| Investments | NOTE 3 – INVESTMENTS Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective. All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. From the beginning of the reporting period until the close of business on May 2, 2022, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. 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. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter over-the-counter 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 over-the-counter Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2022 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 non-payment The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market 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 non-deliverable non-deliverable 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 non-payment The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin. 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 The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period. Fair Value of Derivative Instruments as of September 30, 2022
Asset Derivatives Liability Derivatives
Derivatives Not Fund Statements of Financial Condition Unrealized Appreciation Statements of Financial Condition 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 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 *
* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. Fair Value of Derivative Instruments as of December 31, 2021
Asset Derivatives Liability Derivatives
Derivatives Not Fund Statements of Financial Condition Unrealized Appreciation Statements of Financial Condition 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 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 * The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 30, 2022
Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
ProShares Short VIX Short-Term Futures ETF $ 27,694,574 $ (17,783,632 )
ProShares Ultra VIX Short-Term Futures ETF (289,871,717 ) 161,330,331
ProShares VIX Mid-Term (1,349,272 ) 3,236,565
ProShares VIX Short-Term Futures ETF (45,457,319 ) 51,449,994
Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
ProShares Ultra Bloomberg Crude Oil (344,578,932 ) (33,971,770 )
ProShares Ultra Bloomberg Natural Gas (5,889,116 ) 97,063,212
ProShares Ultra Gold (39,825,586 ) 2,070,901
ProShares Ultra Silver (147,384,761 ) 91,205,187
ProShares UltraShort Bloomberg Crude Oil 66,444,885 76,797,273
ProShares UltraShort Bloomberg Natural Gas 8,173,631 (23,776,729 )
ProShares UltraShort Gold 4,988,228 806,339
ProShares UltraShort Silver 6,215,407 (4,087,962 )
Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
ProShares Ultra Euro (1,618,381 ) (98,836 )
ProShares Ultra Yen (1,652,590 ) (17,967 )
ProShares UltraShort Euro 11,086,708 (354,043 )
ProShares UltraShort Yen 5,879,873 (546,737 )
Combined Trust $ (747,144,368 ) $ 403,322,126
* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. The Effect of Derivative Instruments on the Statement of Operations For the nine months ended September 30, 2022
Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
ProShares Short VIX Short-Term Futures ETF $ (26,435,234 ) $ (47,541,296 )
ProShares Ultra VIX Short-Term Futures ETF 82,162,402 323,609,043
ProShares VIX Mid-Term 11,304,613 6,941,620
ProShares VIX Short-Term Futures ETF 31,935,990 84,956,040
Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
ProShares Ultra Bloomberg Crude Oil 818,140,230 (339,187,944 )
ProShares Ultra Bloomberg Natural Gas 235,322,266 (89,157,584 )
ProShares Ultra Gold (39,908,073 ) (17,607,548 )
ProShares Ultra Silver (186,941,909 ) (16,622,928 )
ProShares UltraShort Bloomberg Crude Oil (142,631,216 ) 113,723,566
ProShares UltraShort Bloomberg Natural Gas (389,138,752 ) 116,857,361
ProShares UltraShort Gold 3,237,425 3,173,923
ProShares UltraShort Silver 8,252,893 1,570,887
Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
ProShares Ultra Euro (2,505,776 ) (513,883 )
ProShares Ultra Yen (2,532,839 ) (2,005 )
ProShares UltraShort Euro 16,693,971 3,049,081
ProShares UltraShort Yen 14,877,216 (444,812 )
Combined Trust: $ 431,833,207 $ 142,803,521
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 (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 The Effect of Derivative Instruments on the Statement of Operations For the nine months ended September 30, 2021
Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
ProShares Short VIX Short-Term Futures ETF $ 168,120,340 $ (14,530,761 )
ProShares Ultra VIX Short-Term Futures ETF (1,757,428,075 ) 146,502,120
ProShares VIX Mid-Term (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 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 deri |
