5.06   (4.51  (32.35   (13.42  20.07   279.62   (2.24  (3.23  (10.06
Net asset value, at September 30, 2021
  $31.27  $38.97  $32.22  $22.68 
Market value per share, at December 31, 2020
  $27.40  $33.91  $36.70  $54.96 
Market value per share, at September 30, 2021
  $30.97  $38.98  $32.31  $22.80 
Net asset value, at June 30, 2022
  $48.14  $41.61  $790.70  $11.08  $56.46  $24.78 
Market value per share, at December 31, 2021
  $61.55  $21.70  $521.80  $13.33  $59.81  $34.74 
Market value per share, at June 30, 2022
  $48.21  $41.86  $842.00  $11.11  $56.50  $24.47 
Total Return, at net asset value^
   12.8  14.9  (12.3)%   (58.8)%    (21.8)%   93.2  54.7  (16.8)%   (5.4)%   (28.9)% 
Total Return, at market value^
   13.0  15.0  (12.0)%   (58.5)%    (21.7)%   92.9  61.4  (16.7)%   (5.5)%   (29.6)% 
Ratios to Average Net Assets**
                
Expense ratio^^
   1.10  0.95  1.05  1.23   1.28  1.05  1.29  0.95  0.99  0.98
Net investment income gain (loss)
   (1.07)%   (0.90)%   (1.01)%   (1.19)%    (1.12)%   (0.82)%   (1.10)%   (0.65)%   (0.71)%   (0.75)% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended SeptemberJune 30, 2021.2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
12
5

For the Six Months Ended June 30, 2022 (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, 2021
  $124.06  $47.29  $64.26  $247.40  $25.84  $31.71 
Net investment income (loss)
   (1.13  (0.13  (0.12  (0.31  (0.11  (0.12
Net realized and unrealized gain (loss)#
   22.20   (13.65  (41.10  (204.44  4.65   (0.04
Change in net asset value from operations
   21.07   (13.78  (41.22  (204.75  4.54   (0.16
Net asset value, at June 30, 2022
  $145.13  $33.51  $23.04  $42.65  $30.38  $31.55 
Market value per share, at December 31, 2021
  $124.30  $47.29  $63.75  $242.20  $25.86  $31.66 
Market value per share, at June 30, 2022
  $145.30  $33.49  $22.93  $40.02  $30.41  $31.59 
Total Return, at net asset value^
   17.0  (29.2)%   (64.2)%   (82.8)%   17.5  (0.5)% 
Total Return, at market value^
   16.9  (29.2)%   (64.0)%   (83.5)%   17.6  0.2
Ratios to Average Net Assets**
       
Expense ratio^^
   1.65  0.95  1.18  1.47  0.95  1.00
Net investment income gain (loss)
   (1.53)%   (0.67)%   (0.95)%   (1.30)%   (0.75)%   (0.81)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
12
6

For the Six Months Ended June 30, 2022 (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, 2021
  $26.77  $41.50  $30.61  $75.62 
Net investment income (loss)
   (0.11  (0.17  (0.14  (0.46
Net realized and unrealized gain (loss)#
   5.08   15.73   4.82   15.93 
Change in net asset value from operations
   4.97   15.56   4.68   15.47 
Net asset value, at June 30, 2022
  $31.74  $57.06  $35.29  $91.09 
Market value per share, at December 31, 2021
  $26.84  $41.50  $30.57  $75.85 
Market value per share, at June 30, 2022
  $32.19  $57.13  $35.38  $91.25 
Total Return, at net asset value^
   18.6  37.5  15.3  20.5
Total Return, at market value^
   19.9  37.7  15.7  20.3
Ratios to Average Net Assets**
     
Expense ratio^^
   1.07  0.95  1.02  1.20
Net investment income gain (loss)
   (0.86)%   (0.72)%   (0.87)%   (1.04)% 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
11912
7

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.
12
8

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.
120

Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to 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.
129

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
121

agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily
marking-to-market
mark-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 futures 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
130

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 20212022 may specify a January 20222023 expiration. As that contract nears expiration, it may be replaced by selling the January 20222023 contract and purchasing the contract expiring in March 2022.2023. 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
13
1

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. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. 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.
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.
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Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. 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 20210, 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.
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.
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

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

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

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2022, the following sixteen 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 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”); 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 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”.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

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

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

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

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

Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.

Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).

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

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

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.

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Forward and Reverse Split

On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

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

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

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

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2022 and 2021, each of the Funds earned interest income as follows:

Fund

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

ProShares Short VIX Short-Term Futures ETF

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

ProShares Ultra Bloomberg Crude Oil

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

ProShares Ultra Bloomberg Natural Gas

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

ProShares Ultra Euro

  36,856   393   47,965   1,415 

ProShares Ultra Gold

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

ProShares Ultra Silver

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

ProShares Ultra VIX Short-Term Futures ETF

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

ProShares Ultra Yen

  25,362   260   29,299   923 

ProShares UltraShort Bloomberg Crude Oil

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

ProShares UltraShort Bloomberg Natural Gas

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

ProShares UltraShort Euro

  230,824   5,008   285,240   17,814 

ProShares UltraShort Gold

  72,261   3,075   101,921   9,213 

ProShares UltraShort Silver

  63,222   3,100   90,885   8,895 

ProShares UltraShort Yen

  115,191   2,392   151,503   9,558 

ProShares VIX Mid-Term Futures ETF

  220,211   8,914   296,960   27,487 

ProShares VIX Short-Term Futures ETF

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

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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.

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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.

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

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

limiting the outstanding amounts due from counterparties to the Funds;

not posting margin directly with a counterparty;

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

market daily, subject to certain minimum thresholds;

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

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 8, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

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

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

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For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 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 on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

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

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

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

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

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

130


Results of Operations for the Three Months Ended September 30, 2022 Compared to the Three Months Ended September 30, 2021

ProShares Short VIX Short-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $403,644,956  $588,615,946 

NAV end of period

  $321,831,051  $388,523,845 

Percentage change in NAV

   (20.3)%   (34.0)% 

Shares outstanding beginning of period

   8,384,307   10,584,307 

Shares outstanding end of period

   6,634,307   7,134,307 

Percentage change in shares outstanding

   (20.9)%   (32.6)% 

Shares created

   450,000   550,000 

Shares redeemed

   2,200,000   4,000,000 

Per share NAV beginning of period

  $48.14 ��$55.61 

Per share NAV end of period

  $48.51  $54.46 

Percentage change in per share NAV

   0.8  (2.1)% 

Percentage change in benchmark

   (5.7)%   (5.6)% 

Benchmark annualized volatility

   51.0  69.6

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.8% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

131


Net Income/Loss

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

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

Net investment income (loss)

  $(90,304  $(1,466,273

Management fee

   914,054    1,055,823 

Brokerage commission

   152,661    208,885 

Futures account fees

   23,966    209,717 

Non-recurring fees and expenses

   6,122    —   

Net realized gain (loss)

   27,694,574    34,572,603 

Change in net unrealized appreciation (depreciation)

   (17,470,190   (43,349,844

Net Income (loss)

  $10,134,080   $(10,243,514

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

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

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

NAV beginning of period

  $1,060,867,238  $1,303,530,902 

NAV end of period

  $724,595,262  $1,090,613,716 

Percentage change in NAV

   (31.7)%   (16.3)% 

Shares outstanding beginning of period

   25,493,096   66,643,096 

Shares outstanding end of period

   27,643,096   51,643,096 

Percentage change in shares outstanding

   8.4  (22.5)% 

Shares created

   10,400,000   3,800,000 

Shares redeemed

   8,250,000   18,800,000 

Per share NAV beginning of period

  $41.61  $19.56 

Per share NAV end of period

  $26.21  $21.12 

Percentage change in per share NAV

   (37.0)%   8.0

Percentage change in benchmark

   (18.6)%   5.4

Benchmark annualized volatility

   42.8  30.9

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The decrease in the Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at June 30, 2022 to 27,643,096 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 66,643,096 outstanding Shares at June 30, 2021 to 51,643,096 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM.

132


For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $153,992   $(3,130,493

Management fee

   2,118,088    2,775,351 

Brokerage commission

   85,906    198,498 

Futures account fees

   19,466    215,514 

Non-recurring fees and expenses

   13,739    27,500 

Net realized gain (loss)

   (344,578,932   106,325,821 

Change in net unrealized appreciation (depreciation)

   (33,248,174   (16,878,588

Net Income (loss)

  $(377,673,114  $86,316,740 

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

*

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

133


ProShares Ultra Bloomberg Natural Gas

Fund Performance

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

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

NAV beginning of period

  $187,297,842  $70,213,227 

NAV end of period

  $289,386,097  $145,038,381 

Percentage change in NAV

   54.5  106.6

Shares outstanding beginning of period

   4,737,527   1,987,527 

Shares outstanding end of period

   5,437,527   1,737,527 

Percentage change in shares outstanding

   14.8  (12.6)% 

Shares created

   6,000,000   1,150,000 

Shares redeemed

   5,300,000   1,400,000 

Per share NAV beginning of period

  $39.53  $35.33 

Per share NAV end of period

  $53.22  $83.47 

Percentage change in per share NAV

   34.6  136.3

Percentage change in benchmark

   25.3  58.6

Benchmark annualized volatility

   76.6  48.6

During the three months ended September 30, 2022, The increase in the Fund’s NAV resulted primarily from 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 also resulted in part from an increase from 4,737,527 outstanding Shares at June 30, 2022 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 136.3% for the three months ended September 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $104,679   $(212,510

Management fee

   658,525    161,130 

Brokerage commission

   97,589    40,472 

Futures account fees

   43,620    18,263 

Non-recurring fees and expenses

   4,791    —   

Net realized gain (loss)

   (5,893,297   33,925,723 

Change in net unrealized appreciation (depreciation)

   97,221,527    25,135,708 

Net Income (loss)

  $91,432,909   $58,848,921 

134


The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to lesser increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2022.

ProShares Ultra Euro

Fund Performance

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

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

NAV beginning of period

  $9,415,626  $3,668,741 

NAV end of period

  $13,869,371  $3,479,104 

Percentage change in NAV

   47.3  (5.2)% 

Shares outstanding beginning of period

   850,000   250,000 

Shares outstanding end of period

   1,450,000   250,000 

Percentage change in shares outstanding

   70.6  —  

Shares created

   700,000   —   

Shares redeemed

   100,000   —   

Per share NAV beginning of period

  $11.08  $14.67 

Per share NAV end of period

  $9.57  $13.92 

Percentage change in per share NAV

   (13.7)%   (5.1)% 

Percentage change in benchmark

   (6.0)%   (2.3)% 

Benchmark annualized volatility

   10.53  4.5

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

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

135


Net Income/Loss

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

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

Net investment income (loss)

  $5,288   $(8,271

Management fee

   31,331    8,664 

Non-recurring fees and expenses

   237    —   

Net realized gain (loss)

   (1,618,381   (254,219

Change in net unrealized appreciation (depreciation)

   (95,012   72,853 

Net Income (loss)

  $(1,708,105  $(189,637

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

ProShares Ultra Gold

Fund Performance

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

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

NAV beginning of period

  $239,938,853  $243,456,703 

NAV end of period

  $160,022,292  $230,917,847 

Percentage change in NAV

   (33.3)%   (5.2)% 

Shares outstanding beginning of period

   4,250,000   4,250,000 

Shares outstanding end of period

   3,400,000   4,150,000 

Percentage change in shares outstanding

   (20.0)%   (2.4)% 

Shares created

   50,000   250,000 

Shares redeemed

   900,000   350,000 

Per share NAV beginning of period

  $56.46  $57.28 

Per share NAV end of period

  $47.07  $55.64 

Percentage change in per share NAV

   (16.6)%   (2.9)% 

Percentage change in benchmark

   (7.9)%   (1.0)% 

Benchmark annualized volatility

   13.4  13.8

During the three months ended September 30, 2022, The decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2022 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

136


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

Net Income/Loss

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

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

Net investment income (loss)

  $191,709   $(596,194

Management fee

   475,457    582,103 

Brokerage commission

   8,176    9,421 

Non-recurring fees and expenses

   2,940    —   

Net realized gain (loss)

   (39,826,294   (21,858,089

Change in net unrealized appreciation (depreciation)

   2,222,833    15,574,284 

Net Income (loss)

  $(37,411,752  $(6,879,999

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

ProShares Ultra Silver

Fund Performance

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

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

NAV beginning of period

  $355,577,515  $661,778,727 

NAV end of period

  $323,970,863  $480,309,476 

Percentage change in NAV

   (8.9)%   (27.4)% 

Shares outstanding beginning of period

   14,346,526   14,396,526 

Shares outstanding end of period

   15,546,526   15,146,526 

Percentage change in shares outstanding

   8.4  5.2

Shares created

   2,450,000   1,050,000 

Shares redeemed

   1,250,000   300,000 

Per share NAV beginning of period

  $24.78  $45.97 

Per share NAV end of period

  $20.84  $31.71 

Percentage change in per share NAV

   (15.9)%   (31.0)% 

Percentage change in benchmark

   (6.5)%   (16.0)% 

Benchmark annualized volatility

   31.8  26.7

137


During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from 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 decrease in the Fund’s NAV was offset by an increase from 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $(15,349  $(1,424,705

Management fee

   798,802    1,394,627 

Brokerage commission

   34,796    27,419 

Futures account fees

   —      47,170 

Non-recurring fees and expenses

   5,922    —   

Net realized gain (loss)

   (147,391,314   (201,320,030

Change in net unrealized appreciation (depreciation)

   91,477,472    (6,018,290

Net Income (loss)

  $(55,929,191  $(208,763,025

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

138


ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $975,683,533  $840,870,703 

NAV end of period

  $995,489,778  $1,020,845,873 

Percentage change in NAV

   2.0  21.4

Shares outstanding beginning of period

   67,228,420   30,128,420 

Shares outstanding end of period

   77,328,420   41,778,420 

Percentage change in shares outstanding

   15.0  38.7

Shares created

   93,400,000   37,800,000 

Shares redeemed

   83,300,000   26,150,000 

Per share NAV beginning of period

  $14.51  $27.91 

Per share NAV end of period

  $12.87  $24.43 

Percentage change in per share NAV

   (11.3)%   (12.5)% 

Percentage change in benchmark

   (5.7)%   (5.6)% 

Benchmark annualized volatility

   51.0  69.6

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 67,228,420 outstanding Shares at June 30, 2022 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $(402,633  $(3,993,799

Management fee

   2,831,005    2,221,755 

Brokerage commission

   1,276,819    1,095,975 

Futures account fees

   219,828    668,048 

Non-recurring fees and expenses

   20,117    —   

Net realized gain (loss)

   (289,873,754   (198,380,990

Change in net unrealized appreciation (depreciation)

   161,745,283    186,742,221 

Net Income (loss)

  $(128,531,104  $(15,632,568

139


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

ProShares Ultra Yen

Fund Performance

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

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

NAV beginning of period

  $5,024,773  $2,560,348 

NAV end of period

  $10,159,189  $2,539,880 

Percentage change in NAV

   102.2  (0.8)% 

Shares outstanding beginning of period

   149,970   49,970 

Shares outstanding end of period

   349,970   49,970 

Percentage change in shares outstanding

   133.4  —  

Shares created

   250,000   —   

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $33.51  $51.24 

Per share NAV end of period

  $29.03  $50.83 

Percentage change in per share NAV

   (13.3)%   (0.8)% 

Percentage change in benchmark

   (6.5)%   (0.2)% 

Benchmark annualized volatility

   11.15  5.5

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 149,970 outstanding Shares at June 30, 2022 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and 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 September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

140


Net Income/Loss

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

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

Net investment income (loss)

  $3,923   $(5,973

Management fee

   21,245    6,233 

Non-recurring fees and expenses

   194    —   

Net realized gain (loss)

   (1,652,590   (25,554

Change in net unrealized appreciation (depreciation)

   (14,681   11,059 

Net Income (loss)

  $(1,663,348  $(20,468

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

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

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

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

NAV beginning of period

  $501,157,304  $79,400,059 

NAV end of period

  $368,791,089  $93,575,213 

Percentage change in NAV

   (26.4)%   17.9

Shares outstanding beginning of period

   21,755,220   876,760 

Shares outstanding end of period

   12,155,220   1,236,760 

Percentage change in shares outstanding

   (44.1)%   41.1

Shares created

   11,050,000   670,000 

Shares redeemed

   20,650,000   310,000 

Per share NAV beginning of period

  $23.04  $90.56 

Per share NAV end of period

  $30.34  $75.66 

Percentage change in per share NAV

   31.7  (16.5)% 

Percentage change in benchmark

   (18.6)%   5.4

Benchmark annualized volatility

   42.8  30.9

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 21,755,220 outstanding Shares at June 30, 2022 to 12,155,220 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 876,760 outstanding Shares at June 30, 2021 to 1,236,760 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM.

141


For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $392,570   $(241,725

Management fee

   1,160,746    201,146 

Brokerage commission

   148,121    29,277 

Futures account fees

   39,563    18,193 

Non-recurring fees and expenses

   7,548    —   

Net realized gain (loss)

   66,444,885    (11,449,562

Change in net unrealized appreciation (depreciation)

   76,987,949    (1,520,893

Net Income (loss)

  $143,825,404   $(13,212,180

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

*

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

142


ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

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

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

NAV beginning of period

  $211,823,446  $97,525,300 

NAV end of period

  $242,389,998  $138,468,677 

Percentage change in NAV

   14.4  42.0

Shares outstanding beginning of period

   4,966,856   226,242 

Shares outstanding end of period

   13,966,856   986,242 

Percentage change in shares outstanding

   181.2  335.9

Shares created

   58,900,000   1,025,000 

Shares redeemed

   49,900,000   265,000 

Per share NAV beginning of period

  $42.65  $431.07 

Per share NAV end of period

  $17.35  $140.40 

Percentage change in per share NAV

   (59.3)%   (67.4)% 

Percentage change in benchmark

   25.3  58.6

Benchmark annualized volatility

   76.6  48.6

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,966,856 outstanding Shares at June 30, 2022 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of 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. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 226,242 outstanding Shares at June 30, 2021 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 59.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $(5,144  $(358,817

Management fee

   730,949    258,824 

Brokerage commission

   173,386    67,808 

Futures account fees

   48,485    42,064 

Non-recurring fees and expenses

   5,374    —   

Net realized gain (loss)

   8,115,767    (95,609,878

Change in net unrealized appreciation (depreciation)

   (23,467,384   (17,871,536

Net Income (loss)

  $(15,356,761  $(113,840,231

143


The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2022.

*

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

ProShares UltraShort Euro

Fund Performance

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

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

NAV beginning of period

  $62,270,097  $48,820,440 

NAV end of period

  $90,584,278  $48,640,817 

Percentage change in NAV

   45.5  (0.4)% 

Shares outstanding beginning of period

   2,050,000   2,050,000 

Shares outstanding end of period

   2,600,000   1,950,000 

Percentage change in shares outstanding

   26.8  (4.9)% 

Shares created

   1,100,000   100,000 

Shares redeemed

   550,000   200,000 

Per share NAV beginning of period

  $30.38  $23.81 

Per share NAV end of period

  $34.84  $24.94 

Percentage change in per share NAV

   14.7  4.8

Percentage change in benchmark

   (6.5)%   (2.3)% 

Benchmark annualized volatility

   11.15  4.5

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.

144


Net Income/Loss

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

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

Net investment income (loss)

  $25,953   $(111,725

Management fee

   203,036    116,733 

Non-recurring fees and expenses

   1,835    —   

Net realized gain (loss)

   11,086,708    2,974,466 

Change in net unrealized appreciation (depreciation)

   (292,818   (617,958

Net Income (loss)

  $10,819,843   $2,244,783 

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

ProShares UltraShort Gold

Fund Performance

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

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

NAV beginning of period

  $34,611,284  $32,835,014 

NAV end of period

  $29,634,725  $27,731,022 

Percentage change in NAV

   (14.4)%   (15.5)% 

Shares outstanding beginning of period

   1,096,977   946,977 

Shares outstanding end of period

   796,977   796,977 

Percentage change in shares outstanding

   (27.3)%   (15.8)% 

Shares created

   350,000   650,000 

Shares redeemed

   650,000   800,000 

Per share NAV beginning of period

  $31.55  $34.67 

Per share NAV end of period

  $37.18  $34.80 

Percentage change in per share NAV

   17.9  0.4

Percentage change in benchmark

   (7.9)%   (1.0)% 

Benchmark annualized volatility

   13.4  13.8

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

145


For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $(8,595  $(68,386

Management fee

   76,652    66,304 

Brokerage commission

   3,565    3,301 

Futures account fees

   —      1,856 

Non-recurring fees and expenses

   639    —   

Net realized gain (loss)

   4,988,228    1,213,721 

Change in net unrealized appreciation (depreciation)

   841,546    (1,898,419

Net Income (loss)

  $5,821,179   $(753,084

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

146


ProShares UltraShort Silver

Fund Performance

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

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

NAV beginning of period

  $33,052,840  $34,859,763 

NAV end of period

  $33,763,052  $40,373,877 

Percentage change in NAV

   2.1  15.8

Shares outstanding beginning of period

   1,041,329   1,491,329 

Shares outstanding end of period

   991,329   1,291,329 

Percentage change in shares outstanding

   (4.8)%   (13.4)% 

Shares created

   1,000,000   1,000,000 

Shares redeemed

   1,050,000   1,200,000 

Per share NAV beginning of period

  $31.74  $23.37 

Per share NAV end of period

  $34.06  $31.27 

Percentage change in per share NAV

   7.3  33.8

Percentage change in benchmark

   (6.5)%   (16.0)% 

Benchmark annualized volatility

   31.8  26.7

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $(13,304  $(102,532

Management fee

   67,215    90,963 

Brokerage commission

   8,699    8,141 

Futures account fees

   —      6,528 

Non-recurring fees and expenses

   612    —   

Net realized gain (loss)

   6,215,407    6,662,145 

Change in net unrealized appreciation (depreciation)

   (4,075,524   3,922,596 

Net Income (loss)

  $2,126,579   $10,482,209 

147


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

ProShares UltraShort Yen*

Fund Performance

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

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

NAV beginning of period

  $45,568,882  $27,231,748 

NAV end of period

  $51,937,338  $23,328,922 

Percentage change in NAV

   14.0  (14.3)% 

Shares outstanding beginning of period

   798,580   698,580 

Shares outstanding end of period

   798,580   598,580 

Percentage change in shares outstanding

   —    (14.3)% 

Shares created

   250,000   —   

Shares redeemed

   250,000   100,000 

Per share NAV beginning of period

  $57.06  $38.98 

Per share NAV end of period

  $65.04  $38.97 

Percentage change in per share NAV

   14.0  (0.0)%@ 

Percentage change in benchmark

   (6.5)%   (0.2)% 

Benchmark annualized volatility

   11.2  5.5

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

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

148


Net Income/Loss

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

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

Net investment income (loss)

  $7,640   $(54,645

Management fee

   106,598    57,037 

Non-recurring fees and expenses

   953    —   

Net realized gain (loss)

   5,879,873    197,444 

Change in net unrealized appreciation (depreciation)

   (523,871   (189,932

Net Income (loss)

  $5,363,642   $(47,133

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

*

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

ProShares VIX Mid-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $95,721,271  $92,662,734 

NAV end of period

  $110,420,574  $127,673,137 

Percentage change in NAV

   15.4  37.7

Shares outstanding beginning of period

   2,712,403   3,037,403 

Shares outstanding end of period

   3,112,403   3,962,403 

Percentage change in shares outstanding

   14.7  30.5

Shares created

   850,000   1,200,000 

Shares redeemed

   450,000   275,000 

Per share NAV beginning of period

  $35.29  $30.51 

Per share NAV end of period

  $35.48  $32.22 

Percentage change in per share NAV

   0.6  5.6

Percentage change in benchmark

   1.1  6.0

Benchmark annualized volatility

   22.1  22.9

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,712,403 outstanding Shares at June 30, 2022 to 3,112,403 outstanding Shares at September 30, 2022. 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

149


For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s rise of 1.1% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 6.0% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $(1,269  $(262,156

Management fee

   201,508    221,356 

Brokerage commission

   17,922    20,803 

Futures account fees

   —      28,911 

Non-recurring fees and expenses

   2,050    —   

Net realized gain (loss)

   (1,349,272   (4,024,133

Change in net unrealized appreciation (depreciation)

   3,368,209    10,652,952 

Net Income (loss)

  $2,017,668   $6,366,663 

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

150


ProShares VIX Short-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $341,714,316  $272,352,675 

NAV end of period

  $437,536,628  $368,777,333 

Percentage change in NAV

   28.0  35.3

Shares outstanding beginning of period

   18,757,826   11,307,826 

Shares outstanding end of period

   25,582,826   16,257,826 

Percentage change in shares outstanding

   36.4  43.8

Shares created

   17,775,000   6,300,000 

Shares redeemed

   10,950,000   1,350,000 

Per share NAV beginning of period

  $18.22  $24.09 

Per share NAV end of period

  $17.10  $22.68 

Percentage change in per share NAV

   (6.1)%   (5.8)% 

Percentage change in benchmark

   (5.7)%   (5.6)% 

Benchmark annualized volatility

   51.0  69.6

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 18,757,826 outstanding Shares at June 30, 2022 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $259,392   $(897,586

Management fee

   874,070    660,051 

Brokerage commission

   203,095    97,516 

Futures account fees

   54,944    151,758 

Non-recurring fees and expenses

   8,700    —   

Net realized gain (loss)

   (45,457,319   (51,868,433

Change in net unrealized appreciation (depreciation)

   51,698,947    42,168,297 

Net Income (loss)

  $6,501,020   $(10,597,722

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

151


Results of Operations for the Nine Months Ended September 30, 2022 Compared to the Nine Months Ended September 30, 2021

ProShares Short VIX Short-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $423,812,594  $409,371,468 

NAV end of period

  $321,831,051  $388,523,845 

Percentage change in NAV

   (24.1)%   (5.1)% 

Shares outstanding beginning of period

   6,884,307   9,884,307 

Shares outstanding end of period

   6,634,307   7,134,307 

Percentage change in shares outstanding

   (3.6)%   (27.8)% 

Shares created

   5,050,000   3,400,000 

Shares redeemed

   5,300,000   6,150,000 

Per share NAV beginning of period

  $61.56  $41.42 

Per share NAV end of period

  $48.51  $54.46 

Percentage change in per share NAV

   (21.2)%   31.5

Percentage change in benchmark

   14.7  (58.4)% 

Benchmark annualized volatility

   86.1  73.8

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 6,884,307 outstanding Shares at December 31, 2021 to 6,634,307 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

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

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

152


Net Income/Loss

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

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

Net investment income (loss)

  $(2,481,226  $(4,774,396

Management fee

   2,934,952    3,415,545 

Brokerage commission

   517,911    638,744 

Futures account fees

   348,217    795,836 

Non-recurring fees and expenses

   6,122    —   

Net realized gain (loss)

   (26,521,746   168,119,037 

Change in net unrealized appreciation (depreciation)

   (47,680,063   (14,532,856

Net Income (loss)

  $(76,683,035  $148,811,785 

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

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

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

NAV beginning of period

  $1,103,783,570  $902,739,250 

NAV end of period

  $724,595,262  $1,090,613,716 

Percentage change in NAV

   (34.4)%   20.8

Shares outstanding beginning of period

   51,243,096   99,243,096 

Shares outstanding end of period

   27,643,096   51,643,096 

Percentage change in shares outstanding

   (46.1)%   (48.0)% 

Shares created

   20,700,000   17,400,000 

Shares redeemed

   44,300,000   65,000,000 

Per share NAV beginning of period

  $21.54  $9.10 

Per share NAV end of period

  $26.21  $21.12 

Percentage change in per share NAV

   21.7  132.2

Percentage change in benchmark

   18.7  58.2

Benchmark annualized volatility

   45.6  29.1

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 27,643,096 outstanding Shares at September 30, 2022. the decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM. The increase in the Fund’s NAV was offset by a decrease from 99,243,096 outstanding Shares at December 31, 2020 to 51,643,096 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

153


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

Net Income/Loss

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

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

Net investment income (loss)

  $(5,154,872  $(9,100,359

Management fee

   8,301,804    8,104,728 

Brokerage commission

   421,657    701,710 

Futures account fees

   381,754    632,199 

Non-recurring fees and expenses

   13,739    27,500 

Net realized gain (loss)

   818,132,441    761,182,708 

Change in net unrealized appreciation (depreciation)

   (339,456,270   176,076,207 

Net Income (loss)

  $473,521,299   $928,158,556 

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022.

*

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

154


ProShares Ultra Bloomberg Natural Gas

Fund Performance

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

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

NAV beginning of period

  $193,892,178  $169,800,371 

NAV end of period

  $289,386,097  $145,038,381 

Percentage change in NAV

   49.3  (14.6)% 

Shares outstanding beginning of period

   7,587,527   8,087,527 

Shares outstanding end of period

   5,437,527   1,737,527 

Percentage change in shares outstanding

   (28.3)%   (78.5)% 

Shares created

   15,100,000   5,200,000 

Shares redeemed

   17,250,000   11,550,000 

Per share NAV beginning of period

  $25.55  $21.00 

Per share NAV end of period

  $53.22  $83.47 

Percentage change in per share NAV

   108.3  297.6

Percentage change in benchmark

   86.6  113.0

Benchmark annualized volatility

   71.7  40.5

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from 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 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $(977,992  $(845,018

Management fee

   1,589,759    568,903 

Brokerage commission

   300,747    195,831 

Futures account fees

   177,950    112,998 

Non-recurring fees and expenses

   4,791    —   

Net realized gain (loss)

   235,314,633    80,409,947 

Change in net unrealized appreciation (depreciation)

   (89,199,198   35,684,757 

Net Income (loss)

  $145,137,443   $115,249,686 

155


The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2022.

ProShares Ultra Euro

Fund Performance

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

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

NAV beginning of period

  $8,659,095  $4,737,350 

NAV end of period

  $13,869,371  $3,479,104 

Percentage change in NAV

   60.2  (26.6)% 

Shares outstanding beginning of period

   650,000   300,000 

Shares outstanding end of period

   1,450,000   250,000 

Percentage change in shares outstanding

   123.1  (16.7)% 

Shares created

   1,250,000   100,000 

Shares redeemed

   450,000   150,000 

Per share NAV beginning of period

  $13.32  $15.79 

Per share NAV end of period

  $9.57  $13.92 

Percentage change in per share NAV

   (28.2)%   (11.9)% 

Percentage change in benchmark

   (13.2)%   (5.2)% 

Benchmark annualized volatility

   9.4  5.6

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

156


Net Income/Loss

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

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

Net investment income (loss)

  $(18,918  $(26,743

Management fee

   66,646    28,158 

Non-recurring fees and expenses

   237    —   

Net realized gain (loss)

   (2,511,725   (186,149

Change in net unrealized appreciation (depreciation)

   (514,727   (251,418

Net Income (loss)

  $(3,045,370  $(464,310

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

ProShares Ultra Gold

Fund Performance

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

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

NAV beginning of period

  $232,780,534  $263,540,473 

NAV end of period

  $160,022,292  $230,917,847 

Percentage change in NAV

   (31.3)%   (12.4)% 

Shares outstanding beginning of period

   3,900,000   3,900,000 

Shares outstanding end of period

   3,400,000   4,150,000 

Percentage change in shares outstanding

   (12.8)%   6.4

Shares created

   1,650,000   1,250,000 

Shares redeemed

   2,150,000   1,000,000 

Per share NAV beginning of period

  $59.69  $67.57 

Per share NAV end of period

  $47.07  $55.64 

Percentage change in per share NAV

   (21.1)%   (17.7)% 

Percentage change in benchmark

   (9.3)%   (7.9)% 

Benchmark annualized volatility

   17.4  15.7

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,150,000 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

157


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

Net Income/Loss

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

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

Net investment income (loss)

  $(845,479  $(1,745,829

Management fee

   1,863,020    1,718,350 

Brokerage commission

   43,899    32,974 

Futures account fees

   28,169    64,764 

Non-recurring fees and expenses

   2,940    —   

Net realized gain (loss)

   (39,908,781   (27,599,609

Change in net unrealized appreciation (depreciation)

   (17,626,635   (19,136,522

Net Income (loss)

  $(58,380,895  $(48,481,960

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

ProShares Ultra Silver

Fund Performance

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

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

NAV beginning of period

  $515,453,594  $745,304,028 

NAV end of period

  $323,970,863  $480,309,476 

Percentage change in NAV

   (37.1)%   (35.6)% 

Shares outstanding beginning of period

   14,796,526   14,696,526 

Shares outstanding end of period

   15,546,526   15,146,526 

Percentage change in shares outstanding

   5.1  3.1

Shares created

   4,250,000   4,450,000 

Shares redeemed

   3,500,000   4,000,000 

Per share NAV beginning of period

  $34.84  $50.71 

Per share NAV end of period

  $20.84  $31.71 

Percentage change in per share NAV

   (40.2)%   (37.5)% 

Percentage change in benchmark

   (19.0)%   (17.0)% 

Benchmark annualized volatility

   31.7  33.0

158


During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from 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 decrease in the Fund’s NAV was offset by an increase from 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,526 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $(1,839,301  $(4,805,716

Management fee

   3,098,741    4,640,919 

Brokerage commission

   94,079    114,716 

Futures account fees

   26,693    258,250 

Non-recurring fees and expenses

   5,922    —   

Net realized gain (loss)

   (186,949,626   (80,038,809

Change in net unrealized appreciation (depreciation)

   (16,694,572   (192,156,316

Net Income (loss)

  $(205,483,499  $(277,000,841

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

159


ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $816,679,636  $1,356,204,199 

NAV end of period

  $995,489,778  $1,020,845,873 

Percentage change in NAV

   21.9  (24.7)% 

Shares outstanding beginning of period

   65,828,420   12,713,091 

Shares outstanding end of period

   77,328,420   41,778,420 

Percentage change in shares outstanding

   17.5  228.6

Shares created

   234,900,000   70,385,000 

Shares redeemed

   223,400,000   41,319,671 

Per share NAV beginning of period

  $12.41  $106.68 

Per share NAV end of period

  $12.87  $24.43 

Percentage change in per share NAV

   3.7  (77.1)% 

Percentage change in benchmark

   14.7  (58.4)% 

Benchmark annualized volatility

   86.1  73.8

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 41,778,420 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 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 3.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $(7,265,397  $(16,038,632

Management fee

   7,085,920    8,897,953 

Brokerage commission

   3,183,788    4,225,879 

Futures account fees

   1,446,639    3,243,304 

Non-recurring fees and expenses

   20,117    —   

Net realized gain (loss)

   81,807,278    (1,757,407,418

Change in net unrealized appreciation (depreciation)

   323,479,748    146,498,138 

Net Income (loss)

  $398,021,629   $(1,626,947,912

160


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

ProShares Ultra Yen

Fund Performance

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

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

NAV beginning of period

  $2,362,849  $2,989,499 

NAV end of period

  $10,159,189  $2,539,880 

Percentage change in NAV

   330.0  (15.0)% 

Shares outstanding beginning of period

   49,970   49,970 

Shares outstanding end of period

   349,970   49,970 

Percentage change in shares outstanding

   600.4  —  

Shares created

   350,000   —   

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $47.29  $59.83 

Per share NAV end of period

  $29.03  $50.83 

Percentage change in per share NAV

   (38.6)%   (15.0)% 

Percentage change in benchmark

   (20.3)%   (7.2)% 

Benchmark annualized volatility

   10.1  5.2

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.

161


Net Income/Loss

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

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

Net investment income (loss)

  $(5,605  $(18,221

Management fee

   34,710    19,144 

Non-recurring fees and expenses

   194    —   

Net realized gain (loss)

   (2,531,291   (305,028

Change in net unrealized appreciation (depreciation)

   (3,861   (126,370

Net Income (loss)

  $(2,540,757  $(449,619

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

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

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

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

NAV beginning of period

  $114,167,602  $96,839,233 

NAV end of period

  $368,791,089  $93,575,213 

Percentage change in NAV

   223.0  (3.4)% 

Shares outstanding beginning of period

   1,776,760   416,994 

Shares outstanding end of period

   12,155,220   1,236,760 

Percentage change in shares outstanding

   584.1  196.6

Shares created

   38,940,000   1,447,500 

Shares redeemed

   28,561,540   627,734 

Per share NAV beginning of period

  $64.26  $232.23 

Per share NAV end of period

  $30.34  $75.66 

Percentage change in per share NAV

   (52.8)%   (67.4)% 

Percentage change in benchmark

   18.7  58.2

Benchmark annualized volatility

   45.6  29.1

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 12,155,220 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM. The decrease in the Fund’s NAV was offset by an increase from 416,994 outstanding Shares at December 31, 2020 to 1,236,760 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

162


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

Net Income/Loss

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

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

Net investment income (loss)

  $(1,043,095  $(751,650

Management fee

   2,599,503    603,444 

Brokerage commission

   332,256    100,902 

Futures account fees

   195,542    83,373 

Non-recurring fees and expenses

   7,548    —   

Net realized gain (loss)

   (142,631,216   (86,637,748

Change in net unrealized appreciation (depreciation)

   113,674,105    (5,829,481

Net Income (loss)

  $(30,000,206  $(93,218,879

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil , in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022.

*

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

163


ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

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

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

NAV beginning of period

  $242,145,130  $24,977,745 

NAV end of period

  $242,389,998  $138,468,677 

Percentage change in NAV

   0.1  454.4

Shares outstanding beginning of period

   978,742   26,242 

Shares outstanding end of period

   13,966,856   986,242 

Percentage change in shares outstanding

   1,327.0  3,658.3

Shares created

   82,240,000   1,402,500 

Shares redeemed

   69,251,886   442,500 

Per share NAV beginning of period

  $247.40  $951.82 

Per share NAV end of period

  $17.35  $140.40 

Percentage change in per share NAV

   (93.0)%   (85.3)% 

Percentage change in benchmark

   86.6  113.0

Benchmark annualized volatility

   71.7  40.5

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 26,242 outstanding Shares at December 31, 2020 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 93.0% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 85.3% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $(1,452,942  $(932,981

Management fee

   1,784,017    609,472 

Brokerage commission

   539,244    249,831 

Futures account fees

   255,370    99,190 

Non-recurring fees and expenses

   5,374    —   

Net realized gain (loss)

   (389,255,425   (112,274,576

Change in net unrealized appreciation (depreciation)

   116,824,672    (35,670,233

Net Income (loss)

  $(273,883,695  $(148,877,790

164


The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2022.

*

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

ProShares UltraShort Euro

Fund Performance

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

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

NAV beginning of period

  $54,263,045  $52,953,339 

NAV end of period

  $90,584,278  $48,640,817 

Percentage change in NAV

   66.9  (8.1)% 

Shares outstanding beginning of period

   2,100,000   2,350,000 

Shares outstanding end of period

   2,600,000   1,950,000 

Percentage change in shares outstanding

   23.8  (17.0)% 

Shares created

   1,650,000   300,000 

Shares redeemed

   1,150,000   700,000 

Per share NAV beginning of period

  $25.84  $22.53 

Per share NAV end of period

  $34.84  $24.94 

Percentage change in per share NAV

   34.8  10.7

Percentage change in benchmark

   (13.2)%   (5.2)% 

Benchmark annualized volatility

   9.4  5.6

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 2021 to 2,600,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

165


Net Income/Loss

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

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

Net investment income (loss)

  $(184,021  $(337,637

Management fee

   467,426    355,451 

Non-recurring fees and expenses

   1,835    —   

Net realized gain (loss)

   16,904,945    2,249,236 

Change in net unrealized appreciation (depreciation)

   3,015,661    3,263,109 

Net Income (loss)

  $19,736,585   $5,174,708 

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

ProShares UltraShort Gold

Fund Performance

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

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

NAV beginning of period

  $26,859,844  $20,337,376 

NAV end of period

  $29,634,725  $27,731,022 

Percentage change in NAV

   10.3  36.4

Shares outstanding beginning of period

   846,977   646,977 

Shares outstanding end of period

   796,977   796,977 

Percentage change in shares outstanding

   (5.9)%   23.2

Shares created

   1,500,000   1,700,000 

Shares redeemed

   1,550,000   1,550,000 

Per share NAV beginning of period

  $31.71  $31.43 

Per share NAV end of period

  $37.18  $34.80 

Percentage change in per share NAV

   17.3  10.7

Percentage change in benchmark

   (9.3)%   (7.9)% 

Benchmark annualized volatility

   17.4  15.7

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 to 796,977 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 796,977 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM.

166


For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $(128,991  $(208,304

Management fee

   218,466    199,999 

Brokerage commission

   9,361    9,174 

Futures account fees

   2,446    8,344 

Non-recurring fees and expenses

   639    —   

Net realized gain (loss)

   3,237,429    (1,767,467

Change in net unrealized appreciation (depreciation)

   3,160,276    1,727,781 

Net Income (loss)

  $6,268,714   $(247,990

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

167


ProShares UltraShort Silver

Fund Performance

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

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

NAV beginning of period

  $26,537,000  $28,885,775 

NAV end of period

  $33,763,052  $40,373,877 

Percentage change in NAV

   27.2  39.8

Shares outstanding beginning of period

   991,329   1,041,744 

Shares outstanding end of period

   991,329   1,291,329 

Percentage change in shares outstanding

   —    24.0

Shares created

   2,800,000   3,750,000 

Shares redeemed

   2,800,000   3,500,415 

Per share NAV beginning of period

  $26.77  $27.73 

Per share NAV end of period

  $34.06  $31.27 

Percentage change in per share NAV

   27.2  12.8

Percentage change in benchmark

   (19.0)%   (17.0)% 

Benchmark annualized volatility

   31.7  33.0

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,291,329 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $(125,396  $(279,779

Management fee

   190,549    248,539 

Brokerage commission

   20,677    19,409 

Futures account fees

   4,443    20,726 

Non-recurring fees and expenses

   612    —   

Net realized gain (loss)

   8,252,703    (2,146,577

Change in net unrealized appreciation (depreciation)

   1,567,440    10,463,787 

Net Income (loss)

  $9,694,747   $8,037,431 

168


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

ProShares UltraShort Yen*

Fund Performance

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

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

NAV beginning of period

  $24,840,784  $23,691,070 

NAV end of period

  $51,937,338  $23,328,922 

Percentage change in NAV

   109.1  (1.5)% 

Shares outstanding beginning of period

   598,580   698,580 

Shares outstanding end of period

   798,580   598,580 

Percentage change in shares outstanding

   33.4  (14.3)% 

Shares created

   1,100,000   200,000 

Shares redeemed

   900,000   300,000 

Per share NAV beginning of period

  $41.50  $33.91 

Per share NAV end of period

  $65.04  $38.97 

Percentage change in per share NAV

   56.7  14.9

Percentage change in benchmark

   (20.3)%   (7.2)% 

Benchmark annualized volatility

   10.1  5.2

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at December 31, 2020 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 56.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.

169


Net Income/Loss

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

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

Net investment income (loss)

  $(109,049  $(186,478

Management fee

   259,599    196,036 

Non-recurring fees and expenses

   953    —   

Net realized gain (loss)

   14,980,187    3,055,103 

Change in net unrealized appreciation (depreciation)

   (453,336   1,066,333 

Net Income (loss)

  $14,417,802   $3,934,958 

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

*

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

ProShares VIX Mid-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $112,875,680  $72,075,095 

NAV end of period

  $110,420,574  $127,673,137 

Percentage change in NAV

   (2.2)%   77.1

Shares outstanding beginning of period

   3,687,403   1,962,403 

Shares outstanding end of period

   3,112,403   3,962,403 

Percentage change in shares outstanding

   (15.6)%   101.9

Shares created

   1,850,000   2,625,000 

Shares redeemed

   2,425,000   625,000 

Per share NAV beginning of period

  $30.61  $36.73 

Per share NAV end of period

  $35.48  $32.22 

Percentage change in per share NAV

   15.9  (12.3)% 

Percentage change in benchmark

   17.8  (11.4)% 

Benchmark annualized volatility

   32.5  28.3

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

170


For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 17.8% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 11.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.

Net Income/Loss

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

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

Net investment income (loss)

  $(437,530  $(694,100

Management fee

   627,755    586,702 

Brokerage commission

   58,291    48,211 

Futures account fees

   46,394    86,674 

Non-recurring fees and expenses

   2,050    —   

Net realized gain (loss)

   11,304,277    (14,890,359

Change in net unrealized appreciation (depreciation)

   6,887,044    5,949,460 

Net Income (loss)

  $17,753,791   $(9,634,999

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

171


ProShares VIX Short-Term Futures ETF

Fund Performance

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

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

NAV beginning of period

  $269,703,164  $293,390,549 

NAV end of period

  $437,536,628  $368,777,333 

Percentage change in NAV

   62.2  25.7

Shares outstanding beginning of period

   17,832,826   5,331,579 

Shares outstanding end of period

   25,582,826   16,257,826 

Percentage change in shares outstanding

   43.5  204.9

Shares created

   35,900,000   16,556,250 

Shares redeemed

   28,150,000   5,630,003 

Per share NAV beginning of period

  $15.12  $55.03 

Per share NAV end of period

  $17.10  $22.68 

Percentage change in per share NAV

   13.1  (58.8)% 

Percentage change in benchmark

   14.7  (58.4)% 

Benchmark annualized volatility

   86.1  73.8

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

Net Income/Loss

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

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

Net investment income (loss)

  $(1,545,500  $(3,019,972

Management fee

   2,353,478    2,154,874 

Brokerage commission

   490,751    365,013 

Futures account fees

   371,384    591,272 

Non-recurring fees and expenses

   8,700    —   

Net realized gain (loss)

   31,935,690    (304,349,667

Change in net unrealized appreciation (depreciation)

   84,851,343    27,729,790 

Net Income (loss)

  $115,241,533   $(279,639,849

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

172


Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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

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

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2022 and 2021, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

As of September 30, 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 September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (Cboe)

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

VIX Futures (Cboe)

  Short  November 2021   4,001    23.69    1,000    (94,767,286

The September 30, 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.

173


ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index
Close
   Notional Amount
at Value
 

Bloomberg Commodity Balanced WTI Crude Oil Index

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

Bloomberg Commodity Balanced WTI Crude Oil Index

  Goldman Sachs International  Long   77.9524    218,463,160 

Bloomberg Commodity Balanced WTI Crude Oil Index

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

Bloomberg Commodity Balanced WTI Crude Oil Index

  Societe Generale  Long   77.9524    165,828,296 

Bloomberg Commodity Balanced WTI Crude Oil Index

  UBS AG  Long   77.9524    246,871,587 

Futures Positions as of September 30, 2021

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  December 2021   5,657   $74.70    1,000   $422,577,900 

WTI Crude Oil (NYMEX)

  Long  June 2022   5,843    71.15    1,000    415,729,450 

WTI Crude Oil (NYMEX)

  Long  December 2022   6,063    67.70    1,000    410,465,100 

Swap Agreements as of September 30, 2021

Reference Index

  

Counterparty

  Long or
Short
  Index
Close
   Notional Amount
at Value
 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Citibank, N.A.  Long  $63.6871   $143,554,545 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Goldman Sachs International  Long   63.6871    203,094,978 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Morgan Stanley & Co. International PLC  Long   63.6871    248,642,399 

Bloomberg Commodity Balanced WTI Crude Oil Index

  Societe Generale  Long   63.6871    135,481,695 

Bloomberg Commodity Balanced WTI Crude Oil Index

  UBS AG  Long   63.6871    201,694,052 

174


The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 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 September 30, 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 September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

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

Futures Positions as of September 30, 2021

Contract

  Long or
Short
  

Expiration

  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

  Long  November 2021   4,944   $5.87    10,000   $290,064,480 

The September 30, 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.

ProShares Ultra Euro:

As of September 30, 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 September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2022

Reference

Currency

  

Counterparty

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

Euro

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

Euro

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

Euro

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

175


Foreign Currency Forward Contracts as of September 30, 2021

 

 

Reference

Currency

  

Counterparty

  

Long or
Short

  Settlement
Date
   Local Currency  Forward Rate   Market Value
USD
 

Euro

  Goldman Sachs International  Long   10/08/21    3,388,921   1.1851   $4,016,217 

Euro

  UBS AG  Long   10/08/21    2,801,502   1.1849    3,319,492 

Euro

  Goldman Sachs International  Short   10/08/21    (93,000  1.1685   $(108,671

Euro

  UBS AG  Short   10/08/21    (84,000  1.1726    (98,499

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

Futures Positions as of September 30, 2022

Contract

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

Gold Futures (COMEX)

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

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Gold Subindex

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

Bloomberg Gold Subindex

  Goldman Sachs International  Long   180.7152    47,529,603 

Bloomberg Gold Subindex

  UBS AG  Long   180.7152    104,098,025 

Futures Positions as of September 30, 2021

Contract

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

Gold Futures (COMEX)

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

Swap Agreements as of September 30, 2021

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Gold Subindex

  Citibank, N.A.  Long  $193.6583   $107,235,945 

Bloomberg Gold Subindex

  Goldman Sachs International  Long   193.6583    92,669,240 

Bloomberg Gold Subindex

  UBS AG  Long   193.6583    111,553,685 

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 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

176


or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 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 September 30, 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 SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

Silver Futures (COMEX)

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

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

  Goldman Sachs International  Long   169.7456    18,803,260 

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

  UBS AG  Long   169.7456    124,719,934 

Futures Positions as of September 30, 2021

Contract

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

Silver Futures (COMEX)

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

Swap Agreements as of September 30, 2021

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Silver Subindex

  Citibank, N.A.  Long  $200.3035   $219,572,067 

Bloomberg Silver Subindex

  Goldman Sachs International  Long   200.3035    219,657,055 

Bloomberg Silver Subindex

  Morgan Stanley & Co. International PLC  Long   200.3035    204,665,509 

Bloomberg Silver Subindex

  UBS AG  Long   200.3035    182,787,599 

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 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. 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.

177


ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 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 September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

Contract

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

VIX Futures (Cboe)

  Long  October 2021   32,595   $22.87    1,000   $745,375,941 

VIX Futures (Cboe)

  Long  November 2021   30,104    23.69    1,000    713,040,334 

Swap Agreements as of September 30, 2021

Reference Index

  

Counterparty

  Long or
Short
  Index
Close
   Notional Amount
at Value
 

iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index

  Goldman Sachs International  Long  $27.8300   $73,401,625 

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 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 $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Yen:

As of September 30, 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 September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

178


Foreign Currency Forward Contracts as of September 30, 2022

Reference

Currency

  

Counterparty

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

Yen

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

Yen

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

Yen

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

Yen

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

Foreign Currency Forward Contracts as of September 30, 2021

Reference

Currency

  

Counterparty

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

Yen

  Goldman Sachs International  Long   10/08/21    327,930,517   0.009089   $2,980,606 

Yen

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

Yen

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

Yen

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

The September 30, 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 Bloomberg Crude Oil:

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

Futures Positions as of September 30, 2022

Contract

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

Futures Positions as of September 30, 2021

Contract

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

WTI Crude Oil (NYMEX)

  Short  December 2021   848   $74.70    1,000   $(63,345,600

WTI Crude Oil (NYMEX)

  Short  June 2022   876    71.15    1,000    (62,327,400

WTI Crude Oil (NYMEX)

  Short  December 2022   909    67.70    1,000    (61,539,300

179


The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 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 September 30, 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 September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract

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

Natural Gas (NYMEX)

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

Futures Positions as of September 30, 2021

Contract

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

Natural Gas (NYMEX)

  Short  November 2021   4,720   $5.87    10,000   $(276,922,400

The September 30, 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 September 30, 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 September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

180


Foreign Currency Forward Contracts as of September 30, 2022

Reference

Currency

  

Counterparty

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

Euro

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

Euro

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

Euro

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

Foreign Currency Forward Contracts as of September 30, 2021

Reference

Currency

  

Counterparty

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

Euro

  UBS AG  Long   10/08/21    5,650,000   1.1862   $6,702,072 

Euro

  Goldman Sachs International  Short   10/08/21    (39,458,263  1.1837   $(46,708,330

Euro

  UBS AG  Short   10/08/21    (49,895,199  1.1841    (59,081,294

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

Futures Positions as of September 30, 2022

Contract

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

Gold Futures (COMEX)

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

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Gold Subindex

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

Bloomberg Gold Subindex

  Goldman Sachs International  Short   180.7152    (8,863,141

Bloomberg Gold Subindex

  UBS AG  Short   180.7152    (10,598,433

Futures Positions as of September 30, 2021

Contract

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

Gold Futures (COMEX)

  Short  December 2021   114   $1,757.00    100   $(20,029,800

181


Swap Agreements as of September 30, 2021

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Gold Subindex

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

Bloomberg Gold Subindex

  Goldman Sachs International  Short   193.6583    (9,497,933

Bloomberg Gold Subindex

  UBS AG  Short   193.6583    (11,357,509

The September 30, 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 September 30, 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. 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 Silver:

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

Futures Positions as of September 30, 2022

Contract

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

Silver Futures (COMEX)

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

Swap Agreements as of September 30, 2022

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

  Goldman Sachs International  Short   169.7456    (8,338,415

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

  UBS AG  Short   169.7456    (2,108,259

Futures Positions as of September 30, 2021

Contract

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

Silver Futures (COMEX)

  Short  December 2021   380   $22.05    5,000   $(41,889,300

182


Swap Agreements as of September 30, 2021

Reference Index

  

Counterparty

  Long or
Short
  Index Close   Notional Amount
at Value
 

Bloomberg Silver Subindex

  Citibank, N.A.  Short  $200.3035   $(7,432,206

Bloomberg Silver Subindex

  Goldman Sachs International  Short   200.3035    (9,839,512

Bloomberg Silver Subindex

  Morgan Stanley & Co. International PLC  Short   200.3035    (7,779,988

Bloomberg Silver Subindex

  UBS AG  Short   200.3035    (13,786,912

The September 30, 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 September 30, 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 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 Yen:

As of September 30, 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 September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2022

Reference

Currency

  

Counterparty

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

Yen

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

Yen

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

Yen

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

Yen

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

Foreign Currency Forward Contracts as of September 30, 2021

Reference

Currency

  

Counterparty

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

Yen

  Goldman Sachs International  Long   10/08/21    32,600,000   0.009147   $298,181 

Yen

  UBS AG  Long   10/08/21    373,110,000   0.009098    3,394,710 

Yen

  Goldman Sachs International  Short   10/08/21    (1,558,854,165  0.009077   $(14,149,247

Yen

  UBS AG  Short   10/08/21    (4,049,118,875  0.009085    (36,785,074

The September 30, 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.

183


ProShares VIX Mid-Term Futures ETF

As of September 30, 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 September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

Contract

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

VIX Futures (Cboe)

  Long  January 2022   872   $24.80    1,000   $21,626,210 

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

The September 30, 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 September 30, 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 September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

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Futures Positions as of September 30, 2022

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

  Long  November 2021   7,617    23.69    1,000    180,415,500 

The September 30, 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).

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Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -1x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2021, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the

187


Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

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

Item 1.

Legal Proceedings.

As of September 30, 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.

During April 2020,

1
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Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the collapsenovel coronavirus (COVID-19) and its variants 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 if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.
As the hospitalization rates and COVID-related deaths continue to fall, the severity of lockdowns and restrictive policies relative to the onset of the COVID-19 pandemic will decrease as the situation gradually improves. Currently the bear market continues to recover from the lockdowns and restrictions that brought economic strain to several industries. 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 fuel as a result of economic conditions relatingcrude oil. This led toCOVID-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 deliverywhich impacted the price of crude oil were unable to store theand futures contracts on crude oil and were at risk of default undercaused historic volatility in the terms of the May 2020 WTImarket for crude oil and 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 certaincontracts. Currently, 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, includingprices have increased since 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 performanceonset of the Short Crude Oil Fund.

COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.

On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak ofongoing hostilities between the two countries could result in moreadditional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition,As the war continues sanctions imposed on Russia by the United States and other countries, and any sanctions imposedRussian exports 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.

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.
13
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Table of Contents
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. 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 June 30, 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
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for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.
Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).
ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
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
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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.
On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Split was effective at the market open on June 23, 2023, 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 (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2023 and 2022, each of the Funds earned interest income as follows:
Fund
 
Interest Income
Three Months
Ended
June 30, 2023
  
Interest Income
Three Months
Ended
June 30, 2022
  
Interest Income
Six Months
Ended
June 30, 2023
  
Interest Income
Six Months
Ended
June 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
 $2,437,210  $225,134  $4,546,332  $319,477 
ProShares Ultra Bloomberg Crude Oil
  5,878,092   1,264,011   11,886,000   1,572,891 
ProShares Ultra Bloomberg Natural Gas
  8,866,705   146,470   17,825,228   186,051 
ProShares Ultra Euro
  88,182   6,522   185,419   11,109 
ProShares Ultra Gold
  1,983,196   319,154   3,632,210   414,267 
ProShares Ultra Silver
  3,701,182   421,514   7,075,578   561,963 
ProShares Ultra VIX Short-Term Futures ETF
  4,750,595   430,670   9,167,250   525,931 
ProShares Ultra Yen
  114,980   3,064   235,098   3,937 
ProShares UltraShort Bloomberg Crude Oil
  1,560,028   289,299   3,563,237   343,206 
ProShares UltraShort Bloomberg Natural Gas
  1,344,889   122,188   2,531,641   178,013 
ProShares UltraShort Euro
  593,746   39,011   1,240,866   54,416 
ProShares UltraShort Gold
  184,052   19,975   316,614   29,660 
ProShares UltraShort Silver
  323,734   18,743   523,812   27,663 
ProShares UltraShort Yen
  255,354   26,913   459,554   36,312 
ProShares VIX Mid-Term Futures ETF
  650,585   52,826   1,298,505   76,749 
ProShares VIX Short-Term Futures ETF
  2,440,291   207,903   4,560,852   278,612 
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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.
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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.
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 August 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.
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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 June 30, 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.
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.
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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.
Results of Operations for the Three Months Ended June 30, 2023 Compared to the Three Months Ended June 30, 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 June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $295,340,393  $495,588,849 
NAV end of period
  $282,353,267  $403,644,956 
Percentage change in NAV
   (4.4)%   (18.6)% 
Shares outstanding beginning of period
   4,634,307   9,084,307 
Shares outstanding end of period
   3,334,307   8,384,307 
Percentage change in shares outstanding
   (28.1)%   (7.7)% 
Shares created
   550,000   1,600,000 
Shares redeemed
   1,850,000   2,300,000 
Per share NAV beginning of period
  $63.73  $54.55 
Per share NAV end of period
  $84.68  $48.14 
Percentage change in per share NAV
   32.9  (11.8)% 
Percentage change in benchmark
   (44.4)%   10.3
Benchmark annualized volatility
   45.8  90.4
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,634,307 outstanding Shares at March 31, 2023 to 3,334,307 outstanding Shares at June 30, 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 June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 32.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.8% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,696,752   $(1,094,000
Management fee
   617,036    1,034,361 
Brokerage commission
   123,422    177,552 
Futures account fees
       107,221 
Net realized gain (loss)
   65,202,331    (13,105,212
Change in net unrealized appreciation (depreciation)
   9,673,101    (34,507,780
Net Income (loss)
  $76,572,184   $(48,706,992
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2023.
ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $811,668,456  $1,336,980,685 
NAV end of period
  $738,194,368  $1,060,867,238 
Percentage change in NAV
   (9.1)%   (20.7)% 
Shares outstanding beginning of period
   30,593,096   35,243,096 
Shares outstanding end of period
   31,093,096   25,493,096 
Percentage change in shares outstanding
   1.6  (27.7)% 
Shares created
   15,550,000   1,700,000 
Shares redeemed
   15,050,000   11,450,000 
Per share NAV beginning of period
  $26.53  $37.94 
Per share NAV end of period
  $23.74  $41.61 
Percentage change in per share NAV
   (10.5)%   9.7
Percentage change in benchmark
   (4.4)%   6.8
Benchmark annualized volatility
   32.8  37.5
During the three months ended June 30, 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 Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 30,593,096 outstanding Shares at March 31, 2023 to 31,093,096 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to decrease in shareholder activity offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two
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times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an decrease from 35,243,096 outstanding Shares at March 31, 2022 to 25,493,096 outstanding Shares at June 30, 2022.
For the three months ended June 30, 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 10.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 9.7% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 4.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $4,038,791   $(2,084,704
Management fee
   1,744,998    3,098,904 
Brokerage commission
   94,303    140,210 
Futures account fees
       109,601 
Net realized gain (loss)
   (76,414,795   363,291,439 
Change in net unrealized appreciation (depreciation)
   45,539,157    (211,544,109
Net Income (loss)
  $(26,836,847  $149,662,626 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of WTI Crude Oil during the three months ended June 30, 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 June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $1,139,983,773  $145,069,486 
NAV end of period
  $1,141,021,278  $187,297,842 
Percentage change in NAV
   0.1  29.1
Shares outstanding beginning of period
   15,454,376   129,376 
Shares outstanding end of period
   16,421,876   236,876 
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Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Percentage change in shares outstanding
   6.3  83.1
Shares created
   13,792,500   325,000 
Shares redeemed
   12,825,000   217,500 
Per share NAV beginning of period
  $73.76  $1121.30 
Per share NAV end of period
  $69.48  $790.70 
Percentage change in per share NAV
   (5.8)%   (29.5)% 
Percentage change in benchmark
   2.2  (6.0)% 
Benchmark annualized volatility
   57.7  37.5
During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 15,454,376 outstanding Shares at March 31, 2023 to 16,421,876 outstanding Shares at June 30, 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 Subindex
SM
. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 129,376 outstanding Shares at March 31, 2022 to 236,876 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended June 30, 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 5.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.5% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s rise of 2.2% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended June 30, 2022, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $4,920,978   $(566,073
Management fee
   2,588,571    534,624 
Brokerage commission
   1,145,371    114,706 
Futures account fees
   211,785    63,213 
Net realized gain (loss)
   (616,886,915   164,990,694 
Change in net unrealized appreciation (depreciation)
   658,057,024    (271,288,469
Net Income (loss)
  $46,091,087   $(106,863,848
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended June 30, 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 Ultra Bloomberg Natural Gas.
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $8,616,433  $6,236,982 
NAV end of period
  $7,535,435  $9,415,626 
Percentage change in NAV
   (12.5)%   51.0
Shares outstanding beginning of period
   750,000   500,000 
Shares outstanding end of period
   650,000   850,000 
Percentage change in shares outstanding
   (13.3)%   70.0
Shares created
      450,000 
Shares redeemed
   100,000   100,000 
Per share NAV beginning of period
  $11.49  $12.47 
Per share NAV end of period
  $11.59  $11.08 
Percentage change in per share NAV
   0.9  (11.1)% 
Percentage change in benchmark
   0.6  (5.3)% 
Benchmark annualized volatility
   6.8  9.1
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 750,000 outstanding Shares at March 31, 2023 to 650,000 outstanding Shares at June 30, 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 June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 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 0.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.1% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s rise of 0.6% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 5.3% for the three months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months
Ended
June 30, 2022
 
Net investment income (loss)
  $68,331   $(8,515
Management fee
   19,851    15,037 
Net realized gain (loss)
   78,291    (446,365
Change in net unrealized appreciation (depreciation)
   (79,023   (281,290
Net Income (loss)
  $67,599   $(736,170
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2023.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $201,161,529  $355,029,822 
NAV end of period
  $180,916,531  $239,938,853 
Percentage change in NAV
   (10.1)%   (32.4)% 
Shares outstanding beginning of period
   3,200,000   5,300,000 
Shares outstanding end of period
   3,100,000   4,250,000 
Percentage change in shares outstanding
   (3.1)%   (19.8)% 
Shares created
   50,000   100,000 
Shares redeemed
   150,000   1,150,000 
Per share NAV beginning of period
  $62.86  $66.99 
Per share NAV end of period
  $58.36  $56.46 
Percentage change in per share NAV
   (7.2)%   (15.7)% 
Percentage change in benchmark
   (2.5)%   (7.6)% 
Benchmark annualized volatility
   12.7  13.8
During the three months ended June 30, 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 Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,200,000 outstanding Shares at March 31, 2023 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
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For the three months ended June 30, 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 7.2% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 15.7% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,502,010   $(419,722
Management fee
   474,261    716,148 
Brokerage commission
   6,925    14,064 
Futures account fees
   —      8,664 
Net realized gain (loss)
   17,168,107    (57,901,083
Change in net unrealized appreciation (depreciation)
   (32,854,842   4,971,043 
Net Income (loss)
  $(14,184,725  $(53,349,762
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $429,115,334  $558,375,841 
NAV end of period
  $356,791,659  $355,577,515 
Percentage change in NAV
   (16.9)%   (36.3)% 
Shares outstanding beginning of period
   13,796,526   14,296,526 
Shares outstanding end of period
   13,196,526   14,346,526 
Percentage change in shares outstanding
   (4.3)%   0.3
Shares created
   700,000   800,000 
Shares redeemed
   1,300,000   750,000 
Per share NAV beginning of period
  $31.10  $39.06 
Per share NAV end of period
  $27.04  $24.78 
Percentage change in per share NAV
   (13.1)%   (36.6)% 
Percentage change in benchmark
   (5.1)%   (19.4)% 
Benchmark annualized volatility
   24.1  23.7
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During the three months ended June 30, 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 Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 13,796,526 outstanding Shares at March 31, 2023 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 14,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2022.
For the three months ended June 30, 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 13.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 36.6% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,677,602   $(695,746
Management fee
   976,505    1,082,340 
Brokerage commission
   47,075    28,732 
Futures account fees
   —      6,188 
Net realized gain (loss)
   64,615,443    (156,195,349
Change in net unrealized appreciation (depreciation)
   (119,017,342   (50,135,799
Net Income (loss)
  $(51,724,297  $(207,026,894
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.
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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 June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $535,980,236  $1,127,608,641 
NAV end of period
  $387,764,059  $975,683,533 
Percentage change in NAV
   (27.7)%   (13.5)% 
Shares outstanding beginning of period
   11,587,842   8,352,842 
Shares outstanding end of period
   20,977,842   6,722,842 
Percentage change in shares outstanding
   81.0  (19.5)% 
Shares created
   12,940,000   5,840,000 
Shares redeemed
   3,550,000   7,470,000 
Per share NAV beginning of period
  $46.25  $135.00 
Per share NAV end of period
  $18.48  $145.13 
Percentage change in per share NAV
   (60.0)%   7.5
Percentage change in benchmark
   (44.4)%   10.3
Benchmark annualized volatility
   45.8  90.4
During the three months ended June 30, 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 11,587,842 outstanding Shares at March 31, 2023 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,352,842 outstanding Shares at March 31, 2022 to 6,722,842 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 60.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,581,004   $(3,277,402
Management fee
   1,330,081    2,293,738 
Brokerage commission
   712,511    970,211 
Futures account fees
   126,999    444,123 
Net realized gain (loss)
   (426,300,356   90,701,501 
Change in net unrealized appreciation (depreciation)
   (45,315,177   196,735,349 
Net Income (loss)
  $(469,034,529  $284,159,448 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices, during the three months ended June 30, 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 Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $9,915,083  $2,099,705 
NAV end of period
  $12,330,974  $5,024,773 
Percentage change in NAV
   24.4  139.3
Shares outstanding beginning of period
   299,970   49,970 
Shares outstanding end of period
   449,970   149,970 
Percentage change in shares outstanding
   50.0  200.1
Shares created
   150,000   100,000 
Shares redeemed
   —     —   
Per share NAV beginning of period
  $33.05  $42.02 
Per share NAV end of period
  $27.40  $33.51 
Percentage change in per share NAV
   (17.1)%   (20.3)% 
Percentage change in benchmark
   (8.0)%   (10.3)% 
Benchmark annualized volatility
   8.9  11.5
During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 299,970 outstanding Shares at March 31, 2023 to 449,970 outstanding Shares at June 30, 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 spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 2022, the increase in
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the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at March 31, 2022 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended June 30, 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 17.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 20.3% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 8.0% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $89,650   $(4,972
Management fee
   25,330    8,036 
Net realized gain (loss)
   (770,142   (761,478
Change in net unrealized appreciation (depreciation)
   (1,348,109   152,185 
Net Income (loss)
  $(2,028,601  $(614,265
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a 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 June 30, 2023.
ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $144,762,563  $416,799,231 
NAV end of period
  $112,854,952  $501,157,304 
Percentage change in NAV
   (22.0)%   20.2
Shares outstanding beginning of period
   5,755,220   14,286,760 
Shares outstanding end of period
   4,405,220   21,755,220 
Percentage change in shares outstanding
   (23.5)%   52.3
Shares created
   6,250,000   12,320,000 
Shares redeemed
   7,600,000   4,851,540 
Per share NAV beginning of period
  $25.15  $29.17 
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Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Per share NAV end of period
  $25.62  $23.04 
Percentage change in per share NAV
   1.9  (21.0)% 
Percentage change in benchmark
   (4.4)%   6.8
Benchmark annualized volatility
   32.8  37.5
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,755,220
outstanding Shares at March 31, 2023 to 4,405,220 outstanding Shares at June 30, 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 Index
SM
. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily due to increase in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a increase from 14,286,760 outstanding Shares at March 31, 2022 to 21,755,220 outstanding Shares at June 30, 2022.
For the three months ended June 30, 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 1.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.0% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 4.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,140,772   $(849,692
Management fee
   359,177    946,110 
Brokerage commission
   60,079    107,079 
Futures account fees
   —      85,802 
Net realized gain (loss)
   28,034,524    (102,594,000
Change in net unrealized appreciation (depreciation)
   (8,216,608   34,757,114 
Net Income (loss)
  $20,958,688   $(68,686,578
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of WTI Crude Oil during the three months ended June 30, 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.
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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 June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $146,981,760  $250,340,837 
NAV end of period
  $141,324,963  $211,823,446 
Percentage change in NAV
   (3.8)%   (15.4)% 
Shares outstanding beginning of period
   2,066,856   3,868,620 
Shares outstanding end of period
   2,566,856   4,966,856 
Percentage change in shares outstanding
   24.2  28.4
Shares created
   6,600,000   18,700,000 
Shares redeemed
   6,100,000   17,601,764 
Per share NAV beginning of period
  $71.11  $64.71 
Per share NAV end of period
  $55.06  $42.65 
Percentage change in per share NAV
   (22.6)%   (34.1)% 
Percentage change in benchmark
   2.2  (6.0)% 
Benchmark annualized volatility
   57.7  87.3
During the three months ended June 30, 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 the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 2,066,856 outstanding Shares at March 31, 2023 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,620 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended June 30, 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 22.6% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 34.1% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s rise of 2.2% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended June 30, 2022, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $782,210   $(610,379
Management fee
   302,274    510,704 
Brokerage commission
   233,647    144,907 
Futures account fees
   26,758    76,956 
Net realized gain (loss)
   48,737,843    (282,646,884
Change in net unrealized appreciation (depreciation)
   (61,250,100   228,079,127 
Net Income (loss)
  $(11,730,047  $(55,178,136
The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended June 30, 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.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $59,537,260  $50,498,084 
NAV end of period
  $50,931,301  $62,270,097 
Percentage change in NAV
   (14.5)%   23.3
Shares outstanding beginning of period
   2,050,000   1,850,000 
Shares outstanding end of period
   1,750,000   2,050,000 
Percentage change in shares outstanding
   (14.6)%   10.8
Shares created
      500,000 
Shares redeemed
   300,000   300,000 
Per share NAV beginning of period
  $29.04  $27.30 
Per share NAV end of period
  $29.10  $30.38 
Percentage change in per share NAV
   0.2  11.3
Percentage change in benchmark
   0.6  (5.3)% 
Benchmark annualized volatility
   6.8  9.1
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at March 31, 2023 to 1,750,000 outstanding Shares at June 30, 2023. 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
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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 June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 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 0.2% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 11.3% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s rise of 0.6% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 5.3% for the three months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $462,645   $(107,923
Management fee
   131,101    146,934 
Net realized gain (loss)
   (1,045,942   3,065,129 
Change in net unrealized appreciation (depreciation)
   556,469    3,039,738 
Net Income (loss)
  $(26,828  $5,996,944 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2023.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $16,049,273  $32,598,451 
NAV end of period
  $15,809,378  $34,611,284 
Percentage change in NAV
   (1.5)%   6.2
Shares outstanding beginning of period
   596,977   1,196,977 
Shares outstanding end of period
   546,977   1,096,977 
Percentage change in shares outstanding
   (8.4)%   (8.4)% 
Shares created
   300,000   700,000 
Shares redeemed
   350,000   800,000 
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Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Per share NAV beginning of period
  $26.88  $27.23 
Per share NAV end of period
  $28.90  $31.55 
Percentage change in per share NAV
   7.5  15.9
Percentage change in benchmark
   (2.5)%   (7.6)% 
Benchmark annualized volatility
   12.7  13.8
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 596,977 outstanding Shares at March 31, 2023 to 546,977 outstanding Shares at June 30, 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 Gold Subindex
SM
. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,196,977 outstanding Shares at March 31, 2022 to 1,096,977 outstanding Shares at June 30, 2022.
For the three months ended June 30, 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 7.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 15.9% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $139,578   $(59,266
Management fee
   42,869    75,676 
Brokerage commission
   1,605    2,985 
Futures account fees
   —      580 
Net realized gain (loss)
   (1,553,151   4,557,870 
Change in net unrealized appreciation (depreciation)
   2,758,921    289,951 
Net Income (loss)
  $1,345,348   $4,788,555 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to lesser decrease in the value of the futures prices during the three months ended June 30, 2023.
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ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $20,335,691  $23,406,516 
NAV end of period
  $19,290,473  $33,052,840 
Percentage change in NAV
   (5.1)%   41.2
Shares outstanding beginning of period
   1,091,329   1,091,329 
Shares outstanding end of period
   941,329   1,041,329 
Percentage change in shares outstanding
   (13.7)%   (4.6)% 
Shares created
   2,450,000   700,000 
Shares redeemed
   2,600,000   750,000 
Per share NAV beginning of period
  $18.63  $21.45 
Per share NAV end of period
  $20.49  $31.74 
Percentage change in per share NAV
   10.0  48.0
Percentage change in benchmark
   (5.1)%   (19.4)% 
Benchmark annualized volatility
   24.1  23.7
During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,091,329 outstanding Shares at March 31, 2023 to 941,329 outstanding Shares at June 30, 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 Silver Subindex
SM
. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,091,329 outstanding Shares at March 31, 2022 to 1,041,329 outstanding Shares at June 30, 2022.
For the three months ended June 30, 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 10.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 48.0% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $232,359   $(51,484
Management fee
   82,417    62,381 
Brokerage commission
   8,958    6,677 
Futures account fees
   —      1,169 
Net realized gain (loss)
   1,112,690    9,411,232 
Change in net unrealized appreciation (depreciation)
   5,650,294    3,853,312 
Net Income (loss)
  $6,995,343   $13,213,060 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.
ProShares UltraShort Yen
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $25,111,818  $27,726,701 
NAV end of period
  $27,077,656  $45,568,882 
Percentage change in NAV
   7.8  64.4
Shares outstanding beginning of period
   448,580   598,580 
Shares outstanding end of period
   398,580   798,580 
Percentage change in shares outstanding
   (11.1)%   33.4
Shares created
   250,000   650,000 
Shares redeemed
   300,000   450,000 
Per share NAV beginning of period
  $55.98  $46.32 
Per share NAV end of period
  $67.94  $57.06 
Percentage change in per share NAV
   21.4  23.2
Percentage change in benchmark
   (8.0)%   (10.3)% 
Benchmark annualized volatility
   8.9  11.4
During the three months ended June 30, 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 spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 448,580 outstanding Shares at March 31, 2023 to 398,580 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at March 31, 2022 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from
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the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended June 30, 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 21.4% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 23.2% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 8.0% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $197,175   $(66,268
Management fee
   58,179    93,181 
Net realized gain (loss)
   1,370,771    7,917,170 
Change in net unrealized appreciation (depreciation)
   3,145,023    (1,367,929
Net Income (loss)
  $4,712,969   $6,482,973 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 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 UltraShort Yen.
ProShares VIX Mid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $67,306,087  $97,869,914 
NAV end of period
  $49,421,413  $95,721,271 
Percentage change in NAV
   (26.6)%   (2.2)% 
Shares outstanding beginning of period
   2,512,403   3,112,403 
Shares outstanding end of period
   2,412,403   2,712,403 
Percentage change in shares outstanding
   (4.0)%   (12.9)% 
Shares created
   575,000   300,000 
Shares redeemed
   675,000   700,000 
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Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
Per share NAV beginning of period
  $26.79  $31.45 
Per share NAV end of period
  $20.49  $35.29 
Percentage change in per share NAV
   (23.5)%   12.2
Percentage change in benchmark
   (23.1)%   12.9
Benchmark annualized volatility
   22.6  37.1
During the three months ended June 30, 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 2,512,403 outstanding Shares at March 31, 2023 to 2,412,403 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,112,403 outstanding Shares at March 31, 2022 to 2,712,403 outstanding Shares at June 30, 2022. The decrease in 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 June 30, 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 23.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 12.2% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 23.1% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 12.9% for the three months ended June 30, 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 June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $492,463   $(184,164
Management fee
   134,066    210,584 
Brokerage commission
   12,200    15,500 
Futures account fees
   11,856    10,906 
Net realized gain (loss)
   (6,943,333   7,862,052 
Change in net unrealized appreciation (depreciation)
   (9,675,102   3,992,670 
Net Income (loss)
  $(16,125,972  $11,670,558 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the futures prices during the three months ended June 30, 2023.
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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 June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
  
Three Months Ended
June 30, 2022
 
NAV beginning of period
  $226,765,204  $404,950,400 
NAV end of period
  $230,227,830  $341,714,316 
Percentage change in NAV
   1.5  (15.6)% 
Shares outstanding beginning of period
   5,021,565   4,876,565 
Shares outstanding end of period
   9,226,565   3,751,565 
Percentage change in shares outstanding
   83.7  (23.1)% 
Shares created
   4,460,000   1,635,000 
Shares redeemed
   255,000   2,760,000 
Per share NAV beginning of period
  $45.16  $83.04 
Per share NAV end of period
  $24.95  $91.09 
Percentage change in per share NAV
   (44.8)%   9.6
Percentage change in benchmark
   (44.4)%   10.3
Benchmark annualized volatility
   45.8  90.4
During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 5,021,565 outstanding Shares at March 31, 2023 to 9,226,565 outstanding Shares at June 30, 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,876,565 outstanding Shares at March 31, 2022 to 3,751,565 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended June 30, 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 44.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 9.6% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.
The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 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 June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:
   
Three Months Ended
June 30, 2023
   
Three Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,765,342   $(852,779
Management fee
   530,826    773,717 
Brokerage commission
   95,391    171,182 
Futures account fees
   48,732    115,783 
Net realized gain (loss)
   (127,239,912   23,658,785 
Change in net unrealized appreciation (depreciation)
   (21,303,253   46,600,777 
Net Income (loss)
  $(146,777,823  $69,406,783 
The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the futures prices, during the three months ended June 30, 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 VIX Short-Term Futures ETF.
Results of Operations for the Six Months Ended June 30, 2023 Compared to the Six Months Ended June 30, 2022
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $339,591,638  $423,812,594 
NAV end of period
  $282,353,267  $403,644,956 
Percentage change in NAV
   (16.9)%   (4.8)% 
Shares outstanding beginning of period
   5,784,307   6,884,307 
Shares outstanding end of period
   3,334,307   8,384,307 
Percentage change in shares outstanding
   (42.4)%   21.8
Shares created
   3,000,000   4,600,000 
Shares redeemed
   5,450,000   3,100,000 
Per share NAV beginning of period
  $58.71  $61.56 
Per share NAV end of period
  $84.68  $48.14 
Percentage change in per share NAV
   44.2  (21.8)% 
Percentage change in benchmark
   (55.7)%   21.6
Benchmark annualized volatility
   58.0  88.1
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307 outstanding Shares at December 31, 2022 to 3,334,307 outstanding Shares at June 30, 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 six months ended June 30, 2022, the decrease in the
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Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 6,884,307 outstanding Shares at December 31, 2021 to 8,384,307 outstanding Shares at June 30, 2022.
For the six months ended June 30, 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 44.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.
The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $3,113,594   $(2,390,922
Management fee
   1,182,813    2,020,898 
Brokerage commission
   249,925    365,250 
Futures account fees
   —      324,251 
Net realized gain (loss)
   94,806,479    (54,216,320
Change in net unrealized appreciation (depreciation)
   12,828,278    (30,209,873
Net Income (loss)
  $110,748,351   $(86,817,115
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2023.
ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $859,094,274  $1,103,783,570 
NAV end of period
  $738,194,368  $1,060,867,238 
Percentage change in NAV
   (14.1)%   (3.9)% 
Shares outstanding beginning of period
   28,393,096   51,243,096 
Shares outstanding end of period
   31,093,096   25,493,096 
Percentage change in shares outstanding
   9.5  (50.3)% 
Shares created
   34,650,000   10,300,000 
Shares redeemed
   31,950,000   36,050,000 
Per share NAV beginning of period
  $30.26  $21.54 
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Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Per share NAV end of period
  $23.74  $41.61 
Percentage change in per share NAV
   (21.5)%   93.2
Percentage change in benchmark
   (9.5)%   45.9
Benchmark annualized volatility
   31.7  41.9
During the six months ended June 30, 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 Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 28,393,096 outstanding Shares at December 31, 2022 to 31,093,096 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to the change in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an decrease from 51,243,096 outstanding Shares at December 31, 2021 to 25,493,096 outstanding Shares at June 30, 2022
For the six months ended June 30, 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 21.5% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 93.2% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 9.5% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 45.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $8,077,737  $(5,308,864
Management fee
   3,619,616   6,183,716 
Brokerage commission
   188,647   335,751 
Futures account fees
   —     362,288 
Net realized gain (loss)
   9,365,632   1,162,711,373 
Change in net unrealized appreciation (depreciation)
   (92,671,285  (306,208,096
Net Income (loss)
  $(75,227,916 $851,194,413 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 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.
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ProShares Ultra Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $586,151,113  $193,892,178 
NAV end of period
  $1,141,021,278  $187,297,842 
Percentage change in NAV
   94.7  (3.4)% 
Shares outstanding beginning of period
   1,614,376   379,376 
Shares outstanding end of period
   16,421,876   236,876 
Percentage change in shares outstanding
   917.2  (37.6)% 
Shares created
   32,765,000   455,000 
Shares redeemed
   17,957,500   597,500 
Per share NAV beginning of period
  $363.08  $511.08 
Per share NAV end of period
  $69.48  $790.70 
Percentage change in per share NAV
   (80.9)%   54.7
Percentage change in benchmark
   (49.3)%   48.9
Benchmark annualized volatility
   69.2  80.3
During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,614,376 outstanding Shares at December 31, 2022 to 16,421,876 outstanding Shares at June 30, 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 Subindex
SM
. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 379,376 outstanding Shares at December 31, 2021 to 236,876 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the six months ended June 30, 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 80.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 54.7% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets during the six months ended June 30, 2023.
The benchmark’s decline of 49.3% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 48.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $10,410,619   $(1,082,671
Management fee
   4,916,981    931,234 
Brokerage commission
   2,098,150    203,158 
Futures account fees
   399,478    134,330 
Net realized gain (loss)
   (1,678,521,779   241,207,930 
Change in net unrealized appreciation (depreciation)
   605,047,334    (186,420,725
Net Income (loss)
  $(1,063,063,826  $53,704,534 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 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 Ultra Bloomberg Natural Gas.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $10,704,662  $8,659,095 
NAV end of period
  $7,535,435  $9,415,626 
Percentage change in NAV
   (29.6)%   8.7
Shares outstanding beginning of period
   950,000   650,000 
Shares outstanding end of period
   650,000   850,000 
Percentage change in shares outstanding
   (31.6)%   30.8
Shares created
   200,000   550,000 
Shares redeemed
   500,000   350,000 
Per share NAV beginning of period
  $11.27  $13.32 
Per share NAV end of period
  $11.59  $11.08 
Percentage change in per share NAV
   2.9  (16.8)% 
Percentage change in benchmark
   1.9  (7.9)% 
Benchmark annualized volatility
   8.0  8.8
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 650,000 outstanding Shares at June 30, 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 six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
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For the six months ended June 30, 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 2.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 16.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s rise of 1.9% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 7.9% for the six months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $141,322   $(24,206
Management fee
   44,097    35,315 
Net realized gain (loss)
   358,570    (893,344
Change in net unrealized appreciation (depreciation)
   (175,968   (419,715
Net Income (loss)
  $323,924   $(1,337,265
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2023.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $173,524,136  $232,780,534 
NAV end of period
  $180,916,531  $239,938,853 
Percentage change in NAV
   4.3  3.1
Shares outstanding beginning of period
   3,150,000   3,900,000 
Shares outstanding end of period
   3,100,000   4,250,000 
Percentage change in shares outstanding
   (1.6)%   9.0
Shares created
   450,000   1,600,000 
Shares redeemed
   500,000   1,250,000 
Per share NAV beginning of period
  $55.09  $59.69 
Per share NAV end of period
  $58.36  $56.46 
Percentage change in per share NAV
   5.9  (5.4)% 
Percentage change in benchmark
   5.4  (1.5)% 
Benchmark annualized volatility
   14.3  15.7
During the six months ended June 30, 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
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times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 4,250,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
For the six months ended June 30, 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 5.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 5.4% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s rise of 5.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 1.5% for the six months ended June 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,715,295   $(1,037,188
Management fee
   901,375    1,387,563 
Brokerage commission
   15,540    35,723 
Futures account fees
   —      28,169 
Net realized gain (loss)
   27,968,003    (82,487
Change in net unrealized appreciation (depreciation)
   (22,166,463   (19,849,468
Net Income (loss)
  $8,516,835   $(20,969,143
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of futures prices, during the six months ended June 30, 2023.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $414,285,878  $515,453,594 
NAV end of period
  $356,791,659  $355,577,515 
Percentage change in NAV
   (13.9)%   (31.0)% 
Shares outstanding beginning of period
   13,046,526   14,796,526 
Shares outstanding end of period
   13,196,526   14,346,526 
Percentage change in shares outstanding
   1.1  (3.0)% 
Shares created
   2,600,000   1,800,000 
Shares redeemed
   2,450,000   2,250,000 
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Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Per share NAV beginning of period
  $31.75  $34.84 
Per share NAV end of period
  $27.04  $24.78 
Percentage change in per share NAV
   (14.8)%   (28.9)% 
Percentage change in benchmark
   (4.4)%   (13.4)% 
Benchmark annualized volatility
   25.8  28.2
During the six months ended June 30, 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 Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,346,526 outstanding Shares at June 30, 2022.
For the six months ended June 30, 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 14.8% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 28.9% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 4.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 13.4% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $5,153,877  $(1,823,952
Management fee
   1,848,064   2,299,939 
Brokerage commission
   73,637   59,283 
Futures account fees
   —     26,693 
Net realized gain (loss)
   35,871,579   (39,558,312
Change in net unrealized appreciation (depreciation)
   (96,665,222  (108,172,044
Net Income (loss)
  $(55,639,766 $(149,554,308
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a lesser decrease in the value of futures prices during the six months ended June 30, 2023.
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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 six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $639,318,362  $816,679,636 
NAV end of period
  $387,764,059  $975,683,533 
Percentage change in NAV
   (39.3)%   19.5
Shares outstanding beginning of period
   9,307,842   6,582,842 
Shares outstanding end of period
   20,977,842   6,722,842 
Percentage change in shares outstanding
   125.4  2.1
Shares created
   21,310,000   14,150,000 
Shares redeemed
   9,640,000   14,010,000 
Per share NAV beginning of period
  $68.89  $124.06 
Per share NAV end of period
  $18.48  $145.13 
Percentage change in per share NAV
   (73.1)%   17.0
Percentage change in benchmark
   (55.7)%   21.6
Benchmark annualized volatility
   58.0  88.1
During the six months ended June 30, 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 9,307,842 outstanding Shares at December 31, 2022 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 6,582,842 outstanding Shares at December 31, 2021 to 6,722,842 outstanding Shares at June 30, 2022
For the six months ended June 30, 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 73.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 17.0% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $4,722,827   $(6,862,764
Management fee
   2,703,851    4,254,915 
Brokerage commission
   1,490,212    1,906,969 
Futures account fees
   250,360    1,226,811 
Net realized gain (loss)
   (608,541,564   371,681,032 
Change in net unrealized appreciation (depreciation)
   (43,277,650   161,734,465 
Net Income (loss)
  $(647,096,387  $526,552,733 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of futures prices during the six months ended June 30, 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 Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $13,814,796  $2,362,849 
NAV end of period
  $12,330,974  $5,024,773 
Percentage change in NAV
   (10.7)%   112.7
Shares outstanding beginning of period
   399,970   49,970 
Shares outstanding end of period
   449,970   149,970 
Percentage change in shares outstanding
   12.5  200.1
Shares created
   200,000   100,000 
Shares redeemed
   150,000   —   
Per share NAV beginning of period
  $34.54  $47.29 
Per share NAV end of period
  $27.40  $33.51 
Percentage change in per share NAV
   (20.7)%   (29.2)% 
Percentage change in benchmark
   (9.0)%   (15.2)% 
Benchmark annualized volatility
   10.8  9.5
During the six months ended June 30, 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 spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 399,970 outstanding Shares at December 31, 2022 to 449,970 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
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For the six months ended June 30, 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 20.7% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.2% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 9.0% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 15.2% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $179,208   $(9,528
Management fee
   55,890    13,465 
Net realized gain (loss)
   (1,068,950   (878,701
Change in net unrealized appreciation (depreciation)
   (1,842,176   10,820 
Net Income (loss)
  $(2,731,918  $(877,409
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 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 six months ended June 30, 2023.
ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $222,697,337  $114,167,602 
NAV end of period
  $112,854,952  $501,157,304 
Percentage change in NAV
   (49.3)%   339.0
Shares outstanding beginning of period
   9,305,220   1,776,760 
Shares outstanding end of period
   4,405,220   21,755,220 
Percentage change in shares outstanding
   (52.7)%   1,124.4
Shares created
   11,550,000   27,890,000 
Shares redeemed
   16,450,000   7,911,540 
Per share NAV beginning of period
  $23.93  $64.26 
Per share NAV end of period
  $25.62  $23.04 
Percentage change in per share NAV
   7.1  (64.2)% 
Percentage change in benchmark
   (9.5)%   45.9
Benchmark annualized volatility
   31.7  41.9
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 4,405,220 outstanding Shares at June 30, 2023. The
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decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 21,755,220 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the six months ended June 30, 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 7.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 64.2% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.
The benchmark’s decline of 9.5% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 45.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $2,593,344   $(1,435,665
Management fee
   844,057    1,438,757 
Brokerage commission
   125,836    184,135 
Futures account fees
   —      155,979 
Net realized gain (loss)
   55,649,291    (209,076,101
Change in net unrealized appreciation (depreciation)
   2,739,622    36,686,156 
Net Income (loss)
  $60,982,257   $(173,825,610
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 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.
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ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $134,109,520  $242,145,130 
NAV end of period
  $141,324,963  $211,823,446 
Percentage change in NAV
   5.4  (12.5)% 
Shares outstanding beginning of period
   4,966,856   978,742 
Shares outstanding end of period
   2,566,856   4,966,856 
Percentage change in shares outstanding
   (48.3)%   407.5
Shares created
   13,850,000   23,340,000 
Shares redeemed
   16,250,000   19,351,886 
Per share NAV beginning of period
  $27.00  $247.40 
Per share NAV end of period
  $55.06  $42.65 
Percentage change in per share NAV
   103.9  (82.8)% 
Percentage change in benchmark
   (49.3)%   48.9
Benchmark annualized volatility
   69.2  80.3
During the six months ended June 30, 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 Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.
For the six months ended June 30, 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 103.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 82.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 49.3% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 48.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $1,432,850   $(1,447,798
Management fee
   599,136    1,053,068 
Brokerage commission
   443,288    365,858 
Futures account fees
   56,367    206,885 
Net realized gain (loss)
   232,143,809    (397,371,192
Change in net unrealized appreciation (depreciation)
   (106,209,898   140,292,056 
Net Income (loss)
  $127,366,761   $(258,526,934
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 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.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $75,113,179  $54,263,045 
NAV end of period
  $50,931,301  $62,270,097 
Percentage change in NAV
   (32.2)%   14.8
Shares outstanding beginning of period
   2,550,000   2,100,000 
Shares outstanding end of period
   1,750,000   2,050,000 
Percentage change in shares outstanding
   (31.4)%   (2.4)% 
Shares created
   100,000   550,000 
Shares redeemed
   900,000   600,000 
Per share NAV beginning of period
  $29.46  $25.84 
Per share NAV end of period
  $29.10  $30.38 
Percentage change in per share NAV
   (1.2)%   17.5
Percentage change in benchmark
   1.9  (7.9)% 
Benchmark annualized volatility
   8.0  8.8
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,750,000 outstanding Shares at June 30, 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 six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the
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spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.
For the six months ended June 30, 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 1.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 17.5% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s rise of 1.9% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 7.9% for the six months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $948,197   $(209,974
Management fee
   292,669    264,390 
Net realized gain (loss)
   (2,453,253   5,818,237 
Change in net unrealized appreciation (depreciation)
   697,680    3,308,479 
Net Income (loss)
  $(807,376  $8,916,742 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2023.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $15,456,037  $26,859,844 
NAV end of period
  $15,809,378  $34,611,284 
Percentage change in NAV
   2.3  28.9
Shares outstanding beginning of period
   496,977   846,977 
Shares outstanding end of period
   546,977   1,096,977 
Percentage change in shares outstanding
   10.1  29.5
Shares created
   600,000   1,150,000 
Shares redeemed
   550,000   900,000 
Per share NAV beginning of period
  $31.10  $31.71 
Per share NAV end of period
  $28.90  $31.55 
Percentage change in per share NAV
   (7.1)%   (0.5)% 
Percentage change in benchmark
   5.4  (1.5)% 
Benchmark annualized volatility
   14.3  15.7
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During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 546,977 outstanding Shares at June 30, 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 Subindex
SM
. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,096,977 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
.
For the six months ended June 30, 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 7.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 0.5% for the six months ended June 30, 2022, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s rise of 5.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 1.5% for the six months ended June 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $234,406   $(120,396
Management fee
   79,242    141,814 
Brokerage commission
   2,966    5,796 
Futures account fees
   —      2,446 
Net realized gain (loss)
   (2,584,032   (1,750,799
Change in net unrealized appreciation (depreciation)
   2,103,219    2,318,730 
Net Income (loss)
  $(246,407  $447,535 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due an increase in the value of the futures prices during the six months ended June 30, 2023.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $31,932,799  $26,537,000 
NAV end of period
  $19,290,473  $33,052,840 
Percentage change in NAV
   (39.6)%   24.6
Shares outstanding beginning of period
   1,641,329   991,329 
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Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
Shares outstanding end of period
   941,329   1,041,329 
Percentage change in shares outstanding
   (42.6)%   5.0
Shares created
   3,100,000   1,800,000 
Shares redeemed
   3,800,000   1,750,000 
Per share NAV beginning of period
  $19.46  $26.77 
Per share NAV end of period
  $20.49  $31.74 
Percentage change in per share NAV
   5.3  18.6
Percentage change in benchmark
   (4.4)%   (13.4)% 
Benchmark annualized volatility
   25.8  28.2
During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 941,329 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.
For the six months ended June 30, 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 5.3% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 18.6% for the six months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 4.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 13.4% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $366,566   $(112,092
Management fee
   142,585    123,334 
Brokerage commission
   14,661    11,978 
Futures account fees
   —      4,443 
Net realized gain (loss)
   3,826,313    2,037,296 
Change in net unrealized appreciation (depreciation)
   4,467,058    5,642,964 
Net Income (loss)
  $8,659,937   $7,568,168 
The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of futures prices during the six months ended June 30, 2023.
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ProShares UltraShort Yen
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $21,397,736  $24,840,784 
NAV end of period
  $27,077,656  $45,568,882 
Percentage change in NAV
   26.5  83.4
Shares outstanding beginning of period
   398,580   598,580 
Shares outstanding end of period
   398,580   798,580 
Percentage change in shares outstanding
   —    33.4
Shares created
   450,000   850,000 
Shares redeemed
   450,000   650,000 
Per share NAV beginning of period
  $53.68  $41.50 
Per share NAV end of period
  $67.94  $57.06 
Percentage change in per share NAV
   26.6  37.5
Percentage change in benchmark
   (9.0)%   (15.2)% 
Benchmark annualized volatility
   10.8  9.5
During the six months ended June 30, 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 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, 2022 to June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the six months ended June 30, 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 26.6% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 37.5% for the six months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 9.0% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 15.2% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $350,563   $(116,689
Management fee
   108,991    153,001 
Net realized gain (loss)
   342,795    9,100,314 
Change in net unrealized appreciation (depreciation)
   5,004,524    70,535 
Net Income (loss)
  $5,697,882   $9,054,160 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 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 six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $84,014,959  $112,875,680 
NAV end of period
  $49,421,413  $95,721,271 
Percentage change in NAV
   (41.2)%   (15.2)% 
Shares outstanding beginning of period
   2,762,403   3,687,403 
Shares outstanding end of period
   2,412,403   2,712,403 
Percentage change in shares outstanding
   (12.7)%   (26.4)% 
Shares created
   850,000   1,000,000 
Shares redeemed
   1,200,000   1,975,000 
Per share NAV beginning of period
  $30.41  $30.61 
Per share NAV end of period
  $20.49  $35.29 
Percentage change in per share NAV
   (32.6)%   15.3
Percentage change in benchmark
   (31.9)%   16.5
Benchmark annualized volatility
   30.2  34.9
During the six months ended June 30, 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 2,412,403 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 2,712,403 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.
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For the six months ended June 30, 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 32.6% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 15.3% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 31.9% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 16.5% for the six months ended June 30, 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 June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $969,651   $(436,261
Management fee
   284,189    426,247 
Brokerage commission
   21,369    40,369 
Futures account fees
   23,296    46,394 
Net realized gain (loss)
   (22,764,053   12,653,549 
Change in net unrealized appreciation (depreciation)
   (5,092,642   3,518,835 
Net Income (loss)
  $(26,887,044  $15,736,123 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of the futures prices during the six months ended June 30, 2023.
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
  
Six Months Ended
June 30, 2022
 
NAV beginning of period
  $266,580,320  $269,703,164 
NAV end of period
  $230,227,830  $341,714,316 
Percentage change in NAV
   (13.6)%   26.7
Shares outstanding beginning of period
   4,676,565   3,566,565 
Shares outstanding end of period
   9,226,565   3,751,565 
Percentage change in shares outstanding
   97.3  5.2
Shares created
   6,760,000   3,625,000 
Shares redeemed
   2,210,000   3,440,000 
Per share NAV beginning of period
  $57.00  $75.62 
Per share NAV end of period
  $24.95  $91.09 
Percentage change in per share NAV
   (56.2)%   20.5
Percentage change in benchmark
   (55.7)%   21.6
Benchmark annualized volatility
   58.0  88.1
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During the six months ended June 30, 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 4,676,565 outstanding Shares at December 31, 2022 to 9,226,565 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 3,566,565 outstanding Shares at December 31, 2021 to 3,751,565 outstanding Shares at June 30, 2022.
For the six months ended June 30, 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 56.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 20.4% for the six months ended June 30, 2022, was primarily due to deprecation in the value of the assets held by the Fund during the six months ended June 30, 2023.
The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 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 June 30, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:
   
Six Months Ended
June 30, 2023
   
Six Months Ended
June 30, 2022
 
Net investment income (loss)
  $3,221,259   $(1,804,892
Management fee
   1,048,314    1,479,408 
Brokerage commission
   191,888    287,656 
Futures account fees
   99,391    316,440 
Net realized gain (loss)
   (173,336,606   77,393,009 
Change in net unrealized appreciation (depreciation)
   (20,173,227   33,152,396 
Net Income (loss)
  $(190,288,574  $108,740,513 
The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of the futures prices during the six months ended June 30, 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 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 June 30, 2023 and 2022, each of the Fund’s positions were as follows:
ProShares Short VIX Short-Term Futures ETF
As of June 30, 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 June 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  July 2023   5,241   $15.01    1,000   $(78,672,651
VIX Futures (Cboe)
  Short  August 2023   3,810    16.40    1,000    (62,485,143
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Short  July 2022   3,652   $28.56    1,000   $(104,309,520
VIX Futures (Cboe)
  Short  August 2022   3,346    29.18    1,000    (97,627,580
The June 30, 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.
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ProShares Ultra Bloomberg Crude Oil:
As of June 30, 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 Index
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2023   2,315   $70.78    1,000   $163,855,700 
WTI Crude Oil (NYMEX)
  Long  December 2023   2,393    70.40    1,000    168,467,200 
WTI Crude Oil (NYMEX)
  Long  June 2024   2,478    69.02    1,000    171,031,560 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.  Long  $76.6109   $172,685,565 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   76.6109    214,703,580 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
  Long   76.6109    179,707,950 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   76.6109    162,974,521 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   76.6109    242,623,120 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Long  September 2022   2,204   $103.10    1,000   $227,232,400 
WTI Crude Oil (NYMEX)
  Long  December 2022   2,535    95.56    1,000    242,244,600 
WTI Crude Oil (NYMEX)
  Long  June 2023   2,688    87.62    1,000    235,522,560 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.  Long  $95.7921   $215,921,141 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International  Long   95.7921    321,089,755 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
  Long   95.7921    373,984,332 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale  Long   95.7921    203,778,726 
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG  Long   95.7921    303,369,078 
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The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 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 June 30, 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 Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  September 2023   71,349   $2.77    10,000   $1,979,221,260 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
   
Notional Amount
at Value
 
Bloomberg Natural Gas Subindex
  Citibank, N.A.  Long  $0.0892   $148,091,216 
Bloomberg Natural Gas Subindex
  Goldman Sachs International  Long   0.0892    101,183,890 
Bloomberg Natural Gas Subindex
  Societe General  Long   0.0892    52,717,728 
Bloomberg Natural Gas Subindex
  UBS AG  Long   0.0892    810,173 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Long  September 2022   6,954   $5.39    10,000   $374,959,680 
The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 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.
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ProShares Ultra Euro:
As of June 30, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2023
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/14/23    7,784,921   1.0754   $8,372,037 
Euro
  UBS AG  Long   07/14/23    7,204,502   1.0765    7,755,419 
Euro
  Goldman Sachs International  Short   07/14/23    (93,000  1.0899    (101,361
Euro
  UBS AG  Short   07/14/23    (1,152,000  1.0907    (1,256,509
 
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/08/22    4,532,921   1.0752   $4,873,797 
Euro
  UBS AG  Long   07/08/22    14,836,502   1.0632    15,774,356 
Euro
  UBS AG  Short   07/08/22    (1,446,000  1.0601    (1,532,970
The June 30, 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 June 30, 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2023   530   $1,929.40    100   $102,258,200 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $201.2774   $111,454,930 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   201.2774    52,937,566 
Bloomberg Gold Subindex
  UBS AG  Long   201.2774    95,175,948 
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Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Long  August 2022   954   $1,807.30    100   $172,416,420 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Long  $197.5387   $109,384,670 
Bloomberg Gold Subindex
  Goldman Sachs International  Long   197.5387    84,543,271 
Bloomberg Gold Subindex
  UBS AG  Long   197.5387    113,788,925 
The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 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 June 30, 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Long  September 2023   2,047   $23.02    5,000   $235,609,700 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $198.4659   $166,412,438 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   198.4659    21,984,663 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Long   198.4659    149,157,444 
Bloomberg Silver Subindex
  UBS AG  Long   198.4659    140,386,283 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
  Long  September 2022   773   $20.35    5,000   $78,660,480 
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Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Long  $182.7827   $153,262,171 
Bloomberg Silver Subindex
  Goldman Sachs International  Long   182.7827    177,466,859 
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Long   182.7827    168,307,407 
Bloomberg Silver Subindex
  UBS AG  Long   182.7827    134,298,894 
The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 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 June 30, 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 June 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2023   21,591   $15.01    1,000   $324,102,501 
VIX Futures (Cboe)
  Long  August 2023   15,704    16.40    1,000    257,550,311 
Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2022   26,481   $28.56    1,000   $756,358,266 
VIX Futures (Cboe)
  Long  August 2022   24,277    29.18    1,000    708,339,740 
The June 30, 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
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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 June 30, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2023
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  Goldman Sachs International  Long   07/14/23    1,507,359,517   0.007217   $10,877,886 
Yen
  UBS AG  Long   07/14/23    2,188,352,856   0.007161    15,670,467 
Yen
  Goldman Sachs International  Short   07/14/23    (1,461  0.006844    (10
Yen
  UBS AG  Short   07/14/23    (158,537,000  0.007066    (1,120,148
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market
Value USD
 
Yen
  Goldman Sachs International  Long   07/08/22    333,241,517   0.007476   $2,491,153 
Yen
  UBS AG  Long   07/08/22    1,080,855,856   0.007414    8,013,151 
Yen
  UBS AG  Short   07/08/22    (54,170,000  0.007409    (401,369
The June 30, 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 June 30, 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Short  September 2023   1,038   $70.78    1,000   $(73,469,640
WTI Crude Oil (NYMEX)
  Short  December 2023   1,073    70.40    1,000    (75,539,200
WTI Crude Oil (NYMEX)
  Short  June 2024   1,111    69.02    1,000    (76,681,220
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Futures Positions as of June 30, 2022
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  Short  September 2022   3,134   $103.10    1,000   $(323,115,400
WTI Crude Oil (NYMEX)
  Short  December 2022   3,605    95.56    1,000    (344,493,800
WTI Crude Oil (NYMEX)
  Short  June 2023   3,824    87.62    1,000    (335,058,880
The June 30, 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 June 30, 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Short  September 2023   10,189   $2.77    10,000   $(282,642,860
 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Natural Gas (NYMEX)
  Short  September 2022   7,871   $5.39    10,000   $(424,404,320
The June 30, 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.
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ProShares UltraShort Euro:
As of June 30, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2023
 
       
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/14/23    4,446,000   1.1002   $4,891,387 
Euro
  UBS AG  Long   07/14/23    12,460,000   1.0897    13,577,549 
Euro
  Goldman Sachs International  Short   07/14/23    (51,941,263  1.0759    (55,884,697
Euro
  UBS AG  Short   07/14/23    (58,308,199  1.0763    (62,758,994
 
Foreign Currency Forward Contracts as of June 30, 2022
 
       
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local
Currency
  
Forward
Rate
   
Market Value
USD
 
Euro
  Goldman Sachs International  Long   07/08/22    12,080,000   1.0563   $12,760,213 
Euro
  UBS AG  Long   07/08/22    12,060,000   1.0551    12,724,426 
Euro
  Goldman Sachs International  Short   07/08/22    (51,635,263  1.0740    (55,457,155
Euro
  UBS AG  Short   07/08/22    (91,489,199  1.0702    (97,911,917
The June 30, 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 June 30, 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
   Short    August 2023    79   $1,929.40    100   $(15,242,260
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Swap Agreements as of June 30, 2023
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $201.2774   $(3,783,471
Bloomberg Gold Subindex
  Goldman Sachs International  Short   201.2774    (4,958,670
Bloomberg Gold Subindex
  UBS AG  Short   201.2774    (7,669,707
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Gold Futures (COMEX)
  Short  August 2022   184   $1,807.30    100   $(33,254,320
Swap Agreements as of June 30, 2022
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Gold Subindex
  Citibank, N.A.  Short  $197.5387   $(14,809,140
Bloomberg Gold Subindex
  Goldman Sachs International  Short   197.5387    (9,688,247
Bloomberg Gold Subindex
  UBS AG  Short   197.5387    (11,585,084
The June 30, 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 June 30, 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 June 30, 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short    September 2023    139   $23.02    5,000   $(15,998,900
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Swap Agreements as of June 30, 2023
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $198.4659   $(2,676,258
Bloomberg Silver Subindex
  Goldman Sachs International  Short   198.4659    (9,749,240
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Short   198.4659    (7,708,614
Bloomberg Silver Subindex
  UBS AG  Short   198.4659    (2,464,968
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
   
Expiration
   
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short    September 2022    445   $20.35    5,000   $(45,283,200
Swap Agreements as of June 30, 2022
 
     
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
   
Notional Amount
at Value
 
Bloomberg Silver Subindex
  Citibank, N.A.  Short  $182.7827   $(2,464,774
Bloomberg Silver Subindex
  Goldman Sachs International  Short   182.7827    (8,978,838
Bloomberg Silver Subindex
  Morgan Stanley & Co.
International PLC
  Short   182.7827    (7,099,463
Bloomberg Silver Subindex
  UBS AG  Short   182.7827    (2,270,181
The June 30, 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 June 30, 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 June 30, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2023
 
       
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
   
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  UBS AG  Long   07/14/23    1,228,677,000   0.007157   $8,793,482 
Yen
  Goldman Sachs International  Short   07/14/23    (3,428,392,165  0.007206    (24,704,991
Yen
  UBS AG  Short   07/14/23    (5,596,567,574  0.007187    (40,224,318
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Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
Forward
Rate
   
Market Value
USD
 
Yen
  UBS AG  Long  07/08/22   1,505,180,000   0.007476   $11,252,838 
Yen
  Goldman Sachs International  Short  07/08/22   (1,658,463,165  0.007476    (12,389,197
Yen
  UBS AG  Short  07/08/22   (12,207,008,574  0.007451    (90,956,530
The June 30, 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.
ProShares VIX Mid-Term Futures ETF
As of June 30, 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 June 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  October 2023   501   $18.35    1,000   $9,192,799 
VIX Futures (Cboe)
  Long  November 2023   865    18.85    1,000    16,305,250 
VIX Futures (Cboe)
  Long  December 2023   865    19.15    1,000    16,564,750 
VIX Futures (Cboe)
  Long  January 2024   364    20.20    1,000    7,352,800 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  October 2022   569   $29.78    1,000   $16,944,251 
VIX Futures (Cboe)
  Long  November 2022   1,089    29.52    1,000    32,144,884 
VIX Futures (Cboe)
  Long  December 2022   1,090    28.81    1,000    31,400,611 
VIX Futures (Cboe)
  Long  January 2023   521    29.60    1,000    15,420,610 
The June 30, 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.
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ProShares VIX Short-Term Futures ETF
As of June 30, 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 June 30, 2023 and 2022, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2023
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2023   8,545   $15.01    1,000   $128,268,995 
VIX Futures (Cboe)
  Long  August 2023   6,216    16.40    1,000    101,944,265 
Futures Positions as of June 30, 2022
 
       
Contract
  
Long or
Short
  
Expiration
  
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
VIX Futures (Cboe)
  Long  July 2022   6,185   $28.56    1,000   $176,657,825 
VIX Futures (Cboe)
  Long  August 2022   5,672    29.18    1,000    165,494,213 
The June 30, 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.
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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 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.
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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).
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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 June 30, 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 June 30, 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.
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Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
As of June 30, 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
The onset of the novel coronavirus (COVID-19) and its variants 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 if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.
As the hospitalization rates and COVID-related deaths continue to fall, the severity of lockdowns and restrictive policies relative to the onset of the COVID-19 pandemic will decrease as the situation gradually improves. Currently the bear market continues to recover from the lockdowns and restrictions that brought economic strain to several industries. 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. Currently, crude oil prices have increased since the onset of the COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.
On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing of hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues sanctions on Russian exports 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.
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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.

189


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

.
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 COVID’s shock to the COVID-19 pandemic,labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the effectsform of increases in unemployment insurance and results of which are uncertain.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 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

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global, regional and unexpected losses.

190

local 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.


The Funds as wellAdditionally, 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.

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.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

Proceeds.
a)

None.

b)

Not applicable.

c)

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

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

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

ProShares Ultra Bloomberg Crude Oil

      

Common Units of Beneficial Interest

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

ProShares Ultra Bloomberg Natural Gas

      

Common Units of Beneficial Interest

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

ProShares Ultra Euro

      

Common Units of Beneficial Interest

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

ProShares Ultra Gold

      

Common Units of Beneficial Interest

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

191

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
               
    04/01/23 to 04/30/23    1,600,000   $67.92 
    05/01/23 to 05/31/23    —     $—   
    06/01/23 to 06/30/23    250,000   $77.20 
ProShares Ultra Bloomberg Crude Oil
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    7,050,000   $29.30 
    05/01/23 to 05/31/23    4,000,000   $24.62 
    06/01/23 to 06/30/23    4,000,000   $23.93 
ProShares Ultra Bloomberg Natural Gas (Note 1)
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    4,330,000   $71.01 
    05/01/23 to 05/31/23    3,927,500   $66.99 
    06/01/23 to 06/30/23    4,567,500   $62.93 
ProShares Ultra Euro
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    50,000   $11.39 
    06/01/23 to 06/30/23    50,000   $11.58 
ProShares Ultra Gold
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    50,000   $66.13 
    06/01/23 to 06/30/23    100,000   $59.90 
ProShares Ultra Silver
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    900,000   $32.70 
    05/01/23 to 05/31/23    50,000   $34.48 
    06/01/23 to 06/30/23    350,000   $29.61 
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ProShares Ultra Silver

                                                  

Common Units of Beneficial Interest

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

ProShares Ultra VIX Short-Term Futures ETF

     

Common Units of Beneficial Interest

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

ProShares Ultra Yen

     

Common Units of Beneficial Interest

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

ProShares UltraShort Bloomberg Crude Oil

     

Common Units of Beneficial Interest

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

ProShares UltraShort Bloomberg Natural Gas

     

Common Units of Beneficial Interest

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

ProShares UltraShort Euro

     

Common Units of Beneficial Interest

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

ProShares UltraShort Gold

     

Common Units of Beneficial Interest

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

ProShares UltraShort Silver

     

Common Units of Beneficial Interest

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

ProShares UltraShort Yen

     

Common Units of Beneficial Interest

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

ProShares VIX Mid-Term Futures ETF

     

Common Units of Beneficial Interest

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

ProShares VIX Short-Term Futures ETF

     

Common Units of Beneficial Interest

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

Title of Securities Registered
*
  
 
   
Total Number of
Shares Redeemed
   
Average Price
Per Share
 
ProShares Ultra VIX Short-Term Futures ETF (Note 1)
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    3,300,000   $37.71 
    06/01/23 to 06/30/23    250,000   $23.78 
ProShares Ultra Yen
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    —     $—   
    06/01/23 to 06/30/23    —     $—   
ProShares UltraShort Bloomberg Crude Oil
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    2,000,000   $24.48 
    05/01/23 to 05/31/23    3,400,000   $27.40 
    06/01/23 to 06/30/23    2,200,000   $26.97 
ProShares UltraShort Bloomberg Natural Gas
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    1,950,000   $75.15 
    05/01/23 to 05/31/23    2,850,000   $73.12 
    06/01/23 to 06/30/23    1,300,000   $71.98 
ProShares UltraShort Euro
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    50,000   $28.73 
    05/01/23 to 05/31/23    150,000   $28.30 
    06/01/23 to 06/30/23    100,000   $28.87 
ProShares UltraShort Gold
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    150,000   $26.27 
    06/01/23 to 06/30/23    200,000   $28.48 
ProShares UltraShort Silver
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    250,000   $17.03 
    05/01/23 to 05/31/23    1,550,000   $19.17 
    06/01/23 to 06/30/23    800,000   $19.97 
ProShares UltraShort Yen
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    150,000   $56.19 
    05/01/23 to 05/31/23    100,000   $60.30 
    06/01/23 to 06/30/23    50,000   $63.75 
ProShares VIX Mid-Term Futures ETF
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    125,000   $27.25 
    05/01/23 to 05/31/23    —     $—   
    06/01/23 to 06/30/23    550,000   $22.52 
ProShares VIX Short-Term Futures ETF (Note 1)
               
Common Units of Beneficial Interest
               
    04/01/23 to 04/30/23    —     $—   
    05/01/23 to 05/31/23    170,000   $38.52 
    06/01/23 to 06/30/23    85,000   $29.40 
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*

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

192

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.

193


Item 6.

Exhibits.

Item 5. Other Information.
No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a
Rule 10b5-1
trading arrangement (as such terms are defined in item 408 of Regulation S-K under the Securities Act of 1933, as amended) for the three month period ended June 30, 2023.
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
32.1*Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.2*  Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS  XBRL Instance Document (1)
101.SCH  XBRL Taxonomy Extension Schema (1)
101.CAL  XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF  XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB  XBRL Taxonomy Extension Label Linkbase (1)
101.PRE  XBRL Taxonomy Extension Presentation Linkbase (1)
104.1  Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1tags are embedded within the inline XBRL document.

(1)

Filed herewith.

*

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

194

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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: NovemberAugust 8, 20222023

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: NovemberAugust 8, 20222023

195

203