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ProShares Trust II - Quarter Report: 2020 June (Form 10-Q)

 
 
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 June 30, 2020.
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
7501 Wisconsin Avenue, Suite 1000
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip Code)
(240)
497-6400
(Registrant’s telephone number, including area code)
 
 
Securities registered pursuant to Section 12(b) of the Act:
 
Title of each class
  
Trading Symbol(s)
  
Name of each exchange on which registered
ProShares Short Euro    EUFX    NYSE Arca
ProShares Short VIX Short-Term Futures ETF    SVXY    NYSE Arca
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    NYSE Arca
ProShares Ultra Yen    YCL    NYSE Arca
ProShares UltraShort Australian Dollar    CROC    NYSE Arca
ProShares UltraShort Bloomberg Crude Oil    SCO    NYSE Arca
ProShares UltraShort Bloomberg Natural Gas    KOLD    NYSE Arca
ProShares UltraShort Euro    EUO    NYSE Arca
ProShares UltraShort Gold    GLL    NYSE Arca
ProShares UltraShort Silver    ZSL    NYSE Arca
ProShares UltraShort Yen    YCS    NYSE Arca
ProShares VIX Mid-Term Futures ETF    VIXM    NYSE Arca
ProShares VIX Short-Term Futures ETF    VIXY    NYSE Arca
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 3
, 2020, the registrant had
153,426,695
shares of common stock, $0 par value per share, outstanding.
 
 
 


Part I.    FINANCIAL INFORMATION
 
Item 1.
Financial Statements.
Index
 
Documents
  
Page
 
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
  
     4  
     9  
     14  
     19  
     24  
     29  
     34  
     39  
     44  
     49  
     54  
     59  
     64  
     69  
     74  
     79  
     84  
     89  
     94  
     98  

PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $– and $745,775, respectively)
   $ —        $ 745,805  
Cash
     2,247,629        1,509,236  
Segregated cash balances with brokers for futures contracts
     40,040        31,680  
Receivable on open futures contracts
     300        —    
Interest receivable
     276        2,434  
  
 
 
    
 
 
 
Total assets
     2,288,245        2,289,155  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     —          5,100  
Payable to Sponsor
     1,778        1,860  
  
 
 
    
 
 
 
Total liabilities
     1,778        6,960  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     2,286,467        2,282,195  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 2,288,245      $ 2,289,155  
  
 
 
    
 
 
 
Shares outstanding
     50,000        50,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 45.73      $ 45.64  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 44.83      $ 45.69  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures—CME, expires September 2020
     16      $ 2,250,500      $ 32,520  
 
See accompanying notes to financial statements.

PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 54     $ 125,445     $ 7,649     $ 190,623  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     5,516       52,792       11,019       79,777  
Brokerage commissions
     90       787       190       1,355  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     5,606       53,579       11,209       81,132  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,552     71,866       (3,560     109,491  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (20,020     76,518       (38,658     223,624  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (20,020     76,518       (38,658     223,624  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (20,804     (239,858     46,520       (35,721
Short-term U.S. government and agency obligations
     —         5,439       (30     5,173  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (20,804     (234,419     46,490       (30,548
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (40,824     (157,901     7,832       193,076  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (46,376   $ (86,035   $ 4,272     $ 302,567  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 2,332,843     $ 22,213,438     $ 2,282,195     $ 8,619,686  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of –, –, – and 300,000 shares, respectively
     —         —         —         13,205,150  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, –, – and 300,000 shares, respectively
     —         —         —         13,205,150  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,552     71,866       (3,560     109,491  
Net realized gain (loss)
     (20,020     76,518       (38,658     223,624  
Change in net unrealized appreciation (depreciation)
     (20,804     (234,419     46,490       (30,548
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (46,376     (86,035     4,272       302,567  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 2,286,467     $ 22,127,403     $ 2,286,467     $ 22,127,403  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 4,272     $ 302,567  
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
     —         (403,462,168
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     747,000       389,250,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,225     (120,268
Change in unrealized appreciation (depreciation) on investments
     30       (5,173
Decrease (Increase) in receivable on futures contracts
     (300     —    
Decrease (Increase) in interest receivable
     2,158       (4,867
Increase (Decrease) in payable to Sponsor
     (82     10,392  
Increase (Decrease) in payable on futures contracts
     (5,100     1,488  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     746,753       (14,028,029
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     —         13,205,150  
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     —         13,205,150  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     746,753       (822,879
Cash, beginning of period
     1,540,916       8,024,856  
  
 
 
   
 
 
 
Cash, end of period
   $ 2,287,669     $ 7,201,977  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31,
2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $124,974,892 and $56,926,750, respectively)
   $ 124,974,901      $ 56,929,436  
Cash
     70,667,631        113,044,890  
Segregated cash balances with brokers for futures contracts
     170,432,136        54,499,197  
Receivable on open futures contracts
     161,467,937        60,052,325  
Interest receivable
     11,037        123,214  
  
 
 
    
 
 
 
Total assets
     527,553,642        284,649,062  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     17,172,752        —    
Brokerage commissions and fees payable
     153,542        —    
Payable to Sponsor
     415,495        211,883  
  
 
 
    
 
 
 
Total liabilities
     17,741,789        211,883  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     509,811,853        284,437,179  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 527,553,642      $ 284,649,062  
  
 
 
    
 
 
 
Shares outstanding
     16,234,307        4,334,307  
  
 
 
    
 
 
 
Net asset value per share
   $ 31.40      $ 65.62  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 31.50      $ 65.23  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(25% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 35,000,000      $ 34,998,103  
0.154% due 09/03/20
     90,000,000        89,976,798  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $124,974,892)
      $ 124,974,901  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional
Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2020
     4,764      $ 147,088,500      $ 6,192,076  
VIX Futures - Cboe, expires August 2020
     3,411        108,555,075        2,819,802  
        
 
 
 
         $ 9,011,878  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
 
See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 106,023     $ 1,883,798     $ 855,884     $ 3,468,359  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     1,589,036       938,696       2,475,233       1,890,823  
Brokerage commissions
     228,176       219,597       417,708       408,021  
Brokerage fees
     431,791       –         461,519       24  
Non-recurring
fees and expenses
     –         –         –         398,550  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     2,249,003       1,158,293       3,354,460       2,697,418  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (2,142,980     725,505       (2,498,576     770,941  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     54,615,763       11,427,596       (189,684,841     70,532,950  
Short-term U.S. government and agency obligations
     (758     (8     (758     (8
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     54,615,005       11,427,588       (189,685,599     70,532,942  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (22,216,796     4,538,343       (1,242,994     27,115,163  
Short-term U.S. government and agency obligations
     (84,533     30,143       (2,677     24,783  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (22,301,329     4,568,486       (1,245,671     27,139,946  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     32,313,676       15,996,074       (190,931,270     97,672,888  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 30,170,696     $ 16,721,579     $ (193,429,846   $ 98,443,829  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 809,257,658     $ 441,188,509     $ 284,437,179     $ 344,596,263  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,000,000, –, 25,850,000 and 300,000 shares, respectively
     30,843,161       –         914,411,669       14,869,996  
Redemption of 10,850,000, 2,250,000, 13,950,000 and 2,250,000 shares,
respectively
    (360,459,662     (120,807,761     (495,607,149     (120,807,761
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (9,850,000), (2,250,000), 11,900,000 and
(1,950,000) shares, respectively
     (329,616,501     (120,807,761     418,804,520       (105,937,765
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (2,142,980     725,505       (2,498,576     770,941  
Net realized gain (loss)
     54,615,005       11,427,588       (189,685,599     70,532,942  
Change in net unrealized appreciation (depreciation)
     (22,301,329     4,568,486       (1,245,671     27,139,946  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     30,170,696       16,721,579       (193,429,846     98,443,829  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 509,811,853     $ 337,102,327     $ 509,811,853     $ 337,102,327  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (193,429,846   $ 98,443,829  
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
     (339,626,542     (4,846,330,816
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     271,998,224       4,770,297,014  
Net amortization and accretion on short-term U.S. government and agency obligations
     (420,582     (905,335
Net realized gain (loss) on investments
     758       8  
Change in unrealized appreciation (depreciation) on investments
     2,677       (24,783
Decrease (Increase) in receivable on futures contracts
     (101,415,612     (16,588,869
Decrease (Increase) in interest receivable
     112,177       (142,492
Increase (Decrease) in payable to Sponsor
     203,612       (32,893
Increase (Decrease) in brokerage commissions and fees payable
     153,542       –    
Increase (Decrease) in payable on futures contracts
     17,172,752       (13,170,649
Increase (Decrease) in
non-recurring
fees and expenses payable
     –         45,949  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (345,248,840     (8,409,037
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     914,411,669       14,869,996  
Payment on shares redeemed
     (495,607,149     (120,807,761
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     418,804,520       (105,937,765
  
 
 
   
 
 
 
Net increase (decrease) in cash
     73,555,680       (114,346,802
Cash, beginning of period
     167,544,087       296,898,455  
  
 
 
   
 
 
 
Cash, end of period
   $ 241,099,767     $ 182,551,653  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31,
2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $– and $200,101,525, respectively)
   $ –        $ 200,115,463  
Cash
     681,518,718        86,168,083  
Segregated cash balances with brokers for futures contracts
     607,469,681        2,147,480  
Segregated cash balances with brokers for swap agreements
     223,574,777        –    
Unrealized appreciation on swap agreements
     10,038,323        21,814,590  
Securities sold receivable
     3,718,972        –    
Receivable on open futures contracts
     108,300,298        –    
Interest receivable
     77,704        123,221  
  
 
 
    
 
 
 
Total assets
     1,634,698,473        310,368,837  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     72,460,997        –    
Payable on open futures contracts
     52,327,352        266,056  
Payable to Sponsor
     1,248,665        258,199  
  
 
 
    
 
 
 
Total liabilities
     126,037,014        524,255  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
    
Shareholders’ equity
     
Shareholders’ equity
     1,508,661,459        309,844,582  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 1,634,698,473      $ 310,368,837  
  
 
 
    
 
 
 
Shares outstanding (Note 1)
     52,760,774        608,453  
  
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 28.59      $ 509.23  
  
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 28.68      $ 511.50  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2020
     17,132      $ 673,972,880      $ 141,596,957  
WTI Crude Oil - NYMEX, expires October 2020
     22,205        876,653,400        (193,822
WTI Crude Oil - NYMEX, expires December 2020
     25,357        1,006,165,760        209,909,830  
        
 
 
 
         $ 351,312,965  
        
 
 
 
Total Return Swap Agreements
^
 
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional
Amount
at Value
**
    
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
     8.00     07/02/20      $ 225,096,897      $ 8,263,529  
Swap agreement with Morgan Stanley based on Morgan Stanley WTI Crude Oil Subindex
     0.60       08/07/20        129,511,755        (100,546
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
     0.25       07/02/20        107,081,626        1,875,340  
          
 
 
 
                  Total
Unrealized
Appreciation
     $10,038,323  
          
 
 
 
 
^
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
*
Reflects the floating financing rate, as of June 30, 2020, 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.

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 365,747     $ 2,163,795     $ 1,767,207     $ 4,304,180  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     2,806,288       898,556       3,676,527       1,923,750  
Brokerage commissions
     1,017,545       34,072       1,143,882       53,319  
Brokerage fees
     536,749       –         536,749       –    
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     4,360,582       932,628       5,357,158       1,977,069  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,994,835     1,231,167       (3,589,951     2,327,111  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (31,090,802     4,874,320       (120,038,012     14,599,415  
Swap agreements
     (640,451,755     (30,785,796     (1,057,095,811     36,012,266  
Short-term U.S. government and agency obligations
     121,849       3,626       159,318       3,873  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (671,420,708     (25,907,850     (1,176,974,505     50,615,554  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     424,261,108       (3,555,446     350,547,390       20,768,921  
Swap agreements
     237,286,565       17,642,629       (11,776,267     136,722,625  
Short-term U.S. government and agency obligations
     (368,827     74,339       (13,938     69,009  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     661,178,846       14,161,522       338,757,185       157,560,555  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (10,241,862     (11,746,328     (838,217,320     208,176,109  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (14,236,697   $ (10,515,161   $ (841,807,271   $ 210,503,220  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 435,593,381     $ 425,287,296     $ 309,844,582     $ 368,399,654  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 77,482,000, 284,000, 88,162,000 and 416,000 shares, respectively
 (
Note 1
)
     1,895,200,511       128,741,037       2,953,530,675       185,702,266  
Redemption of 35,569,679, 296,000, 36,009,679 and 766,000 shares, respectively
 (
N
ote 1
)
     (807,895,736     (161,532,544     (912,906,527     (382,624,512
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 41,912,321, (12,000), 52,152,321 and (350,000) shares, respectively
 (
Note 1
)
     1,087,304,775       (32,791,507     2,040,624,148       (196,922,246
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,994,835     1,231,167       (3,589,951     2,327,111  
Net realized gain (loss)
     (671,420,708     (25,907,850     (1,176,974,505     50,615,554  
Change in net unrealized appreciation (depreciation)
     661,178,846       14,161,522       338,757,185       157,560,555  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (14,236,697     (10,515,161     (841,807,271     210,503,220  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 1,508,661,459     $ 381,980,628     $ 1,508,661,459     $ 381,980,628  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (841,807,271   $ 210,503,220  
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
     (409,801,073     (3,352,711,813
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     611,325,152       3,331,489,226  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,263,236     (3,932,225
Net realized gain (loss) on investments
     (159,318     (3,873
Change in unrealized appreciation (depreciation) on investments
     11,790,205       (136,791,634
Decrease (Increase) in securities sold receivable
     (3,718,972     –    
Decrease (Increase) in receivable on futures contracts
     (108,300,298     24,304  
Decrease (Increase) in interest receivable
     45,517       (16,014
Increase (Decrease) in payable to Sponsor
     990,466       (5,603
Increase (Decrease) in payable on futures contracts
     52,061,296       837,635  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (688,837,532     49,393,223  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     2,953,530,675       198,693,930  
Payment on shares redeemed
     (840,445,530     (370,585,601
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     2,113,085,145       (171,891,671
  
 
 
   
 
 
 
Net increase (decrease) in cash
     1,424,247,613       (122,498,448
Cash, beginning of period
     88,315,563       148,018,312  
  
 
 
   
 
 
 
Cash, end of period
   $ 1,512,563,176     $ 25,519,864  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31,
2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $15,997,877 and $27,528,924, respectively)
   $ 15,997,708      $ 27,530,314  
Cash
     21,498,387        7,072,257  
Segregated cash balances with brokers for futures contracts
     11,447,376        10,546,805  
Receivable on open futures contracts
     1,683,304        37,024  
Interest receivable
     863        10,591  
  
 
 
    
 
 
 
Total assets
     50,627,638        45,196,991  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     27,855        36,786  
  
 
 
    
 
 
 
Total liabilities
     27,855        36,786  
  
 
 
    
 
 
 
Commitments and
Contingencies
(Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     50,599,783        45,160,205  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 50,627,638      $ 45,196,991  
  
 
 
    
 
 
 
Shares outstanding (Note 1)
     1,787,527        537,815  
  
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 28.31      $ 83.97  
  
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 28.36      $ 83.40  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(32% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 9,000,000      $ 8,999,512  
0.154% due 09/03/20
     7,000,000        6,998,196  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $15,997,877)
      $ 15,997,708  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2020
     5,659      $ 101,239,510      $ (2,234,434
 
^^
Rates shown represent discount rate at the time of purchase.
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 36,474     $ 139,008     $ 175,813     $ 256,843  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     81,904       60,844       179,012       115,695  
Brokerage commissions
     63,224       28,280       107,806       47,219  
Brokerage fees
     12,642       —         12,642       —    
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     157,770       89,124       299,460       162,914  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (121,296     49,884       (123,647     93,929  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (16,111,161     (7,976,053     (38,930,766     (21,277,891
Short-term U.S. government and agency obligations
     (77     84       977       25  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (16,111,238     (7,975,969     (38,929,789     (21,277,866
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     4,884,617       (671,150     417,794       9,673,790  
Short-term U.S. government and agency obligations
     (31,345     457       (1,559     515  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     4,853,272       (670,693     416,235       9,674,305  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (11,257,966     (8,646,662     (38,513,554     (11,603,561
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (11,379,262   $ (8,596,778   $ (38,637,201   $ (11,509,632
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 26,671,617     $ 20,900,095     $ 45,160,205     $ 14,617,440  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,260,000, 155,000, 1,485,000 and 285,000 shares, respectively
(Note 1)
     38,571,988       23,489,119       54,252,228       55,303,644  
Redemption of 110,288, 15,000, 235,288 and 100,000 shares, respectively
 (Note
 1
)
     (3,264,560     (2,154,678     (10,175,449     (24,773,694
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,149,712, 140,000, 1,249,712 and 185,000 shares, respectively
 (Note 1)
     35,307,428       21,334,441       44,076,779       30,529,950  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (121,296     49,884       (123,647     93,929  
Net realized gain (loss)
     (16,111,238     (7,975,969     (38,929,789     (21,277,866
Change in net unrealized appreciation (depreciation)
     4,853,272       (670,693     416,235       9,674,305  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (11,379,262     (8,596,778     (38,637,201     (11,509,632
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 50,599,783     $ 33,637,758     $ 50,599,783     $ 33,637,758  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (38,637,201   $ (11,509,632
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
     (41,900,001     (360,279,681
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     53,563,843       360,846,346  
Net amortization and accretion on short-term U.S. government and agency obligations
     (131,818     (161,961
Net realized gain (loss) on investments
     (977     (25
Change in unrealized appreciation (depreciation) on investments
     1,559       (515
Decrease (Increase) in receivable on futures contracts
     (1,646,280     —    
Decrease (Increase) in interest receivable
     9,728       (17,364
Increase (Decrease) in payable to Sponsor
     (8,931     (3,748
Increase (Decrease) in payable on futures contracts
     —         (2,401,095
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (28,750,078     (13,527,675
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     54,252,228       57,832,401  
Payment on shares redeemed
     (10,175,449     (24,773,694
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     44,076,779       33,058,707  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     15,326,701       19,531,032  
Cash, beginning of period
     17,619,062       7,030,602  
  
 
 
   
 
 
 
Cash, end of period
   $ 32,945,763     $ 26,561,634  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $– and $3,970,204, respectively)
   $ —        $ 3,970,412  
Cash
     3,584,207        1,206,437  
Segregated cash balances with brokers for foreign currency forward contracts
     500,000        921,000  
Unrealized appreciation on foreign currency forward contracts
     530        109,997  
Interest receivable
     410        1,496  
  
 
 
    
 
 
 
Total assets
     4,085,147        6,209,342  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     3,002        4,918  
Unrealized depreciation on
foreign
currency forward contracts
     14,459        —    
  
 
 
    
 
 
 
Total liabilities
     17,461        4,918  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     4,067,686        6,204,424  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $  4,085,147      $ 6,209,342  
  
 
 
    
 
 
 
Shares outstanding
     300,000        450,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 13.56      $ 13.79  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 13.57      $ 13.77  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount
in Local Currency
   
Contract Amount
in U.S. Dollars
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
         
Euro with Goldman Sachs International
     07/10/20        3,440,921     $ 3,866,850     $ 3,899  
Euro with UBS AG
     07/10/20        4,020,302       4,517,946       (18,358
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (14,459
         
 
 
 
Contracts to Sell
         
Euro with UBS AG
     07/10/20        (203,000   $ (228,129   $ 530  
         
 
 
 
          Total Unrealized
Appreciation

 
  $ 530  
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 2020. 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.

PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 192     $ 35,464     $ 15,993     $ 74,967  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     8,894       16,541       21,448       35,215  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     8,894       16,541       21,448       35,215  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,702     18,923       (5,455     39,752  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     (18,635     (132,599     (71,903     (359,872
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (18,635     (132,599     (71,903     (359,872
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     97,408       208,561       (123,926     (16,915
Short-term U.S. government and agency obligations
     —         16       (208     7  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     97,408       208,577       (124,134     (16,908
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     78,773       75,978       (196,037     (376,780
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 70,071     $ 94,901     $ (201,492   $ (337,028
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 3,949,142     $ 7,857,207     $ 6,204,424     $ 7,544,569  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 50,000, –, 100,000 and 50,000 shares, respectively
     698,183       —         1,368,038       744,567  
Redemption of 50,000, 150,000, 250,000 and 150,000 shares, respectively
     (649,710     (2,150,938     (3,303,284     (2,150,938
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, (150,000), (150,000) and (100,000) shares, respectively
     48,473       (2,150,938     (1,935,246     (1,406,371
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,702     18,923       (5,455     39,752  
Net realized gain (loss)
     (18,635     (132,599     (71,903     (359,872
Change in net unrealized appreciation (depreciation)
     97,408       208,577       (124,134     (16,908
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     70,071       94,901       (201,492     (337,028
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 4,067,686     $ 5,801,170     $ 4,067,686     $ 5,801,170  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (201,492   $ (337,028
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
     (1,395,795     (63,632,024
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     5,375,000       65,150,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (9,001     (21,311
Change in unrealized appreciation (depreciation) on investments
     124,134       16,908  
Decrease (Increase) in interest receivable
     1,086       (2,836
Increase (Decrease) in payable to Sponsor
     (1,916     (1,039
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     3,892,016       1,172,670  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,368,038       744,567  
Payment on shares redeemed
     (3,303,284     (1,425,765
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (1,935,246     (681,198
  
 
 
   
 
 
 
Net increase (decrease) in cash
     1,956,770       491,472  
Cash, beginning of period
     2,127,437       5,989,270  
  
 
 
   
 
 
 
Cash, end of period
   $ 4,084,207     $ 6,480,742  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $100,985,199 and $66,174,584, respectively)
   $ 100,983,863      $ 66,177,998  
Cash
     27,563,204        36,455,823  
Segregated cash balances with brokers for futures contracts
     6,982,300        2,070,900  
Segregated cash balances with brokers for swap agreements
     18,488,802        —    
Unrealized appreciation on swap agreements
     10,650,992        5,890,260  
Receivable on open futures contracts
     1,127,308        170,073  
Interest receivable
     2,749        45,921  
  
 
 
    
 
 
 
Total assets
     165,799,218        110,810,975  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     110,168        84,943  
  
 
 
    
 
 
 
Total liabilities
     110,168        84,943  
  
 
 
    
 
 
 
Commitments and
Contingencies
(Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     165,689,050        110,726,032  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 165,799,218      $ 110,810,975  
  
 
 
    
 
 
 
Shares outstanding
     2,550,000        2,250,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 64.98      $ 49.21  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 64.83      $ 49.05  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
  
Value
Short-term U.S. government and agency obligations
     
(61% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $30,000,000    $29,998,374
0.114% due 08/13/20
   37,000,000    36,994,254
0.154% due 09/03/20
   34,000,000    33,991,235
     
 
Total short-term U.S. government and agency obligations
     
(cost $100,985,199)
      $100,983,863
     
 
Futures Contracts Purchased
 
    
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
Gold Futures—COMEX, expires August 2020
   721    $129,816,050    $4,288,184
 
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%    07/06/20    $70,552,163    $3,728,155
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25    07/06/20    69,644,070    3,680,169
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25    07/06/20    61,364,755    3,242,668
           
 
         Total Unrealized Appreciation    $10,650,992
           
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2020. 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, 2020, 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.

PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
    
Six Months Ended
June 30,
 
  
2020
    
2019
    
2020
    
2019
 
Investment Income
           
Interest
   $ 69,857      $ 409,424      $ 484,541      $ 825,009  
  
 
 
    
 
 
    
 
 
    
 
 
 
Expenses
           
Management fee
     333,463        178,772        628,874        380,350  
Brokerage commissions
     6,119        2,566        16,484        3,787  
Brokerage fees
     10,196        —          10,196        —    
  
 
 
    
 
 
    
 
 
    
 
 
 
Total expenses
     349,778        181,338        655,554        384,137  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net investment income (loss)
     (279,921)        228,086        (171,013)        440,872  
  
 
 
    
 
 
    
 
 
    
 
 
 
Realized and unrealized gain (loss) on investment activity
           
Net realized gain (loss) on
           
Futures contracts
     3,122,599        (364,225)        3,054,438        (371,978)  
Swap agreements
     1,242,729        3,852,180        22,808,946        3,161,915  
Forward agreements
     —          —          —          4,790,603  
Short-term U.S. government and agency obligations
     —          402        —          402  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net realized gain (loss)
     4,365,328        3,488,357        25,863,384        7,580,942  
  
 
 
    
 
 
    
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation) on
           
Futures contracts
     5,677,906        3,037,989        2,039,670        2,759,958  
Swap agreements
     20,275,792        5,644,340        4,760,732        6,364,233  
Forward agreements
     —          —          —          (4,253,301)  
Short-term U.S. government and agency obligations
     (60,686)        14,720        (4,750)        13,400  
  
 
 
    
 
 
    
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation)
     25,893,012        8,697,049        6,795,652        4,884,290  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net realized and unrealized gain (loss)
     30,258,340        12,185,406        32,659,036        12,465,232  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net income (loss)
   $ 29,978,419      $ 12,413,492      $ 32,488,023      $ 12,906,104  
  
 
 
    
 
 
    
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
    
Six Months Ended
June 30,
 
  
2020
    
2019
    
2020
    
2019
 
Shareholders’ equity, beginning of period
   $ 128,481,796      $ 72,777,302      $ 110,726,032      $ 83,523,294  
  
 
 
    
 
 
    
 
 
    
 
 
 
Addition of 300,000, 350,000, 1,450,000 and 400,000 shares, respectively
     18,995,286        12,976,110        83,989,061        14,864,857  
Redemption of 200,000, 350,000, 1,150,000 and 700,000 shares, respectively
     (11,766,451)        (12,789,569)        (61,514,066)        (25,916,920)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net addition (redemption) of 100,000, –, 300,000 and (300,000) shares, respectively
     7,228,835        186,541        22,474,995        (11,052,063)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net investment income (loss)
     (279,921)        228,086        (171,013)        440,872  
Net realized gain (loss)
     4,365,328        3,488,357        25,863,384        7,580,942  
Change in net unrealized appreciation (depreciation)
     25,893,012        8,697,049        6,795,652        4,884,290  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net income (loss)
     29,978,419        12,413,492        32,488,023        12,906,104  
  
 
 
    
 
 
    
 
 
    
 
 
 
Shareholders’ equity, end of period
   $ 165,689,050      $ 85,377,335      $ 165,689,050      $ 85,377,335  
  
 
 
    
 
 
    
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
    
2019
 
Cash flow from operating activities
     
Net income (loss)
   $ 32,488,023      $ 12,906,104  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
     
Purchases of short-term U.S. government and agency obligations
     (171,756,777)        (736,475,693)  
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     137,257,000        712,780,072  
Net amortization and accretion on short-term U.S. government and agency obligations
     (310,838)        (714,806)  
Net realized gain (loss) on investments
     —          (402)  
Change in unrealized appreciation (depreciation) on investments
     (4,755,982)        (2,124,332)  
Decrease (Increase) in receivable on futures contracts
     (957,235)        —    
Decrease (Increase) in interest receivable
     43,172        (4,373)  
Increase (Decrease) in payable to Sponsor
     25,225        (2,049)  
Increase (Decrease) in payable on futures contracts
     —          49,418  
  
 
 
    
 
 
 
Net cash provided by (used in) operating activities
     (7,967,412)        (13,586,061)  
  
 
 
    
 
 
 
Cash flow from financing activities
     
Proceeds from addition of shares
     83,989,061        14,864,857  
Payment on shares redeemed
     (61,514,066)        (29,629,574)  
  
 
 
    
 
 
 
Net cash provided by (used in) financing activities
     22,474,995        (14,764,717)  
  
 
 
    
 
 
 
Net increase (decrease) in cash
     14,507,583        (28,350,778
Cash, beginning of period
     38,526,723        41,098,043  
  
 
 
    
 
 
 
Cash, end of period
   $ 53,034,306      $ 12,747,265  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $110,983,611 and $135,537,081, respectively)
   $ 110,982,105      $ 135,544,101  
Cash
     73,428,083        71,876,942  
Segregated cash balances with brokers for futures contracts
     18,232,000        7,181,720  
Segregated cash balances with brokers for swap agreements
     26,398,000        —    
Unrealized appreciation on swap agreements
     9,002,633        25,135,898  
Receivable from capital shares sold
     7,125,479        —    
Receivable on open futures contracts
     4,663,920        —    
Interest receivable
     7,211        91,720  
  
 
 
    
 
 
 
Total assets
     249,839,431        239,830,381  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     —          398,936  
Payable to Sponsor
     167,463        176,603  
  
 
 
    
 
 
 
Total liabilities
     167,463        575,539  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     249,671,968        239,254,842  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 249,839,431      $ 239,830,381  
  
 
 
    
 
 
 
Shares outstanding
     8,446,526        7,546,526  
  
 
 
    
 
 
 
Net asset value per share
   $ 29.56      $ 31.70  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 29.33      $ 31.65  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
  
Value
Short-term U.S. government and agency obligations
     
(44% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $30,000,000    $29,998,374
0.114% due 08/13/20
   45,000,000    44,993,012
0.154% due 09/03/20
   36,000,000    35,990,719
     
 
Total short-term U.S. government and agency obligations
     
(cost $110,983,611)
      $110,982,105
     
 
Futures Contracts Purchased
 
    
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
Silver Futures—COMEX, expires September 2020
   1,928    $179,660,680    $6,106,569
Total Return Swap Agreements
^
 
    
Rate Paid
(Received)
*
  
Termination
Date
  
Notional Amount
at Value
**
  
Unrealized
Appreciation
(Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25%    07/06/20    $135,066,136    $3,546,882
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.30    07/06/20    93,005,691    2,744,895
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25    07/06/20    91,761,402    2,710,856
           
 
         Total Unrealized Appreciation    $9,002,633
           
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2020. 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, 2020, 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.

PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
    
Six Months Ended
June 30,
 
  
2020
    
2019
    
2020
    
2019
 
Investment Income
           
Interest
   $ 138,315      $ 931,284      $ 914,602      $ 1,835,738  
  
 
 
    
 
 
    
 
 
    
 
 
 
Expenses
           
Management fee
     425,646        410,131        906,893        864,406  
Brokerage commissions
     26,966        9,085        45,174        13,702  
Brokerage fees
     20,946        —          20,946        3  
  
 
 
    
 
 
    
 
 
    
 
 
 
Total expenses
     473,558        419,216        973,013        878,111  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net investment income (loss)
     (335,243)        512,068        (58,411)        957,627  
  
 
 
    
 
 
    
 
 
    
 
 
 
Realized and unrealized gain (loss) on investment activity
           
Net realized gain (loss) on
           
Futures contracts
     19,483,543        (1,491,784)        9,841,567        (1,746,898)  
Swap agreements
     (8,097,230)        (6,523,969)        (2,152,908)        (25,333,438)  
Forward agreements
     —          —          —          32,366,374  
Short-term U.S. government and agency obligations
     —          1        —          132  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net realized gain (loss)
     11,386,313        (8,015,752)        7,688,659        5,286,170  
  
 
 
    
 
 
    
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation) on
           
Futures contracts
     4,631,606        1,736,022        382,020        737,490  
Swap agreements
     64,789,761        6,738,164        (16,133,265)        7,150,743  
Forward agreements
     —          —          —          (26,301,717)  
Short-term U.S. government and agency obligations
     (119,307)        27,203        (8,526)        24,547  
  
 
 
    
 
 
    
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation)
     69,302,060        8,501,389        (15,759,771)        (18,388,937)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net realized and unrealized gain (loss)
     80,688,373        485,637        (8,071,112)        (13,102,767)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net income (loss)
   $ 80,353,130      $ 997,705      $ (8,129,523)      $ (12,145,140)  
  
 
 
    
 
 
    
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
    
Six Months Ended
June 30,
 
  
2020
    
2019
    
2020
    
2019
 
Shareholders’ equity, beginning of period
   $ 129,785,536      $ 171,571,571      $ 239,254,842      $ 201,824,376  
  
 
 
    
 
 
    
 
 
    
 
 
 
Addition of 1,500,000, 900,000, 2,250,000 and 1,300,000 shares, respectively
     42,297,617        20,942,106        56,459,730        31,578,388  
Redemption of 100,000, 650,000, 1,350,000 and 1,700,000 shares, respectively
     (2,764,315)        (15,066,544)        (37,913,081)        (42,812,786)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net addition (redemption) of 1,400,000, 250,000, 900,000 and (400,000) shares, respectively
     39,533,302        5,875,562        18,546,649        (11,234,398)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net investment income (loss)
     (335,243)        512,068        (58,411)        957,627  
Net realized gain (loss)
     11,386,313        (8,015,752)        7,688,659        5,286,170  
Change in net unrealized appreciation (depreciation)
     69,302,060        8,501,389        (15,759,771)        (18,388,937)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net income (loss)
     80,353,130        997,705        (8,129,523)        (12,145,140)  
  
 
 
    
 
 
    
 
 
    
 
 
 
Shareholders’ equity, end of period
   $ 249,671,968      $ 178,444,838      $ 249,671,968      $ 178,444,838  
  
 
 
    
 
 
    
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
                 
    
Six Months Ended
June 30,
 
  
2020
    
2019
 
Cash flow from operating activities
     
Net income (loss)
   $ (8,129,523)      $ (12,145,140)  
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
     (234,541,441)        (1,328,212,359)  
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     259,705,000        1,320,499,286  
Net amortization and accretion on short-term U.S. government and agency obligations
     (610,089)        (1,611,840)  
Net realized gain (loss) on investments
     —          (132)  
Change in unrealized appreciation (depreciation) on investments
     16,141,791        19,126,427  
Decrease (Increase) in receivable on futures contracts
     (4,663,920)        —    
Decrease (Increase) in interest receivable
     84,509        (47,723)  
Increase (Decrease) in payable to Sponsor
     (9,140)        (13,359)  
Increase (Decrease) in payable on futures contracts
     (398,936)        61,102  
  
 
 
    
 
 
 
Net cash provided by (used in) operating activities
     27,578,251        (2,343,738)  
  
 
 
    
 
 
 
Cash flow from financing activities
     
Proceeds from addition of shares
     49,334,251        31,578,388  
Payment on shares redeemed
     (37,913,081)        (42,812,786)  
  
 
 
    
 
 
 
Net cash provided by (used in) financing activities
     11,421,170        (11,234,398)  
  
 
 
    
 
 
 
Net increase (decrease) in cash
     38,999,421        (13,578,136)  
Cash, beginning of period
     79,058,662        51,907,742  
  
 
 
    
 
 
 
Cash, end of period
   $ 118,058,083      $ 38,329,606  
  
 
 
    
 
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $96,986,029 and $179,736,532, respectively)
   $ 96,985,173      $ 179,749,262  
Cash
     307,551,279        179,318,928  
Segregated cash balances with brokers for futures contracts
     533,199,791        175,258,401  
Segregated cash balances with brokers for swap agreements
     18,743,000        6,984,000  
Receivable from capital shares sold
     62,582,799        87,500  
Receivable on open futures contracts
     39,494,012        20,666,579  
Interest receivable
     29,624        212,666  
  
 
 
    
 
 
 
Total assets
     1,058,585,678        562,277,336  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     61,619,353        34,019,820  
Brokerage commissions and fees payable
     248,909        —    
Payable to Sponsor
     601,147        411,729  
Unrealized depreciation on swap agreements
     3,959,662        209,784  
  
 
 
    
 
 
 
Total liabilities
     66,429,071        34,641,333  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     992,156,607        527,636,003  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 1,058,585,678      $ 562,277,336  
  
 
 
    
 
 
 
Shares outstanding
     30,130,912        41,630,912  
  
 
 
    
 
 
 
Net asset value per share
   $ 32.93      $ 12.67  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 32.77      $ 12.89  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(10% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 50,000,000      $ 49,997,290  
0.154% due 09/03/20
     47,000,000        46,987,883  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $96,986,029)
      $ 96,985,173  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures—Cboe, expires July 2020
     26,764      $ 826,338,500      $ 30,231,646  
VIX Futures—Cboe, expires August 2020
     19,103        607,952,975        (21,848,927
        
 
 
 
         $ 8,382,719  
        
 
 
 
Total Return Swap Agreements
^
 
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional Amount
at Value
**
    
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
     1.03     07/29/20      $ 52,525,586      $ (3,959,662
          
 
 
 
         
 
Total
Unrealized
Depreciation
 

 
   $ (3,959,662
          
 
 
 
 
^
The positions and counterparties herein are as of June 30, 2020. 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, 2020, 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.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 101,523     $ 2,683,047     $ 1,513,263     $ 4,101,153  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     1,293,878       1,356,237       2,677,153       2,321,769  
Brokerage commissions
     438,851       819,685       1,179,860       1,395,316  
Brokerage fees
     454,550       —         471,271       64  
Non-recurring
fees and expenses
     —         —         —         27,508  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     2,187,279       2,175,922       4,328,284       3,744,657  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (2,085,756     507,125       (2,815,021     356,496  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (70,710,151     (50,930,493     585,435,077       (217,066,694
Swap agreements
     (37,170,640     (4,045,325     32,769,363       (33,132,465
Short-term U.S. government and agency obligations
     —         (350     —         (350
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (107,880,791     (54,976,168     618,204,440       (250,199,509
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (143,576,454     (37,254,397     54,779,500       (77,769,752
Swap agreements
     18,224,215       (2,348,776     (3,749,878     (883,364
Short-term U.S. government and agency obligations
     (148,640     40,081       (13,586     32,041  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (125,500,879     (39,563,092     51,016,036       (78,621,075
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (233,381,670     (94,539,260     669,220,476       (328,820,584
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (235,467,426   $ (94,032,135   $ 666,405,455     $ (328,464,088
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 592,820,492     $ 547,243,246     $ 527,636,003     $ 214,304,871  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 24,850,000, 17,050,000, 34,750,000 and 32,200,000 shares, respectively
     850,559,658       585,834,908       1,209,649,869       1,314,412,456  
Redemption of 4,850,000, 13,650,000, 46,250,000 and 17,400,000 shares, respectively
     (215,756,117     (509,704,555     (1,411,534,720     (670,911,775
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 20,000,000, 3,400,000, (11,500,000) and 14,800,000 shares, respectively
     634,803,541       76,130,353       (201,884,851     643,500,681  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (2,085,756     507,125       (2,815,021     356,496  
Net realized gain (loss)
     (107,880,791     (54,976,168     618,204,440       (250,199,509
Change in net unrealized appreciation (depreciation)
     (125,500,879     (39,563,092     51,016,036       (78,621,075
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (235,467,426     (94,032,135     666,405,455       (328,464,088
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 992,156,607     $ 529,341,464     $ 992,156,607     $ 529,341,464  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 666,405,455     $ (328,464,088
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
     (295,430,934     (4,484,535,007
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     379,000,000       4,370,237,635  
Net amortization and accretion on short-term U.S. government and agency obligations
     (818,563     (1,027,843
Net realized gain (loss) on investments
     —         350  
Change in unrealized appreciation (depreciation) on investments
     3,763,464       851,323  
Decrease (Increase) in receivable on futures contracts
     (18,827,433     (7,423,045
Decrease (Increase) in interest receivable
     183,042       (407,192
Increase (Decrease) in payable to Sponsor
     189,418       241,897  
Increase (Decrease) in brokerage commissions and fees payable
     248,909       —    
Increase (Decrease) in payable on futures contracts
     27,599,533       17,934,744  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     762,312,891       (432,591,226
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,147,154,570       1,305,852,193  
Payment on shares redeemed
     (1,411,534,720     (670,911,775
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (264,380,150     634,940,418  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     497,932,741       202,349,192  
Cash, beginning of period
     361,561,329       202,920,595  
  
 
 
   
 
 
 
Cash, end of period
   $ 859,494,070     $ 405,269,787  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $– and $1,808,030, respectively)
   $ —        $ 1,808,104  
Cash
     2,427,143        3,283,138  
Segregated cash balances with brokers for foreign currency forward contracts
     300,000        500,000  
Unrealized appreciation on foreign currency forward contracts
     39,430        —    
Interest receivable
     281        4,726  
  
 
 
    
 
 
 
Total assets
     2,766,854        5,595,968  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     2,168        4,475  
Unrealized depreciation on foreign currency forward contracts
     331        10,529  
  
 
 
    
 
 
 
Total liabilities
     2,499        15,004  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     2,764,355        5,580,964  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 2,766,854      $ 5,595,968  
  
 
 
    
 
 
 
Shares outstanding
     49,970        99,970  
  
 
 
    
 
 
 
Net asset value per share
   $ 55.32      $ 55.83  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 55.31      $ 55.83  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(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
     07/10/20        336,014,517     $ 3,112,428     $ 22,496  
Yen with UBS AG
     07/10/20        274,932,756       2,546,639       16,934  
         
 
 
 
          Total Unrealized
Appreciation
 
 
  $ 39,430  
         
 
 
 
Contracts to Sell
         
Yen with UBS AG
     07/10/20        (12,240,000   $ (113,377   $ (331
         
 
 
 
          Total Unrealized
Depreciation

 
  $ (331
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 2020. 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.

PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 62     $ 18,875     $ 8,929     $ 45,884  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     6,601       9,207       13,842       21,645  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     6,601       9,207       13,842       21,645  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (6,539     9,668       (4,913     24,239  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     (106,753     171,283       (115,236     93,976  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (106,753     171,283       (115,236     93,976  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     68,867       (16,099     49,628       (128,696
Short-term U.S. government and agency obligations
     —         (352     (74     (352
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     68,867       (16,451     49,554       (129,048
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (37,886     154,832       (65,682     (35,072
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (44,425   $ 164,500     $ (70,595   $ (10,833
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 2,808,780     $ 5,563,510     $ 5,580,964     $ 5,751,716  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of –, 50,000, – and 100,000 shares, respectively
     —         2,835,708       —         5,758,562  
Redemption of –, 50,000, 50,000 and 100,000 shares, respectively
     —         (2,756,321     (2,746,014     (5,692,048
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, –, (50,000) and – shares, respectively
     —         79,387       (2,746,014     66,514  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (6,539     9,668       (4,913     24,239  
Net realized gain (loss)
     (106,753     171,283       (115,236     93,976  
Change in net unrealized appreciation (depreciation)
     68,867       (16,451     49,554       (129,048
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (44,425     164,500       (70,595     (10,833
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 2,764,355     $ 5,807,397     $ 2,764,355     $ 5,807,397  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (70,595   $ (10,833
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
     (99,700     (40,320,918
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     1,911,000       36,350,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,270     (9,569
Change in unrealized appreciation (depreciation) on investments
     (49,554     129,048  
Decrease (Increase) in interest receivable
     4,445       (2,458
Increase (Decrease) in payable to Sponsor
     (2,307     2,080  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     1,690,019       (3,862,650
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     —         8,605,138  
Payment on shares redeemed
     (2,746,014     (5,692,048
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (2,746,014     2,913,090  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,055,995     (949,560
Cash, beginning of period
     3,783,138       2,726,531  
  
 
 
   
 
 
 
Cash, end of period
   $ 2,727,143     $ 1,776,971  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $– and $3,931,268, respectively)
   $ —        $ 3,931,474  
Cash
     5,360,437        1,506,673  
Segregated cash balances with brokers for futures contracts
     322,740        211,200  
Interest receivable
     656        1,707  
  
 
 
    
 
 
 
Total assets
     5,683,833        5,651,054  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     65,387        37,725  
Payable to Sponsor
     4,404        4,717  
  
 
 
    
 
 
 
Total liabilities
     69,791        42,442  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     5,614,042        5,608,612  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 5,683,833      $ 5,651,054  
  
 
 
    
 
 
 
Shares outstanding
     100,000        100,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 56.14      $ 56.09  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 56.06      $ 55.88  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures—CME, expires September 2020
     163      $ 11,255,150      $ 161,350  
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 42     $ 47,222     $ 20,096     $ 95,764  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     14,888       19,898       30,018       40,978  
Brokerage commissions
     1,339       1,429       2,838       3,102  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     16,227       21,327       32,856       44,080  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (16,185     25,895       (12,760     51,684  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (1,037,904     250,116       (366,954     512,861  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (1,037,904     250,116       (366,954     512,861  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (562,236     (74,786     385,350       (652,001
Short-term U.S. government and agency obligations
     —         193       (206     204  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (562,236     (74,593     385,144       (651,797
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (1,600,140     175,523       18,190       (138,936
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (1,616,325   $ 201,418     $ 5,430     $ (87,252
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 7,230,367     $ 8,162,647     $ 5,608,612     $ 11,060,333  
  
 
 
   
 
 
   
 
 
   
 
 
 
Redemption of –, –, – and 50,000 shares, respectively
     —         —         —         (2,609,016
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, –, – and (50,000) shares, respectively
     —         —         —         (2,609,016
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (16,185     25,895       (12,760     51,684  
Net realized gain (loss)
     (1,037,904     250,116       (366,954     512,861  
Change in net unrealized appreciation (depreciation)
     (562,236     (74,593     385,144       (651,797
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (1,616,325     201,418       5,430       (87,252
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 5,614,042     $ 8,364,065     $ 5,614,042     $ 8,364,065  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 5,430     $ (87,252
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Purchases of short-term U.S. government and agency obligations
     (498,498     (127,013,643
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     4,436,000       124,350,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (6,234     (23,242
Change in unrealized appreciation (depreciation) on investments
     206       (204
Decrease (Increase) in receivable on futures contracts
     —         6,300  
Decrease (Increase) in interest receivable
     1,051       (3,206
Increase (Decrease) in payable to Sponsor
     (313     (1,688
Increase (Decrease) in payable on futures contracts
     27,662       34,377  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     3,965,304       (2,738,558
  
 
 
   
 
 
 
Cash flow from financing activities
    
Payment on shares redeemed
     —         (2,609,016
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     —         (2,609,016
  
 
 
   
 
 
 
Net increase (decrease) in cash
     3,965,304       (5,347,574
Cash, beginning of period
     1,717,873       10,754,381  
  
 
 
   
 
 
 
Cash, end of period
   $ 5,683,177     $ 5,406,807  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $– and $62,196,121, respectively)
   $ —        $ 62,199,283  
Cash
     40,877,822        50,856,757  
Segregated cash balances with brokers for futures contracts
     46,872,390        7,239,420  
Segregated cash balances with brokers for swap agreements
     22,643,000        3,813,000  
Receivable from capital shares sold
     8,233,885        4,267,015  
Receivable on open futures contracts
     8,686,145        1,144,404  
Interest receivable
     4,786        54,165  
  
 
 
    
 
 
 
Total assets
     127,318,028        129,574,044  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     7,318,957        —    
Payable to Sponsor
     81,495        88,432  
Unrealized depreciation on swap agreements
     2,095,678        4,033,931  
  
 
 
    
 
 
 
Total liabilities
     9,496,130        4,122,363  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     117,821,898        125,451,681  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 127,318,028      $ 129,574,044  
  
 
 
    
 
 
 
Shares outstanding
     6,439,884        10,289,884  
  
 
 
    
 
 
 
Net asset value per share
   $ 18.30      $ 12.19  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 18.25      $ 12.15  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/
Value
 
WTI Crude Oil—NYMEX, expires September 2020
     919      $ 36,153,460      $ 341,288  
WTI Crude Oil—NYMEX, expires October 2020
     1,990        78,565,200        (1,580
WTI Crude Oil—NYMEX, expires December 2020
     1,980        78,566,400        (4,013,856
        
 
 
 
                  
$(3,674,148)
 
        
 
 
 
Total Return Swap Agreements
^
 
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
     5.00     07/02/20      $ (42,317,531   $ (2,095,678
         
 
 
 
          Total Unrealized
Depreciation

 
  $ (2,095,678
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
 
*
Reflects the floating financing rate, as of June 30, 2020, 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.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 6,209     $ 424,765     $ 254,918     $ 786,536  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     348,900       190,096       551,269       356,422  
Brokerage commissions
     346,732       18,872       423,785       28,502  
Brokerage fees
     93,303       —         93,303       —    
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     788,935       208,968       1,068,357       384,924  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (782,726     215,797       (813,439     401,612  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (6,718,825     (1,994,174     (214,136     (5,183,906
Swap agreements
     (228,522     12,117,296       44,940,811       6,151,869  
Short-term U.S. government and agency obligations
     —         1,200       (20     1,200  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (6,947,347     10,124,322       44,726,655       969,163  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (55,392,539     1,408,268       (555,459     (4,822,648
Swap agreements
     (19,802,897     (3,960,062     1,938,253       (30,646,178
Short-term U.S. government and agency obligations
     (6,289     8,300       (3,162     7,098  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (75,201,725     (2,543,494     1,379,632       (35,461,728
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (82,149,072     7,580,828       46,106,287       (34,492,565
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (82,931,798   $ 7,796,625     $ 45,292,848     $ (34,090,953
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 100,094,023     $ 75,826,687     $ 125,451,681     $ 114,377,311  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 19,000,000, 4,850,000, 22,350,000 and 8,250,000 shares, respectively
     597,199,474       76,776,773       668,428,949       143,253,074  
Redemption of 14,600,000, 5,300,000, 26,200,000 and 8,050,000 shares, respectively
     (496,539,801     (92,303,318     (721,351,580     (155,442,665
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 4,400,000, (450,000), (3,850,000) and 200,000 shares, respectively
     100,659,673       (15,526,545     (52,922,631     (12,189,591
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (782,726     215,797       (813,439     401,612  
Net realized gain (loss)
     (6,947,347     10,124,322       44,726,655       969,163  
Change in net unrealized appreciation (depreciation)
     (75,201,725     (2,543,494     1,379,632       (35,461,728
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (82,931,798     7,796,625       45,292,848       (34,090,953
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 117,821,898     $ 68,096,767     $ 117,821,898     $ 68,096,767  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 45,292,848     $ (34,090,953
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
     (32,897,274     (1,262,653,154
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     95,246,647       1,254,901,091  
Net amortization and accretion on short-term U.S. government and agency obligations
     (153,272     (575,172
Net realized gain (loss) on investments
     20       (1,200
Change in unrealized appreciation (depreciation) on investments
     (1,935,091     30,639,080  
Decrease (Increase) in receivable on futures contracts
     (7,541,741     133,867  
Decrease (Increase) in interest receivable
     49,379       (15,625
Increase (Decrease) in payable to Sponsor
     (6,937     (38,028
Increase (Decrease) in payable on futures contracts
     7,318,957       211,556  
Increase (Decrease) in securities purchased payable
     —         9,949,576  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     105,373,536       (1,538,962
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     664,462,079       167,079,837  
Payment on shares redeemed
     (721,351,580     (155,442,665
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (56,889,501     11,637,172  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     48,484,035       10,098,210  
Cash, beginning of period
     61,909,177       39,972,133  
  
 
 
   
 
 
 
Cash, end of period
   $ 110,393,212     $ 50,070,343  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,946 and $5,154,603, respectively)
   $ 1,999,892      $ 5,154,876  
Cash
     18,133,181        4,438,331  
Segregated cash balances with brokers for futures contracts
     6,586,014        2,932,560  
Receivable from capital shares sold
     3,360,532        —    
Interest receivable
     1,217        6,522  
  
 
 
    
 
 
 
Total assets
     30,080,836        12,532,289  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     1,515,578        6,826  
Payable to Sponsor
     13,048        9,860  
  
 
 
    
 
 
 
Total liabilities
     1,528,626        16,686  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     28,552,210        12,515,603  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 30,080,836      $ 12,532,289  
  
 
 
    
 
 
 
Shares outstanding
     424,832        324,832  
  
 
 
    
 
 
 
Net asset value per share
   $ 67.21      $ 38.53  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 67.21      $ 38.82  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(7% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 2,000,000      $ 1,999,892  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $1,999,946)
      $ 1,999,892  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas—NYMEX, expires September 2020
     3,192      $ 57,104,880      $ 1,233,628  
 
^^
Rates shown represent discount rate at the time of purchase.
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 1,371     $ 48,278     $ 43,803     $ 108,153  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
            
Management fee
     36,607       20,378       69,037       49,069  
Brokerage commissions
     46,462       16,181       78,743       27,881  
Brokerage fees
     5,349       —         5,349       —    
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     88,418       36,559       153,129       76,950  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (87,047     11,719       (109,326     31,203  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
            
Net realized gain (loss) on
            
Futures contracts
     5,236,641       3,449,841       10,862,818       14,769,166  
Short-term U.S. government and agency obligations
     (550     —         (550     —    
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     5,236,091       3,449,841       10,862,268       14,769,166  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
            
Futures contracts
     (2,773,687     (546,368     561,299       (10,862,913
Short-term U.S. government and agency obligations
     (952     183       (327     117  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (2,774,639     (546,185     560,972       (10,862,796
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     2,461,452       2,903,656       11,423,240       3,906,370  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 2,374,405     $ 2,915,375     $ 11,313,914     $ 3,937,573  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 17,419,933     $ 13,019,491     $ 12,515,603     $ 17,825,441  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 650,000, 250,000, 1,200,000 and 500,000 shares, respectively
     39,170,642       6,919,017       68,275,223       11,032,627  
Redemption of 500,000, 700,000, 1,100,000 and 1,200,000 shares, respectively
     (30,412,770     (19,015,041     (63,552,530     (28,956,799
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 150,000, (450,000), 100,000 and (700,000) shares, respectively
     8,757,872       (12,096,024     4,722,693       (17,924,172
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (87,047     11,719       (109,326     31,203  
Net realized gain (loss)
     5,236,091       3,449,841       10,862,268       14,769,166  
Change in net unrealized appreciation (depreciation)
     (2,774,639     (546,185     560,972       (10,862,796
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     2,374,405       2,915,375       11,313,914       3,937,573  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 28,552,210     $ 3,838,842     $ 28,552,210     $ 3,838,842  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 11,313,914     $ 3,937,573  
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
     (12,989,707     (194,019,735
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     16,159,778       193,550,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (15,964     (29,660
Net realized gain (loss) on investments
     550       —    
Change in unrealized appreciation (depreciation) on investments
     327       (117
Decrease (Increase) in receivable on futures contracts
     —         3,094,499  
Decrease (Increase) in interest receivable
     5,305       1,501  
Increase (Decrease) in payable to Sponsor
     3,188       (10,868
Increase (Decrease) in payable on futures contracts
     1,508,752       11,236  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     15,986,143       6,534,429  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     64,914,691       11,032,627  
Payment on shares redeemed
     (63,552,530     (33,278,387
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     1,362,161       (22,245,760
  
 
 
   
 
 
 
Net increase (decrease) in cash
     17,348,304       (15,711,331
Cash, beginning of period
     7,370,891       18,756,222  
  
 
 
   
 
 
 
Cash, end of period
   $ 24,719,195     $ 3,044,891  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31,
2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $74,988,779 and $78,586,073, respectively)
   $ 74,987,908      $ 78,590,100  
Cash
     4,248,559        44,280,278  
Unrealized appreciation on foreign currency forward contracts
     —          115,751  
Interest receivable
     993        60,723  
  
 
 
    
 
 
 
Total assets
     79,237,460        123,046,852  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     63,541        99,508  
Unrealized depreciation on foreign currency forward contracts
     324,954        2,366,171  
  
 
 
    
 
 
 
Total liabilities
     388,495        2,465,679  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     78,848,965        120,581,173  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 79,237,460      $ 123,046,852  
  
 
 
    
 
 
 
Shares outstanding
     2,950,000        4,500,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 26.73      $ 26.80  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 26.73      $ 26.80  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(95% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 25,000,000      $ 24,998,645  
0.114% due 08/13/20
     21,000,000        20,996,739  
0.154% due 09/03/20
     29,000,000        28,992,524  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $74,988,779)
      $ 74,987,908  
     
 
 
 
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount
in Local Currency
   
Contract Amount
in U.S. Dollars
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
         
Euro with UBS AG
     07/10/20        24,450,000     $ 27,476,495     $ (167,059
         
 
 
 
          $ (167,059
         
 
 
 
Contracts to Sell
         
Euro with Goldman Sachs International
     07/10/20        (42,027,263   $ (47,229,524   $ (47,617
Euro with UBS AG
     07/10/20        (123,240,199     (138,495,242     (110,278
         
 
 
 
          $ (157,895
         
 
 
 
         
 
Total Net
Unrealized
Depreciation
 

 
  $ (324,954
         
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
 
^
The positions and counterparties herein are as of June 30, 2020. 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.

PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 68,027     $ 805,304     $ 467,684     $ 1,579,922  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     213,631       334,048       477,073       674,193  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     213,631       334,048       477,073       674,193  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (145,604     471,256       (9,389     905,729  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     (2,285,868     1,947,377       (1,238,585     5,276,619  
Short-term U.S. government and agency obligations
     —         (7     —         (7
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (2,285,868     1,947,370       (1,238,585     5,276,612  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     (1,212,465     (3,873,835     1,925,466       555,595  
Short-term U.S. government and agency obligations
     (57,218     30,086       (4,898     25,469  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (1,269,683     (3,843,749     1,920,568       581,064  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (3,555,551     (1,896,379     681,983       5,857,676  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (3,701,155   $ (1,425,123   $ 672,594     $ 6,763,405  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 93,194,599     $ 151,445,608     $ 120,581,173     $ 154,120,159  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 150,000, 100,000, 350,000 and 350,000 shares, respectively
     4,304,184       2,529,264       10,058,250       8,834,696  
Redemption of 550,000, 700,000, 1,900,000 and 1,400,000 shares, respectively
     (14,948,663     (17,976,278     (52,463,052     (35,144,789
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (400,000), (600,000), (1,550,000) and (1,050,000) shares, respectively
     (10,644,479     (15,447,014     (42,404,802     (26,310,093
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (145,604     471,256       (9,389     905,729  
Net realized gain (loss)
     (2,285,868     1,947,370       (1,238,585     5,276,612  
Change in net unrealized appreciation (depreciation)
     (1,269,683     (3,843,749     1,920,568       581,064  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (3,701,155     (1,425,123     672,594       6,763,405  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 78,848,965     $ 134,573,471     $ 78,848,965     $ 134,573,471  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 672,594     $ 6,763,405  
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
     (141,766,749     (1,268,345,577
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     145,685,000       1,267,088,249  
Net amortization and accretion on short-term U.S. government and agency obligations
     (320,957     (1,424,002
Net realized gain (loss) on investments
     —         7  
Change in unrealized appreciation (depreciation) on investments
     (1,920,568     (581,064
Decrease (Increase) in interest receivable
     59,730       (12,166
Increase (Decrease) in payable to Sponsor
     (35,967     (22,201
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     2,373,083       3,466,651  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     10,058,250       8,834,696  
Payment on shares redeemed
     (52,463,052     (37,571,809
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (42,404,802     (28,737,113
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (40,031,719     (25,270,462
Cash, beginning of period
     44,280,278       36,353,995  
  
 
 
   
 
 
 
Cash, end of period
   $ 4,248,559     $ 11,083,533  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $7,999,783 and $12,354,582, respectively)
   $ 7,999,566      $ 12,355,192  
Cash
     5,155,435        8,993,715  
Segregated cash balances with brokers for futures contracts
     444,850        358,200  
Segregated cash balances with brokers for swap agreements
     3,541,400        544,000  
Receivable on open futures contracts
     13,574        —    
Interest receivable
     660        11,691  
  
 
 
    
 
 
 
Total assets
     17,155,485        22,262,798  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     46,320        25,211  
Payable to Sponsor
     13,153        17,218  
Unrealized depreciation on swap agreements
     1,244,969        1,172,809  
  
 
 
    
 
 
 
Total liabilities
     1,304,442        1,215,238  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
    
Shareholders’ equity
     
Shareholders’ equity
     15,851,043        21,047,560  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 17,155,485      $ 22,262,798  
  
 
 
    
 
 
 
Shares outstanding
     446,977        396,977  
  
 
 
    
 
 
 
Net asset value per share
   $ 35.46      $ 53.02  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 35.57      $ 53.21  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(50% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 8,000,000      $ 7,999,566  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $7,999,783)
      $ 7,999,566  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures—COMEX, expires August 2020
     46      $ 8,282,300      $ (280,540
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     07/06/20      $ (10,722,833   $ (569,683
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.20       07/06/20        (8,036,739     (426,747
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       07/06/20        (4,678,097     (248,539
         
 
 
 
          Total Unrealized
Depreciation

 
  $ (1,244,969
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 2020. 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, 2020, 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.

PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 2,259     $ 102,278     $ 63,280     $ 197,489  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     40,621       48,056       83,860       95,018  
Brokerage commissions
     1,659       1,640       3,763       2,418  
Brokerage fees
     1,365       —         1,365       —    
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     43,645       49,696       88,988       97,436  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (41,386     52,582       (25,708     100,053  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (1,667,192     (665,001     (3,695,858     (677,942
Swap agreements
     (422,079     (1,236,071     (4,324,295     (1,273,885
Forward agreements
     —         —         —         (1,118,149
Short-term U.S. government and agency obligations
     —         337       —         337  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (2,089,271     (1,900,735     (8,020,153     (3,069,639
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (530,083     (357,062     111,030       (287,848
Swap agreements
     (2,106,843     (1,001,817     (72,160     (1,183,904
Forward agreements
     —         —         —         990,786  
Short-term U.S. government and agency obligations
     (2,005     1,867       (827     1,980  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (2,638,931     (1,357,012     38,043       (478,986
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (4,728,202     (3,257,747     (7,982,110     (3,548,625
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (4,769,588   $ (3,205,165   $ (8,007,818   $ (3,448,572
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 20,569,044     $ 21,506,707     $ 21,047,560     $ 18,098,997  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 150,000, 300,000, 350,000 and 400,000 shares, respectively
     5,742,206       21,408,838       15,431,847       28,645,711  
Redemption of 150,000, 300,000, 300,000 and 350,001 shares, respectively
     (5,690,619     (21,551,977     (12,620,546     (25,137,733
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, –, 50,000 and 49,999 shares, respectively
     51,587       (143,139     2,811,301       3,507,978  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (41,386     52,582       (25,708     100,053  
Net realized gain (loss)
     (2,089,271     (1,900,735     (8,020,153     (3,069,639
Change in net unrealized appreciation (depreciation)
     (2,638,931     (1,357,012     38,043       (478,986
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (4,769,588     (3,205,165     (8,007,818     (3,448,572
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 15,851,043     $ 18,158,403     $ 15,851,043     $ 18,158,403  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (8,007,818   $ (3,448,572
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
     (14,982,323     (321,841,257
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     19,371,000       313,978,906  
Net amortization and accretion on short-term U.S. government and agency obligations
     (33,878     (106,009
Net realized gain (loss) on investments
     —         (337
Change in unrealized appreciation (depreciation) on investments
     72,987       191,138  
Decrease (Increase) in receivable on futures contracts
     (13,574     1,700  
Decrease (Increase) in interest receivable
     11,031       945  
Increase (Decrease) in payable to Sponsor
     (4,065     (2,611
Increase (Decrease) in payable on futures contracts
     21,109       44,120  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (3,565,531     (11,181,977
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     15,431,847       28,645,711  
Payment on shares redeemed
     (12,620,546     (25,137,733
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     2,811,301       3,507,978  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (754,230     (7,673,999
Cash, beginning of period
     9,895,915       15,103,332  
  
 
 
   
 
 
 
Cash, end of period
   $ 9,141,685     $ 7,429,333  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $– and $9,162,163, respectively)
   $ —        $ 9,162,867  
Cash
     7,756,303        5,300,012  
Segregated cash balances with brokers for futures contracts
     670,000        148,200  
Segregated cash balances with brokers for swap agreements
     2,145,000        1,198,000  
Receivable on open futures contracts
     104,420        4,800  
Interest receivable
     1,021        4,326  
  
 
 
    
 
 
 
Total assets
     10,676,744        15,818,205  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     137,520        18,516  
Payable to Sponsor
     9,768        11,622  
Unrealized depreciation on swap agreements
     383,831        1,953,904  
  
 
 
    
 
 
 
Total liabilities
     531,119        1,984,042  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     10,145,625        13,834,163  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 10,676,744      $ 15,818,205  
  
 
 
    
 
 
 
Shares outstanding
     516,976        516,976  
  
 
 
    
 
 
 
Net asset value per share
   $ 19.62      $ 26.76  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 19.77      $ 26.80  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures—COMEX, expires September 2020
     74      $ 6,895,690      $ (215,165
Total Return Swap Agreements
^
 
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional Amount
at Value
**
   
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
     0.25     07/06/20      $ (5,885,533   $ (175,594
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.25       07/06/20        (3,503,375     (88,575
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       07/06/20        (4,010,780     (119,662
         
 
 
 
          Total Unrealized
Depreciation

 
  $ (383,831
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 2020. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
 
*
Reflects the floating financing rate, as of June 30, 2020, 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.

PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 651     $ 86,447     $ 45,187     $ 156,561  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     25,749       41,444       62,885       78,655  
Brokerage commissions
     3,940       2,826       7,921       4,175  
Brokerage fees
     1,675       —         1,675       —    
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     31,364       44,270       72,481       82,830  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (30,713     42,177       (27,294     73,731  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (912,847     351,043       1,007,162       146,509  
Swap agreements
     (2,964,892     118,410       (4,042,661     1,077,300  
Forward agreements
     —         —         —         (2,144,498
Short-term U.S. government and agency obligations
     —         78       —         78  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (3,877,739     469,531       (3,035,499     (920,611
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (1,735,991     (462,919     (132,984     (19,394
Swap agreements
     (1,017,191     (605,662     1,570,073       (706,553
Forward agreements
     —         —         —         1,793,011  
Short-term U.S. government and agency obligations
     (889     2,292       (704     2,114  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (2,754,071     (1,066,289     1,436,385       1,069,178  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (6,631,810     (596,758     (1,599,114     148,567  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (6,662,523   $ (554,581   $ (1,626,408   $ 222,298  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 18,887,831     $ 20,253,916     $ 13,834,163     $ 11,768,863  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 600,000, 250,000, 800,000 and 550,000 shares, respectively
     14,344,359       10,504,977       20,307,202       21,734,371  
Redemption of 600,000, 400,000, 800,000 and 500,000 shares, respectively
     (16,424,042     (16,178,271     (22,369,332     (19,699,491
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, (150,000), – and 50,000 shares, respectively
     (2,079,683     (5,673,294     (2,062,130     2,034,880  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (30,713     42,177       (27,294     73,731  
Net realized gain (loss)
     (3,877,739     469,531       (3,035,499     (920,611
Change in net unrealized appreciation (depreciation)
     (2,754,071     (1,066,289     1,436,385       1,069,178  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (6,662,523     (554,581     (1,626,408     222,298  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 10,145,625     $ 14,026,041     $ 10,145,625     $ 14,026,041  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (1,626,408   $ 222,298  
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
     (4,386,261     (242,535,041
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     13,574,000       237,338,927  
Net amortization and accretion on short-term U.S. government and agency obligations
     (25,576     (88,077
Net realized gain (loss) on investments
     —         (78
Change in unrealized appreciation (depreciation) on investments
     (1,569,369     (1,088,572
Decrease (Increase) in receivable on futures contracts
     (99,620     —    
Decrease (Increase) in interest receivable
     3,305       451  
Increase (Decrease) in payable to Sponsor
     (1,854     760  
Increase (Decrease) in payable on futures contracts
     119,004       17,123  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     5,987,221       (6,132,209
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     20,307,202       21,734,371  
Payment on shares redeemed
     (22,369,332     (19,699,491
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (2,062,130     2,034,880  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     3,925,091       (4,097,329
Cash, beginning of period
     6,646,212       10,276,096  
  
 
 
   
 
 
 
Cash, end of period
   $ 10,571,303     $ 6,178,767  
  
 
 
   
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $20,998,466 and $25,541,523, respectively)
   $ 20,998,047      $ 25,542,823  
Cash
     5,935,897        12,507,112  
Segregated cash balances with brokers for foreign currency forward contracts
     3,408,000        —    
Unrealized appreciation on foreign currency forward contracts
     —          95,899  
Interest receivable
     657        19,330  
  
 
 
    
 
 
 
Total assets
     30,342,601        38,165,164  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     22,577        32,844  
Unrealized depreciation on foreign currency forward contracts
     532,990        —    
  
 
 
    
 
 
 
Total liabilities
     555,567        32,844  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     29,787,034        38,132,320  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 30,342,601      $ 38,165,164  
  
 
 
    
 
 
 
Shares outstanding
     399,290        499,290  
  
 
 
    
 
 
 
Net asset value per share
   $ 74.60      $ 76.37  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 74.58      $ 76.35  
  
 
 
    
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(70% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 17,000,000      $ 16,999,078  
0.154% due 09/03/20
     4,000,000        3,998,969  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $20,998,466)
      $ 20,998,047  
     
 
 
 
 
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 UBS AG
     07/10/20        667,860,000     $ 6,186,236     $ (28,043
         
 
 
 
                        $(28,043)  
         
 
 
 
Contracts to Sell
         
Yen with Goldman Sachs International
     07/10/20        (1,888,338,165   $ (17,491,249   $ (126,422
Yen with UBS AG
     07/10/20        (5,209,742,875     (48,256,671     (378,525
         
 
 
 
                        $(504,947)  
         
 
 
 
                  Total Net
Unrealized
Depreciation
    $(532,990)  
         
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2020. 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.

PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 5,143     $ 298,433     $ 131,326     $ 590,801  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     64,430       122,990       148,867       247,784  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     64,430       122,990       148,867       247,784  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (59,287     175,443       (17,541     343,017  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     110,748       (2,600,562     (395,772     (2,943,970
Short-term U.S. government and agency obligations
     –         –         –         (72
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     110,748       (2,600,562     (395,772     (2,944,042
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     70,456       273,224       (628,889     2,706,941  
Short-term U.S. government and agency obligations
     (3,995     10,458       (1,719     10,421  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     66,461       283,682       (630,608     2,717,362  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     177,209       (2,316,880     (1,026,380     (226,680
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 117,922     $ (2,141,437   $ (1,043,921   $ 116,337  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 29,586,170     $ 49,650,541     $ 38,132,320     $ 55,363,675  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 50,000, 50,000, 100,000 and 450,000 shares, respectively
     3,849,992       3,859,717       7,806,745       34,403,213  
Redemption of 50,000, 50,000, 200,000 and 550,000 shares, respectively
     (3,767,050     (3,673,476     (15,108,110     (42,187,880
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, –, (100,000) and (100,000) shares, respectively
     82,942       186,241       (7,301,365     (7,784,667
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (59,287     175,443       (17,541     343,017  
Net realized gain (loss)
     110,748       (2,600,562     (395,772     (2,944,042
Change in net unrealized appreciation (depreciation)
     66,461       283,682       (630,608     2,717,362  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     117,922       (2,141,437     (1,043,921     116,337  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 29,787,034     $ 47,695,345     $ 29,787,034     $ 47,695,345  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ (1,043,921   $ 116,337  
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
     (33,756,620     (601,357,534
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     38,374,000       596,730,872  
Net amortization and accretion on short-term U.S. government and agency obligations
     (74,323     (485,636
Net realized gain (loss) on investments
     –         72  
Change in unrealized appreciation (depreciation) on investments
     630,608       (2,717,362
Decrease (Increase) in interest receivable
     18,673       (4,985
Increase (Decrease) in payable to Sponsor
     (10,267     (11,346
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     4,138,150       (7,729,582
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     7,806,745       34,403,213  
Payment on shares redeemed
     (15,108,110     (42,187,880
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (7,301,365     (7,784,667
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (3,163,215     (15,514,249
Cash, beginning of period
     12,507,112       23,570,254  
  
 
 
   
 
 
 
Cash, end of period
   $ 9,343,897     $ 8,056,005  
  
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $32,995,003 and $13,979,509, respectively)
   $ 32,994,750      $ 13,980,559  
Cash
     18,693,389        27,654,022  
Segregated cash balances with brokers for futures contracts
     9,243,500        5,476,631  
Interest receivable
     2,264        34,527  
  
 
 
    
 
 
 
Total assets
     60,933,903        47,145,739  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     1,795,993        1,129,877  
Brokerage commissions and fees payable
     7,125        –    
Payable to Sponsor
     45,315        29,278  
  
 
 
    
 
 
 
Total liabilities
     1,848,433        1,159,155  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     59,085,470        45,986,584  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 60,933,903      $ 47,145,739  
  
 
 
    
 
 
 
Shares outstanding
     1,462,403        2,162,403  
  
 
 
    
 
 
 
Net asset value per share
   $ 40.40      $ 21.27  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 40.24      $ 21.29  
  
 
 
    
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(56% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.067% due 07/16/20
   $ 16,000,000      $ 15,999,133  
0.154% due 09/03/20
     17,000,000        16,995,617  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $32,995,003)
      $ 32,994,750  
     
 
 
 
 
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional
Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2020
     378      $ 12,540,150      $ 1,143,803  
VIX Futures - Cboe, expires November 2020
     647        19,782,025        207,043  
VIX Futures - Cboe, expires December 2020
     647        18,811,525        268,939  
VIX Futures - Cboe, expires January 2021
     270        7,944,750        (229,970
        
 
 
 
                   $1,389,815  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
 
 
See accompanying notes to financial statements.

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 27,603     $ 225,718     $ 185,901     $ 491,131  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     124,276       82,759       218,560       188,570  
Brokerage commissions
     16,684       9,353       32,623       19,689  
Brokerage fees
     20,356       –         20,511       –    
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     161,316       92,112       271,694       208,259  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (133,713     133,606       (85,793     282,872  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     13,196,415       (2,853,271     20,952,940       (7,055,291
Short-term U.S. government and agency obligations
     –         8       –         8  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     13,196,415       (2,853,263     20,952,940       (7,055,283
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (12,292,490     1,993,991       3,670,640       (4,431,788
Short-term U.S. government and agency obligations
     (21,043     7,134       (1,303     6,464  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (12,313,533     2,001,125       3,669,337       (4,425,324
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     882,882       (852,138     24,622,277       (11,480,607
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 749,169     $ (718,532   $ 24,536,484     $ (11,197,735
  
 
 
   
 
 
   
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 45,034,386     $ 51,126,469     $ 45,986,584     $ 56,299,121  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 725,000, 275,000, 1,100,000 and 775,000 shares, respectively
     29,558,030       5,983,730       40,266,091       17,352,765  
Redemption of 425,000, 875,000, 1,800,000 and 1,125,000 shares, respectively
     (16,256,115     (18,635,258     (51,703,689     (24,697,742
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 300,000, (600,000), (700,000) and (350,000) shares, respectively
     13,301,915       (12,651,528     (11,437,598     (7,344,977
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (133,713     133,606       (85,793     282,872  
Net realized gain (loss)
     13,196,415       (2,853,263     20,952,940       (7,055,283
Change in net unrealized appreciation (depreciation)
     (12,313,533     2,001,125       3,669,337       (4,425,324
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     749,169       (718,532     24,536,484       (11,197,735
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 59,085,470     $ 37,756,409     $ 59,085,470     $ 37,756,409  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 24,536,484     $ (11,197,735
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
     (56,521,597     (1,129,300,462
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     37,600,000       1,110,779,598  
Net amortization and accretion on short-term U.S. government and agency obligations
     (93,897     (200,869
Net realized gain (loss) on investments
     –         (8
Change in unrealized appreciation (depreciation) on investments
     1,303       (6,464
Decrease (Increase) in interest receivable
     32,263       318  
Increase (Decrease) in payable to Sponsor
     16,037       (9,196
Increase (Decrease) in brokerage commissions and fees payable
     7,125       –    
Increase (Decrease) in payable on futures contracts
     666,116       88,477  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     6,243,834       (29,846,341
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     40,266,091       17,352,765  
Payment on shares redeemed
     (51,703,689     (25,372,574
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (11,437,598     (8,019,809
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (5,193,764     (37,866,150
Cash, beginning of period
     33,130,653       57,542,424  
  
 
 
   
 
 
 
Cash, end of period
   $ 27,936,889     $ 19,676,274  
  
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31, 2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $62,990,329 and $96,862,355, respectively)
   $ 62,989,867      $ 96,868,817  
Cash
     83,942,545        87,829,341  
Segregated cash balances with brokers for futures contracts
     82,570,700        107,106,000  
Receivable on open futures contracts
     –          909,042  
Interest receivable
     8,478        123,538  
  
 
 
    
 
 
 
Total assets
     229,511,590        292,836,738  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     7,974,073        12,920,593  
Brokerage commissions and fees payable
     38,382        –    
Payable to Sponsor
     155,960        123,642  
  
 
 
    
 
 
 
Total liabilities
     8,168,415        13,044,235  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     221,343,175        279,792,503  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 229,511,590      $ 292,836,738  
  
 
 
    
 
 
 
Shares outstanding
     7,926,317        22,751,317  
  
 
 
    
 
 
 
Net asset value per share
   $ 27.93      $ 12.30  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 27.76      $ 12.43  
  
 
 
    
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2020
(unaudited)
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(28% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.070% due 07/16/20
   $ 30,000,000      $ 29,998,374  
0.150% due 09/03/20
     33,000,000        32,991,493  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $62,990,329)
      $ 62,989,867  
     
 
 
 
 
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional
Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2020
     4,125      $ 127,359,375      $ 4,227,596  
VIX Futures - Cboe, expires August 2020
     2,943        93,660,975        (3,581,409
        
 
 
 
                   $646,187  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
 
 
See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
        
Interest
   $ 122,772     $ 1,284,160     $ 1,082,847     $ 2,136,366  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     398,044       486,543       1,024,560       848,246  
Brokerage commissions
     60,097       70,747       244,857       83,182  
Brokerage fees
     108,253       2,268       113,027       3,634  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     566,394       559,558       1,382,444       935,062  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (443,622     724,602       (299,597     1,201,304  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (845,717     (11,288,249     324,892,071       (66,194,833
Short-term U.S. government and agency obligations
     –         1,729       –         1,729  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (845,717     (11,286,520     324,892,071       (66,193,104
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (51,742,832     (11,833,396     16,040,198       (33,113,187
Short-term U.S. government and agency obligations
     (126,138     37,095       (6,924     32,655  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (51,868,970     (11,796,301     16,033,274       (33,080,532
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (52,714,687     (23,082,821     340,925,345       (99,273,636
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (53,158,309   $ (22,358,219   $ 340,625,748     $ (98,072,332
  
 
 
   
 
 
   
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 223,055,354     $ 203,503,203     $ 279,792,503     $ 149,547,115  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 3,875,000, 5,900,000, 10,675,000 and 12,125,000 shares, respectively
     108,202,585       129,284,145       186,459,674       303,419,296  
Redemption of 1,825,000, 2,825,000, 25,500,000 and 4,475,000 shares, respectively
     (56,756,455     (69,956,001     (585,534,750     (114,420,951
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 2,050,000, 3,075,000, (14,825,000) and 7,650,000 shares, respectively
     51,446,130       59,328,144       (399,075,076     188,998,345  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (443,622     724,602       (299,597     1,201,304  
Net realized gain (loss)
     (845,717     (11,286,520     324,892,071       (66,193,104
Change in net unrealized appreciation (depreciation)
     (51,868,970     (11,796,301     16,033,274       (33,080,532
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (53,158,309     (22,358,219     340,625,748       (98,072,332
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 221,343,175     $ 240,473,128     $ 221,343,175     $ 240,473,128  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
    
Net income (loss)
   $ 340,625,748     $ (98,072,332
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
     (200,571,287     (1,341,150,168
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     235,000,000       1,310,835,959  
Net amortization and accretion on short-term U.S. government and agency obligations
     (556,687     (1,511,767
Net realized gain (loss) on investments
     –         (1,729
Change in unrealized appreciation (depreciation) on investments
     6,924       (32,655
Decrease (Increase) in receivable on futures contracts
     909,042       (3,752,001
Decrease (Increase) in interest receivable
     115,060       (129,329
Increase (Decrease) in payable to Sponsor
     32,318       35,914  
Increase (Decrease) in brokerage commissions and fees payable
     38,382       –    
Increase (Decrease) in payable on futures contracts
     (4,946,520     4,113,888  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     370,652,980       (129,664,220
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     186,459,674       303,419,296  
Payment on shares redeemed
     (585,534,750     (114,420,951
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (399,075,076     188,998,345  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (28,422,096     59,334,125  
Cash, beginning of period
     194,935,341       39,393,419  
  
 
 
   
 
 
 
Cash, end of period
   $ 166,513,245     $ 98,727,544  
  
 
 
   
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
    
June 30, 2020
(unaudited)
    
December 31,
2019
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $651,899,914 and $1,084,860,512, respectively)
   $ 651,893,780      $ 1,084,925,128  
Cash
     1,380,589,849        770,114,050  
Segregated cash balances with brokers for futures contracts
     1,494,513,518        406,121,155  
Segregated cash balances with brokers for foreign currency forward contracts
     4,208,000        1,421,000  
Segregated cash balances with brokers for swap agreements
     315,533,979        12,539,000  
Unrealized appreciation on swap agreements
     29,691,948        52,840,748  
Unrealized appreciation on foreign currency forward contracts
     39,960        321,647  
Receivable from capital shares sold
     81,302,695        4,354,515  
Securities sold receivable
     3,718,972        3,883  
Receivable on open futures contracts
     325,541,218        85,104,325  
Interest receivable
     150,887        978,751  
  
 
 
    
 
 
 
Total assets
     4,287,184,806        2,418,724,202  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     72,460,997        –    
Payable on open futures contracts
     149,973,285        50,904,424  
Brokerage commissions and fees payable
     447,958        –    
Payable to Sponsor
     2,987,002        1,747,549  
Unrealized depreciation on swap agreements
     7,684,140        7,370,428  
Unrealized depreciation on foreign currency forward contracts
     872,734        2,376,700  
  
 
 
    
 
 
 
Total liabilities
     234,426,116        62,399,101  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
  
  
Shareholders’ equity
     
Shareholders’ equity
     4,052,758,690        2,356,325,101  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 4,287,184,806      $ 2,418,724,202  
  
 
 
    
 
 
 
Shares outstanding
     132,976,695        110,924,568  
  
 
 
    
 
 
 
 
 
See accompanying notes to financial statements.

PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS*
(unaudited)
 
 
 
 
 
 
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Investment Income
                            
Interest
   $ 1,023,264     $ 12,441,899     $ 8,522,978     $ 22,661,481  
Expenses
                            
Management fee
     7,818,372       5,590,948       13,657,176       10,865,254  
Brokerage commissions
     2,257,884       1,343,088       4,004,340       2,279,692  
Brokerage fees
     1,697,175       2,268       1,748,553       3,725  
Non-recurring
fees and expenses
     –         –         –         426,058  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     11,773,431       6,936,304       19,410,069       13,574,729  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (10,750,167     5,505,595       (10,887,091     9,086,752  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                            
Net realized gain (loss) on
                            
Futures contracts
     (33,459,658     (52,045,375     281,718,169       (193,698,394
Swap agreements
     (688,092,389     (26,503,275     (967,431,474     (13,336,438
Options
     –         –         (9,707,000     –    
Forward agreements
     –         –         –         33,894,330  
Foreign currency forward contracts
     (2,300,508     (614,501     (1,821,496     2,066,753  
Short-term U.S. government and agency obligations
     120,464       8,687       296,898       8,934  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (723,732,091     (79,154,464     (696,944,903     (171,064,815
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                            
Futures contracts
     148,611,325       (56,589,018     428,141,480       (30,587,778
Swap agreements
     317,649,402       22,108,816       (23,462,512     116,817,602  
Forward agreements
     –         –         –         (27,771,221
Foreign currency forward contracts
     (975,734     (3,408,149     1,222,279       3,116,925  
Short-term U.S. government and agency obligations
     (1,031,867     303,278       (70,750     269,122  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     464,253,126       (37,585,073     405,830,497       61,844,650  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (259,478,965     (116,739,537     (291,114,406     (109,220,165
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (270,229,132   $ (111,233,942   $ (302,001,497   $ (100,133,413
  
 
 
   
 
 
   
 
 
   
 
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
 
See accompanying notes to financial statements.

PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY*
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2020
   
2019
   
2020
   
2019
 
Shareholders’ equity, beginning of period
   $ 2,746,301,966     $ 2,454,119,778     $ 2,356,325,101     $ 1,943,975,025  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 131,642,000, 33,564,000, 378,422,000 and 63,101,000 shares, respectively
     3,679,537,876       1,089,445,005       6,764,199,037       2,297,433,693  
Redemption of 248,554,873, 31,061,000, 356,369,873 and 46,416,001 shares, respectively
     (2,102,852,020     (1,149,431,925     (4,765,763,951     (1,858,376,389
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (116,912,873), 2,503,000, 22,052,127 and 16,684,999 shares, respectively
     1,576,685,856       (59,986,920     1,998,435,086       439,057,304  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (10,750,167     5,505,595       (10,887,091     9,086,752  
Net realized gain (loss)
     (723,732,091     (79,154,464     (696,944,903     (171,064,815
Change in net unrealized appreciation (depreciation)
     464,253,126       (37,585,073     405,830,497       61,844,650  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (270,229,132     (111,233,942     (302,001,497     (100,133,413
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 4,052,758,690     $ 2,282,898,916     $ 4,052,758,690     $ 2,282,898,916  
  
 
 
   
 
 
   
 
 
   
 
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
 
See accompanying notes to financial statements.

PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS*
(unaudited)
    
Six Months Ended
June 30,
 
  
2020
   
2019
 
Cash flow from operating activities
        
Net income (loss)
   $ (302,001,497   $ (100,133,413
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
     (2,127,562,658     (24,165,419,304
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     2,565,919,168       23,771,662,537  
Net amortization and accretion on short-term U.S. government and agency obligations
     (5,099,914     (13,916,032
Net realized gain (loss) on investments
     (296,898     (8,934
Change in unrealized appreciation (depreciation) on investments
     22,310,983       (92,432,428
Decrease (Increase) in securities sold receivable
     (3,715,089     –    
Decrease (Increase) in receivable on futures contracts
     (240,436,893     (24,471,965
Decrease (Increase) in interest receivable
     827,864       (816,489
Increase (Decrease) in payable to Sponsor
     1,240,353       148,440  
Increase (Decrease) in brokerage commissions and fees payable
     447,958       –    
Increase (Decrease) in payable on futures contracts
     99,068,861       12,863,394  
Increase (Decrease) in securities purchased payable
     –          9,949,576  
Increase (Decrease) in
non-recurring
fees and expenses payable
     –          45,949  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     10,702,238       (602,528,669
  
 
 
   
 
 
 
Cash flow from financing activities
            
Proceeds from addition of shares
     6,687,250,857       2,333,664,338  
Payment on shares redeemed
     (4,693,302,954     (1,856,748,399
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     1,993,947,903       476,915,939  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     2,004,650,141       (125,612,730
Cash, beginning of period
     1,190,195,205       1,098,678,257  
  
 
 
   
 
 
 
Cash, end of period
   $ 3,194,845,346     $ 973,065,527  
  
 
 
   
 
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through through April 13, 2020, the date of liquidation, respectively.
 
See accompanying notes to financial statements.
 

PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
June 30, 2020
(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 June 30, 2020, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.
On March 15, 2020 ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of 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,” “UltraPro Short Funds,” “Ultra Funds” or “UltraPro Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “UltraPro Short” Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse
(-3x)
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 “UltraPro” Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) 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,
-3x,
1.5x, 2x or 3x) of the period return of the corresponding benchmark and will likely differ significantly.

Share Splits and Reverse Share Splits
The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2019 and during the six months ended June 30, 2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.
 
Fund
  
Execution Date

(Prior to Opening of Trading)
  
Type of Split
  
Date Trading Resumed

at Post- Split Price
 
ProShares Ultra Bloomberg Crude Oil
  April 20, 2020  
1-for-25 reverse Share split
  April 21, 2020
ProShares Ultra Bloomberg Natural Gas
  April 20, 2020  
1-for-10 reverse Share split
  April 21, 2020
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.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies. “ As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form
10-Q
and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form
10-K
for the year ended December 31, 2019, as filed with the SEC on February 28, 2020.
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 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.

Statement of Cash Flows
The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated June 30, 2020 and 2019, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements, segregated cash with brokers for forward agreements, and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 2020 were typically as follows. All times are Eastern Standard Time:
 
Fund
  
Create/Redeem
Cut-off*
  
NAV Calculation
Time
  
NAV
Calculation Date
UltraShort Silver, Ultra Silver
   1:00 p.m.    1:25 p.m.    June 30, 2020
UltraShort Gold, Ultra Gold
   1:00 p.m.    1:30 p.m.    June 30, 2020
UltraShort Bloomberg Crude Oil,
        
Ultra Bloomberg Crude Oil
   2:00 p.m.    2:30 p.m.    June 30, 2020
UltraShort Bloomberg Natural Gas,
        
Ultra Bloomberg Natural Gas
   2:00 p.m.    2:30 p.m.    June 30, 2020
UltraShort Australian Dollar
   3:00 p.m.    4:00 p.m.    June 30, 2020
Short Euro,
        
UltraShort Euro,
        
Ultra Euro
   3:00 p.m.    4:00 p.m.    June 30, 2020
UltraShort Yen,
        
Ultra Yen
   3:00 p.m.    4:00 p.m.    June 30, 2020
VIX Short-Term Futures ETF,
        
Ultra VIX Short-Term Futures ETF,
        
Short VIX Short-Term Futures ETF
   2:00 p.m.    4:15 p.m.    June 30, 2020
VIX
Mid-Term
Futures ETF
   2:00 p.m.    4:15 p.m.    June 30, 2020
 
*
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 six months ended June 30, 2020.
Market value per Share is determined at the close of the NYSE Arca and may be later than 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 six months ended June 30, 2020.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor.

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

The following table summarizes the valuation of investments at June 30, 2020 using the fair value hierarchy:
 
    
Level I - Quoted Prices
   
Level II - Other Significant
Observable Inputs
       
Fund
  
Short-Term U.S.
Government and
Agencies
    
Futures
Contracts
*
   
Foreign
Currency
Forward
Contracts
   
Swap
Agreements
   
Total
 
ProShares Short Euro
   $ —        $ 32,520     $ –       $ –       $ 32,520  
ProShares Short VIX Short-Term Futures ETF
   $ 124,974,901      $ 9,011,878     $ –       $ –       $ 133,986,779  
ProShares Ultra Bloomberg Crude Oil
     —          351,312,965       —         10,038,323       361,351,288  
ProShares Ultra Bloomberg Natural Gas
     15,997,708        (2,234,434     —         —         13,763,274  
ProShares Ultra Euro
     —          —         (13,929     —         (13,929
ProShares Ultra Gold
     100,983,863        4,288,184       —         10,650,992       115,923,039  
ProShares Ultra Silver
     110,982,105        6,106,569       —         9,002,633       126,091,307  
ProShares Ultra VIX Short-Term Futures ETF
     96,985,173        8,382,719       —         (3,959,662     101,408,230  
ProShares Ultra Yen
     —          —         39,099       —         39,099  
ProShares UltraShort Australian Dollar
     —          161,350       —         —         161,350  
ProShares UltraShort Bloomberg Crude Oil
     —          (3,674,148     —         (2,095,678     (5,769,826
ProShares UltraShort Bloomberg Natural Gas
     1,999,892        1,233,628       —         —         3,233,520  
ProShares UltraShort Euro
     74,987,908        —         (324,954     —         74,662,954  
ProShares UltraShort Gold
     7,999,566        (280,540     —         (1,244,969     6,474,057  
ProShares UltraShort Silver
     —          (215,165     —         (383,831     (598,996
ProShares UltraShort Yen
     20,998,047        —         (532,990     —         20,465,057  
ProShares VIX
Mid-Term
Futures ETF
     32,994,750        1,389,815       —         —         34,384,565  
ProShares VIX Short-Term Futures ETF
     62,989,867        646,187       —         —         63,636,054  
  
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust
  
$
651,893,780
 
  
$
376,161,528
 
 
$
(832,774
 
$
22,007,808
 
 
$
 1,049,230,342
 
 
*
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, 2019 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
   $ 745,805      $ (14,000   $ —       $ —       $ 731,805  
ProShares Short VIX Short-Term Futures ETF
     56,929,436        10,254,872       —         —         67,184,308  
ProShares Ultra Bloomberg Crude Oil
     200,115,463        765,575       —         21,814,590       222,695,628  
ProShares Ultra Bloomberg Natural Gas
     27,530,314        (2,652,228     —         —         24,878,086  
ProShares Ultra Euro
     3,970,412        —         109,997       —         4,080,409  
ProShares Ultra Gold
     66,177,998        2,248,514       —         5,890,260       74,316,772  
ProShares Ultra Silver
     135,544,101        5,724,549       —         25,135,898       166,404,548  
ProShares Ultra VIX Short-Term Futures ETF
     179,749,262        (46,396,781     —         (209,784     133,142,697  
ProShares Ultra Yen
     1,808,104        —         (10,529     —         1,797,575  
ProShares UltraPro 3x Crude Oil ETF
     47,193,110        7,266,550       —         —         54,459,660  
ProShares UltraPro 3x Short Crude Oil ETF
     57,375,132        (8,358,056     —         —         49,017,076  
ProShares UltraShort Australian Dollar
     3,931,474        (224,000     —         —         3,707,474  
ProShares UltraShort Bloomberg Crude Oil
     62,199,283        (3,118,689           (4,033,931     55,046,663  
ProShares UltraShort Bloomberg Natural Gas
     5,154,876        672,329       —         —         5,827,205  
ProShares UltraShort Euro
     78,590,100        —         (2,250,420     —         76,339,680  
ProShares UltraShort Gold
     12,355,192        (391,570     —         (1,172,809     10,790,813  
ProShares UltraShort Silver
     9,162,867        (82,181           (1,953,904     7,126,782  
ProShares UltraShort Yen
     25,542,823        —         95,899       —         25,638,722  
ProShares VIX
Mid-Term
Futures ETF
   $ 13,980,559      $ (2,280,825   $ —       $ —       $ 11,699,734  
ProShares VIX Short-Term Futures ETF
     96,868,817        (15,394,011                 81,474,806  
  
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust
  
$
1,084,925,128
 
  
$
(51,979,952
 
$
(2,055,053
 
$
45,470,320
 
 
$
1,076,360,443
 
 
*
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.
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 Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,
give-up
fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,
on-going
analysis of tax law, regulation, and interpretations thereof.
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.
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 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 to 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 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.

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, an Ultra Fund, or an UltraPro Fund, the Matching VIX Fund, Ultra Fund, or UltraPro 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, an UltraShort Fund, or an UltraPro Short Fund, the Short Fund, UltraShort Fund, or UltraPro Short 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 June 30, 2020
contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.
The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated
tri-party
account at the Custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
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 June 30, 2020, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2020, 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.
The following tables indicate the location of derivative related items on the Statement of Financial Condition as well as the effect of derivative instruments on the Statement of Operations during the reporting period.
Fair Value of Derivative Instruments as of June 30, 2020
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging
Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts       Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements   
   ProShares Short VIX Short-Term Futures ETF       $ 9,011,878
*
 
     $ —    
   ProShares Ultra VIX Short-Term Futures ETF         39,494,012
*
 
       65,579,015
*
 
   ProShares VIX
Mid-Term
Futures ETF
        1,619,785
*
 
       229,970
*
 
   ProShares VIX Short-Term Futures ETF         4,227,596
*
 
       3,581,409
*
 
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         361,645,656
*
 
       294,368
*
 
   ProShares Ultra Bloomberg Natural Gas        
1,683,304
*
 
        
   ProShares Ultra Gold         14,939,176
*
 
       —    
   ProShares Ultra Silver         13,666,553
*
 
       —    
   ProShares UltraShort Bloomberg Crude Oil         341,288
*
 
       6,111,114
*
 
   ProShares UltraShort Bloomberg Natural Gas         1,233,628
*
 
       —    
   ProShares UltraShort Gold         —            1,525,509
*
 
   ProShares UltraShort Silver         —            598,996
*
 
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         32,520
*
 
       –—    
   ProShares Ultra Euro         530          14,459  
   ProShares Ultra Yen         39,430          331  
   ProShares UltraShort Australian Dollar         —           
65,387
*
 
   ProShares UltraShort Euro         —            324,954  
  
ProShares UltraShort Yen
        —            532,990  
        
 
 
      
 
 
 
     
Total Trust
  
$
447,935,356
*
 
    
$
78,858,502
*
 
 
*
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, 2019
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging
Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts       Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements   
   ProShares Short VIX Short-Term Futures ETF       $ 10,424,889
*
 
     $ 170,017
*
 
   ProShares Ultra VIX Short-Term Futures ETF         —            46,606,565
*
 
   ProShares VIX
Mid-Term
Futures ETF
        6,130
*
 
       2,286,955
*
 
   ProShares VIX Short-Term Futures ETF         —            15,394,011
*
 
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         22,580,165
*
 
       —    
   ProShares Ultra Bloomberg Natural Gas         —            2,652,228
*
 
   ProShares Ultra Gold         8,138,774
*
 
       —    
   ProShares Ultra Silver         30,860,447
*
 
       —    
   ProShares UltraPro 3x Crude Oil ETF         7,266,550
*
 
       —    
   ProShares UltraPro 3x Short Crude Oil ETF         —            8,358,056
*
 
   ProShares UltraShort Bloomberg Crude Oil         —            7,152,620
*
 
   ProShares UltraShort Bloomberg Natural Gas         672,329
*
 
       —    
   ProShares UltraShort Gold         —            1,564,379
*
 
   ProShares UltraShort Silver         —            2,036,085
*
 
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         —            14,000
*
 
   ProShares Ultra Euro         109,997          —    
   ProShares Ultra Yen         —            10,529  
   ProShares UltraShort Australian Dollar         —            224,000
*
 
   ProShares UltraShort Euro         115,751          2,366,171  
  
ProShares UltraShort Yen
        95,899       
 
—  
 
        
 
 
      
 
 
 
     
Total Trust
  
$
80,270,931
*
 
    
$
88,835,616
*
 

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2020
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
    
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
        
     
ProShares Short VIX Short-Term Futures ETF
   $ 54,615,763      $ (22,216,796
     
ProShares Ultra VIX Short-Term Futures ETF
     (107,880,791      (125,352,239
     
ProShares VIX
Mid-Term
Futures ETF
     13,196,415        (12,292,490
     
ProShares VIX Short-Term Futures ETF
     (845,717      (51,742,832
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
   $ (671,542,557    $ 661,547,673  
     
ProShares Ultra Bloomberg Natural Gas
     (16,111,161      4,884,617  
     
ProShares Ultra Gold
     4,365,328        25,953,698  
     
ProShares Ultra Silver
     11,386,313        69,421,367  
     
ProShares UltraShort Bloomberg Crude Oil
     (6,947,347      (75,195,436
     
ProShares UltraShort Bloomberg Natural Gas
     5,236,641        (2,773,687
     
ProShares UltraShort Gold
     (2,089,271      (2,636,926
     
ProShares UltraShort Silver
     (3,877,739      (2,753,182
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
   $ (20,020    $ (20,804
     
ProShares Ultra Euro
     (18,635      97,408  
     
ProShares Ultra Yen
     (106,753      68,867  
     
ProShares UltraShort Australian Dollar
     (1,037,904      (562,236
     
ProShares UltraShort Euro
     (2,285,868      (1,212,465
     
ProShares UltraShort Yen
     110,748        70,456  
        
 
 
    
 
 
 
     
Total Trust
  
$
(723,852,555)
 
  
$
465,284,993
 

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2020
 
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
   $ (189,684,841    $ (1,242,994
     
ProShares Ultra VIX Short-Term Futures ETF
     618,204,440        51,029,622  
     
ProShares VIX
Mid-Term
Futures ETF
     20,952,940        3,670,640  
     
ProShares VIX Short-Term Futures ETF
     324,892,071        16,040,198  
Commodities Contracts
  
Net realized gain (loss) on futures contracts
, options
and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
        
     
ProShares Ultra Bloomberg Crude Oil
     (1,177,133,823      338,771,123  
     
ProShares Ultra Bloomberg Natural Gas
     (38,930,766      417,794  
     
ProShares Ultra Gold
     25,863,384        6,800,402  
     
ProShares Ultra Silver
     7,688,659        (15,751,245
         
ProShares UltraPro 3x Crude Oil ETF*
     (414,693,599      (7,266,550
         
ProShares UltraPro 3x Short Crude Oil ETF*
     83,293,001        8,358,056  
     
ProShares UltraShort Bloomberg Crude Oil
     44,726,675        1,382,794  
     
ProShares UltraShort Bloomberg Natural Gas
     10,862,818        561,299  
     
ProShares UltraShort Gold
     (8,020,153      38,870  
     
ProShares UltraShort Silver
     (3,035,499      1,437,089  
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
     (38,658      46,520  
     
ProShares Ultra Euro
     (71,903      (123,926
     
ProShares Ultra Yen
     (115,236      49,628  
     
ProShares UltraShort Australian Dollar
     (366,954      385,350  
     
ProShares UltraShort Euro
     (1,238,585      1,925,466  
     
ProShares UltraShort Yen
     (395,772      (628,889
        
 
 
    
 
 
 
     
Total Trust
  
$
(697,241,801
  
$
405,901,247
 
 
* The operations include
the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively
.

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2019
 
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
   $ 11,427,596      $ 4,538,343  
     
ProShares Ultra VIX Short-Term Futures ETF
     (54,975,818      (39,603,173
     
ProShares VIX
Mid-Term
Futures ETF
     (2,853,271      1,993,991  
     
ProShares VIX Short-Term Futures ETF
     (11,288,249      (11,833,396
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
   $  (25,911,476)      $ 14,087,183  
     
ProShares Ultra Bloomberg Natural Gas
     (7,976,053      (671,150
     
ProShares Ultra Gold
     3,487,955        8,682,329  
     
ProShares Ultra Silver
     (8,015,753      8,474,186  
 
 
ProShares UltraPro 3x Crude Oil ETF
 
 
3,901,537
 
 
 
(13,232,019
)
 
 
ProShares UltraPro 3x Short Crude Oil ETF
 
 
1,186,904
 
 
 
(1,076,230
)
     
ProShares UltraShort Bloomberg Crude Oil
     10,123,122        (2,551,794
     
ProShares UltraShort Bloomberg Natural Gas
     3,449,841        (546,368
     
ProShares UltraShort Gold
     (1,901,072      (1,358,879
     
ProShares UltraShort Silver
     469,453        (1,068,581
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
   $ 76,518      $ (239,858
     
ProShares Ultra Euro
     (132,599      208,561  
     
ProShares Ultra Yen
     171,283        (16,099
     
ProShares UltraShort Australian Dollar
     250,116        (74,786
     
ProShares UltraShort Euro
     1,947,377        (3,873,835
     
ProShares UltraShort Yen
     (2,600,562      273,224  
        
 
 
    
 
 
 
     
Total Trust
  
$
(79,163,151
  
$
(37,888,351

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2019
 
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
   $ 70,532,950      $ 27,115,163  
     
ProShares Ultra VIX Short-Term Futures ETF
     (250,199,159      (78,653,116
     
ProShares VIX
Mid-Term
Futures ETF
     (7,055,291      (4,431,788
     
ProShares VIX Short-Term Futures ETF
     (66,194,833      (33,113,187
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
     50,611,681        157,491,546  
     
ProShares Ultra Bloomberg Natural Gas
     (21,277,891      9,673,790  
     
ProShares Ultra Gold
     7,580,540        4,870,890  
     
ProShares Ultra Silver
     5,286,038        (18,413,484
 
 
ProShares UltraPro 3x Crude Oil ETF
 
 
26,174,406
 
 
 
50,924,735
 
 
 
ProShares UltraPro 3x Short Crude Oil ETF
 
 
(1,081,892
)
 
 
(10,572,583
)
     
ProShares UltraShort Bloomberg Crude Oil
     967,963        (35,468,826
     
ProShares UltraShort Bloomberg Natural Gas
     14,769,166        (10,862,913
     
ProShares UltraShort Gold
     (3,069,976      (480,966
     
ProShares UltraShort Silver
     (920,689      1,067,064  
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
     223,624        (35,721
     
ProShares Ultra Euro
     (359,872      (16,915
     
ProShares Ultra Yen
     93,976        (128,696
     
ProShares UltraShort Australian Dollar
     512,861        (652,001
     
ProShares UltraShort Euro
     5,276,619        555,595  
     
ProShares UltraShort Yen
     (2,943,970      2,706,941  
        
 
 
    
 
 
 
     
Total Trust
  
$
(171,073,749
  
$
61,575,528
 

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 June 30, 2020.
 
Fair Values of Derivative Instruments as of June 30, 2020
    
Assets
  
Liabilities
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
ProShares Ultra Bloomberg Crude Oil Swap agreements
   $10,038,323    $—      $10,038,323    $—      $—      $—  
ProShares Ultra Euro Foreign currency forward contracts
   530    —      530    14,459    —      14,459
ProShares Ultra Gold Swap agreements
   10,650,992    —      10,650,992    —      —      —  
ProShares Ultra Silver Swap agreements
   9,002,633    —      9,002,633    —      —      —  
ProShares Ultra VIX Short-Term Futures ETF Swap agreements
   —      —      —      3,959,662    —      3,959,662
ProShares Ultra Yen Foreign currency forward contracts
   39,430    —      39,430    331    —      331
ProShares UltraShort Bloomberg Crude Oil Swap agreements
   —      —      —      2,095,678    —      2,095,678
ProShares UltraShort Euro Foreign currency forward contracts
   —      —      —      324,954    —      324,954
ProShares UltraShort Gold Swap agreements
   —      —      —      1,244,969    —      1,244,969
ProShares UltraShort Silver Swap agreements
   —      —      —      383,831    —      383,831
ProShares UltraShort Yen Foreign currency forward contracts
   —      —      —      532,990    —      532,990
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2020
 
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
       
Goldman Sachs International
  $ 8,263,529     $ (8,263,529   $ —       $ —    
Morgan Stanley
    (100,546     —         100,546       —    
Societe Generale
    1,875,340       (1,875,340     —         —    
ProShares Ultra Euro
       
Goldman Sachs International
    3,899       —         —         3,899  
UBS AG
    (17,828     —         17,828       —    
ProShares Ultra Gold
       
Citibank, N.A.
    3,728,155       —         (2,740,000     988,155  
Goldman Sachs International
    3,680,169       (2,814,590     —         865,579  
UBS AG
    3,242,668       (2,607,366     —         635,302  
ProShares Ultra Silver
       
Citibank, N.A.
    3,546,882       —         (225,600     3,321,282  
Goldman Sachs International
    2,744,895       —         —         2,744,895  
UBS AG
    2,710,856       —         —         2,710,856  
ProShares Ultra VIX Short-Term Futures ETF
       
Goldman Sachs & Co.
    (3,959,662     —         3,959,662       —    
ProShares Ultra Yen
       
Goldman Sachs International
    22,496       —         —         22,496  
UBS AG
    16,603       —         —         16,603  
ProShares UltraShort Bloomberg Crude Oil
       
Goldman Sachs International
    (2,095,678     —         2,095,678       —    
ProShares UltraShort Euro
       
Goldman Sachs International
    (47,617     47,617       —         —    
UBS AG
    (277,337     277,337       —         —    
ProShares UltraShort Gold
       
Citibank, N.A.
    (569,683     —         569,683       —    
Goldman Sachs International
    (426,747     —         426,747       —    
UBS AG
    (248,539     —         248,539       —    
ProShares UltraShort Silver
       
Citibank, N.A.
    (175,594     —         175,594       —    
Goldman Sachs International
    (88,575     —         88,575       —    
UBS AG
    (119,662     —         119,662       —    
ProShares UltraShort Yen
       
Goldman Sachs International
    (126,422     —         126,422       —    
UBS AG
    (406,568     —         406,568       —    
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, 2019:

Fair Values of Derivative Instruments as of December 31, 2019
    
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
   $21,814,590    $—      $21,814,590    $—      $—      $—  
ProShares Ultra Euro Foreign currency forward contracts
   109,997    —      109,997    —      —      —  
ProShares Ultra Gold Swap agreements
   5,890,260    —      5,890,260    —      —      —  
ProShares Ultra Silver Swap agreements
   25,135,898    —      25,135,898    —      —      —  
ProShares Ultra VIX Short-Term Futures ETF Swap agreements
   —      —      —      209,784    —      209,784
ProShares Ultra Yen Foreign currency forward contracts
   —      —      —      10,529    —      10,529
ProShares UltraShort Bloomberg Crude Oil Swap agreements
   —      —      —      4,033,931    —      4,033,931
ProShares UltraShort Euro Foreign currency forward contracts
   115,751    —      115,751    2,366,171    —      2,366,171
ProShares UltraShort Gold Swap agreements
   —      —      —      1,172,809    —      1,172,809
ProShares UltraShort Silver Swap agreements
   —      —      —      1,953,904    —      1,953,904
ProShares UltraShort Yen Foreign currency forward contracts
   95,899    —      95,899    —      —      —  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2019. 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 Derivativ
e
Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2019
 
         
   
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.
  $ 6,039,121     $ —       $ (6,039,121   $ —    
Goldman Sachs International
    4,393,163       (4,393,163     —         —    
Royal Bank of Canada
    4,210,281       —         (4,210,281     —    
Societe Generale
    2,253,037       (2,253,037     —         —    
UBS AG
    4,918,988       (4,918,988     —         —    
ProShares Ultra Euro
                               
Goldman Sachs International
    54,679       —         —         54,679  
UBS AG
    55,318       —         —         55,318  
ProShares Ultra Gold
                               
Citibank, N.A.
    2,300,665       —         (1,960,000     340,665  
Goldman Sachs International
    1,681,492       (1,489,073     —         192,419  
UBS AG
    1,908,103       (1,638,362     —         269,741  
ProShares Ultra Silver
                               
Citibank, N.A.
    10,329,244       —         (10,329,244     —    
Goldman Sachs International
    5,925,755       (5,925,755     —         —    
UBS AG
    8,880,899       (8,880,899     —         —    
ProShares Ultra VIX Short-Term
Futures ETF
                               
Goldman Sachs & Co.
    (209,784     —         209,784       —    
ProShares Ultra Yen
                               
Goldman Sachs International
    (2,404     —         2,404       —    
UBS AG
    (8,125     —         8,125       —    
ProShares UltraShort Bloomberg Crude
Oil
                               
Citibank, N.A.
    (1,401,797     1,401,797       —         —    
Goldman Sachs International
    (793,395     793,395       —         —    
Royal Bank of Canada
    (815,341     815,341       —         —    
Societe Generale
    (325,459     —         325,459       —    
UBS AG
    (697,939     —         697,939       —    
ProShares UltraShort Euro
                               
Goldman Sachs International
    (1,134,162     1,134,162       —         —    
UBS AG
    (1,116,258     1,116,258       —         —    
ProShares UltraShort Gold
                               
Citibank, N.A.
    (534,714     534,714       —         —    
Goldman Sachs International
    (263,870     263,870       —         —    
UBS AG
    (374,225     —         374,225       —    
ProShares UltraShort Silver
                               
Citibank, N.A.
    (788,313     788,313       —         —    
Goldman Sachs International
    (401,324     —         401,324       —    
UBS AG
    (764,267     764,267       —         —    
ProShares UltraShort Yen
                               
Goldman Sachs International
    32,828       (32,828     —         —    
UBS AG
    63,071       (63,071     —         —    

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 Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule
K-1
preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.
Non-Recurring
Fees and Expenses
Each Fund pays all its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”) serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
The Custodian
BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.

NOTE 5 – OFFERING COSTS
Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
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.

Transaction fees for the three and six months ended June 30, 2020 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
    
Six Months Ended
 
Fund
  
June 30, 2020
    
June 30, 2020
 
ProShares Short Euro
   $ —        $ —    
ProShares Short VIX Short-Term Futures ETF
     194,355        713,935  
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
     482,361        1,189,587  
ProShares Ultra Yen
     —          —    
ProShares UltraPro 3x Crude Oil ETF*
     —          —    
ProShares UltraPro 3x Short Crude Oil ETF*
     —          —    
ProShares UltraShort Australian Dollar
     —          —    
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
     13,760        27,480  
ProShares VIX Short-Term Futures ETF
     50,731        220,751  
  
 
 
    
 
 
 
Total Trust
  
$
741,207     
$
2,151,753  
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.

NOTE 7 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended June 30, 2020
For the Three Months Ended June 30, 2020 (unaudited)
 
Per Share Operating Performance
  
Short Euro
   
Short VIX
Short-Term

Futures ETF
   
Ultra Bloomberg
Crude
Oil
*
   
Ultra Bloomberg
Natural Gas
*
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at
March 31, 2020
   $ 46.66     $ 31.02     $ 40.15     $ 41.82     $ 13.16     $ 52.44  
Net investment income (loss)
     (0.11     (0.10     (0.08     (0.13     (0.03     (0.12
Net realized and unrealized
gain (loss)#
     (0.82     0.48       (11.48     (13.38     0.43       12.66  
Change in net asset value
from operations
     (0.93     0.38       (11.56     (13.51     0.40       12.54  
Net asset value, at
June 30, 2020
   $ 45.73     $ 31.40     $ 28.59     $ 28.31     $ 13.56     $ 64.98  
Market value per share, at
March 31, 2020
   $ 45.09     $ 31.01     $ 39.75     $ 42.60     $ 13.15     $ 52.00  
Market value per share, at
June 30, 2020
   $ 44.83     $ 31.50     $ 28.68     $ 28.36     $ 13.57     $ 64.83  
Total Return, at net asset
value^
     (2.0 )%      1.2     (29.0 )%      (32.2 )%      3.0     23.9
Total Return, at market
value^
     (0.6 )%      1.6     (27.9 )%      (33.4 )%      3.2     24.7
Ratios to Average Net
Assets**
            
Expense ratio
     0.97     1.34     1.47     1.82     0.95     1.00
Expense ratio, excluding non-
recurring fees and
expenses, and brokerage
commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income
gain (loss)
     (0.96 )%      (1.28 )%      (1.35 )%      (1.40 )%      (0.93 )%      (0.80 )% 
 
*
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2020.

For the Three Months Ended June 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
   
Ultra Yen
   
UltraShort
Australian
Dollar
   
UltraShort
Bloomberg
Crude Oil
   
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at
March 31, 2020
   $ 18.42     $ 58.52     $ 56.21     $ 72.30     $ 49.07     $ 63.38  
Net investment income (loss)
     (0.05     (0.15     (0.13     (0.16     (0.15     (0.32
Net realized and unrealized
gain (loss)#
     11.19       (25.44     (0.76     (16.00     (30.62     4.15  
Change in net asset value
from operations
     11.14       (25.59     (0.89     (16.16     (30.77     3.83  
Net asset value, at
June 30, 2020
   $ 29.56     $ 32.93     $ 55.32     $ 56.14     $ 18.30     $ 67.21  
Market value per share, at
March 31, 2020
   $ 18.44     $ 58.56     $ 56.19     $ 72.06     $ 49.99     $ 62.02  
Market value per share, at
June 30, 2020
   $ 29.33     $ 32.77     $ 55.31     $ 56.06     $ 18.25     $ 67.21  
Total Return, at net asset
value^
     60.5     (43.7 )%      (1.6 )%      (22.4 )%      (62.7 )%      6.1
Total Return, at market
value^
     59.1     (44.0 )%      (1.6 )%      (22.2 )%      (63.5 )%      8.4
Ratios to Average Net
Assets**
                        
Expense ratio
     1.06     1.61     0.95     1.04     2.14     2.30
Expense ratio, excluding non-
recurring fees and
expenses, and brokerage
commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income
gain (loss)
     (0.75 )%      (1.54 )%      (0.94 )%      (1.03 )%      (2.12 )%      (2.27 )% 
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2020.

For the Three Months Ended June 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
UltraShort Euro
   
UltraShort Gold
   
UltraShort Silver
   
UltraShort Yen
   
VIX Mid-Term

Futures ETF
   
VIX Short-Term

Futures ETF
 
Net asset value, at
March 31, 2020
   $ 27.82     $ 46.02     $ 36.54     $ 74.10     $ 38.74     $ 37.96  
Net investment income (loss)
     (0.04     (0.09     (0.07     (0.16     (0.09     (0.07
Net realized and unrealized
gain (loss)#
     (1.05     (10.47     (16.85     0.66       1.75       (9.96
Change in net asset value
from operations
     (1.09     (10.56     (16.92     0.50       1.66       (10.03
Net asset value, at
June 30, 2020
   $ 26.73     $ 35.46     $ 19.62     $ 74.60     $ 40.40     $ 27.93  
Market value per share, at
March 31, 2020
   $ 27.76     $ 46.28     $ 36.66     $ 74.11     $ 38.44     $ 37.93  
Market value per share, at
June 30, 2020
   $ 26.73     $ 35.57     $ 19.77     $ 74.58     $ 40.24     $ 27.76  
Total Return, at net asset
value^
     (3.9 )%      (22.9 )%      (46.3 )%      0.7     4.3     (26.4 )% 
Total Return, at market
value^
     (3.7 )%      (23.1 )%      (46.1 )%      0.6     4.7     (26.8 )% 
Ratios to Average Net
Assets**
                        
Expense ratio
     0.95     1.02     1.17     0.95     1.10     1.21
Expense ratio, excluding non-
recurring fees and
expenses, and brokerage
commissions and fees
     0.95     0.95     0.96     0.95     0.85     0.85
Net investment income
gain (loss)
     (0.65 )%      (0.97 )%      (1.14 )%      (0.88 )%      (0.91 )%      (0.95 )% 
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2020.

Selected data for a Share outstanding throughout the three months ended June 30, 2019
For the Three Months Ended June 30, 2019 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
   
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
*
   
Ultra
Bloomberg
Natural Gas
*
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at
March 31, 2019
   $ 44.43     $ 52.31     $ 538.03     $ 203.28     $ 14.29     $ 37.32  
Net investment income (loss)
     0.14       0.10       1.70       0.33       0.04       0.11  
Net realized and unrealized
gain (loss)#
     (0.32     2.10       (49.04     (65.08     0.17       6.35  
Change in net asset value
from operations
     (0.18     2.20       (47.34     (64.75     0.21       6.46  
Net asset value, at
June 30, 2019
   $ 44.25     $ 54.51     $ 490.69     $ 138.53     $ 14.50     $ 43.78  
Market value per share, at
March 31, 2019
   $ 44.41     $ 52.36     $ 538.25     $ 204.20     $ 14.31     $ 37.24  
Market value per share, at
June 30, 2019
   $ 44.26     $ 53.87     $ 483.00     $ 139.20     $ 14.51     $ 43.80  
Total Return, at net asset
value^
     (0.4 )%      4.2     (8.8 )%      (31.9 )%      1.5     17.3
Total Return, at market
value^
     (0.3 )%      2.9     (10.3 )%      (31.8 )%      1.4     17.6
Ratios to Average Net
Assets**
                        
Expense ratio
     0.96     1.17     0.99     1.39     0.95     0.96
Expense ratio, excluding non-recurring fees and
expenses, and brokerage
commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income
gain (loss)
     1.29     0.73     1.30     0.78     1.09     1.21
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.

For the Three Months Ended June 30, 2019 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX

Short-Term
Futures ETF
   
Ultra Yen
   
UltraPro 3x
Crude Oil ETF
   
UltraPro 3x
Short Crude

Oil ETF
*
   
UltraShort
Australian
Dollar
 
Net asset value, at
March 31, 2019
   $ 24.52     $ 39.00     $ 55.65     $ 26.95     $ 20.62     $ 54.42  
Net investment income (loss)
     0.07       0.03       0.14       0.06       0.04       0.17  
Net realized and unrealized
gain (loss)#
     0.03       (8.66     2.30       (4.47     (0.86     1.17  
Change in net asset value
from operations
     0.10       (8.63     2.44       (4.41     (0.82     1.34  
Net asset value, at
June 30, 2019
   $ 24.62     $ 30.37     $ 58.09     $ 22.54     $ 19.80     $ 55.76  
Market value per share, at
March 31, 2019
   $ 24.48     $ 38.90     $ 55.64     $ 26.97     $ 20.60     $ 54.41  
Market value per share, at
June 30, 2019
   $ 24.65     $ 31.49     $ 58.09     $ 22.00     $ 20.28     $ 55.76  
Total Return, at net asset
value^
     0.4     (22.1 )%      4.4     (16.4 )%      (4.0 )%      2.5
Total Return, at market
value^
     0.7     (19.0 )%      4.4     (18.4 )%      (1.6 )%      2.5
Ratios to Average Net
Assets**
                        
Expense ratio
     0.97     1.52     0.95     1.25     1.40     1.02
Expense ratio, excluding non-recurring fees and
expenses, and brokerage
commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income
gain (loss)
     1.19     0.36     1.00     0.90     0.76     1.24
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.

For the Three Months Ended June 30, 2019 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Bloomberg
Crude Oil
   
UltraShort
Bloomberg
Natural Gas
   
UltraShort Euro
   
UltraShort Gold
   
UltraShort Silver
   
UltraShort Yen
 
Net asset value, at
March 31, 2019
   $ 16.89     $ 22.65     $ 25.67     $ 72.42     $ 39.18     $ 76.47  
Net investment income (loss)
     0.04       0.03       0.09       0.19       0.10       0.26  
Net realized and unrealized
gain (loss)#
     (0.07     8.07       (0.37     (11.47     (1.06     (3.27
Change in net asset value
from operations
     (0.03     8.10       (0.28     (11.28     (0.96     (3.01
Net asset value, at
June 30, 2019
   $ 16.86     $ 30.75     $ 25.39     $ 61.14     $ 38.22     $ 73.46  
Market value per share, at
March 31, 2019
   $ 16.88     $ 22.51     $ 25.67     $ 72.61     $ 39.24     $ 76.44  
Market value per share, at
June 30, 2019
   $ 17.12     $ 30.58     $ 25.34     $ 61.10     $ 38.18     $ 73.46  
Total Return, at net asset
value^
     (0.2 )%      35.8     (1.1 )%      (15.6 )%      (2.5 )%      (3.9 )% 
Total Return, at market
value^
     1.4     35.9     (1.3 )%      (15.9 )%      (2.7 )%      (3.9 )% 
Ratios to Average Net
Assets**
                    
Expense ratio
     1.04     1.70     0.95     0.98     1.01     0.95
Expense ratio, excluding non-recurring fees and
expenses, and brokerage
commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income
gain (loss)
     1.08     0.55     1.34     1.04     0.97     1.36
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.

For the Three Months Ended June 30, 2019 (unaudited)
 
Per Share Operating Performance
  
VIX Mid-Term Futures ETF
   
VIX Short-Term Futures ETF
 
Net asset value, at March 31, 2019
   $ 21.64     $ 24.08  
Net investment income (loss)
     0.07       0.07  
Net realized and unrealized gain (loss)#
     (0.29     (3.29
Change in net asset value from operations
     (0.22     (3.22
Net asset value, at June 30, 2019
   $ 21.42     $ 20.86  
Market value per share, at March 31, 2019
   $ 21.59     $ 24.02  
Market value per share, at June 30, 2019
   $ 21.63     $ 21.40  
Total Return, at net asset value^
     (1.0 )%      (13.4 )% 
Total Return, at market value^
     0.2     (10.9 )% 
Ratios to Average Net Assets**
        
Expense ratio
     0.95     0.98
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
     0.85     0.85
Net investment income gain (loss)
     1.37     1.27
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.

Selected data for a Share outstanding throughout the six months ended June 30, 2020
For the Six Months Ended June 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
   
Short VIX

Short-Term
Futures ETF
   
Ultra Bloomberg
Crude Oil*
   
Ultra Bloomberg
Natural Gas*
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at
December 31, 2019
   $ 45.64     $ 65.62     $ 509.23     $ 83.97     $ 13.79     $ 49.21  
Net investment income (loss)
     (0.07     (0.17     (0.14     (0.16     (0.02     (0.07
Net realized and unrealized
gain (loss)#
     0.16       (34.05     (480.50     (55.50     (0.21     15.84  
Change in net asset value
from operations
     0.09       (34.22     (480.64     (55.66     (0.23     15.77  
Net asset value, at
June 30, 2020
   $ 45.73     $ 31.40     $ 28.59     $ 28.31     $ 13.56     $ 64.98  
Market value per share, at
December 31, 2019
   $ 45.69     $ 65.23     $ 511.50     $ 83.40     $ 13.77     $ 49.05  
Market value per share, at
June 30, 2020
   $ 44.83     $ 31.50     $ 28.68     $ 28.36     $ 13.57     $ 64.83  
Total Return, at net asset
value^
     0.2     (52.1 )%      (94.4 )%      (66.3 )%      (1.7 )%      32.0
Total Return, at market
value^
     (1.9 )%      (51.7 )%      (94.4 )%      (66.0 )%      (1.5 )%      32.2
Ratios to Average Net
Assets**
                        
Expense ratio
     0.97     1.29     1.38     1.59     0.95     0.99
Expense ratio, excluding brokerage commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income gain (loss)
     (0.31 )%      (0.96 )%      (0.92 )%      (0.66 )%      (0.24 )%      (0.26 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2020.

For the Six Months Ended June 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX

Short-Term
Futures ETF
   
Ultra Yen
   
UltraShort
Australian
Dollar
   
UltraShort
Bloomberg
Crude Oil
   
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at
December 31, 2019
   $ 31.70     $ 12.67     $ 55.83     $ 56.09     $ 12.19     $ 38.53  
Net investment income (loss)
     (0.01     (0.12     (0.09     (0.13     (0.16     (0.40
Net realized and unrealized
gain (loss)#
     (2.13     20.38       (0.42     0.18       6.27       29.08  
Change in net asset value
from operations
     (2.14     20.26       (0.51     0.05       6.11       28.68  
Net asset value, at
June 30, 2020
   $ 29.56     $ 32.93     $ 55.32     $ 56.14     $ 18.30     $ 67.21  
Market value per share, at
December 31, 2019
   $ 31.65     $ 12.89     $ 55.83     $ 55.88     $ 12.15     $ 38.82  
Market value per share, at
June 30, 2020
   $ 29.33     $ 32.77     $ 55.31     $ 56.06     $ 18.25     $ 67.21  
Total Return, at net asset
value^
     (6.8 )%      159.8     (0.9 )%      0.1     50.1     74.5
Total Return, at market
value^
     (7.3 )%      154.2     (0.9 )%      0.3     50.2     73.1
Ratios to Average Net
Assets**
                        
Expense ratio
     1.02     1.54     0.95     1.04     1.83     2.11
Expense ratio, excluding brokerage commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income gain (loss)
     (0.06 )%      (1.00 )%      (0.34 )%      (0.40 )%      (1.40 )%      (1.51 )% 
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2020.

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

Futures ETF
   
VIX Short-Term

Futures ETF
 
Net asset value, at
December 31, 2019
   $ 26.80     $ 53.02     $ 26.76     $ 76.37     $ 21.27     $ 12.30  
Net investment income (loss)
     0.00
(1)
 
    (0.06     (0.06     (0.04     (0.05     (0.02
Net realized and unrealized
gain (loss)#
     (0.07     (17.50     (7.08     (1.73     19.18       15.65  
Change in net asset value
from operations
     (0.07     (17.56     (7.14     (1.77     19.13       15.63  
Net asset value, at
June 30, 2020
   $ 26.73     $ 35.46     $ 19.62     $ 74.60     $ 40.40     $ 27.93  
Market value per share, at
December 31, 2019
   $ 26.80     $ 53.21     $ 26.80     $ 76.35     $ 21.29     $ 12.43  
Market value per share, at
June 30, 2020
   $ 26.73     $ 35.57     $ 19.77     $ 74.58     $ 40.24     $ 27.76  
Total Return, at net asset
value^
     (0.3 )%      (33.1 )%      (26.7 )%      (2.3 )%      90.0     127.1
Total Return, at market
value^
     (0.3 )%      (33.2 )%      (26.2 )%      (2.3 )%      89.0     123.3
Ratios to Average Net
Assets**
                        
Expense ratio
     0.95     1.01     1.10     0.95     1.06     1.15
Expense ratio, excluding brokerage commissions and fees
     0.95     0.95     0.95     0.95     0.85     0.85
Net investment income gain (loss)
     (0.02 )%      (0.29 )%      (0.41 )%      (0.11 )%      (0.33 )%      (0.25 )% 
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2020.
(1)
Amount represents greater than $(0.005).

Selected data for a Share outstanding throughout the six months ended June 30, 2019
For the Six Months Ended June 30, 2019 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
   
Short VIX
Short-Term
Futures ETF
   
Ultra
Bloomberg
Crude Oil
*
   
Ultra
Bloomberg
Natural Gas
*
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at
December 31, 2018
   $ 43.10     $ 42.36     $ 326.46     $ 252.83     $ 15.09     $ 37.12  
Net investment income (loss)
     0.29       0.10       2.76       0.74       0.08       0.21  
Net realized and unrealized
gain (loss)#
     0.86       12.05       161.47       (115.04     (0.67     6.45  
Change in net asset value
from operations
     1.15       12.15       164.23       (114.30     (0.59     6.66  
Net asset value, at 
June 30, 2019
   $ 44.25     $ 54.51     $ 490.69     $ 138.53     $ 14.50     $ 43.78  
Market value per share, at 
December 31, 2018
   $ 43.08     $ 42.30     $ 332.50     $ 258.20     $ 15.12     $ 37.41  
Market value per share, at 
June 30, 2019
   $ 44.26     $ 53.87     $ 483.00     $ 139.20     $ 14.51     $ 43.80  
Total Return, at net asset 
value^
     2.7     28.7     50.3     (45.2 )%      (3.9 )%      17.9
Total Return, at
market 
value^
     2.8     27.4     45.3     (46.1 )%      (4.1 )%      17.1
Ratios to Average Net
Assets**
                        
Expense ratio
     0.97     1.36 %^^      0.98     1.34     0.95     0.96
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment
income gain (loss)
     1.30     0.39     1.15     0.77     1.07     1.10
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.
^^
Expense ratio, excluding
non-recurring
fees and expense is 1.16%.

For the Six Months Ended June 30, 2019 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term
Futures ETF
   
Ultra Yen
   
UltraPro

3x Crude

Oil ETF
   
UltraPro

3x Short Crude
Oil ETF
*
   
UltraShort
Australian
Dollar
 
Net asset value, at
December 31, 2018
   $ 26.39     $ 81.46     $ 57.53     $ 13.08     $ 49.79     $ 55.30  
Net investment income (loss)
     0.13       0.03       0.30       0.10       0.08       0.33  
Net realized and unrealized
gain (loss)#
     (1.90     (51.12     0.26       9.36       (30.07     0.13  
Change in net asset value
from operations
     (1.77     (51.09     0.56       9.46       (29.99     0.46  
Net asset value, at
June 30, 2019
   $ 24.62     $ 30.37     $ 58.09     $ 22.54     $ 19.80     $ 55.76  
Market value per share, at
December 31, 2018
   $ 26.37     $ 81.73     $ 57.55     $ 13.47     $ 48.43     $ 54.92  
Market value per share, at
June 30, 2019
   $ 24.65     $ 31.49     $ 58.09     $ 22.00     $ 20.28     $ 55.76  
Total Return, at net asset
value^
     (6.7 )%      (62.7 )%      1.0     72.3     (60.2 )%      0.8
Total Return, at market
value^
     (6.5 )%      (61.5 )%      0.9     63.3     (58.1 )%      1.5
Ratios to Average Net
Assets**
                        
Expense ratio
     0.97     1.53 %^^      0.95     1.20     1.36     1.02
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income gain (loss)
     1.05     0.15     1.06     0.85     0.72     1.20
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.
^^
Expense ratio, excluding
non-recurring
fees and expense is 1.52%.

For the Six Months Ended June 30, 2019 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Bloomberg
Crude Oil
   
UltraShort
Bloomberg
Natural Gas
   
UltraShort

Euro
   
UltraShort

Gold
   
UltraShort

Silver
   
UltraShort

Yen
 
Net asset value, at
December 31, 2018
   $ 29.79     $ 21.61     $ 24.27     $ 73.28     $ 37.13     $ 73.89  
Net investment income (loss)
     0.10       0.07       0.16       0.35       0.17       0.49  
Net realized and unrealized
gain (loss)#
     (13.03     9.07       0.96       (12.49     0.92       (0.92
Change in net asset value
from operations
     (12.93     9.14       1.12       (12.14     1.09       (0.43
Net asset value, at
June 30, 2019
   $ 16.86     $ 30.75     $ 25.39     $ 61.14     $ 38.22     $ 73.46  
Market value per share, at
December 31, 2018
   $ 29.28     $ 21.22     $ 24.25     $ 72.84     $ 37.10     $ 73.86  
Market value per share, at
June 30, 2019
   $ 17.12     $ 30.58     $ 25.34     $ 61.10     $ 38.18     $ 73.46  
Total Return, at net asset
value^
     (43.4 )%      42.3     4.6     (16.6 )%      2.9     (0.6 )% 
Total Return, at market
value^
     (41.5 )%      44.1     4.5     (16.1 )%      2.9     (0.5 )% 
Ratios to Average Net
Assets**
                        
Expense ratio
     1.03     1.49     0.95     0.97     1.00     0.95
Expense ratio, excluding brokerage commissions and fees
     0.95     0.95     0.95     0.95     0.95     0.95
Net investment income gain (loss)
     1.07     0.60     1.28     1.00     0.89     1.32
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.

For the Six Months Ended June 30, 2019 (unaudited)
 
Per Share Operating
Performance
  
VIX Mid-Term Futures ETF
   
VIX Short-Term Futures ETF
 
Net asset value, at
December 31, 2018
   $ 26.65     $ 38.58  
Net investment income (loss)
     0.14       0.15  
Net realized and unrealized
gain (loss)#
     (5.37     (17.87
Change in net asset value
from operations
     (5.23     (17.72
Net asset value, at
June 30, 2019
   $ 21.42     $ 20.86  
Market value per share, at
December 31, 2018
   $ 26.74     $ 38.61  
Market value per share, at
June 30, 2019
   $ 21.63     $ 21.40  
Total Return, at net asset
value^
     (19.6 )%      (45.9 )% 
Total Return, at market
value^
     (19.1 )%      (44.6 )% 
Ratios to Average Net
Assets**
        
Expense ratio
     0.94     0.94
Expense ratio, excluding brokerage commissions and fees
     0.85     0.85
Net investment income gain (loss)
     1.28     1.20
 
**
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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2019.

NOTE 8 – 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),
three times the inverse
(-3x),
one and
one-half
times (1.5x) the return, two times (2x) of the return or three times of the return (3x) 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, UltraShort and UltraPro Short Funds), 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, UltraShort, UltraPro and UltraPro Short 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 or UltraPro Fund with a 1.5x or 2x or 3x multiple should be approximately one and
one-half
or two or three 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 or UltraPro Short Fund is designed to return two times the inverse
(-2x)
or three times the inverse
(-3x)
of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.
While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;
(3) bid-ask
spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s

portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,
-0.5x,
-1x,
-2x,
-3x,
1.5x, 2x, or 3x 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.
Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of “the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.
Counterparty Credit Risk
The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.
OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The

triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.
Leverage Risk
The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and
one-half
times multiplier) include a two times the inverse
(-2x),
or a two times (2x) multiplier, a
single-day
movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. For the UltraPro Fund and UltraPro Short Fund, because the Funds include a three times (3x) or three times the inverse
(-3x)
multiplier, a single day movement in the benchmark approaching 33% 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 the 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 and UltraPro Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund and UltraPro Short 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.
“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 2018 may specify a January 2019 expiration. As that contract nears expiration, it may be replaced by selling the January 2019 contract and purchasing the contract expiring in March 2019. 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 2019 contract would take place at a price that is higher than the price at which the March 2019 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund, an UltraPro Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund, an UltraShort Fund or an UltraPro Short 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, UltraShort Funds, and UltraPro Short Funds, and positively affect the Ultra Funds, UltraPro 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.
Change to Investment Strategies
In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.
 
   
By the close of business on Tuesday, June 30, 2020, each Oil Fund had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
 
   
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse
(-2x),
as

applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to a longer-dated WTI crude oil futures contract (e.g., October, November and December 2020 instead of September 2020), the performance of the Fund may be expected to deviate to a greater extent from the “spot” price of WTI crude oil (which the Fund does not seek to track) than if the Fund had exposure to a shorter-dated futures contract. WTI crude oil futures contracts (and thus each Fund) typically perform very differently from the “spot” price of WTI crude oil. The performance of each Fund therefore will very likely differ in amount, and possibly even direction, from the performance of the “spot” price of WTI crude oil.
There can be no guarantee that each Oil Fund will be able to implement the strategies described above or in its Prospectus, continue to use such strategies, or that such strategies will be beneficial. Recent global developments affecting crude oil markets and the markets for crude oil futures contracts have dramatically increased volatility and increased the likelihood of investors suffering significant or total loss from crude
oil-related
investments, including an investment in a Fund.
Change to new Benchmark Index
Each Oil Fund intends to change its benchmark from the Bloomberg WTI Crude Oil Subindex
SM
to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(“New Crude Oil Benchmark”). In order for the Funds to implement this change, the SEC must approve changes to the NYSE’s listing rules applicable to the Funds. On July 31, 2020, the NYSE filed a listing rule change request with the SEC. If the SEC approves the listing rule changes, each Fund will change its benchmark and thereafter will seek daily investment results, before fees and expenses, that correspond to the New Crude Oil Benchmark’s performance times the stated multiple in the Fund’s investment objective. Although the Sponsor expects that the SEC will approve the listing rule changes, there can be no assurance that the SEC does so.
The New Benchmark aims to track the performance of
three
 separate contract schedules for WTI Crude Oil futures. One third of the New Benchmark follows a monthly roll schedule two months beyond the nearby contract. The second third of the New Benchmark follows a June annual roll schedule, while the remaining third follows a December annual roll schedule. The New Benchmark weights are equally reset semi-annually in the months of March and September on close of the first business day. The weighting of the futures contracts included in the New Benchmark is allowed to drift between the semi-annual reset dates. The New Benchmark is not linked to the “spot” price of WTI crude oil.
The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.
Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus
COVID-19),
have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the
COVID-19
pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.    
NOTE 9 – 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.

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 June 30, 2020, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.”
On March 15, 2020 ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
On April 3, 2020, the Trust announced a
1-for-25
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a
1-for-10
reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and per share information of these funds .Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
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,” “UltraPro Short Funds,” “Ultra Funds” or “UltraPro Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “UltraPro Short” Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse
(-3x)
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 “UltraPro” Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) 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,
-3x,
1.5x, 2x or 3x 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
 
0.5x o
f
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 UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, 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 the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an

Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2020 and 2019, each of the Funds earned interest income as follows:
 
Fund
  
Interest Income
Three Months
Ended
June 30, 2020
*
    
Interest Income
Three Months
Ended
June 30, 2019
*
    
Interest Income
Six Months
Ended
June 30, 2020
*
    
Interest Income
Six Months
Ended
June 30, 2019
*
 
ProShares Short Euro
   $ 54      $ 125,445      $ 7,649      $ 190,623  
ProShares Short VIX Short-Term Futures ETF
     106,023        1,883,798        855,884        3,468,359  
ProShares Ultra Bloomberg Crude Oil
     365,747        2,163,795        1,767,207        4,304,180  
ProShares Ultra Bloomberg Natural Gas
     36,474        139,008        175,813        256,843  
ProShares Ultra Euro
     192        35,464        15,993        74,967  
ProShares Ultra Gold
     69,857        409,424        484,541        825,009  
ProShares Ultra Silver
     138,315        931,284        914,602        1,835,738  
ProShares Ultra VIX Short-Term Futures ETF
     101,523        2,683,047        1,513,263        4,101,153  
ProShares Ultra Yen
     62        18,875        8,929        45,884  
ProShares UltraPro 3x Crude Oil ETF
     —          623,652       
346,326
       1,238,995  
ProShares UltraPro 3x Short Crude Oil ETF
     —          105,502       
166,789
       177,007  
ProShares UltraShort Australian Dollar
     42        47,222        20,096        95,764  
ProShares UltraShort Bloomberg Crude Oil
     6,209        424,765        254,918        786,536  
ProShares UltraShort Bloomberg Natural Gas
     1,371        48,278        43,803        108,153  
ProShares UltraShort Euro
     68,027        805,304        467,684        1,579,922  
ProShares UltraShort Gold
     2,259        102,278        63,280        197,489  
ProShares UltraShort Silver
     651        86,447        45,187        156,561  
ProShares UltraShort Yen
     5,143        298,433        131,326        590,801  
ProShares VIX
Mid-Term
Futures ETF
     27,603        225,718        185,901        491,131  
ProShares VIX Short-Term Futures ETF
     122,772        1,284,160        1,082,847        2,136,366  
 
*
The operations include the activity of
ProShares UltraPro 3x Crude Oil ETF
through
April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13
, 2020, the date
of
liquidation
, respectively
.
Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures

contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed
“off-exchange”
between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on
Form 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
tri-party
accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

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 3, 2020, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate
off-balance
sheet financing arrangements and have no loan guarantee arrangements or
off-balance
sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 2020.
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 brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission 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, 2020 Compared to the Three Months Ended June 30, 2019
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 2,332,843     $ 22,213,438  
NAV end of period
   $ 2,286,467     $ 22,127,403  
Percentage change in NAV
     (2.0 )%      (0.4 )% 
Shares outstanding beginning of period
     50,000       500,000  
Shares outstanding end of period
     50,000       500,000  
Percentage change in shares outstanding
        
Shares created
     —         —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 46.66     $ 44.43  
Per share NAV end of period
   $ 45.73     $ 44.25  
Percentage change in per share NAV
     (2.0 )%      (0.4 )% 
Percentage change in benchmark
     1.90     1.4
Benchmark annualized volatility
     7.40     4.5
During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020. By comparison, during the three months ended June 30, 2019, the the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2019 to June 30, 2019.
For the three months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.0% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 0.4% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 1.9% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 1.4% for the three months ended June 30, 2019, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (5,552    $ 71,866  
Management fee
     5,516        52,792  
Brokerage commission
     90        787  
Net realized gain (loss)
     (20,020      76,518  
Change in net unrealized appreciation (depreciation)
     (20,804      (234,419
Net Income (loss)
   $ (46,376    $ (86,035
The Fund’s net income increased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2020.
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, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 809,257,658     $ 441,188,509  
NAV end of period
   $ 509,811,853     $ 337,102,327  
Percentage change in NAV
     (37.0 )%      (23.6 )% 
Shares outstanding beginning of period
     26,084,307       8,434,307  
Shares outstanding end of period
     16,234,307       6,184,307  
Percentage change in shares outstanding
     (37.8 )%      (26.7 )% 
Shares created
     1,000,000       —    
Shares redeemed
     10,850,000       2,250,000  
Per share NAV beginning of period
   $ 31.02     $ 52.31  
Per share NAV end of period
   $ 31.40     $ 54.51  
Percentage change in per share NAV
     1.2     4.2
Percentage change in benchmark
     (26.1 )%      (13.2 )% 
Benchmark annualized volatility
     122.3     59.9
During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 26,084,307 outstanding Shares at March 31, 2020 to 16,234,307 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,434,307 outstanding Shares at March 31, 2019 to 6,184,307 outstanding Shares at June 30, 2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended June 30, 2020 and 2019, 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 1.2% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 4.2% for the three months ended June 30, 2019, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s decline of 26.1% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 13.2% for the three months ended June 30, 2019, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (2,142,980    $ 725,505  
Management fee
     1,589,036        938,696  
Brokerage commission
     228,176        219,597  
Non-recurring
fees and expenses
     —          —    
Net realized gain (loss)
     54,615,005        11,427,588  
Change in net unrealized appreciation (depreciation)
     (22,301,329      4,568,486  
Net Income (loss)
   $ 30,170,696      $ 16,721,579  
The Fund’s net income increased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater decrease in the value of futures prices during the three months ended June 30, 2020.
ProShares Ultra Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 435,593,381     $ 425,287,296  
NAV end of period
   $ 1,508,661,459     $ 381,980,628  
Percentage change in NAV
     246.3     (10.2 )% 
Shares outstanding beginning of period
     10,848,453       790,453  
Shares outstanding end of period
     52,760,774       778,453  
Percentage change in shares outstanding
     386.3     (1.5 )% 
Shares created
     77,482,000       284,000  
Shares redeemed
     35,569,679       296,000  
Per share NAV beginning of period
   $ 40.15     $ 538.03  
Per share NAV end of period
   $ 28.59     $ 490.69  
Percentage change in per share NAV
     (28.8 )%      (8.8 )% 
Percentage change in benchmark
     23.6     (2.8 )% 
Benchmark annualized volatility
     116.3     31.5
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark pending the approval of the change to the exchange listing rules applicable to the Fund by the SEC. The new benchmark for the Fund will be the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Currently, the benchmark for the Fund is the Bloomberg WTI Crude Oil Subindex
SM
.
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 10,848,453 outstanding Shares at March 31, 2020 to 52,760,774 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.

By comparison, during the three months ended June 30, 2019, 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 WTI Crude Oil Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 790,453 outstanding Shares at March 31, 2019 to 778,453 outstanding Shares at June 30, 2019.
For the three months ended June 30, 2020 and 2019, 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 28.8% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 8.8% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 23.6% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 2.8% for the three months ended June 30, 2019, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (3,994,835    $ 1,231,167  
Management fee
     2,806,288        898,556  
Brokerage commission
     1,017,545        34,072  
Net realized gain (loss)
     (671,420,708      (25,907,850
Change in net unrealized appreciation (depreciation)
     661,178,846        14,161,522  
Net Income (loss)
   $ (14,236,697    $ (10,515,161
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to an increase in the value of WTI Crude Oil, in conjunction with the timing of shareholders activity, during the three months ended June 30, 2020.
* 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 the 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, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 26,671,617     $ 20,900,095  
NAV end of period
   $ 50,599,783     $ 33,637,758  
Percentage change in NAV
     89.7     60.9
Shares outstanding beginning of period
     637,815       102,815  
Shares outstanding end of period
     1,787,527       242,815  
Percentage change in shares outstanding
     180.3     136.2
Shares created
     1,260,000       155,000  
Shares redeemed
     110,288       15,000  
Per share NAV beginning of period
   $ 41.82     $ 203.28  
Per share NAV end of period
   $ 28.31     $ 138.53  
Percentage change in per share NAV
     (32.3 )%      (31.9 )% 
Percentage change in benchmark
     (14.2 )%      (16.2 )% 
Benchmark annualized volatility
     56.4     27.9
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 637,815 outstanding Shares at March 31, 2020 to 1,787,527 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 102,815 outstanding Shares at March 31, 2019 to 242,815 outstanding Shares at June 30, 2019. 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, 2020 and 2019, 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 32.3% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 31.9% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s decline of 14.2% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 16.2% for the three months ended June 30, 2019, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (121,296    $ 49,884  
Management fee
     81,904        60,844  
Brokerage commission
     63,224        28,280  
Net realized gain (loss)
     (16,111,238      (7,975,969
Change in net unrealized appreciation (depreciation)
     4,853,272        (670,693
Net Income (loss)
   $ (11,379,262    $ (8,596,778
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the three months ended June 30, 2020.
* 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 the ProShares Ultra Bloomberg Natural Gas.

ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 3,949,142     $ 7,857,207  
NAV end of period
   $ 4,067,686     $ 5,801,170  
Percentage change in NAV
     3.0     (26.2 )% 
Shares outstanding beginning of period
     300,000       550,000  
Shares outstanding end of period
     300,000       400,000  
Percentage change in shares outstanding
         (27.3 )% 
Shares created
     50,000       —    
Shares redeemed
     50,000       150,000  
Per share NAV beginning of period
   $ 13.16     $ 14.29  
Per share NAV end of period
   $ 13.56     $ 14.50  
Percentage change in per share NAV
     3.0     1.5
Percentage change in benchmark
     1.9     1.4
Benchmark annualized volatility
     7.4     4.5
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020. By comparison, during the three months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 550,000 outstanding Shares at March 31, 2019 to 400,000 outstanding Shares at June 30, 2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 2020 and 2019, 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 3.0% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended June 30, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 1.9% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 1.4% for the three months ended June 30, 2019, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (8,702    $ 18,923  
Management fee
     8,894        16,541  
Net realized gain (loss)
     (18,635      (132,599
Change in net unrealized appreciation (depreciation)
     97,408        208,577  
Net Income (loss)
   $ 70,071      $ 94,901  
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2020.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 128,481,796     $ 72,777,302  
NAV end of period
   $ 165,689,050     $ 85,377,335  
Percentage change in NAV
     29.0     17.3
Shares outstanding beginning of period
     2,450,000       1,950,000  
Shares outstanding end of period
     2,550,000       1,950,000  
Percentage change in shares outstanding
     4.1    
Shares created
     300,000       350,000  
Shares redeemed
     200,000       350,000  
Per share NAV beginning of period
   $ 52.44     $ 37.32  
Per share NAV end of period
   $ 64.98     $ 43.78  
Percentage change in per share NAV
     23.9     17.3
Percentage change in benchmark
     12.1     9.0
Benchmark annualized volatility
     19.7     11.5
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,450,000 outstanding Shares at March 31, 2020 to 2,550,000 outstanding Shares at June 30, 2020. By comparison, during the three months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily. There was no net change in the Fund’s outstanding Shares from March 31, 2019 to June 30, 2019.
For the three months ended June 30, 2020 and 2019, 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 23.9% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 17.3% for the three months ended June 30, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.

The benchmark’s rise of 12.1% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 9.0% for the three months ended June 30, 2019, can be attributed to a greater increase in the value of gold futures contracts during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (279,921    $ 228,086  
Management fee
     333,463        178,772  
Brokerage commission
     6,119        2,566  
Net realized gain (loss)
     4,365,328        3,488,357  
Change in net unrealized appreciation (depreciation)
     25,893,012        8,697,049  
Net Income (loss)
   $ 29,978,419      $ 12,413,492  
The Fund’s net income increased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater increase in the value of futures prices during the three months ended June 30, 2020.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 129,785,535     $ 171,571,571  
NAV end of period
   $ 249,671,968     $ 178,444,838  
Percentage change in NAV
     92.4     4.0
Shares outstanding beginning of period
     7,046,526       6,996,526  
Shares outstanding end of period
     8,446,526       7,246,526  
Percentage change in shares outstanding
     19.9     3.6
Shares created
     1,500,000       900,000  
Shares redeemed
     100,000       650,000  
Per share NAV beginning of period
   $ 18.42     $ 24.52  
Per share NAV end of period
   $ 29.56     $ 24.62  
Percentage change in per share NAV
     60.5     0.4
Percentage change in benchmark
     29.2     1.0
Benchmark annualized volatility
     37.1     15.6
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 7,046,526 outstanding Shares at March 31, 2020 to 8,446,526 outstanding Shares at June 30, 2020. By comparison, during the three months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 6,996,526 outstanding Shares at March 31, 2019 to 7,246,526 outstanding Shares at June 30, 2019. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
.

For the three months ended June 30, 2020 and 2019, 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 60.5% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 0.4% for the three months ended June 30, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 29.2% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 1.0% for the three months ended June 30, 2019, can be attributed to a greater increase in the value of silver futures contracts during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (335,243    $ 512,068  
Management fee
     425,646        410,131  
Brokerage commission
     26,966        9,085  
Net realized gain (loss)
     11,386,313        (8,015,752
Change in net unrealized appreciation (depreciation)
     69,302,060        8,501,389  
Net Income (loss)
   $ 80,353,130      $ 997,705  
The Fund’s net income increased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater increase in the value of futures prices during the three months ended June 30, 2020.
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, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 592,820,492     $ 547,243,246  
NAV end of period
   $ 992,156,607     $ 529,341,464  
Percentage change in NAV
     67.4     (3.3 )% 
Shares outstanding beginning of period
     10,130,912       14,030,912  
Shares outstanding end of period
     30,130,912       17,430,912  
Percentage change in shares outstanding
     197.4     24.2
Shares created
     24,850,000       17,050,000  
Shares redeemed
     4,850,000       13,650,000  
Per share NAV beginning of period
   $ 58.52     $ 39.00  
Per share NAV end of period
   $ 32.93     $ 30.37  
Percentage change in per share NAV
     (43.7 )%      (22.1 )% 
Percentage change in benchmark
     (26.1 )%      (13.2 )% 
Benchmark annualized volatility
     122.3     59.9
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 10,130,912 outstanding Shares at March 31, 2020 to 30,130,912 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2019, 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 14,030,912 outstanding Shares at March 31, 2019 to 17,430,912 outstanding Shares at June 30, 2019.
For the three months ended June 30, 2020 and 2019, 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 43.7% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 22.1% for the three months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s decline of 26.1% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 13.2% for the three months ended June 30, 2019, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (2,085,756    $ 507,125  
Management fee
     1,293,878        1,356,237  
Brokerage commission
     438,851        819,685  
Net realized gain (loss)
     (107,880,791      (54,976,168
Change in net unrealized appreciation (depreciation)
     (125,500,879      (39,563,092
Net Income (loss)
   $ (235,467,426    $ (94,032,135
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater decrease in the value of futures prices during the three months ended June 30, 2020.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 2,808,780     $ 5,563,510  
NAV end of period
   $ 2,764,355     $ 5,807,397  
Percentage change in NAV
     (1.6 )%      4.4
Shares outstanding beginning of period
     49,970       99,970  
Shares outstanding end of period
     49,970       99,970  
Percentage change in shares outstanding
        
Shares created
     —         50,000  
Shares redeemed
     —         50,000  
Per share NAV beginning of period
   $ 56.21     $ 55.65  
Per share NAV end of period
   $ 55.32     $ 58.09  
Percentage change in per share NAV
     (1.6 )%      4.4
Percentage change in benchmark
     (0.4 )%      2.8
Benchmark annualized volatility
     6.2     4.8

During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020. By comparison, during the three months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2019 to June 30, 2019.
For the three months ended June 30, 2020 and 2019, 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 1.6% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 4.4% for the three months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s decline of 0.4% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 2.8% for the three months ended June 30, 2019, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (6,539    $ 9,668  
Management fee
     6,601        9,207  
Net realized gain (loss)
     (106,753      171,283  
Change in net unrealized appreciation (depreciation)
     68,867        (16,451
Net Income (loss)
   $ (44,425    $ 164,500  
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2020.

ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 7,230,367     $ 8,162,647  
NAV end of period
   $ 5,614,042     $ 8,364,065  
Percentage change in NAV
     (22.4 )%      2.5
Shares outstanding beginning of period
     100,000       150,000  
Shares outstanding end of period
     100,000       150,000  
Percentage change in shares outstanding
        
Shares created
     —         —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 72.30     $ 54.42  
Per share NAV end of period
   $ 56.14     $ 55.76  
Percentage change in per share NAV
     (22.4 )%      2.5
Percentage change in benchmark
     12.3     (1.1 )% 
Benchmark annualized volatility
     14.2     6.3
During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020. By comparison, during the three months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2019 to June 30, 2019.
For the three months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.4% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 12.3% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 1.1% for the three months ended June 30, 2019, can be attributed to an increase in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (16,185    $ 25,895  
Management fee
     14,888        19,898  
Brokerage commission
     1,339        1,429  
Net realized gain (loss)
     (1,037,904      250,116  
Change in net unrealized appreciation (depreciation)
     (562,236      (74,593
Net Income (loss)
   $ (1,616,325    $ 201,418  
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2020.

ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 100,094,023     $ 75,826,687  
NAV end of period
   $ 117,821,898     $ 68,096,767  
Percentage change in NAV
     17.7     (10.2 )% 
Shares outstanding beginning of period
     2,039,884       4,489,884  
Shares outstanding end of period
     6,439,884       4,039,884  
Percentage change in shares outstanding
     215.7     (10.0 )% 
Shares created
     19,000,000       4,850,000  
Shares redeemed
     14,600,000       5,300,000  
Per share NAV beginning of period
   $ 49.07     $ 16.89  
Per share NAV end of period
   $ 18.30     $ 16.86  
Percentage change in per share NAV
     (62.7 )%      (0.2 )% 
Percentage change in benchmark
     23.6     (2.8 )% 
Benchmark annualized volatility
     116.3     31.5
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark pending the approval of the change to the exchange listing rules applicable to the Fund by the SEC. The new benchmark for the Fund will be the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Currently, the benchmark for the Fund is the Bloomberg WTI Crude Oil Subindex
SM
.
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,039,884 outstanding Shares at March 31, 2020 to 6,439,884 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. By comparison, during the three months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,489,884 outstanding Shares at March 31, 2019 to 4,039,884 outstanding Shares at June 30, 2019. 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 WTI Crude Oil Subindex
SM
.
For the three months ended June 30, 2020 and 2019, 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 62.7% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 0.2% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 23.6% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 2.8% for the three months ended June 30, 2019, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (782,726    $ 215,797  
Management fee
     348,900        190,096  
Brokerage commission
     346,732        18,872  
Net realized gain (loss)
     (6,947,347      10,124,322  
Change in net unrealized appreciation (depreciation)
     (75,201,725      (2,543,494
Net Income (loss)
   $ (82,931,798    $ 7,796,625  
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to an increase in the value of WTI Crude Oil during the three months ended June 30, 2020.
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 17,419,933     $ 13,019,491  
NAV end of period
   $ 28,552,210     $ 3,838,842  
Percentage change in NAV
     63.9     (70.5 )% 
Shares outstanding beginning of period
     274,832       574,832  
Shares outstanding end of period
     424,832       124,832  
Percentage change in shares outstanding
     54.6     (78.3 )% 
Shares created
     650,000       250,000  
Shares redeemed
     500,000       700,000  
Per share NAV beginning of period
   $ 63.38     $ 22.65  
Per share NAV end of period
   $ 67.21     $ 30.75  
Percentage change in per share NAV
     6.0     35.8
Percentage change in benchmark
     (14.2 )%      (16.2 )% 
Benchmark annualized volatility
     56.4     27.9
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 274,832 outstanding Shares at March 31, 2020 to 424,832 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 574,832 outstanding Shares at March 31, 2019 to 124,832 outstanding Shares at June 30, 2019. 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 Natural Gas Subindex
SM
.
For the three months ended June 30, 2020 and 2019, 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 6.0% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 35.8% for the three months ended June 30, 2019, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s decline of 14.2% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 16.2% for the three months ended June 30, 2019, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended

June 30, 2020
    
Three Months Ended

June 30, 2019
 
Net investment income (loss)
   $ (87,047    $ 11,719  
Management fee
     36,607        20,378  
Brokerage commission
     46,462        16,181  
Net realized gain (loss)
     5,236,091        3,449,841  
Change in net unrealized appreciation (depreciation)
     (2,774,639      (546,185
Net Income (loss)
   $ 2,374,405      $ 2,915,375  
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a lesser decrease in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2020.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended

June 30, 2020
   
Three Months Ended

June 30, 2019
 
NAV beginning of period
   $ 93,194,599     $ 151,445,608  
NAV end of period
   $ 78,848,965     $ 134,573,471  
Percentage change in NAV
     (15.4 )%      (11.1 )% 
Shares outstanding beginning of period
     3,350,000       5,900,000  
Shares outstanding end of period
     2,950,000       5,300,000  
Percentage change in shares outstanding
     (11.9 )%      (10.2 )% 
Shares created
     150,000       100,000  
Shares redeemed
     550,000       700,000  
Per share NAV beginning of period
   $ 27.82     $ 25.67  
Per share NAV end of period
   $ 26.73     $ 25.39  
Percentage change in per share NAV
     (3.9 )%      (1.1 )% 
Percentage change in benchmark
     1.9     1.4
Benchmark annualized volatility
     7.4     4.5
During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,350,000 outstanding Shares at March 31, 2020 to 2,950,000 outstanding Shares at June 30, 2020 . The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,900,000 outstanding Shares at March 31, 2019 to 5,300,000 outstanding Shares at June 30, 2019. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 2020 and 2019, 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 3.9% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 1.1% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.

The benchmark’s rise of 1.9% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 1.4% for the three months ended June 30, 2019, can be attributed to a greater appreciation in the value of the euro versus the U.S. dollar during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (145,604    $ 471,256  
Management fee
     213,631        334,048  
Net realized gain (loss)
     (2,285,868      1,947,370  
Change in net unrealized appreciation (depreciation)
     (1,269,683      (3,843,749
Net Income (loss)
   $ (3,701,155    $ (1,425,123
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater appreciation in the value of the euro versus the U.S. dollar during the three months ended June 30, 2020.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 20,569,044     $ 21,506,707  
NAV end of period
   $ 15,851,043     $ 18,158,403  
Percentage change in NAV
     (22.9 )%      (15.6 )% 
Shares outstanding beginning of period
     446,977       296,977  
Shares outstanding end of period
     446,977       296,977  
Percentage change in shares outstanding
     0.0    
Shares created
     150,000       300,000  
Shares redeemed
     150,000       300,000  
Per share NAV beginning of period
   $ 46.02     $ 72.42  
Per share NAV end of period
   $ 35.46     $ 61.14  
Percentage change in per share NAV
     (22.9 )%      (15.6 )% 
Percentage change in benchmark
     12.1     9.0
Benchmark annualized volatility
     19.7     11.5
During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily

performance of the Bloomberg Gold Subindex
SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020. By comparison, during the three months ended June 30, 2019, 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 Gold Subindex
SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2019 to June 30, 2019.
For the three months ended June 30, 2020 and 2019, 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 22.9% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 15.6% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 12.1% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 9.0% for the three months ended June 30, 2019, can be attributed to a greater appreciation in the value of gold futures contracts during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (41,386    $ 52,582  
Management fee
     40,621        48,056  
Brokerage commission
     1,659        1,640  
Net realized gain (loss)
     (2,089,271      (1,900,735
Change in net unrealized appreciation (depreciation)
     (2,638,931      (1,357,012
Net Income (loss)
   $ (4,769,588    $ (3,205,165
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater appreciation in the value of the futures prices during the three months ended June 30, 2020.

ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 18,887,831     $ 20,253,916  
NAV end of period
   $ 10,145,625     $ 14,026,041  
Percentage change in NAV
     (46.3 )%      (30.7 )% 
Shares outstanding beginning of period
     516,976       516,976  
Shares outstanding end of period
     516,976       366,976  
Percentage change in shares outstanding
         (29.0 )% 
Shares created
     600,000       250,000  
Shares redeemed
     600,000       400,000  
Per share NAV beginning of period
   $ 36.54     $ 39.18  
Per share NAV end of period
   $ 19.62     $ 38.22  
Percentage change in per share NAV
     (46.3 )%      (2.5 )% 
Percentage change in benchmark
     29.2     1.0
Benchmark annualized volatility
     37.1     15.6
During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020. By comparison, during the three months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 516,976 outstanding Shares at March 31, 2019 to 366,976 outstanding Shares at June 30, 2019. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
For the three months ended June 30, 2020 and 2019, 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 46.3% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 2.5% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 29.2% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 1.0% for the three months ended June 30, 2019, can be attributed to a greater increase in the value of the silver futures contracts during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (30,713    $ 42,177  
Management fee
     25,749        41,444  
Brokerage commission
     3,940        2,826  
Net realized gain (loss)
     (3,877,739      469,531  
Change in net unrealized appreciation (depreciation)
     (2,754,071      (1,066,289
Net Income (loss)
   $ (6,662,523    $ (554,581
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater increase in the value of futures prices during the three months ended June 30, 2020.

ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 29,586,170     $ 49,650,541  
NAV end of period
   $ 29,787,034     $ 47,695,345  
Percentage change in NAV
     0.7     (3.9 )% 
Shares outstanding beginning of period
     399,290       649,290  
Shares outstanding end of period
     399,290       649,290  
Percentage change in shares outstanding
        
Shares created
     50,000       50,000  
Shares redeemed
     50,000       50,000  
Per share NAV beginning of period
   $ 74.10     $ 76.47  
Per share NAV end of period
   $ 74.60     $ 73.46  
Percentage change in per share NAV
     0.7     (3.9 )% 
Percentage change in benchmark
     (0.4 )%      2.8
Benchmark annualized volatility
     6.2     4.8
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times 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 March 31, 2020 to June 30, 2020. By comparison, during the three months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2019 to June 30, 2019.
For the three months ended June 30, 2020 and 2019, 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 0.7% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 3.9% for the three months ended June 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s decline of 0.4% for the three months ended June 30, 2020, as compared to the benchmark’s rise of 2.8% for the three months ended June 30, 2019, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (59,287    $ 175,443  
Management fee
     64,430        122,990  
Net realized gain (loss)
     110,748        (2,600,562
Change in net unrealized appreciation (depreciation)
     66,461        283,682  
Net Income (loss)
   $ 117,922      $ (2,141,437
The Fund’s net income increased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2020.
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, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 45,034,386     $ 51,126,469  
NAV end of period
   $ 59,085,470     $ 37,756,409  
Percentage change in NAV
     31.2     (26.2 )% 
Shares outstanding beginning of period
     1,162,403       2,362,403  
Shares outstanding end of period
     1,462,403       1,762,403  
Percentage change in shares outstanding
     25.8     (25.4 )% 
Shares created
     725,000       275,000  
Shares redeemed
     425,000       875,000  
Per share NAV beginning of period
   $ 38.74     $ 21.64  
Per share NAV end of period
   $ 40.40     $ 21.42  
Percentage change in per share NAV
     4.3     (1.0 )% 
Percentage change in benchmark
     4.6     (0.8 )% 
Benchmark annualized volatility
     61.3     24.4
During the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,162,403 outstanding Shares at March 31, 2020 to 1,462,403 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from 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 June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,362,403 outstanding Shares at March 31, 2019 to 1,762,403 outstanding Shares at June 30, 2019. 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 the daily performance of the S&P 500 VIX
Mid-Term
Futures Index.
For the three months ended June 30, 2020 and 2019, 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 4.3% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 1.0% for the three months ended June 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.
The benchmark’s rise of 4.6% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 0.8% for the three months ended June 30, 2019, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (133,713    $ 133,606  
Management fee
     124,276        82,759  
Brokerage commission
     16,684        9,353  
Net realized gain (loss)
     13,196,415        (2,853,263
Change in net unrealized appreciation (depreciation)
     (12,313,533      2,001,125  
Net Income (loss)
   $ 749,169      $ (718,532
The Fund’s net income increased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to an increase in the value of the futures prices during the three months ended June 30, 2020.
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, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
   
Three Months Ended
June 30, 2019
 
NAV beginning of period
   $ 223,055,354     $ 203,503,203  
NAV end of period
   $ 221,343,175     $ 240,473,128  
Percentage change in NAV
     (0.8 )%      18.2
Shares outstanding beginning of period
     5,876,317       8,451,317  
Shares outstanding end of period
     7,926,317       11,526,317  
Percentage change in shares outstanding
     34.9     36.4
Shares created
     3,875,000       5,900,000  
Shares redeemed
     1,825,000       2,825,000  
Per share NAV beginning of period
   $ 37.96     $ 24.08  
Per share NAV end of period
   $ 27.93     $ 20.86  
Percentage change in per share NAV
     (26.4 )%      (13.4 )% 
Percentage change in benchmark
     (26.1 )%      (13.2 )% 
Benchmark annualized volatility
     122.3     59.9
During the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the 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 5,876,317 outstanding Shares at March 31, 2020 to 7,926,317 outstanding Shares at June 30, 2020. By comparison, during the three months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 8,451,317 outstanding Shares at March 31, 2019 to 11,526,317 outstanding Shares at June 30, 2019. 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 June 30, 2020 and 2019, 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 26.4% for the three months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 13.4% for the three months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2020.

The benchmark’s decline of 26.1% for the three months ended June 30, 2020, as compared to the benchmark’s decline of 13.2% for the three months ended June 30, 2019, 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 June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2020 and 2019:
 
    
Three Months Ended
June 30, 2020
    
Three Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (443,622    $ 724,602  
Management fee
     398,044        486,543  
Brokerage commission
     60,097        70,747  
Net realized gain (loss)
     (845,717      (11,286,520
Change in net unrealized appreciation (depreciation)
     (51,868,970      (11,796,301
Net Income (loss)
   $ (53,158,309    $ (22,358,219
The Fund’s net income decreased for the three months ended June 30, 2020 as compared to the three months ended June 30, 2019, primarily due to a greater decrease in the value of the futures prices during the three months ended June 30, 2020.

Results of Operations for the Six Months Ended June 30, 2020 Compared to the Six Months Ended June 30, 2019
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 2,282,195     $ 8,619,686  
NAV end of period
   $ 2,286,467     $ 22,127,403  
Percentage change in NAV
     0.2     156.7
Shares outstanding beginning of period
     50,000       200,000  
Shares outstanding end of period
     50,000       500,000  
Percentage change in shares outstanding
         150.0
Shares created
     —         300,000  
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 45.64     $ 43.10  
Per share NAV end of period
   $ 45.73     $ 44.25  
Percentage change in per share NAV
     0.2     2.7
Percentage change in benchmark
     0.2     (0.8 )% 
Benchmark annualized volatility
     8.7     5.5
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 200,000 outstanding Shares at December 31, 2018 to 500,000 outstanding Shares at June 30, 2019. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the six months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.2% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 2.7% for the six months ended June 30, 2019, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 0.2% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 0.8% for the six months ended June 30, 2019, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:

    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (3,560    $ 109,491  
Management fee
     11,019        79,777  
Brokerage commission
     190        1,355  
Net realized gain (loss)
     (38,658      223,624  
Change in net unrealized appreciation (depreciation)
     46,490        (30,548
Net Income (loss)
   $ 4,272      $ 302,567  
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2020.
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, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 284,437,179     $ 344,596,263  
NAV end of period
   $ 509,811,853     $ 337,102,327  
Percentage change in NAV
     79.2     (2.2 )% 
Shares outstanding beginning of period
     4,334,307       8,134,307  
Shares outstanding end of period
     16,234,307       6,184,307  
Percentage change in shares outstanding
     274.6     (24.0 )% 
Shares created
     25,850,000       300,000  
Shares redeemed
     13,950,000       2,250,000  
Per share NAV beginning of period
   $ 65.62     $ 42.36  
Per share NAV end of period
   $ 31.40     $ 54.51  
Percentage change in per share NAV
     (52.1 )%      28.7
Percentage change in benchmark
     128.5     (45.7 )% 
Benchmark annualized volatility
     132.5     55.9
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 16,234,307 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,134,307 outstanding Shares at December 31, 2018 to 6,184,307 outstanding Shares at June 30, 2019. 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 six months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.1% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 28.7% for the six months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.

The benchmark’s rise of 128.5% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 45.7% for the six months ended June 30, 2019, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (2,498,576    $ 770,941  
Management fee
     2,475,233        1,890,823  
Brokerage commission
     417,708        408,021  
Non-recurring
fees and expenses
     —          398,550  
Net realized gain (loss)
     (189,685,599      70,532,942  
Change in net unrealized appreciation (depreciation)
     (1,245,671      27,139,946  
Net Income (loss)
   $ (193,429,846    $ 98,443,829  
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of futures prices during the six months ended June 30, 2020.
ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 309,844,582     $ 368,399,654  
NAV end of period
   $ 1,508,661,459     $ 381,980,628  
Percentage change in NAV
     386.9     3.7
Shares outstanding beginning of period
     608,453       1,128,453  
Shares outstanding end of period
     52,760,774       778,453  
Percentage change in shares outstanding
     8,571.3     (31.0 )% 
Shares created
     88,162,000       416,000  
Shares redeemed
     36,009,679       766,000  
Per share NAV beginning of period
   $ 509.23     $ 326.46  
Per share NAV end of period
   $ 28.59     $ 490.69  
Percentage change in per share NAV
     (94.4 )%      50.3
Percentage change in benchmark
     (58.6 )%      26.5
Benchmark annualized volatility
     109.8     29.2
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark pending the approval of the change to the exchange listing rules applicable to the Fund by the SEC. The new benchmark for the Fund will be the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Currently, the benchmark for the Fund is the Bloomberg WTI Crude Oil Subindex
SM
.
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 52,760,774 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also

resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. By comparison, during the six months ended June 30, 2019, 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 WTI Crude Oil Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,128,453 outstanding Shares at December 31, 2018 to 778,453 outstanding Shares at June 30, 2019.
For the six months ended June 30, 2020 and 2019, 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 94.4% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 50.3% for the six months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s decline of 58.6% for the six months ended June 30, 2020, as compared to the benchmark’s rise of 26.5% for the six months ended June 30, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (3,589,951    $ 2,327,111  
Management fee
     3,676,527        1,923,750  
Brokerage commission
     1,143,882        53,319  
Net realized gain (loss)
     (1,176,974,505      50,615,554  
Change in net unrealized appreciation (depreciation)
     338,757,185        157,560,555  
Net Income (loss)
   $ (841,807,271    $ 210,503,220  
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a decrease in the value of WTI Crude Oil during the six months ended June 30, 2020.

* 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.
ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 45,160,205     $ 14,617,440  
NAV end of period
   $ 50,599,783     $ 33,637,758  
Percentage change in NAV
     12.0     130.1
Shares outstanding beginning of period
     537,815       57,815  
Shares outstanding end of period
     1,787,527       242,815  
Percentage change in shares outstanding
     232.4     320.0
Shares created
     1,485,000       285,000  
Shares redeemed
     235,288       100,000  
Per share NAV beginning of period
   $ 83.97     $ 252.83  
Per share NAV end of period
   $ 28.31     $ 138.53  
Percentage change in per share NAV
     (66.3 )%      (45.2 )% 
Percentage change in benchmark
     (37.8 )%      (22.8 )% 
Benchmark annualized volatility
     50.5     35.7
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 537,815 outstanding Shares at December 31, 2019 to 1,787,527 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 57,815 outstanding Shares at December 31, 2018 to 242,815 outstanding Shares at June 30, 2019. 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 six months ended June 30, 2020 and 2019, 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 66.3% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 45.2% for the six months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s decline of 37.8% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 22.8% for the six months ended June 30, 2019, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (123,647    $ 93,929  
Management fee
     179,012        115,695  
Brokerage commission
     107,806        47,219  
Net realized gain (loss)
     (38,929,789      (21,277,866
Change in net unrealized appreciation (depreciation)
     416,235        9,674,305  
Net Income (loss)
   $ (38,637,201    $ (11,509,632
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a greater decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2020.
* 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, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 6,204,424     $ 7,544,569  
NAV end of period
   $ 4,067,686     $ 5,801,170  
Percentage change in NAV
     (34.4 )%      (23.1 )% 
Shares outstanding beginning of period
     450,000       500,000  
Shares outstanding end of period
     300,000       400,000  
Percentage change in shares outstanding
     (33.3 )%      (20.0 )% 
Shares created
     100,000       50,000  
Shares redeemed
     250,000       150,000  
Per share NAV beginning of period
   $ 13.79     $ 15.09  
Per share NAV end of period
   $ 13.56     $ 14.50  
Percentage change in per share NAV
     (1.7 )%      (3.9 )% 
Percentage change in benchmark
     0.2     (0.8 )% 
Benchmark annualized volatility
     8.7     5.5
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at June 30, 2020. 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 spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 500,000 outstanding Shares at December 31, 2018 to 400,000 outstanding Shares at June 30, 2019. 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 six months ended June 30, 2020 and 2019, 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 1.7% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 3.9% for the six months ended June 30, 2019, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.

The benchmark’s rise of 0.2% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 0.8% for the six months ended June 30, 2019, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (5,455    $ 39,752  
Management fee
     21,448        35,215  
Net realized gain (loss)
     (71,903      (359,872
Change in net unrealized appreciation (depreciation)
     (124,134      (16,908
Net Income (loss)
   $ (201,492    $ (337,028
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2020.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 110,726,032     $ 83,523,294  
NAV end of period
   $ 165,689,050     $ 85,377,335  
Percentage change in NAV
     49.6     2.2
Shares outstanding beginning of period
     2,250,000       2,250,000  
Shares outstanding end of period
     2,550,000       1,950,000  
Percentage change in shares outstanding
     13.3     (13.3 )% 
Shares created
     1,450,000       400,000  
Shares redeemed
     1,150,000       700,000  
Per share NAV beginning of period
   $ 49.21     $ 37.12  
Per share NAV end of period
   $ 64.98     $ 43.78  
Percentage change in per share NAV
     32.0     17.9
Percentage change in benchmark
     17.1     10.0
Benchmark annualized volatility
     50.5     10.8
On December 20, 2018, the Trust announced that the ProShares Ultra Gold Fund would change its benchmark to the Bloomberg Gold Subindex (ticker: BCOMGC). The ProShares Ultra Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. Previously, the benchmark for the ProShares Ultra Gold Fund was the LBMA Gold Price PM.

During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,550,000 outstanding Shares at June 30, 2020. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 2,250,000 outstanding Shares at December 31, 2018 to 1,950,000 outstanding Shares at June 30, 2019.
For the six months ended June 30, 2020 and 2019, 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 32.0% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 17.9% for the six months ended June 30, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 17.1% for the six months ended June 30, 2020, as compared to benchmark’s rise of 10.0% for the six months ended June 30, 2019, can be attributed to a greater increase in the value of gold futures contracts during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (171,013    $ 440,872  
Management fee
     628,874        380,350  
Brokerage commission
     16,484        3,787  
Net realized gain (loss)
     25,863,384        7,580,942  
Change in net unrealized appreciation (depreciation)
     6,795,652        4,884,290  
Net Income (loss)
   $ 32,488,023      $ 12,906,104  
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a greater increase in the value of futures prices during the six months ended June 30, 2020.

ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 239,254,842     $ 201,824,376  
NAV end of period
   $ 249,671,968     $ 178,444,838  
Percentage change in NAV
     4.4     (11.6 )% 
Shares outstanding beginning of period
     7,546,526       7,646,526  
Shares outstanding end of period
     8,446,526       7,246,526  
Percentage change in shares outstanding
     11.9     (5.2 )% 
Shares created
     2,250,000       1,300,000  
Shares redeemed
     1,350,000       1,700,000  
Per share NAV beginning of period
   $ 31.70     $ 26.39  
Per share NAV end of period
   $ 29.56     $ 24.62  
Percentage change in per share NAV
     (6.8 )%      (6.7 )% 
Percentage change in benchmark
     1.9     (1.8 )% 
Benchmark annualized volatility
     43.3     15.4
On December 20, 2018, the Trust announced that the ProShares Ultra Silver Fund would change its benchmark to the Bloomberg Silver Subindex (ticker: BCOMSI). The ProShares Ultra Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. Previously, the benchmark for the ProShares Ultra Silver Fund was the London Silver Price.
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,526 outstanding Shares at December 31, 2019 to 8,446,526 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the six months ended June 30, 2019, 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 7,646,526 outstanding Shares at December 31, 2018 to 7,246,526 outstanding Shares at June 30, 2019.
For the six months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.8% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 6.7% for the six months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 1.9% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 1.8% for the six months ended June 30, 2019, can be attributed to an increase in the value of silver futures contracts during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (58,411    $ 957,627  
Management fee
     906,893        864,406  
Brokerage commission
     45,174        13,702  
Net realized gain (loss)
     7,688,659        5,286,170  
Change in net unrealized appreciation (depreciation)
     (15,759,771      (18,388,937
Net Income (loss)
   $ (8,129,523    $ (12,145,140
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of futures prices during the six months ended June 30, 2020.
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, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 527,636,003     $ 214,304,871  
NAV end of period
   $ 992,156,607     $ 529,341,464  
Percentage change in NAV
     88.0     147.0
Shares outstanding beginning of period
     41,630,912       2,630,912  
Shares outstanding end of period
     30,130,912       17,430,912  
Percentage change in shares outstanding
     (27.6 )%      562.5
Shares created
     34,750,000       32,200,000  
Shares redeemed
     46,250,000       17,400,000  
Per share NAV beginning of period
   $ 12.67     $ 81.46  
Per share NAV end of period
   $ 32.93     $ 30.37  
Percentage change in per share NAV
     159.8     (62.7 )% 
Percentage change in benchmark
     128.5     (45.7 )% 
Benchmark annualized volatility
     132.5     55.9
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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 was offset by a decrease from 41,630,912 outstanding Shares at December 31, 2019 to 30,130,912 outstanding Shares at June 30, 2020. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 2,630,912 outstanding Shares at December 31, 2018 to 17,430,912 outstanding Shares at June 30, 2019. 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 six months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark.

The Fund’s per Share NAV increase of 159.8% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 62.7% for the six months ended June 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 128.5% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 45.7% for the six months ended June 30, 2019, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (2,815,021    $ 356,496  
Management fee
     2,677,153        2,321,769  
Brokerage commission
     1,179,860        1,395,316  
Non-recurring
fees and expenses
     —          27,508  
Net realized gain (loss)
     618,204,440        (250,199,509
Change in net unrealized appreciation (depreciation)
     51,016,036        (78,621,075
Net Income (loss)
   $ 666,405,455      $ (328,464,088
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of futures prices during the six months ended June 30, 2020.

ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 5,580,964     $ 5,751,716  
NAV end of period
   $ 2,764,355     $ 5,807,397  
Percentage change in NAV
     (50.5 )%      1.0
Shares outstanding beginning of period
     99,970       99,970  
Shares outstanding end of period
     49,970       99,970  
Percentage change in shares outstanding
     (50.0 )%     
Shares created
     —         100,000  
Shares redeemed
     50,000       100,000  
Per share NAV beginning of period
   $ 55.83     $ 57.53  
Per share NAV end of period
   $ 55.32     $ 58.09  
Percentage change in per share NAV
     (0.9 )%      1.0
Percentage change in benchmark
     0.6     1.7
Benchmark annualized volatility
     11.8     5.5
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at June 30, 2020. 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 spot price of the Japanese yen versus the U.S. dollar. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2018 to June 30, 2019.
For the six months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.9% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 1.0% for the six months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 0.6% for the six months ended June 30, 2020, as compared to the benchmark’s rise of 1.7% for the six months ended June 30, 2019, can be attributed to lesser increase in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:

    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (4,913    $ 24,239  
Management fee
     13,842        21,645  
Net realized gain (loss)
     (115,236      93,976  
Change in net unrealized appreciation (depreciation)
     49,554        (129,048
Net Income (loss)
   $ (70,595    $ (10,833
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to lesser increase in the value of the Japanese yen versus the U.S. dollar, in conjunction with the timing of shareholder activity, during the six months ended June 30, 2020.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 5,608,612     $ 11,060,333  
NAV end of period
   $ 5,614,042     $ 8,364,065  
Percentage change in NAV
     0.1     (24.4 )% 
Shares outstanding beginning of period
     100,000       200,000  
Shares outstanding end of period
     100,000       150,000  
Percentage change in shares outstanding
         (25.0 )% 
Shares created
     —         —    
Shares redeemed
     —         50,000  
Per share NAV beginning of period
   $ 56.09     $ 55.30  
Per share NAV end of period
   $ 56.14     $ 55.76  
Percentage change in per share NAV
     0.1     0.8
Percentage change in benchmark
     (1.6 )%      (0.3 )% 
Benchmark annualized volatility
     14.6     7.5
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020. By comparison, during the six months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 200,000 outstanding Shares at December 31, 2018 to 150,000 outstanding Shares at June 30, 2019. 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 Australian dollar versus the U.S. dollar.
For the six months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.1% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 0.8% for the six months ended June 30, 2019, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s decline of 1.6% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 0.3% for the six months ended June 30, 2019, can be attributed to greater decrease in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (12,760    $ 51,684  
Management fee
     30,018        40,978  
Brokerage commission
     2,838        3,102  
Net realized gain (loss)
     (366,954      512,861  
Change in net unrealized appreciation (depreciation)
     385,144        (651,797
Net Income (loss)
   $ 5,430      $ (87,252
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a greater decrease in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2020.
ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 125,451,681     $ 114,377,311  
NAV end of period
   $ 117,821,898     $ 68,096,767  
Percentage change in NAV
     (6.1 )%      (40.5 )% 
Shares outstanding beginning of period
     10,289,884       3,839,884  
Shares outstanding end of period
     6,439,884       4,039,884  
Percentage change in shares outstanding
     (37.4 )%      5.2
Shares created
     22,350,000       8,250,000  
Shares redeemed
     26,200,000       8,050,000  
Per share NAV beginning of period
   $ 12.19     $ 29.79  
Per share NAV end of period
   $ 18.30     $ 16.86  
Percentage change in per share NAV
     50.1     (43.4 )% 
Percentage change in benchmark
     (58.6 )%      26.5
Benchmark annualized volatility
     109.8     29.2
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark pending the approval of the change to the exchange listing rules applicable to the Fund by the SEC. The new benchmark for the Fund will be the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Currently, the benchmark for the Fund is the Bloomberg WTI Crude Oil Subindex
SM
.
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,289,884 outstanding Shares at December 31, 2019 to 6,439,884 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. By comparison, during the six months ended June 30, 2019, 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 WTI Crude Oil Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,839,884 outstanding Shares at December 31, 2018 to 4,039,884 outstanding Shares at June 30, 2019.

For the six months ended June 30, 2020 and 2019, 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 50.1% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 43.4% for the six months ended June 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s decline of 58.6% for the six months ended June 30, 2020, as compared to the benchmark’s rise of 26.5% for the six months ended June 30, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (813,439    $ 401,612  
Management fee
     551,269        356,422  
Brokerage commission
     423,785        28,502  
Net realized gain (loss)
     44,726,655        969,163  
Change in net unrealized appreciation (depreciation)
     1,379,632        (35,461,728
Net Income (loss)
   $ 45,292,848      $ (34,090,953
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a decrease in the value of WTI Crude Oil during the six months ended June 30, 2020.

ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 12,515,603     $ 17,825,441  
NAV end of period
   $ 28,552,210     $ 3,838,842  
Percentage change in NAV
     128.1     (78.5 )% 
Shares outstanding beginning of period
     324,832       824,832  
Shares outstanding end of period
     424,832       124,832  
Percentage change in shares outstanding
     30.8     (84.9 )% 
Shares created
     1,200,000       500,000  
Shares redeemed
     1,100,000       1,200,000  
Per share NAV beginning of period
   $ 38.53     $ 21.61  
Per share NAV end of period
   $ 67.21     $ 30.75  
Percentage change in per share NAV
     74.5     42.3
Percentage change in benchmark
     (37.8 )%      (22.8 )% 
Benchmark annualized volatility
     50.5     35.7
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 324,832 outstanding Shares at December 31, 2019 to 424,832 outstanding Shares at June 30, 2020. By comparison, during the six months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 824,832 outstanding Shares at December 31, 2018 to 124,832 outstanding Shares at June 30, 2019. 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 Natural Gas Subindex
SM
.
For the six months ended June 30, 2020 and 2019, 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 74.5% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 42.3% for the six months ended June 30, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s decline of 37.8% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 22.8% for the six months ended June 30, 2019, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (109,326    $ 31,203  
Management fee
     69,037        49,069  
Brokerage commission
     78,743        27,881  
Net realized gain (loss)
     10,862,268        14,769,166  
Change in net unrealized appreciation (depreciation)
     560,972        (10,862,796
Net Income (loss)
   $ 11,313,914      $ 3,937,573  
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a greater decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2020.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 120,581,173     $ 154,120,159  
NAV end of period
   $ 78,848,965     $ 134,573,471  
Percentage change in NAV
     (34.6 )%      (12.7 )% 
Shares outstanding beginning of period
     4,500,000       6,350,000  
Shares outstanding end of period
     2,950,000       5,300,000  
Percentage change in shares outstanding
     (34.4 )%      (16.5 )% 
Shares created
     350,000       350,000  
Shares redeemed
     1,900,000       1,400,000  
Per share NAV beginning of period
   $ 26.80     $ 24.27  
Per share NAV end of period
   $ 26.73     $ 25.39  
Percentage change in per share NAV
     (0.3 )%      4.6
Percentage change in benchmark
     0.2     (0.8 )% 
Benchmark annualized volatility
     8.7     5.5
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,950,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,350,000 outstanding Shares at December 31, 2018 to 5,300,000 outstanding Shares at June 30, 2019. 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 six months ended June 30, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.3% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 4.6% for the six months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 0.2% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 0.8% for the six months ended June 30, 2019, can be attributed to an appreciation in the value of the euro versus the U.S. dollar during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (9,389    $ 905,729  
Management fee
     477,073        674,193  
Net realized gain (loss)
     (1,238,585      5,276,612  
Change in net unrealized appreciation (depreciation)
     1,920,568        581,064  
Net Income (loss)
   $ 672,594      $ 6,763,405  
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2020.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 21,047,560     $ 18,098,997  
NAV end of period
   $ 15,851,043     $ 18,158,403  
Percentage change in NAV
     (24.7 )%      0.3
Shares outstanding beginning of period
     396,977       246,978  
Shares outstanding end of period
     446,977       296,977  
Percentage change in shares outstanding
     12.6     20.2
Shares created
     350,000       400,000  
Shares redeemed
     300,000       350,001  
Per share NAV beginning of period
   $ 53.02     $ 73.28  
Per share NAV end of period
   $ 35.46     $ 61.14  
Percentage change in per share NAV
     (33.1 )%      (16.6 )% 
Percentage change in benchmark
     17.1     10.0
Benchmark annualized volatility
     24.2     10.8
On December 20, 2018, the Trust announced that the ProShares UltraShort Gold Fund would change its benchmark to the Bloomberg Gold Subindex (ticker: BCOMGC). The ProShares UltraShort Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. Previously, the benchmark for the ProShares UltraShort Gold Fund was the LBMA Gold Price PM.
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 396,977 outstanding Shares at December 31, 2019 to 446,977 outstanding Shares at June 30, 2020. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 246,978 outstanding Shares at December 31, 2018 to 296,977 outstanding Shares at June 30, 2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
.

For the six months ended June 30, 2020 and 2019, 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 33.1% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 16.6% for the six months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 17.1% for the six months ended June 30, 2020, as compared to the benchmark’s rise of 10.0% for the six months ended June 30, 2019, can be attributed to a greater increase in the value of gold futures contracts during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (25,708    $ 100,053  
Management fee
     83,860        95,018  
Brokerage commission
     3,763        2,418  
Net realized gain (loss)
     (8,020,153      (3,069,639
Change in net unrealized appreciation (depreciation)
     38,043        (478,986
Net Income (loss)
   $ (8,007,818    $ (3,448,572
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a greater increase in the value of the futures prices during the six months ended June 30, 2020.

ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 13,834,163     $ 11,768,863  
NAV end of period
   $ 10,145,625     $ 14,026,041  
Percentage change in NAV
     (26.7 )%      19.2
Shares outstanding beginning of period
     516,976       316,976  
Shares outstanding end of period
     516,976       366,976  
Percentage change in shares outstanding
         15.8
Shares created
     800,000       550,000  
Shares redeemed
     800,000       500,000  
Per share NAV beginning of period
   $ 26.76     $ 37.13  
Per share NAV end of period
   $ 19.62     $ 38.22  
Percentage change in per share NAV
     (26.7 )%      2.9
Percentage change in benchmark
     1.9     (1.8 )% 
Benchmark annualized volatility
     43.3     15.4
On December 20, 2018, the Trust announced that the ProShares UltraShort Silver Fund would change its benchmark to the Bloomberg Silver Subindex (ticker: BCOMSI). The ProShares UltraShort Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. Previously, the benchmark for the ProShares UltraShort Silver Fund was the London Silver Price.
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 316,976 outstanding Shares at December 31, 2018 to 366,976 outstanding Shares at June 30, 2019. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
For the six months ended June 30, 2020 and 2019, 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 26.7% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV increase of 2.9% for the six months ended June 30, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 1.9% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 1.8% for the six months ended June 30, 2019, can be attributed to an increase in the value of the silver futures contracts during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (27,294    $ 73,731  
Management fee
     62,885        78,655  
Brokerage commission
     7,921        4,175  
Net realized gain (loss)
     (3,035,499      (920,611
Change in net unrealized appreciation (depreciation)
     1,436,385        1,069,178  
Net Income (loss)
   $ (1,626,408    $ 222,298  
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of futures prices during the six months ended June 30, 2020.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 38,132,320     $ 55,363,675  
NAV end of period
   $ 29,787,034     $ 47,695,345  
Percentage change in NAV
     (21.9 )%      (13.9 )% 
Shares outstanding beginning of period
     499,290       749,290  
Shares outstanding end of period
     399,290       649,290  
Percentage change in shares outstanding
     (20.0 )%      (13.3 )% 
Shares created
     100,000       450,000  
Shares redeemed
     200,000       550,000  
Per share NAV beginning of period
   $ 76.37     $ 73.89  
Per share NAV end of period
   $ 74.60     $ 73.46  
Percentage change in per share NAV
     (2.3 )%      (0.6 )% 
Percentage change in benchmark
     0.6     1.7
Benchmark annualized volatility
     11.8     5.5
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 399,290 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the six months ended June 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 749,290 outstanding Shares at December 31, 2018 to 649,290 outstanding Shares at June 30, 2019. 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 six months ended June 30, 2020 and 2019, 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 2.3% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 0.6% for the six months ended June 30, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 0.6% for the six months ended June 30, 2020, as compared to the benchmark’s rise of 1.7% for the six months ended June 30, 2019, can be attributed to a lesser increase in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2020.

Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (17,541    $ 343,017  
Management fee
     148,867        247,784  
Net realized gain (loss)
     (395,772      (2,944,042
Change in net unrealized appreciation (depreciation)
     (630,608      2,717,362  
Net Income (loss)
   $ (1,043,921    $ 116,337  
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to a lesser increase in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2020.
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, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 45,986,584     $ 56,299,121  
NAV end of period
   $ 59,085,470     $ 37,756,409  
Percentage change in NAV
     28.5     (32.9 )% 
Shares outstanding beginning of period
     2,162,403       2,112,403  
Shares outstanding end of period
     1,462,403       1,762,403  
Percentage change in shares outstanding
     (32.4 )%      (16.6 )% 
Shares created
     1,100,000       775,000  
Shares redeemed
     1,800,000       1,125,000  
Per share NAV beginning of period
   $ 21.27     $ 26.65  
Per share NAV end of period
   $ 40.40     $ 21.42  
Percentage change in per share NAV
     90.0     (19.6 )% 
Percentage change in benchmark
     90.9     (19.2 )% 
Benchmark annualized volatility
     75.1     23.4
During the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,162,403 outstanding Shares at December 31, 2019 to 1,462,403 outstanding Shares at June 30, 2020. By comparison, during the six months ended June 30, 2019, 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 2,112,403 outstanding Shares at December 31, 2018 to 1,762,403 outstanding Shares at June 30, 2019.
For the six months ended June 30, 2020 and 2019, 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 90.0% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 19.6% for the six months ended June 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.

The benchmark’s rise of 90.9% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 19.2% for the six months ended June 30, 2019, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (85,793    $ 282,872  
Management fee
     218,560        188,570  
Brokerage commission
     32,623        19,689  
Net realized gain (loss)
     20,952,940        (7,055,283
Change in net unrealized appreciation (depreciation)
     3,669,337        (4,425,324
Net Income (loss)
   $ 24,536,484      $ (11,197,735
The Fund’s net income decreased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of the futures prices during the six months ended June 30, 2020.
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, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
   
Six Months Ended
June 30, 2019
 
NAV beginning of period
   $ 279,792,503     $ 149,547,115  
NAV end of period
   $ 221,343,175     $ 240,473,128  
Percentage change in NAV
     (20.9 )%      60.8
Shares outstanding beginning of period
     22,751,317       3,876,317  
Shares outstanding end of period
     7,926,317       11,526,317  
Percentage change in shares outstanding
     (65.2 )%      197.4
Shares created
     10,675,000       12,125,000  
Shares redeemed
     25,500,000       4,475,000  
Per share NAV beginning of period
   $ 12.30     $ 38.58  
Per share NAV end of period
   $ 27.93     $ 20.86  
Percentage change in per share NAV
     127.1     (45.9 )% 
Percentage change in benchmark
     128.5     (45.7 )% 
Benchmark annualized volatility
     132.5     55.9
During the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 22,751,317 outstanding Shares at December 31, 2019 to 7,926,317 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 3,876,317 outstanding Shares at December 31, 2018 to 11,526,317 outstanding Shares at June 30, 2019. 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 six months ended June 30, 2020 and 2019, 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 127.1% for the six months ended June 30, 2020, as compared to the Fund’s per Share NAV decrease of 45.9% for the six months ended June 30, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2020.
The benchmark’s rise of 128.5% for the six months ended June 30, 2020, as compared to the benchmark’s decline of 45.7% for the six months ended June 30, 2019, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2020 and 2019:
 
    
Six Months Ended
June 30, 2020
    
Six Months Ended
June 30, 2019
 
Net investment income (loss)
   $ (299,597    $ 1,201,304  
Management fee
     1,024,560        848,246  
Brokerage commission
     244,857        83,182  
Net realized gain (loss)
     324,892,071        (66,193,104
Change in net unrealized appreciation (depreciation)
     16,033,274        (33,080,532
Net Income (loss)
   $ 340,625,748      $ (98,072,332
The Fund’s net income increased for the six months ended June 30, 2020 as compared to the six months ended June 30, 2019, primarily due to an increase in the value of the futures prices during the six months ended June 30, 2020.

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, 2020 and 2019, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of June 30, 2020 and 2019, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2020 and 2019, which were sensitive to exchange rate price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   Long    September 2020      16      $ 1.13        125,000      $ 2,250,500  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   Short    September 2019      154      $ 1.14        125,000      $ (22,034,513
The June 30, 2020 and 2019 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares Short VIX Short-Term Futures ETF
As of June 30, 2020 and 2019, 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, 2020 and 2019, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Short    July 2020      4,764      $ 30.88        1,000      $ (147,088,500
VIX Futures (Cboe)
   Short    August 2020      3,411        31.83        1,000        (108,555,075

Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Short    July 2019      6,094      $ 15.53        1,000      $ (94,609,350
VIX Futures (Cboe)
   Short    August 2019      4,424        16.58        1,000        (73,327,800
The June 30, 2020 and 2019 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares Ultra Bloomberg Crude Oil:
As of June 30, 2020 and 2019, 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 WTI Crude Oil Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   Long    September 2020      17,132      $ 39.34        1,000      $ 673,972,880  
WTI Crude Oil (NYMEX)
   Long    October 2020      22,205        39.48        1,000        876,653,400  
WTI Crude Oil (NYMEX)
   Long    December 2020      25,357        39.68        1,000        1,006,165,760  
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   Goldman Sachs International    Long    $ 37.2575      $ 225,096,897  
Morgan Stanley WTI Crude Oil Subindex
   Morgan Stanley    Long      287.8039        129,511,755  
Bloomberg WTI Crude Oil Subindex
   Societe Generale    Long      37.2575        107,081,626  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   Long    September 2019      2,120      $ 58.52        1,000      $ 124,062,400  

Swap Agreements as of June 30, 2019
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   Citibank, N.A.    Long    $ 85.8165      $ 202,875,259  
Bloomberg WTI Crude Oil Subindex
   Goldman Sachs International    Long      85.8165        129,203,915  
Bloomberg WTI Crude Oil Subindex
   Royal Bank of Canada    Long      85.8165        131,120,750  
Bloomberg WTI Crude Oil Subindex
   Societe Generale    Long      85.8165        61,063,068  
Bloomberg WTI Crude Oil Subindex
   UBS AG    Long      85.8165        115,790,770  
The June 30, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2020 and 2019 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, 2020 and 2019, 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 June 30, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
   Long    September 2020      5,659      $ 1.79        10,000      $ 101,239,510  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
   Long    September 2019      2,948      $ 2.28        10,000      $ 67,273,360  
The June 30, 2020 and 2019 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 June 30, 2020 and 2019, 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, 2020 and 2019, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
    
Forward
Rate
    
Market
Value USD
 
Euro
   Goldman Sachs International    Long      07/10/20        3,440,921        1.1227      $ 3,862,950  
Euro
   UBS AG    Long      07/10/20        4,020,302        1.1283        4,536,305  
Euro
   UBS AG    Short      07/10/20        (203,000      1.1264        (228,659
Foreign Currency Forward Contracts as of June 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
    
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long      07/12/19        5,708,031        1.1342      $ 6,474,107  
Euro
   UBS AG    Long      07/12/19        5,921,240        1.1344        6,717,044  
Euro
   Goldman Sachs International    Short      07/12/19        (71,266      1.1314        (80,633
Euro
   UBS AG    Short      07/12/19        (1,362,265      1.1369        (1,548,778
The June 30, 2020 and 2019 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, 2020 and 2019 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, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
   Long    August 2020      721      $ 1,800.50        100      $ 129,816,050  
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 203.8550      $ 70,552,163  
Bloomberg Gold Subindex
   Goldman Sachs International    Long      203.8550        69,644,070  
Bloomberg Gold Subindex
   UBS AG    Long      203.8550        61,364,755  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
   Long    August 2019      309      $ 1,413.70        100      $ 43,683,330  

Swap Agreements as of June 30, 2019
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 164.2928      $ 43,120,440  
Bloomberg Gold Subindex
   Goldman Sachs International    Long      164.2928        39,623,699  
Bloomberg Gold Subindex
   UBS AG    Long      164.2928        44,338,615  
The June 30, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2020 and 2019 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of June 30, 2020 and 2019 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, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
   Long    September 2020      1,928      $ 18.64        5,000      $ 179,660,680  
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Long    $ 172.6990      $ 135,066,136  
Bloomberg Silver Subindex
   Goldman Sachs International    Long      172.6990        93,005,691  
Bloomberg Silver Subindex
   UBS AG    Long      172.6990        91,761,402  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
   Long    September 2019      633      $ 15.34        5,000      $ 48,554,265  
Swap Agreements as of June 30, 2019
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Long    $ 148.0529      $ 110,291,099  
Bloomberg Silver Subindex
   Goldman Sachs International    Long      148.0529        95,340,020  
Bloomberg Silver Subindex
   UBS AG    Long      148.0529        102,655,024  

The June 30, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2020 and 2019 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of June 30, 2020 and 2019, 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 June 30, 2020 and 2019, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    July 2020      26,764      $ 30.88        1,000      $ 826,338,500  
VIX Futures (Cboe)
   Long    August 2020      19,103        31.83        1,000        607,952,975  
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
   Goldman Sachs & Co.    Long    $ 34.0592      $ 52,525,586  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    July 2019      27,397      $ 15.53        1,000      $ 425,338,425  
VIX Futures (Cboe)
   Long    August 2019      19,933        16.58        1,000        330,389,475  
Swap Agreements as of June 30, 2019
 
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    $ 25.3687      $ 39,123,255  
The June 30, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2020 and 2019 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 June 30, 2020 and 2019, 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, 2020 and 2019, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
    
Forward
Rate
    
Market
Value USD
 
Yen
   Goldman Sachs International    Long      07/10/20        336,014,517        0.009196      $ 3,089,931  
Yen
   UBS AG    Long      07/10/20        274,932,756        0.009201        2,529,705  
Yen
   UBS AG    Short      07/10/20        (12,240,000      0.009236        (113,045
Foreign Currency Forward Contracts as of June 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
    
Forward
Rate
    
Market
Value USD
 
Yen
   Goldman Sachs International    Long      07/12/19        336,548,449        0.009246      $ 3,111,764  
Yen
   UBS AG    Long      07/12/19        921,532,970        0.009243        8,517,925  
Yen
   UBS AG    Short      07/12/19        (6,364,462      0.009286        (59,101
The June 30, 2020 and 2019 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Australian Dollar:
As of June 30, 2020 and 2019, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2020 and 2019, which were sensitive to exchange rate price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Australian Dollar Fx Currency Futures (CME)
   Short    September 2020      163      $ 69.01        1,000      $ (11,255,150

Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Australian Dollar Fx Currency Futures (CME)
   Short    September 2019      238      $ 70.37        1,000      $ (16,745,680
The June 30, 2020 and 2019 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Crude Oil:
As of June 30, 2020 and 2019, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   Short    September 2020      919      $ 39.34        1,000      $ (36,153,460
WTI Crude Oil (NYMEX)
   Short    October 2020      1,990        39.48        1,000        (78,565,200
WTI Crude Oil (NYMEX)
   Short    December 2020      1,980        39.68        1,000        (78,566,400
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   Goldman Sachs International    Short    $ 37.2575      $ (42,317,531
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   Short    September 2019      612      $ 58.52        1,000      $ (35,814,240

Swap Agreements as of June 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   Citibank, N.A.    Short    $ 85.8165      $ (32,391,415
Bloomberg WTI Crude Oil Subindex
   Goldman Sachs International    Short      85.8165        (18,892,963
Bloomberg WTI Crude Oil Subindex
   Royal Bank of Canada    Short      85.8165        (21,105,665
Bloomberg WTI Crude Oil Subindex
   Societe Generale    Short      85.8165        (8,748,167
Bloomberg WTI Crude Oil Subindex
   UBS AG    Short      85.8165        (19,251,456
The June 30, 2020 and 2019 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. June 30, 2020 and 2019 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 June 30, 2020 and 2019, 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, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
   Short    September
2020
     3,192      $ 1.79        10,000      $ (57,104,880
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
   Short    September
2019
     336      $ 2.28        10,000      $ (7,667,520
The June 30, 2020 and 2019 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 June 30, 2020 and 2019, 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, 2020 and 2019, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
    
Forward
Rate
    
Market Value
USD
 
Euro
   UBS AG    Long      07/10/20        24,450,000        1.1306      $ 27,643,554  
Euro
   Goldman Sachs International    Short      07/10/20        (42,027,263      1.1227        (47,181,907
Euro
   UBS AG    Short      07/10/20        (123,240,199      1.1229        (138,384,964
Foreign Currency Forward Contracts as of June 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
    
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long      07/12/19        5,149,992        1.1299      $ 5,818,958  
Euro
   UBS AG    Long      07/12/19        4,521,641        1.1389        5,149,650  
Euro
   Goldman Sachs International    Short      07/12/19        (113,562,310      1.1342        (128,802,111
Euro
   UBS AG    Short      07/12/19        (132,301,410      1.1339        (150,013,121
The June 30, 2020 and 2019 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, 2020 and 2019 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, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
   Short      August 2020        46      $ 1,800.50        100      $ (8,282,300
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 203.8550      $ (10,722,833
Bloomberg Gold Subindex
   Goldman Sachs International    Short      203.8550        (8,036,739
Bloomberg Gold Subindex
   UBS AG    Short      203.8550        (4,678,097
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
   Short      August 2019        91      $ 1,413.70        100      $ (12,864,670

Swap Agreements as of June 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 164.2928      $ (9,390,533
Bloomberg Gold Subindex
   Goldman Sachs International    Short      164.2928        (7,443,910
Bloomberg Gold Subindex
   UBS AG    Short      164.2928        (6,675,900
The June 30, 2020 and 2019 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2020 and 2019 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of June 30, 2020 and 2019 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, 2020 and 2019, which were sensitive to commodity price risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short      September 2020        74      $ 18.64        5,000      $ (6,895,690
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Short      $ 172.6990      $ (5,885,533
Bloomberg Silver Subindex
   Goldman Sachs International      Short        172.6990        (3,503,375
Bloomberg Silver Subindex
   UBS AG      Short        172.6990        (4,010,780
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short      September 2019        60      $ 15.34        5,000      $ (4,602,299

Swap Agreements as of June 30, 2019
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Short    $ 148.0529      $ (8,558,305
Bloomberg Silver Subindex
   Goldman Sachs International    Short      148.0529        (7,593,488
Bloomberg Silver Subindex
   UBS AG    Short      148.0529        (7,293,546
The June 30, 2020 and 2019 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2020 and 2019 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of June 30, 2020 and 2019, 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, 2020 and 2019, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
    
Forward
Rate
    
Market
Value USD
 
Yen
   UBS AG    Long    07/10/20      667,860,000        0.009305      $ 6,214,279  
Yen
   Goldman Sachs International    Short    07/10/20      (1,888,338,165      0.009196        (17,364,827
Yen
   UBS AG    Short    07/10/20      (5,209,742,875      0.009190        (47,878,145
Foreign Currency Forward Contracts as of June 30, 2019
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
    
Forward
Rate
    
Market
Value USD
 
Yen
   Goldman Sachs International    Long    07/12/19      322,672,886        0.009313      $ 3,005,168  
Yen
   Goldman Sachs International    Short    07/12/19      (5,474,654,493      0.009244        (50,605,080
Yen
   UBS AG    Short    07/12/19      (5,105,752,383      0.009245        (47,200,208
The June 30, 2020 and 2019 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, 2020 and 2019, 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, 2020 and 2019, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    October 2020      378      $ 33.18        1,000      $ 12,540,150  
VIX Futures (Cboe)
   Long    November 2020      647        30.58        1,000        19,782,025  
VIX Futures (Cboe)
   Long    December 2020      647        29.08        1,000        18,811,525  
VIX Futures (Cboe)
   Long    January 2021      270        29.43        1,000        7,944,750  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    October 2019      428      $ 17.08        1,000      $ 7,308,100  
VIX Futures (Cboe)
   Long    November 2019      739        17.08        1,000        12,618,425  
VIX Futures (Cboe)
   Long    December 2019      739        16.83        1,000        12,433,675  
VIX Futures (Cboe)
   Long    January 2020      311        17.33        1,000        5,388,075  
The June 30, 2020 and 2019 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 June 30, 2020 and 2019, 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, 2020 and 2019, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    July 2020      4,125      $ 30.88        1,000      $ 127,359,375  
VIX Futures (Cboe)
   Long    August 2020      2,943        31.83        1,000        93,660,975  
Futures Positions as of June 30, 2019
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    July 2019      8,727      $ 15.53        1,000      $ 135,486,675  
VIX Futures (Cboe)
   Long    August 2019      6,343        16.58        1,000        105,135,225  

The June 30, 2020 and 2019 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)
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 UltraPro Short Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse
(-3x)
of daily performance of its corresponding benchmark. Each UltraPro Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative
one-half,
one, one and
one-half,
two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its
sub-indexes
are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.
As described in Item 7 in the Annual Report on Form
10-K,
trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in 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,
-3x,
1.5x, 2x, 3x), regardless of market direction or sentiment. On a daily basis, 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 or UltraPro 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 or UltraPro Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds, UltraShort Funds or UltraPro Short 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, a Short Fund’s, an UltraShort Fund’s, or UltraPro Short Fund’s assets should rise. 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 Rule
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, 2019, 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 the duly authorized officers 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, 2020 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.

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned
Ford v. ProShares Trust II et al
.; (ii) on February 27, 2019 and captioned
Bittner v. ProShares Trust II, et al
.; and (iii) on March 1, 2019 and captioned
Mareno v. ProShares Trust II, et al
. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule
10b-5
of the 1934 Act, and Items 303 and 105 of Regulation
S-K,
17 C.F.R. Section 229.303(a)(3)(ii), 229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. The Trust and Sponsor will continue to vigorously defend against this lawsuit. The Trust and the Sponsor cannot predict the outcome of this action. ProShares Short VIX Short-Term Futures ETF may incur expenses in defending against such claims.
On July 28, 2020, the Sponsor, the Trust and ProShares Ultra Bloomberg Crude Oil (“UCO”), a series of the Trust, were named as defendants in a purported class action lawsuit filed in the United States District Court for the Southern District of New York, captioned Di Scala v. ProShares Ultra Bloomberg Crude Oil, et al. The allegations in the complaint claim that the defendants violated Sections 10(b) and 20(a) and Rule 10b-5 of the Securities Exchange Act of 1934 by issuing untrue statements of material fact and omitting material facts in the prospectus for UCO, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the action. The defendants cannot predict the outcome of this lawsuit. The Trust and the Sponsor intend to vigorously defend against these lawsuits. The Trust and the Sponsor cannot predict the outcome of these lawsuits. Accordingly, no loss contingency has been recorded in the Statement of Financial Condition and the amount of loss, if any, cannot be reasonably estimated at this time. ProShares Ultra Bloomberg Crude Oil may incur expenses in defending against such lawsuits.
Item 1A. Risk Factors.
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.

Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, May Have a Significant Negative Impact on the Performance of Each Fund
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and may continue to be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the COVID-19 pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
Natural or environmental disasters or public health crisis, such as the COVID-19 pandemic, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.
The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. In April 2020, the unemployment rate in the U.S. was extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.
Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing COVID-19 pandemic
Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The COVID-19 pandemic or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The COVID-19 pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.
Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.
 
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
a) None.
b) Not applicable.

Title of Securities Registered
  
Amount Registered as of
June 30, 2020
   
Shares Sold For the
Three Months Ended
June 30, 2020
    
Sale Price of
Shares Sold
For the
Three Months Ended
June 30, 2020
    
Shares Sold
For the
Six Months Ended
June 30, 2020
**
    
Sale Price of
Shares Sold
For the Six Months
Ended June 30, 2020
**
 
ProShares Short Euro
             
Common Units of Beneficial Interest
   $ 155,213,786       —        $ —          —        $ —    
ProShares Short VIX Short-Term Futures ETF
             
Common Units of Beneficial Interest
   $ 5,078,471,529       1,000,000      $ 30,843,161        25,850,000      $ 914,411,669  
ProShares Ultra Bloomberg Crude Oil
             
Common Units of Beneficial Interest
   $ 5,694,352,935       77,482,000      $ 1,895,200,511        88,162,000      $ 2,953,530,675  
ProShares Ultra Bloomberg Natural Gas
             
Common Units of Beneficial Interest
   $ 504,114,682       1,260,000      $ 38,571,988        1,485,000      $ 54,252,228  
ProShares Ultra Euro
             
Common Units of Beneficial Interest
   $ 90,298,450       50,000      $ 698,183        100,000      $ 1,368,038  
ProShares Ultra Gold
             
Common Units of Beneficial Interest
   $ 490,972,448       300,000      $ 18,995,286        1,450,000      $ 83,989,061  
ProShares Ultra Silver
             
Common Units of Beneficial Interest
   $ 781,618,810       1,500,000      $ 42,297,617        2,250,000      $ 56,459,730  
ProShares Ultra VIX Short-Term Futures ETF
             
Common Units of Beneficial Interest
   $ 4,248,678,024       24,850,000      $ 850,559,658        34,750,000      $ 1,209,649,869  
ProShares Ultra Yen
             
Common Units of Beneficial Interest
   $ 131,792,144       —        $ —          —        $ —    
ProShares UltraPro 3x Crude Oil ETF
             
Common Units of Beneficial Interest
   $     —        $ —          184,600,000      $ 414,019,676  
ProShares UltraPro 3x Short Crude Oil ETF
             
Common Units of Beneficial Interest
   $     —        $ —          2,850,000      $ 59,484,110  
ProShares UltraShort Australian Dollar
             
Common Units of Beneficial Interest
   $ 159,935,804       —        $ —          —        $ —    
ProShares UltraShort Bloomberg Crude Oil
             
Common Units of Beneficial Interest
   $ 1,448,244,035       19,000,000      $ 597,199,474        22,350,000      $ 668,428,949  

Title of Securities Registered
  
Amount Registered as of
June 30, 2020
    
Shares Sold For the
Three Months Ended
June 30, 2020
    
Sale Price of
Shares Sold
For the
Three Months Ended
June 30, 2020
    
Shares Sold
For the
Six Months Ended
June 30, 2020
**
    
Sale Price of
Shares Sold
For the Six Months
Ended June 30, 2020
**
 
ProShares UltraShort Bloomberg Natural Gas
              
Common Units of Beneficial Interest
   $ 668,643,299        650,000      $ 39,170,642        1,200,000      $ 68,275,223  
ProShares UltraShort Euro
              
Common Units of Beneficial Interest
   $ 725,653,500        150,000      $ 4,304,184        350,000      $ 10,058,250  
ProShares UltraShort Gold
              
Common Units of Beneficial Interest
   $ 197,323,724        150,000      $ 5,742,206        350,000      $ 15,431,847  
ProShares UltraShort Silver
              
Common Units of Beneficial Interest
   $ 855,075,292        600,000      $ 14,344,359        800,000      $ 20,307,202  
ProShares UltraShort Yen
              
Common Units of Beneficial Interest
   $ 902,455,476        50,000      $ 3,849,992        100,000      $ 7,806,745  
ProShares VIX
Mid-Term
Futures ETF
              
Common Units of Beneficial Interest
   $ 438,649,194        725,000      $ 29,558,030        1,100,000      $ 40,266,091  
ProShares VIX Short-Term Futures ETF
              
Common Units of Beneficial Interest
   $ 1,278,376,358        3,875,000      $ 108,202,585        10,675,000      $ 186,459,674  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total Trust:
  
 
23,849,869,490
 
  
 
131,642,000
 
  
$
3,679,537,876
 
  
 
378,422,000
 
  
$
6,764,199,037
 
 
*
The liquidated funds’ shares were
de-registered
prior to March 31, 2020.
**
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
 
Item 3.
Defaults Upon Senior Securities.
None.
 
Item 4.
Mine Safety Disclosures.
Not applicable.
 
Item 5.
Other Information.
None.

Item 6.
Exhibits.
 
Exhibit
No.
  
Description of Document
31.1    Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2    Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
32.1    Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.2    Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS    XBRL Instance Document (1)
101.SCH    XBRL Taxonomy Extension Schema (1)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF    XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB    XBRL Taxonomy Extension Label Linkbase (1)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase (1)
104.1    Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
(1)    Filed herewith.

Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: August 10, 2020
 
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: August 10, 2020