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

Table of Contents
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM
10-Q
 
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 
for the quarterly period ended March 31, 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 UltraPro 3x Crude Oil ETF
 
OILU
 
NYSE Arca
ProShares UltraPro 3x Short Crude Oil ETF
 
OILD
 
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 May xx, 2020, the registrant had xxx,xxx,xxx shares of common stock, $0 par value per share, outstanding.
 
 

Table of Contents

Table of Contents
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, Statement of Change in Net Assets and Statements of Cash Flows:
 
 
 
   
4
 
   
9
 
   
14
 
   
19
 
   
24
 
   
29
 
   
34
 
   
39
 
   
44
 
   
49
 
   
54
 
   
59
 
   
64
 
   
69
 
   
74
 
   
79
 
   
84
 
   
89
 
   
94
 
   
99
 
   
104
 
   
108
 
3

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $745,775, respectively)
  $
—  
    $
745,805
 
Cash
   
2,291,714
     
1,509,236
 
Segregated cash balances with brokers for futures contracts
   
40,205
     
31,680
 
Receivable on open futures contracts
   
2,975
     
—  
 
Interest receivable
   
1,594
     
2,434
 
                 
Total assets
   
2,336,488
     
2,289,155
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
—  
     
5,100
 
Payable to Sponsor
   
3,645
     
1,860
 
                 
Total liabilities
   
3,645
     
6,960
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
2,332,843
     
2,282,195
 
                 
Total liabilities and shareholders’ equity
  $
2,336,488
    $
2,289,155
 
                 
Shares outstanding
   
50,000
     
50,000
 
                 
Net asset value per share
  $
46.66
    $
45.64
 
                 
Market value per share (Note 2)
  $
45.09
    $
45.69
 
                 
See accompanying notes to financial statements.
4

Table of Contents
PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
Futures Contracts Sold
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures—CME, expires June 2020
   
17
    $
2,348,019
    $
53,324
 
See accompanying notes to financial statements.
5

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PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
7,595
    $
65,178
 
                 
Expenses
   
     
 
Management fee
   
5,503
     
26,985
 
Brokerage commissions
   
100
     
568
 
                 
Total expenses
   
5,603
     
27,553
 
                 
Net investment income (loss)
   
1,992
     
37,625
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(18,638
)    
147,106
 
                 
Net realized gain (loss)
   
(18,638
)    
147,106
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
67,324
     
204,137
 
Short-term U.S. government and agency obligations
   
(30
)    
(266
)
                 
Change in net unrealized appreciation (depreciation)
   
67,294
     
203,871
 
                 
Net realized and unrealized gain (loss)
   
48,656
     
350,977
 
                 
Net income (loss)
  $
50,648
    $
388,602
 
                 
See accompanying notes to financial statements.
6

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
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)
   
1,992
     
37,625
 
Net realized gain (loss)
   
(18,638
)    
147,106
 
Change in net unrealized appreciation (depreciation)
   
67,294
     
203,871
 
                 
Net income (loss)
   
50,648
     
388,602
 
                 
Shareholders’ equity, end of period
  $
2,332,843
    $
22,213,438
 
                 
See accompanying notes to financial statements.
7

Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
50,648
    $
388,602
 
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
   
—  
     
(310,621,428
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
747,000
     
307,250,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(1,225
)    
(29,141
)
Change in unrealized appreciation (depreciation) on investments
   
30
     
266
 
Decrease (Increase) in receivable on futures contracts
   
(2,975
)    
(20,893
)
Decrease (Increase) in interest receivable
   
840
     
(9,697
)
Increase (Decrease) in payable to Sponsor
   
1,785
     
6,644
 
Increase (Decrease) in payable on futures contracts
   
(5,100
)    
(5,250
)
                 
Net cash provided by (used in) operating activities
   
791,003
     
(3,040,897
)
                 
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
   
791,003
     
10,164,253
 
Cash, beginning of period
   
1,540,916
     
8,024,856
 
                 
Cash, end of period
  $
2,331,919
    $
18,189,109
 
                 
See accompanying notes to financial statements.
8

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31,
2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $91,907,596 and $56,926,750, respectively)
  $
91,992,138
    $
56,929,436
 
Cash
   
388,828,545
     
113,044,890
 
Segregated cash balances with brokers for futures contracts
   
166,404,640
     
54,499,197
 
Receivable on open futures contracts
   
162,597,398
     
60,052,325
 
Interest receivable
   
77,906
     
123,214
 
                 
Total assets
   
809,900,627
     
284,649,062
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable to Sponsor
   
642,969
     
211,883
 
                 
Total liabilities
   
642,969
     
211,883
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
809,257,658
     
284,437,179
 
                 
Total liabilities and shareholders’ equity
  $
809,900,627
    $
284,649,062
 
                 
Shares outstanding
   
26,084,307
     
4,334,307
 
                 
Net asset value per share
  $
31.02
    $
65.62
 
                 
Market value per share (Note 2)
  $
31.01
    $
65.23
 
                 
See accompanying notes to financial statements.
9

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(11% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.586% due 04/23/20
  $
27,000,000
    $
26,999,093
 
1.564% due 05/07/20
   
15,000,000
     
14,998,950
 
0.648% due 05/21/20
   
50,000,000
     
49,994,095
 
                 
Total short-term U.S. government and agency obligations
(cost $91,907,596)
   
    $
91,992,138
 
                 
Futures Contracts Sold
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures—Cboe, expires April 2020
   
4,392
    $
205,435,800
    $
12,361,627
 
VIX Futures—Cboe, expires May 2020
   
4,878
     
199,632,150
     
18,867,047
 
                         
   
     
    $
31,228,674
 
                         
All or partial amount pledged as collateral for futures contracts.
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
10

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
749,861
    $
1,584,561
 
                 
Expenses
   
     
 
Management fee
   
886,197
     
952,127
 
Brokerage commissions
   
189,532
     
188,424
 
Brokerage fees
   
29,728
     
24
 
Non-recurring
fees and expenses
   
—  
     
398,550
 
                 
Total expenses
   
1,105,457
     
1,539,125
 
                 
Net investment income (loss)
   
(355,596
)    
45,436
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(244,300,604
)    
59,105,354
 
                 
Net realized gain (loss)
   
(244,300,604
)    
59,105,354
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
20,973,802
     
22,576,820
 
Short-term U.S. government and agency obligations
   
81,856
     
(5,360
)
                 
Change in net unrealized appreciation (depreciation)
   
21,055,658
     
22,571,460
 
                 
Net realized and unrealized gain (loss)
   
(223,244,946
)    
81,676,814
 
                 
Net income (loss)
  $
(223,600,542
)   $
81,722,250
 
                 
 
See accompanying notes to financial statements.
11

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
284,437,179
    $
344,596,263
 
                 
Addition of 24,850,000 and 300,000 shares, respectively
   
883,568,508
     
14,869,996
 
Redemption of 3,100,000 and – shares, respectively
   
(135,147,487
)    
—  
 
                 
Net addition (redemption) of 21,750,000 and 300,000 shares, respectively
   
748,421,021
     
14,869,996
 
                 
Net investment income (loss)
   
(355,596
)    
45,436
 
Net realized gain (loss)
   
(244,300,604
)    
59,105,354
 
Change in net unrealized appreciation (depreciation)
   
21,055,658
     
22,571,460
 
                 
Net income (loss)
   
(223,600,542
)    
81,722,250
 
                 
Shareholders’ equity, end of period
  $
809,257,658
    $
441,188,509
 
                 
 
See accompanying notes to financial statements.
12

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(223,600,542
)   $
81,722,250
 
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
   
(149,679,751
)    
(4,189,800,651
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
115,000,000
     
4,110,200,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(301,095
)    
(399,349
)
Change in unrealized appreciation (depreciation) on investments
   
(81,856
)    
5,360
 
Decrease (Increase) in receivable on futures contracts
   
(102,545,073
)    
(20,752,398
)
Decrease (Increase) in interest receivable
   
45,308
     
(161,473
)
Increase (Decrease) in payable to Sponsor
   
431,086
     
52,483
 
Increase (Decrease) in payable on futures contracts
   
—  
     
(6,564,113
)
Increase (Decrease) in
non-recurring
fees and expenses payable
   
—  
     
398,550
 
                 
Net cash provided by (used in) operating activities
   
(360,731,923
)    
(25,299,341
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
883,568,508
     
14,869,996
 
Payment on shares redeemed
   
(135,147,487
)    
—  
 
                 
Net cash provided by (used in) financing activities
   
748,421,021
     
14,869,996
 
                 
Net increase (decrease) in cash
   
387,689,098
     
(10,429,345
)
Cash, beginning of period
   
167,544,087
     
296,898,455
 
                 
Cash, end of period
  $
555,233,185
    $
286,469,110
 
                 
See accompanying notes to financial statements.
13

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31,
2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $175,553,872 and $200,101,525, respectively)
  $
175,922,699
    $
200,115,463
 
Cash
   
212,349,917
     
86,168,083
 
Segregated cash balances with brokers for futures contracts
   
106,291,500
     
2,147,480
 
Segregated cash balances with brokers for swap agreements
   
79,662,000
     
—  
 
Unrealized appreciation on swap agreements
   
—  
     
21,814,590
 
Receivable from capital shares sold
   
86,059,444
     
—  
 
Receivable on open futures contracts
   
3,375,450
     
—  
 
Interest receivable
   
96,924
     
123,221
 
                 
Total assets
   
663,757,934
     
310,368,837
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
291,803
     
266,056
 
Payable to Sponsor
   
624,508
     
258,199
 
Unrealized depreciation on swap agreements
   
227,248,242
     
—  
 
                 
Total liabilities
   
228,164,553
     
524,255
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
435,593,381
     
309,844,582
 
                 
Total liabilities and shareholders’ equity
  $
663,757,934
    $
310,368,837
 
                 
Shares outstanding (Note 9)
   
10,848,453
     
608,453
 
                 
Net asset value per share (Note 9)
  $
40.15
    $
509.23
 
                 
Market value per share (Note 9) (Note 2)
  $
39.75
    $
511.50
 
                 
See accompanying notes to financial statements.
14

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(40% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.553% due 04/23/20
  $
43,550,000
    $
43,548,537
 
1.556% due 05/21/20
   
67,558,000
     
67,550,021
 
1.541% due 06/18/20
   
64,841,000
     
64,824,141
 
                 
Total short-term U.S. government and agency obligations
(cost $175,553,872)
   
    $
175,922,699
 
                 
Futures Contracts Purchased
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/
Value
 
WTI Crude Oil—NYMEX, expires May 2020
   
15,735
    $
322,252,800
    $
(72,948,143
)
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 WTI Crude Oil Subindex
   
0.18
%    
04/06/20
    $
103,616,044
    $
(58,478,722
)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
   
0.25
     
04/06/20
     
129,822,430
     
(48,452,020
)
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
   
0.23
     
04/06/20
     
144,648,067
     
(50,981,260
)
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
   
0.25
     
04/06/20
     
32,149,931
     
(17,259,760
)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
   
0.25
     
04/06/20
     
137,973,564
     
(52,076,480
)
                                 
   
     
     
Total Unrealized Depreciation
    $
(227,248,242
)
                                 
All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.
15

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
1,401,460
    $
2,140,385
 
                 
Expenses
   
     
 
Management fee
   
870,239
     
1,025,194
 
Brokerage commissions
   
126,337
     
19,247
 
                 
Total expenses
   
996,576
     
1,044,441
 
                 
Net investment income (loss)
   
404,884
     
1,095,944
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(88,947,210
)    
9,725,095
 
Swap agreements
   
(416,644,056
)    
66,798,062
 
Short-term U.S. government and agency obligations
   
37,469
     
247
 
                 
Net realized gain (loss)
   
(505,553,797
)    
76,523,404
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
(73,713,718
)    
24,324,367
 
Swap agreements
   
(249,062,832
)    
119,079,996
 
Short-term U.S. government and agency obligations
   
354,889
     
(5,330
)
                 
Change in net unrealized appreciation (depreciation)
   
(322,421,661
)    
143,399,033
 
                 
Net realized and unrealized gain (loss)
   
(827,975,458
)    
219,922,437
 
                 
Net income (loss)
  $
(827,570,574
)   $
221,018,381
 
                 
See accompanying notes to financial statements.
16

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
309,844,582
    $
368,399,654
 
                 
Addition of 10,680,000 and 132,000 shares, respectively (Note 9)
   
1,058,330,164
     
56,961,229
 
Redemption of 440,000 and 470,000 shares, respectively (Note 9)
   
(105,010,791
)    
(221,091,968
)
                 
Net addition (redemption) of 10,240,000 and (338,000) shares, respectively (Note 9)
   
953,319,373
     
(164,130,739
)
                 
Net investment income (loss)
   
404,884
     
1,095,944
 
Net realized gain (loss)
   
(505,553,797
)    
76,523,404
 
Change in net unrealized appreciation (depreciation)
   
(322,421,661
)    
143,399,033
 
                 
Net income (loss)
   
(827,570,574
)    
221,018,381
 
                 
Shareholders’ equity, end of period
  $
435,593,381
    $
425,287,296
 
                 
See accompanying notes to financial statements.
17

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(827,570,574
)   $
221,018,381
 
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
   
(309,822,847
)    
(2,123,791,515
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
335,391,900
     
2,126,692,055
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(983,931
)    
(1,989,014
)
Net realized gain (loss) on investments
   
(37,469
)    
(247
)
Change in unrealized appreciation (depreciation) on investments
   
248,707,943
     
(119,074,666
)
Decrease (Increase) in receivable on futures contracts
   
(3,375,450
)    
(1,664,247
)
Decrease (Increase) in interest receivable
   
26,297
     
(11,990
)
Increase (Decrease) in payable to Sponsor
   
366,309
     
60,891
 
Increase (Decrease) in payable on futures contracts
   
25,747
     
(311,815
)
                 
Net cash provided by (used in) operating activities
   
(557,272,075
)    
100,927,833
 
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
972,270,720
     
69,952,893
 
Payment on shares redeemed
   
(105,010,791
)    
(210,331,237
)
                 
Net cash provided by (used in) financing activities
   
867,259,929
     
(140,378,344
)
                 
Net increase (decrease) in cash
   
309,987,854
     
(39,450,511
)
Cash, beginning of period
   
88,315,563
     
148,018,312
 
                 
Cash, end of period
  $
398,303,417
    $
108,567,801
 
                 
See accompanying notes to financial statements.
18

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31,
2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $15,966,475 and $27,528,924, respectively)
  $
15,997,651
    $
27,530,314
 
Cash
   
6,680,910
     
7,072,257
 
Segregated cash balances with brokers for futures contracts
   
5,582,680
     
10,546,805
 
Receivable on open futures contracts
   
—  
     
37,024
 
Interest receivable
   
4,098
     
10,591
 
                 
Total assets
   
28,265,339
     
45,196,991
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
1,533,810
     
—  
 
Payable to Sponsor
   
59,912
     
36,786
 
                 
Total liabilities
   
1,593,722
     
36,786
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
26,671,617
     
45,160,205
 
                 
Total liabilities and shareholders’ equity
  $
28,265,339
    $
45,196,991
 
                 
Shares outstanding (Note 9)
   
637,815
     
537,815
 
                 
Net asset value per share (Note 9)
  $
41.82
    $
83.97
 
                 
Market value per share (Note 9) (Note 2)
  $
42.60
    $
83.40
 
                 
See accompanying notes to financial statements.
19

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(60% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.557% due 04/23/20
  $
8,000,000
    $
7,999,731
 
1.541% due 06/18/20
   
8,000,000
     
7,997,920
 
                 
Total short-term U.S. government and agency obligations
(cost $15,966,475)
   
    $
15,997,651
 
                 
Futures Contracts Purchased
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas—NYMEX, expires May 2020
   
3,249
    $
53,283,600
    $
(7,119,051
)
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
20

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
139,339
    $
117,835
 
                 
Expenses
   
     
 
Management fee
   
97,108
     
54,851
 
Brokerage commissions
   
44,582
     
18,939
 
                 
Total expenses
   
141,690
     
73,790
 
                 
Net investment income (loss)
   
(2,351
)    
44,045
 
                 
Realized and unrealized gain (loss) on investment activity
 
 
 
 
 
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(22,819,605
)    
(13,301,838
)
Short-term U.S. government and agency obligations
   
1,054
     
(59
)
                 
Net realized gain (loss)
   
(22,818,551
)    
(13,301,897
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
(4,466,823
)    
10,344,940
 
Short-term U.S. government and agency obligations
   
29,786
     
58
 
                 
Change in net unrealized appreciation (depreciation)
   
(4,437,037
)    
10,344,998
 
                 
Net realized and unrealized gain (loss)
   
(27,255,588
)    
(2,956,899
)
                 
Net income (loss)
  $
(27,257,939
)   $
(2,912,854
)
                 
 
See accompanying notes to financial statements.
21

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
45,160,205
    $
14,617,440
 
                 
Addition of 225,000 and 130,000 shares, respectively (Note 9)
   
15,680,240
     
31,814,525
 
Redemption of 125,000 and 85,000 shares, respectively (Note 9)
   
(6,910,889
)    
(22,619,016
)
                 
Net addition (redemption) of 100,000 and 45,000 shares, respectively (Note 9)
   
8,769,351
     
9,195,509
 
                 
Net investment income (loss)
   
(2,351
)    
44,045
 
Net realized gain (loss)
   
(22,818,551
)    
(13,301,897
)
Change in net unrealized appreciation (depreciation)
   
(4,437,037
)    
10,344,998
 
                 
Net income (loss)
   
(27,257,939
)    
(2,912,854
)
                 
Shareholders’ equity, end of period
  $
26,671,617
    $
20,900,095
 
                 
 
See accompanying notes to financial statements.
22

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(27,257,939
)   $
(2,912,854
)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
     
 
Purchases of short-term U.S. government and agency obligations
   
(24,903,944
)    
(315,281,075
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
36,564,000
     
312,749,275
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(96,553
)    
(80,985
)
Net realized gain (loss) on investments
   
(1,054
)    
59
 
Change in unrealized appreciation (depreciation) on investments
   
(29,786
)    
(58
)
Decrease (Increase) in receivable on futures contracts
   
37,024
     
—  
 
Decrease (Increase) in interest receivable
   
6,493
     
(4,389
)
Increase (Decrease) in payable to Sponsor
   
23,126
     
(2,955
)
Increase (Decrease) in payable on futures contracts
   
1,533,810
     
(2,565,179
)
                 
Net cash provided by (used in) operating activities
   
(14,124,823
)    
(8,098,161
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
15,680,240
     
34,343,282
 
Payment on shares redeemed
   
(6,910,889
)    
(22,619,016
)
                 
Net cash provided by (used in) financing activities
   
8,769,351
     
11,724,266
 
                 
Net increase (decrease) in cash
   
(5,355,472
)    
3,626,105
 
Cash, beginning of period
   
17,619,062
     
7,030,602
 
                 
Cash, end of period
  $
12,263,590
    $
10,656,707
 
                 
See accompanying notes to financial statements.
23

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 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
   
4,053,480
     
1,206,437
 
Segregated cash balances with brokers for foreign currency forward contracts
   
671,000
     
921,000
 
Unrealized appreciation on foreign currency forward contracts
   
4,798
     
109,997
 
Interest receivable
   
1,981
     
1,496
 
                 
Total assets
   
4,731,259
     
6,209,342
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
   
658,298
     
 
Payable to Sponsor
   
7,684
     
4,918
 
Unrealized depreciation on foreign currency forward contracts
   
116,135
     
—  
 
                 
Total liabilities
   
782,117
     
4,918
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
3,949,142
     
6,204,424
 
                 
Total liabilities and shareholders’ equity
  $
  4,731,259
    $
  6,209,342
 
                 
Shares outstanding
   
300,000
     
450,000
 
                 
Net asset value per share
  $
13.16
    $
13.79
 
                 
Market value per share (Note 2)
  $
13.15
    $
13.77
 
                 
See accompanying notes to financial statements.
24

Table of Contents
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 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
   
04/03/20
     
5,798,921
    $
6,394,938
    $
(64,774
)
Euro with UBS AG
   
04/03/20
     
5,578,220
     
6,151,552
     
(51,361
)
                                 
   
     
     
Total Unrealized Depreciation
    $
(116,135
)
                                 
Contracts to Sell
 
 
 
 
 
 
 
 
 
 
 
 
Euro with Goldman Sachs International
   
04/03/20
     
(1,190,000
)   $
(1,312,309
)   $
49,776
 
Euro with UBS AG
   
04/03/20
     
(3,030,918
)    
(3,342,437
)    
(44,978
)
                                 
   
     
     
Total Unrealized
Appreciation
    $
4,798
 
                                 
^ The positions and counterparties herein are as of March 31, 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.
25

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
15,801
    $
39,503
 
                 
Expenses
   
     
 
Management fee
   
12,554
     
18,674
 
                 
Total expenses
   
12,554
     
18,674
 
                 
Net investment income (loss)
   
3,247
     
20,829
 
                 
Realized and unrealized gain (loss) on investment activity
 
 
 
 
 
 
Net realized gain (loss) on
 
 
 
 
 
 
Foreign currency forward contracts
   
(53,268
)    
(227,273
)
                 
Net realized gain (loss)
   
(53,268
)    
(227,273
)
                 
Change in net unrealized appreciation (depreciation) on
 
 
 
 
 
 
Foreign currency forward contracts
   
(221,334
)    
(225,476
)
Short-term U.S. government and agency obligations
   
(208
)    
(9
)
                 
Change in net unrealized appreciation (depreciation)
   
(221,542
)    
(225,485
)
                 
Net realized and unrealized gain (loss)
   
(274,810
)    
(452,758
)
                 
Net income (loss)
  $
(271,563
)   $
(431,929
)
                 
See accompanying notes to financial statements.
26

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
6,204,424
    $
  7,544,569
 
                 
Addition of 50,000 and 50,000 shares, respectively
   
669,855
     
744,567
 
Redemption of 200,000 and – shares, respectively
   
(2,653,574
)    
—  
 
                 
Net addition (redemption) of (150,000) and 50,000 shares, respectively
   
(1,983,719
)    
744,567
 
                 
Net investment income (loss)
   
3,247
     
20,829
 
Net realized gain (loss)
   
(53,268
)    
(227,273
)
Change in net unrealized appreciation (depreciation)
   
(221,542
)    
(225,485
)
                 
Net income (loss)
   
(271,563
)    
(431,929
)
                 
Shareholders’ equity, end of period
  $
3,949,142
    $
7,857,207
 
                 
See accompanying notes to financial statements.
27

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(271,563
)   $
(431,929
)
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
)    
(59,041,009
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
5,375,000
     
59,550,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(9,001
)    
(11,670
)
Change in unrealized appreciation (depreciation) on investments
   
221,542
     
225,485
 
Decrease (Increase) in interest receivable
   
(485
)    
(4,646
)
Increase (Decrease) in payable to Sponsor
   
2,766
     
434
 
                 
Net cash provided by (used in) operating activities
   
3,922,464
     
286,665
 
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
669,855
     
744,567
 
Payment on shares redeemed
   
(1,995,276
)    
—  
 
                 
Net cash provided by (used in) financing activities
   
(1,325,421
)    
744,567
 
                 
Net increase (decrease) in cash
   
2,597,043
     
1,031,232
 
                 
Cash, beginning of period
   
2,127,437
     
5,989,270
 
                 
Cash, end of period
  $
4,724,480
    $
7,020,502
 
                 
See accompanying notes to financial statements.
28

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31, 2020
(unaudited)
 
 
December 31,
2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $30,936,212 and $66,174,584, respectively)
  $
30,995,562
    $
66,177,998
 
Cash
   
91,711,354
     
36,455,823
 
Segregated cash balances with brokers for futures contracts
   
4,751,150
     
2,070,900
 
Segregated cash balances with brokers for swap agreements
   
12,775,802
     
—  
 
Unrealized appreciation on swap agreements
   
—  
     
5,890,260
 
Receivable on open futures contracts
   
—  
     
170,073
 
Interest receivable
   
54,495
     
45,921
 
                 
Total assets
   
140,288,363
     
110,810,975
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
1,978,828
     
—  
 
Payable to Sponsor
   
202,939
     
84,943
 
Unrealized depreciation on swap agreements
   
9,624,800
     
 
                 
Total liabilities
   
11,806,567
     
84,943
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
128,481,796
     
110,726,032
 
                 
Total liabilities and shareholders’ equity
  $
140,288,363
    $
110,810,975
 
                 
Shares outstanding
   
2,450,000
     
2,250,000
 
                 
Net asset value per share
  $
52.44
    $
49.21
 
                 
Market value per share (Note 2)
  $
52.00
    $
49.05
 
                 
 
 
See accompanying notes to financial statements.
29

Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
                 
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(24% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.557% due 04/23/20
  $
16,000,000
    $
15,999,462
 
1.541% due 06/18/20
   
15,000,000
     
14,996,100
 
                 
Total short-term U.S. government and agency obligations
   
     
 
(cost $30,936,212)
   
    $
30,995,562
 
                 
 
 
                         
Futures Contracts Purchased
   
     
     
 
                   
 
Number of
Contracts
 
 
Notional
Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures—COMEX, expires June 2020
   
482
    $
76,956,120
    $
(1,389,722
)
 
 
                                 
Total Return Swap Agreements
^
   
     
     
     
 
                         
 
Rate Paid
(Received)
*
 
 
Termination
Date
 
 
Notional Amount
at Value
**
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   
0.25
%    
04/06/20
    $
62,978,399
    $
(3,248,824
)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   
0.25
     
04/06/20
     
62,167,791
     
(3,207,008
)
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   
0.25
     
04/06/20
     
54,777,259
     
(3,168,968
)
                                 
   
     
     
Total Unrealized
Depreciation
    $
(9,624,800
)
                                 
 
 
All or partial amount pledged as collateral for swap agreements.
 
 
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.
30

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
414,684
    $
415,585
 
                 
Expenses
   
     
 
Management fee
   
295,411
     
201,578
 
Brokerage commissions
   
10,365
     
1,221
 
                 
Total expenses
   
305,776
     
202,799
 
                 
Net investment income (loss)
   
108,908
     
212,786
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(68,161
)    
(7,753
)
Swap agreements
   
21,566,217
     
(690,265
)
Forward agreements
   
—  
     
4,790,603
 
                 
Net realized gain (loss)
   
21,498,056
     
4,092,585
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
(3,638,236
)    
(278,031
)
Swap agreements
   
(15,515,060
)    
719,893
 
Forward agreements
   
—  
     
(4,253,301
)
Short-term U.S. government and agency obligations
   
55,936
     
(1,320
)
                 
Change in net unrealized appreciation (depreciation)
   
(19,097,360
)    
(3,812,759
)
                 
Net realized and unrealized gain (loss)
   
2,400,696
     
279,826
 
                 
Net income (loss)
  $
2,509,604
    $
492,612
 
                 
 
See accompanying notes to financial statements.
31

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
110,726,032
    $
83,523,294
 
                 
Addition of 1,150,000 and 50,000 shares, respectively
   
64,993,775
     
1,888,747
 
Redemption of 950,000 and 350,000 shares, respectively
   
(49,747,615
)    
(13,127,351
)
                 
Net addition (redemption) of 200,000 and (300,000) shares, respectively
   
15,246,160
     
(11,238,604
)
                 
Net investment income (loss)
   
108,908
     
212,786
 
Net realized gain (loss)
   
21,498,056
     
4,092,585
 
Change in net unrealized appreciation (depreciation)
   
(19,097,360
)    
(3,812,759
)
                 
Net income (loss)
   
2,509,604
     
492,612
 
                 
Shareholders’ equity, end of period
  $
128,481,796
    $
72,777,302
 
                 
 
See accompanying notes to financial statements.
32

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
2,509,604
    $
492,612
 
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
   
(60,782,344
)    
(573,114,482
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
96,257,000
     
565,450,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(236,284
)    
(355,399
)
Change in unrealized appreciation (depreciation) on investments
   
15,459,124
     
3,534,728
 
Decrease (Increase) in receivable on futures contracts
   
170,073
     
(54,498
)
Decrease (Increase) in interest receivable
   
(8,574
)    
(10,793
)
Increase (Decrease) in payable to Sponsor
   
117,996
     
1,794
 
Increase (Decrease) in payable on futures contracts
   
1,978,828
     
(7,990
)
                 
Net cash provided by (used in) operating activities
   
55,465,423
     
(4,064,028
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
64,993,775
     
1,888,747
 
Payment on shares redeemed
   
(49,747,615
)    
(9,375,620
)
                 
Net cash provided by (used in) financing activities
   
15,246,160
     
(7,486,873
)
                 
Net increase (decrease) in cash
   
70,711,583
     
(11,550,901
)
Cash, beginning of period
   
38,526,723
     
41,098,043
 
                 
Cash, end of period
  $
109,238,306
    $
29,547,142
 
                 
 
 
 
 
See accompanying notes to financial statements.
33

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31,
 
2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $60,873,358 and $135,537,081, respectively)
  $
60,991,159
    $
135,544,101
 
Cash
   
75,000,872
     
71,876,942
 
Segregated cash balances with brokers for futures contracts
   
9,615,375
     
7,181,720
 
Segregated cash balances with brokers for swap agreements
   
38,799,000
     
—  
 
Unrealized appreciation on swap agreements
   
—  
     
25,135,898
 
Receivable from capital shares sold
   
1,840,172
     
 
Receivable on open futures contracts
   
51,960
     
 
Interest receivable
   
58,363
     
91,720
 
                 
Total assets
   
186,356,901
     
239,830,381
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
490,815
     
398,936
 
Payable to Sponsor
   
293,422
     
176,603
 
Unrealized depreciation on swap agreements
   
55,787,128
     
 
                 
Total liabilities
   
56,571,365
     
575,539
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
129,785,536
     
239,254,842
 
                 
Total liabilities and shareholders’ equity
  $
186,356,901
    $
239,830,381
 
                 
Shares outstanding
   
7,046,526
     
7,546,526
 
                 
Net asset value per share
  $
18.42
    $
31.70
 
                 
Market value per share (Note 2)
  $
18.44
    $
31.65
 
                 
 
 
 
 
See accompanying notes to financial statements.
34

Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(47% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.557% due 04/23/20
  $
31,000,000
    $
30,998,959
 
1.541% due 06/18/20
   
30,000,000
     
29,992,200
 
                 
Total short-term U.S. government and agency obligations
   
     
 
(cost $60,873,358)
   
    $
60,991,159
 
                 
Futures Contracts Purchased
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures—COMEX, expires May 2020
   
906
    $
64,126,680
    $
1,474,963
 
Total Return Swap Agreements
^
 
Rate Paid
(Received)
*
 
 
Termination
Date
 
 
Notional Amount
at Value
**
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   
0.25
%    
04/06/20
    $
62,269,702
    $
(24,457,594
)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   
0.30
     
04/06/20
     
68,893,289
     
(14,118,753
)
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   
0.25
     
04/06/20
     
64,040,895
     
(17,210,781
)
                                 
   
     
     
Total Unrealized Depreciation
    $
(55,787,128
)
                                 
All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.
35

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
776,287
    $
904,454
 
                 
Expenses
   
     
 
Management fee
   
481,247
     
454,275
 
Brokerage commissions
   
18,208
     
4,617
 
Brokerage fees
   
—  
     
3
 
                 
Total expenses
   
499,455
     
458,895
 
                 
Net investment income (loss)
   
276,832
     
445,559
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(9,641,976
)    
(255,114
)
Swap agreements
   
5,944,322
     
(18,809,469
)
Forward agreements
   
—  
     
32,366,374
 
Short-term U.S. government and agency obligations
   
—  
     
131
 
                 
Net realized gain (loss)
   
(3,697,654
)    
13,301,922
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
(4,249,586
)    
(998,532
)
Swap agreements
   
(80,923,026
)    
412,579
 
Forward agreements
   
—  
     
(26,301,717
)
Short-term U.S. government and agency obligations
   
110,781
     
(2,656
)
                 
Change in net unrealized appreciation (depreciation)
   
(85,061,831
)    
(26,890,326
)
                 
Net realized and unrealized gain (loss)
   
(88,759,485
)    
(13,588,404
)
                 
Net income (loss)
  $
(88,482,653
)   $
(13,142,845
)
                 
See accompanying notes to financial statements.
36

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
239,254,842
    $
201,824,376
 
                 
Addition of 750,000 and 400,000 shares, respectively
   
14,162,113
     
10,636,282
 
Redemption of 1,250,000 and 1,050,000 shares, respectively
   
(35,148,766
)    
(27,746,242
)
                 
Net addition (redemption) of (500,000) and (650,000) shares, respectively
   
(20,986,653
)    
(17,109,960
)
                 
Net investment income (loss)
   
276,832
     
445,559
 
Net realized gain (loss)
   
(3,697,654
)    
13,301,922
 
Change in net unrealized appreciation (depreciation)
   
(85,061,831
)    
(26,890,326
)
                 
Net income (loss)
   
(88,482,653
)    
(13,142,845
)
                 
Shareholders’ equity, end of period
  $
129,785,536
    $
171,571,571
 
                 
See accompanying notes to financial statements.
37

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(88,482,653
)   $
(13,142,845
)
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
   
(113,569,175
)    
(874,413,274
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
188,705,000
     
895,129,481
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(472,102
)    
(822,726
)
Net realized gain (loss) on investments
   
—  
     
(131
)
Change in unrealized appreciation (depreciation) on investments
   
80,812,245
     
25,891,794
 
Decrease (Increase) in receivable on futures contracts
   
(51,960
)    
(173,990
)
Decrease (Increase) in interest receivable
   
33,357
     
(27,930
)
Increase (Decrease) in payable to Sponsor
   
116,819
     
(3,743
)
Increase (Decrease) in payable on futures contracts
   
91,879
     
(47,576
)
                 
Net cash provided by (used in) operating activities
   
67,183,410
     
32,389,060
 
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
12,321,941
     
10,636,282
 
Payment on shares redeemed
   
(35,148,766
)    
(22,841,747
)
                 
Net cash provided by (used in) financing activities
   
(22,826,825
)    
(12,205,465
)
                 
Net increase (decrease) in cash
   
44,356,585
     
20,183,595
 
Cash, beginning of period
   
79,058,662
     
51,907,742
 
                 
Cash, end of period
  $
123,415,247
    $
72,091,337
 
                 
See accompanying notes to financial statements.
38

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $118,844,445 and $179,736,532, respectively)
  $
118,992,229
    $
179,749,262
 
Cash
   
318,964,759
     
179,318,928
 
Segregated cash balances with brokers for futures contracts
   
107,985,371
     
175,258,401
 
Segregated cash balances with brokers for swap agreements
   
41,423,000
     
6,984,000
 
Receivable from capital shares sold
   
—  
     
87,500
 
Receivable on open futures contracts
   
61,533,414
     
20,666,579
 
Interest receivable
   
246,274
     
212,666
 
                 
Total assets
   
649,145,047
     
562,277,336
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
33,162,297
     
34,019,820
 
Payable to Sponsor
   
978,381
     
411,729
 
Unrealized depreciation on swap agreements
   
22,183,877
     
209,784
 
                 
Total liabilities
   
56,324,555
     
34,641,333
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
592,820,492
     
527,636,003
 
                 
Total liabilities and shareholders’ equity
  $
649,145,047
    $
562,277,336
 
                 
Shares outstanding
   
10,130,912
     
41,630,912
 
                 
Net asset value per share
  $
58.52
    $
12.67
 
                 
Market value per share (Note 2)
  $
58.56
    $
12.89
 
                 
See accompanying notes to financial statements.
39

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(20% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.586% due 04/23/20
  $
55,000,000
    $
54,998,152
 
1.564% due 05/07/20
   
34,000,000
     
33,997,620
 
1.257% due 05/21/20
   
30,000,000
     
29,996,457
 
                 
Total short-term U.S. government and agency obligations
(cost $118,844,445)
   
    $
118,992,229
 
                 
Futures Contracts Purchased
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures—Cboe, expires April 2020
   
8,867
    $
414,753,925
    $
228,821,148
 
VIX Futures—Cboe, expires May 2020
   
9,852
     
403,193,100
     
(76,861,975
)
                         
   
     
    $
151,959,173
 
                         
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
   
1.60
%    
04/16/20
    $
71,236,931
    $
(22,183,877
)
                                 
   
     
     
Total Unrealized Depreciation
    $
(22,183,877
)
                                 
All or partial amount pledged as collateral for futures contracts.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.
40

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
1,411,740
    $
1,418,106
 
                 
Expenses
   
     
 
Management fee
   
1,383,275
     
965,532
 
Brokerage commissions
   
741,009
     
575,631
 
Brokerage fees
   
16,721
     
64
 
Non-recurring
fees and expenses
   
—  
     
27,508
 
                 
Total expenses
   
2,141,005
     
1,568,735
 
                 
Net investment income (loss)
   
(729,265
)    
(150,629
)
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
656,145,228
     
(166,136,201
)
Swap agreements
   
69,940,003
     
(29,087,140
)
                 
Net realized gain (loss)
   
726,085,231
     
(195,223,341
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
198,355,954
     
(40,515,355
)
Swap agreements
   
(21,974,093
)    
1,465,412
 
Short-term U.S. government and agency obligations
   
135,054
     
(8,040
)
                 
Change in net unrealized appreciation (depreciation)
   
176,516,915
     
(39,057,983
)
                 
Net realized and unrealized gain (loss)
   
902,602,146
     
(234,281,324
)
                 
Net income (loss)
  $
901,872,881
    $
(234,431,953
)
                 
See accompanying notes to financial statements.
41

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
527,636,003
    $
214,304,871
 
                 
Addition of 9,900,000 and 15,150,000 shares, respectively
   
359,090,211
     
728,577,548
 
Redemption of 41,400,000 and 3,750,000 shares, respectively
   
(1,195,778,603
)    
(161,207,220
)
                 
Net addition (redemption) of (31,500,000) and 11,400,000 shares, respectively
   
(836,688,392
)    
567,370,328
 
                 
Net investment income (loss)
   
(729,265
)    
(150,629
)
Net realized gain (loss)
   
726,085,231
     
(195,223,341
)
Change in net unrealized appreciation (depreciation)
   
176,516,915
     
(39,057,983
)
                 
Net income (loss)
   
901,872,881
     
(234,431,953
)
                 
Shareholders’ equity, end of period
  $
592,820,492
    $
547,243,246
 
                 
See accompanying notes to financial statements.
42

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
901,872,881
    $
(234,431,953
)
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
   
(198,455,580
)    
(3,242,092,928
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
260,000,000
     
3,122,400,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(652,333
)    
(307,072
)
Change in unrealized appreciation (depreciation) on investments
   
21,839,039
     
(1,457,372
)
Decrease (Increase) in receivable on futures contracts
   
(40,866,835
)    
(8,126,997
)
Decrease (Increase) in interest receivable
   
(33,608
)    
(148,485
)
Increase (Decrease) in payable to Sponsor
   
566,652
     
224,392
 
Increase (Decrease) in payable on futures contracts
   
(857,523
)    
5,246,261
 
Increase (Decrease) in
non-recurring
fees and expenses payable
   
—  
     
27,508
 
                 
Net cash provided by (used in) operating activities
   
943,412,693
     
(358,666,646
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
359,177,711
     
736,727,497
 
Payment on shares redeemed
   
(1,195,778,603
)    
(161,207,220
)
                 
Net cash provided by (used in) financing activities
   
(836,600,892
)    
575,520,277
 
                 
Net increase (decrease) in cash
   
106,811,801
     
216,853,631
 
Cash, beginning of period
   
361,561,329
     
202,920,595
 
                 
Cash, end of period
  $
468,373,130
    $
419,774,226
 
                 
 
See accompanying notes to financial statements.
43

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31, 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
   
2,341,295
     
3,283,138
 
Segregated cash balances with brokers for foreign currency forward contracts
   
500,000
     
500,000
 
Interest receivable
   
1,552
     
4,726
 
                 
Total assets
   
2,842,847
     
5,595,968
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable to Sponsor
   
4,299
     
4,475
 
Unrealized depreciation on foreign currency forward contracts
   
29,768
     
10,529
 
                 
Total liabilities
   
34,067
     
15,004
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
2,808,780
     
5,580,964
 
                 
Total liabilities and shareholders’ equity
  $
2,842,847
    $
5,595,968
 
                 
Shares outstanding
   
49,970
     
99,970
 
                 
Net asset value per share
  $
56.21
    $
55.83
 
                 
Market value per share (Note 2)
  $
56.19
    $
55.83
 
                 
 
See accompanying notes to financial statements.
44

Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
MARCH 31, 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
   
04/03/20
     
374,903,256
    $
3,486,705
    $
(19,468
)
Yen with UBS AG
   
04/03/20
     
297,882,756
     
2,770,394
     
(9,374
)
                                 
   
     
     
 
    $
(28,842
)
                                 
Contracts to Sell
 
 
 
 
 
 
 
 
 
 
 
 
Yen with Goldman Sachs International
   
04/03/20
     
(35,997,739
)   $
(334,789
)   $
3,094
 
Yen with UBS AG
   
04/03/20
     
(34,490,000
)    
(320,767
)    
(4,020
)
                                 
   
     
     
 
    $
(926
)
                                 
   
     
     
Total Net Unrealized
Depreciation
    $
(29,768
)
                                 
^ The positions and counterparties herein are as of March 31, 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.
45

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
8,867
    $
27,009
 
                 
Expenses
   
     
 
Management fee
   
7,241
     
12,438
 
                 
Total expenses
   
7,241
     
12,438
 
                 
Net investment income (loss)
   
1,626
     
14,571
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Foreign currency forward contracts
   
(8,483
)    
(77,307
)
                 
Net realized gain (loss)
   
(8,483
)    
(77,307
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Foreign currency forward contracts
   
(19,239
)    
(112,597
)
Short-term U.S. government and agency obligations
   
(74
)    
—  
 
                 
Change in net unrealized appreciation (depreciation)
   
(19,313
)    
(112,597
)
                 
Net realized and unrealized gain (loss)
   
(27,796
)    
(189,904
)
                 
Net income (loss)
  $
(26,170
)   $
(175,333
)
                 
See accompanying notes to financial statements.
46

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
5,580,964
    $
5,751,716
 
                 
Addition of – and 50,000 shares, respectively
   
—  
     
2,922,854
 
Redemption of 50,000 and 50,000 shares, respectively
   
(2,746,014
)    
(2,935,727
)
                 
Net addition (redemption) of (50,000) and – shares, respectively
   
(2,746,014
)    
(12,873
)
                 
Net investment income (loss)
   
1,626
     
14,571
 
Net realized gain (loss)
   
(8,483
)    
(77,307
)
Change in net unrealized appreciation (depreciation)
   
(19,313
)    
(112,597
)
                 
Net income (loss)
   
(26,170
)    
(175,333
)
                 
Shareholders’ equity, end of period
  $
2,808,780
    $
5,563,510
 
                 
See accompanying notes to financial statements.
47

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(26,170
)   $
(175,333
)
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
)    
(35,346,606
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
1,911,000
     
35,350,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(3,270
)    
(3,394
)
Change in unrealized appreciation (depreciation) on investments
   
19,313
     
112,597
 
Decrease (Increase) in interest receivable
   
3,174
     
(5,758
)
Increase (Decrease) in payable to Sponsor
   
(176
)    
2,033
 
                 
Net cash provided by (used in) operating activities
   
1,804,171
     
(66,461
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
—  
     
5,769,430
 
Payment on shares redeemed
   
(2,746,014
)    
(2,935,727
)
                 
Net cash provided by (used in) financing activities
   
(2,746,014
)    
2,833,703
 
                 
Net increase (decrease) in cash
   
(941,843
)    
2,767,242
 
Cash, beginning of period
   
3,783,138
     
2,726,531
 
                 
Cash, end of period
  $
2,841,295
    $
5,493,773
 
                 
See accompanying notes to financial statements.
48

Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
STATEMENTS OF FINANCIAL CONDITION
 
 
March 31, 2020
In liquidation
(unaudited)*
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $ and $47,190,714, respectively)
  $
—  
    $
47,193,110
 
Cash
   
38,092,738
     
12,393,273
 
Segregated cash balances with brokers for futures contracts
   
—  
     
13,388,080
 
Interest receivable
   
5,599
     
25,542
 
                 
Total assets
   
38,098,337
     
73,000,005
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
—  
     
2,075,764
 
Payable to Sponsor
   
216,251
     
64,912
 
                 
Total liabilities
   
216,251
     
2,140,676
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
37,882,086
     
70,859,329
 
                 
Total liabilities and shareholders’ equity
  $
38,098,337
    $
73,000,005
 
                 
Shares outstanding (Note 1)
   
177,650,000
     
3,300,000
 
                 
Net asset value per share (Note 1)
  $
0.21
    $
21.47
 
                 
Market value per share (Note 2) (Note 1)
  $
0.22
    $
21.60
 
                 
*
This represents the Statement of Net Assets in Liquidation at March 31, 2020. The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. References to “Shareholders’ equity” in the schedule above represent “Net assets” for the period in liquidation. See Note 1.
See accompanying notes to financial statements.
49

Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Period Ended
March 27, 2020
*
 
 
Three Months
Ended
March 31, 2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
346,326
    $
615,343
 
                 
Expenses
   
     
 
Management fee
   
283,787
     
295,626
 
Brokerage commissions
   
208,628
     
66,868
 
                 
Total expenses
   
492,415
     
362,494
 
                 
Net investment income (loss)
   
(146,089
)    
252,849
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(398,871,687
)    
22,272,869
 
Swap agreements
   
(7,056,912
)    
—  
 
Options
   
(8,765,000
)    
—  
 
Short-term U.S. government and agency obligations
   
136,038
     
—  
 
                 
Net realized gain (loss)
   
(414,557,561
)    
22,272,869
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
(7,266,550
)    
64,156,754
 
Short-term U.S. government and agency obligations
   
(2,396
)    
54
 
                 
Change in net unrealized appreciation (depreciation)
   
(7,268,946
)    
64,156,808
 
                 
Net realized and unrealized gain (loss)
   
(421,826,507
)    
86,429,677
 
                 
Net income (loss)
  $
(421,972,596
)   $
86,682,526
 
                 
 
 
*
The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
 
 
See accompanying notes to financial statements.
5
0

Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Period Ended
March 27, 2020
*
 
 
Three Months
Ended
March 31, 2019
 
Shareholders’ equity, beginning of period
  $
70,859,329
    $
87,667,042
 
                 
Addition of 184,600,000 and 800,000 shares, respectively
   
414,019,676
     
16,301,816
 
Redemption of 10,250,000 and 2,750,000 shares, respectively
   
(24,998,273
)    
(62,636,309
)
                 
Net addition (redemption) of 174,350,000 and (1,950,000) shares, respectively
   
389,021,403
     
(46,334,493
)
                 
Net investment income (loss)
   
(146,089
)    
252,849
 
Net realized gain (loss)
   
(414,557,561
)    
22,272,869
 
Change in net unrealized appreciation (depreciation)
   
(7,268,946
)    
64,156,808
 
                 
Net income (loss)
   
(421,972,596
)    
86,682,526
 
                 
Shareholders’ equity, end of period
  $
37,908,136
    $
128,015,075
 
                 
 
 
*
The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
 
 
See accompanying notes to financial statements.
5
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Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
STATEMENTS OF CHANGE IN NET ASSETS IN LIQUIDATION
(unaudited)
 
For the Period
March 28, 2020
through March 31,
2020
 
Net assets, beginning of period*
  $
37,882,086
 
         
Addition of — shares
   
 
Redemption of — shares
   
 
         
Net addition (redemption) of — shares
   
 
         
Net investment income (loss)
   
 
Net realized gain (loss)
   
 
Change in net unrealized appreciation (depreciation)
   
 
         
Net income (loss)
   
 
         
Net assets, end of period
  $
37,882,086
 
         
*
Net assets, beginning of period, March 28, 2020, differs from Shareholders’ equity, end of period, March 27, 2020, due to implementation of the liquidation basis of accounting. A net adjustment of $(26,050) was recorded upon adoption of the liquidation basis of accounting. See Note 2 for an explanation of the reconciling items.
See accompanying notes to financial statements.
52

Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
Period Ended
March 27, 2020
*
 
 
Three Months
 Ended
March 31, 2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(421,972,596
)   $
86,682,526
 
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
   
(108,710,728
)    
(1,407,668,957
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
156,199,750
     
1,368,150,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(162,270
)    
(409,296
)
Net realized gain (loss) on investments
   
(136,038
)    
—  
 
Change in unrealized appreciation (depreciation) on investments
   
2,396
     
(54
)
Decrease (Increase) in receivable on futures contracts
   
—  
     
(6,639,043
)
Decrease (Increase) in interest receivable
   
(7,008
)    
(58,228
)
Increase (Decrease) in payable to Sponsor
   
152,239
     
44,230
 
Increase (Decrease) in payable on futures contracts
   
(2,075,764
)    
—  
 
                 
Net cash provided by (used in) operating activities
   
(376,710,019
)    
40,101,178
 
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
411,032,263
     
18,898,964
 
Payment on shares redeemed
   
(24,998,273
)    
(59,941,252
)
                 
Net cash provided by (used in) financing activities
   
386,033,990
     
(41,042,288
)
                 
Net increase (decrease) in cash
   
9,323,971
     
(941,110
)
Cash, beginning of period
   
25,781,353
     
63,582,366
 
                 
Cash, end of period
  $
35,105,324
    $
62,641,256
 
                 
*
The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
See accompanying notes to financial statements.
5
3

Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF FINANCIAL CONDITION
                 
   
March 31, 2020
In liquidation
(unaudited)*
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $– and $57,372,196, respectively)
  $
—  
    $
57,375,132
 
Cash
   
21,657,810
     
14,418,802
 
Segregated cash balances with brokers for futures contracts
   
—  
     
17,524,681
 
Securities sold receivable
   
—  
     
3,883
 
Receivable on open futures contracts
   
—  
     
2,120,078
 
Interest receivable
   
6,329
     
20,691
 
                 
Total assets
   
21,664,139
     
91,463,267
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable to Sponsor
   
46,271
     
74,120
 
                 
Total liabilities
   
46,271
     
74,120
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
21,617,868
     
91,389,147
 
                 
Total liabilities and shareholders’ equity
  $
21,664,139
    $
91,463,267
 
                 
Shares outstanding (Note 1)
   
474,906
     
8,574,906
 
                 
Net asset value per share (Note 1)
  $
45.52
    $
10.66
 
                 
Market value per share (Note 2) (Note 1)
  $
45.32
    $
10.58
 
                 
 
 
 
*
This represents the Statement of Net Assets in Liquidation at March 31, 2020. The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. References to “Shareholders’ equity” in the schedule above represent “Net assets” for the period in liquidation. See Note 1.
 
 
 
See accompanying notes to financial statements.
5
4

Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
Period Ended
March 27, 2020
*
 
 
Three Months
 Ended
March 31, 2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
166,789
    $
71,505
 
                 
Expenses
   
     
 
Management fee
   
117,259
     
34,303
 
Brokerage commissions
   
90,078
     
13,188
 
                 
Total expenses
   
207,337
     
47,491
 
                 
Net investment income (loss)
   
(40,548
)    
24,014
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
77,513,008
     
(2,268,796
)
Swap agreements
   
6,721,993
     
—  
 
Options
   
(942,000
)    
—  
 
Short-term U.S. government and agency obligations
   
1,893
     
—  
 
                 
Net realized gain (loss)
   
83,294,894
     
(2,268,796
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
8,358,056
     
(9,496,353
)
Short-term U.S. government and agency obligations
   
(2,936
)    
(201
)
                 
Change in net unrealized appreciation (depreciation)
   
8,355,120
     
(9,496,554
)
                 
Net realized and unrealized gain (loss)
   
91,650,014
     
(11,765,350
)
                 
Net income (loss)
  $
91,609,466
    $
(11,741,336
)
                 
*
The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
See accompanying notes to financial statements.
5
5

Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Period Ended
March 27, 2020
*
 
 
Three Months
 Ended
March 31, 2019
 
Shareholders’ equity, beginning of period
  $
91,389,147
    $
18,665,099
 
                 
Addition of 2,850,000 and 750,000 shares, respectively
   
59,484,110
     
18,656,682
 
Redemption of 10,950,000 and 300,000 shares, respectively
   
(220,861,845
)    
(8,573,185
)
                 
Net addition (redemption) of (8,100,000) and 450,000 shares, respectively
   
(161,377,735
)    
10,083,497
 
                 
Net investment income (loss)
   
(40,548
)    
24,014
 
Net realized gain (loss)
   
83,294,894
     
(2,268,796
)
Change in net unrealized appreciation (depreciation)
   
8,355,120
     
(9,496,554
)
                 
Net income (loss)
   
91,609,466
     
(11,741,336
)
                 
Shareholders’ equity, end of period
  $
21,620,878
    $
17,007,260
 
                 
*
The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
See accompanying notes to financial statements.
56

Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF CHANGE IN NET ASSETS IN LIQUIDATION
(unaudited)
 
For the Period
March 28, 2020
through March 31,
2020
 
Net assets, beginning of period*
  $
21,617,868
 
         
Addition of — shares
   
 
Redemption of — shares
   
 
         
Net addition (redemption) of — shares
   
 
         
Net investment income (loss)
   
 
Net realized gain (loss)
   
 
Change in net unrealized appreciation (depreciation)
   
 
         
Net income (loss)
   
 
         
Net assets, end of period
  $
21,617,868
 
         
*
Net assets, beginning of period, March 28, 2020, differs from Shareholders’ equity, end of period, March 27, 2020, due to implementation of the liquidation basis of accounting. A net adjustment of $(3,010) was recorded upon adoption of the liquidation basis of accounting. See Note 2 for an explanation of the reconciling items.
See accompanying notes to financial statements.
57

Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
Period Ended
March 27, 2020
*
 
 
Three Months Ended
March 31, 2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
91,609,466
    $
(11,741,336
)
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
   
(25,929,351
)    
(287,123,373
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
83,391,674
     
284,150,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(88,234
)    
(26,627
)
Net realized gain (loss) on investments
   
(1,893
)    
—  
 
Change in unrealized appreciation (depreciation) on investments
   
2,936
     
201
 
Decrease (Increase) in securities sold receivable
   
3,883
     
—  
 
Decrease (Increase) in receivable on futures contracts
   
2,120,078
     
—  
 
Decrease (Increase) in interest receivable
   
11,353
     
(3,878
)
Increase (Decrease) in payable to Sponsor
   
(27,849
)    
(5,374
)
Increase (Decrease) in payable on futures contracts
   
—  
     
212,015
 
                 
Net cash provided by (used in) operating activities
   
151,092,063
     
(14,538,372
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
59,484,110
     
18,656,682
 
Payment on shares redeemed
   
(218,585,513
)    
(8,573,185
)
                 
Net cash provided by (used in) financing activities
   
(159,101,403
)    
10,083,497
 
                 
Net increase (decrease) in cash
   
(8,009,340
)    
(4,454,875
)
Cash, beginning of period
   
31,943,483
     
18,759,229
 
                 
Cash, end of period
  $
23,934,143
    $
14,304,354
 
                 
*
The Fund adopted the liquidation basis of accounting on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
See accompanying notes to financial statements.
58

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31, 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
   
6,751,510
     
1,506,673
 
Segregated cash balances with brokers for futures contracts
   
463,321
     
211,200
 
Receivable on open futures contracts
   
21,755
     
—  
 
Interest receivable
   
4,200
     
1,707
 
                 
Total assets
   
7,240,786
     
5,651,054
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
—  
     
37,725
 
Payable to Sponsor
   
10,419
     
4,717
 
                 
Total liabilities
   
10,419
     
42,442
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
7,230,367
     
5,608,612
 
                 
Total liabilities and shareholders’ equity
  $
7,240,786
    $
5,651,054
 
                 
Shares outstanding
   
100,000
     
100,000
 
                 
Net asset value per share
  $
72.30
    $
56.09
 
                 
Market value per share (Note 2)
  $
72.06
    $
55.88
 
                 
 
 
See accompanying notes to financial statements.
59

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
Futures Contracts Sold
                         
 
Number of
Contracts
 
 
Notional
Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires June 2020
   
234
    $
14,374,620
    $
723,586
 
 
 
See accompanying notes to financial statements.
60

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
20,054
    $
48,542
 
                 
Expenses
   
     
 
Management fee
   
15,130
     
21,080
 
Brokerage commissions
   
1,499
     
1,673
 
                 
Total expenses
   
16,629
     
22,753
 
                 
Net investment income (loss)
   
3,425
     
25,789
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
670,950
     
262,745
 
                 
Net realized gain (loss)
   
670,950
     
262,745
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
947,586
     
(577,215
)
Short-term U.S. government and agency obligations
   
(206
)    
11
 
                 
Change in net unrealized appreciation (depreciation)
   
947,380
     
(577,204
)
                 
Net realized and unrealized gain (loss)
   
1,618,330
     
(314,459
)
                 
Net income (loss)
  $
1,621,755
    $
(288,670
)
                 
 
See accompanying notes to financial statements.
61

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
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)
   
3,425
     
25,789
 
Net realized gain (loss)
   
670,950
     
262,745
 
Change in net unrealized appreciation (depreciation)
   
947,380
     
(577,204
)
                 
Net income (loss)
   
1,621,755
     
(288,670
)
                 
Shareholders’ equity, end of period
  $
7,230,367
    $
8,162,647
 
                 
 
See accompanying notes to financial statements.
62

Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
1,621,755
    $
(288,670
)
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
)    
(120,038,956
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
4,436,000
     
120,350,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(6,234
)    
(11,496
)
Change in unrealized appreciation (depreciation) on investments
   
206
     
(11
)
Decrease (Increase) in receivable on futures contracts
   
(21,755
)    
6,300
 
Decrease (Increase) in interest receivable
   
(2,493
)    
(6,324
)
Increase (Decrease) in payable to Sponsor
   
5,702
     
(1,739
)
Increase (Decrease) in payable on futures contracts
   
(37,725
)    
47,048
 
                 
Net cash provided by (used in) operating activities
   
5,496,958
     
56,152
 
                 
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
   
5,496,958
     
(2,552,864
)
Cash, beginning of period
   
1,717,873
     
10,754,381
 
                 
Cash, end of period
  $
7,214,831
    $
8,201,517
 
                 
 
 
 
See accompanying notes to financial statements.
63

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $6,993,476 and $62,196,121, respectively)
  $
6,999,765
    $
62,199,283
 
Cash
   
23,779,446
     
50,856,757
 
Segregated cash balances with brokers for futures contracts
   
26,420,800
     
7,239,420
 
Segregated cash balances with brokers for swap agreements
   
21,122,000
     
3,813,000
 
Unrealized appreciation on swap agreements
   
17,707,219
     
—  
 
Receivable from capital shares sold
   
7,658,066
     
4,267,015
 
Receivable on open futures contracts
   
—  
     
1,144,404
 
Interest receivable
   
28,015
     
54,165
 
                 
Total assets
   
103,715,311
     
129,574,044
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
   
2,552,689
     
 
Payable on open futures contracts
   
953,702
     
—  
 
Payable to Sponsor
   
114,897
     
88,432
 
Unrealized depreciation on swap agreements
   
—  
     
4,033,931
 
                 
Total liabilities
   
3,621,288
     
4,122,363
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
100,094,023
     
125,451,681
 
                 
Total liabilities and shareholders’ equity
  $
103,715,311
    $
129,574,044
 
                 
Shares outstanding
   
2,039,884
     
10,289,884
 
                 
Net asset value per share
  $
49.07
    $
12.19
 
                 
Market value per share (Note 2)
  $
49.99
    $
12.15
 
                 
 
 
 
See accompanying notes to financial statements.
64

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
                 
 
Principal
Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(7% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.566% due 04/23/20
  $
7,000,000
    $
6,999,765
 
                 
Total short-term U.S. government and agency obligations
(cost $6,993,476)
   
    $
6,999,765
 
                 
 
 
Futures Contracts Sold
                         
 
Number of
Contracts
 
 
Notional
Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires May 2020
   
3,923
    $
80,343,040
    $
51,718,391
 
 
 
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 WTI Crude Oil Subindex
   
0.18
%    
04/06/20
    $
(23,689,605
)   $
12,708,382
 
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
   
0.25
     
04/06/20
     
(37,283,308
)    
5,655,721
 
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
   
0.23
     
04/06/20
     
(35,979,891
)    
1,266,918
 
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
   
0.25
     
04/06/20
     
(1,886,919
)    
1,012,123
 
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
   
0.25
     
04/06/20
     
(21,000,790
)    
(2,935,925
)
                                 
   
     
     
Total Unrealized Appreciation
    $
17,707,219
 
                                 
 
 
All or partial amount pledged as collateral for swap agreements.
 
 
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
248,709
    $
361,771
 
                 
Expenses
   
     
 
Management fee
   
202,369
     
166,326
 
Brokerage commissions
   
77,053
     
9,630
 
                 
Total expenses
   
279,422
     
175,956
 
                 
Net investment income (loss)
   
(30,713
)    
185,815
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
6,504,689
     
(3,189,732
)
Swap agreements
   
45,169,333
     
(5,965,427
)
Short-term U.S. government and agency obligations
   
(20
)    
—  
 
                 
Net realized gain (loss)
   
51,674,002
     
(9,155,159
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
54,837,080
     
(6,230,916
)
Swap agreements
   
21,741,150
     
(26,686,116
)
Short-term U.S. government and agency obligations
   
3,127
     
(1,202
)
                 
Change in net unrealized appreciation (depreciation)
   
76,581,357
     
(32,918,234
)
                 
Net realized and unrealized gain (loss)
   
128,255,359
     
(42,073,393
)
                 
Net income (loss)
  $
128,224,646
    $
(41,887,578
)
                 
 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
125,451,681
    $
114,377,311
 
                 
Addition of 3,350,000 and 3,400,000 shares, respectively
   
71,229,475
     
66,476,301
 
Redemption of 11,600,000 and 2,750,000 shares, respectively
   
(224,811,779
)    
(63,139,347
)
                 
Net addition (redemption) of (8,250,000) and 650,000 shares, respectively
   
(153,582,304
)    
3,336,954
 
                 
Net investment income (loss)
   
(30,713
)    
185,815
 
Net realized gain (loss)
   
51,674,002
     
(9,155,159
)
Change in net unrealized appreciation (depreciation)
   
76,581,357
     
(32,918,234
)
                 
Net income (loss)
   
128,224,646
     
(41,887,578
)
                 
Shareholders’ equity, end of period
  $
100,094,023
    $
75,826,687
 
                 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
128,224,646
    $
(41,887,578
)
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
)    
(875,151,345
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
88,246,647
     
881,400,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(146,748
)    
(273,587
)
Net realized gain (loss) on investments
   
20
     
—  
 
Change in unrealized appreciation (depreciation) on investments
   
(21,744,277
)    
26,687,318
 
Decrease (Increase) in receivable on futures contracts
   
1,144,404
     
432,627
 
Decrease (Increase) in interest receivable
   
26,150
     
(5,044
)
Increase (Decrease) in payable to Sponsor
   
26,465
     
(34,103
)
Increase (Decrease) in payable on futures contracts
   
953,702
     
440,081
 
                 
Net cash provided by (used in) operating activities
   
163,833,735
     
(8,391,631
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
67,838,424
     
86,024,284
 
Payment on shares redeemed
   
(222,259,090
)    
(63,139,347
)
                 
Net cash provided by (used in) financing activities
   
(154,420,666
)    
22,884,937
 
                 
Net increase (decrease) in cash
   
9,413,069
     
14,493,306
 
Cash, beginning of period
   
61,909,177
     
39,972,133
 
                 
Cash, end of period
  $
71,322,246
    $
54,465,439
 
                 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31,
2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $999,068 and $5,154,603, respectively)
  $
999,966
    $
5,154,876
 
Cash
   
12,126,232
     
4,438,331
 
Segregated cash balances with brokers for futures contracts
   
3,594,009
     
2,932,560
 
Receivable on open futures contracts
   
714,526
     
—  
 
Interest receivable
   
6,652
     
6,522
 
                 
Total assets
   
17,441,385
     
12,532,289
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
—  
     
6,826
 
Payable to Sponsor
   
21,452
     
9,860
 
                 
Total liabilities
   
21,452
     
16,686
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
17,419,933
     
12,515,603
 
                 
Total liabilities and shareholders’ equity
  $
17,441,385
    $
12,532,289
 
                 
Shares outstanding
   
274,832
     
324,832
 
                 
Net asset value per share
  $
63.38
    $
38.53
 
                 
Market value per share (Note 2)
  $
62.02
    $
38.82
 
                 
See accompanying notes to financial statements.
69

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(6% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.566% due 04/23/20
  $
1,000,000
    $
999,966
 
                 
Total short-term U.S. government and agency obligations
(cost $999,068)
   
    $
999,966
 
                 
Futures Contracts Sold
   
     
     
 
                   
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas—NYMEX, expires May 2020
   
2,125
    $
34,850,000
    $
4,007,315
 
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
70

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
42,432
    $
59,875
 
                 
Expenses
   
     
 
Management fee
   
32,430
     
28,691
 
Brokerage commissions
   
32,281
     
11,700
 
                 
Total expenses
   
64,711
     
40,391
 
                 
Net investment income (loss)
   
(22,279
)    
19,484
 
                 
Realized and unrealized gain (loss) on investment activity
 
 
 
 
 
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
5,626,177
     
11,319,325
 
                 
Net realized gain (loss)
   
5,626,177
     
11,319,325
 
                 
Change in net unrealized appreciation (depreciation) on
 
 
 
 
 
 
Futures contracts
   
3,334,986
     
(10,316,545
)
Short-term U.S. government and agency obligations
   
625
     
(66
)
                 
Change in net unrealized appreciation (depreciation)
   
3,335,611
     
(10,316,611
)
                 
Net realized and unrealized gain (loss)
   
8,961,788
     
1,002,714
 
                 
Net income (loss)
  $
8,939,509
    $
1,022,198
 
                 
 
See accompanying notes to financial statements.
71

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
12,515,603
    $
17,825,441
 
                 
Addition of 550,000 and 250,000 shares, respectively
   
29,104,581
     
4,113,610
 
Redemption of 600,000 and 500,000 shares, respectively
   
(33,139,760
)    
(9,941,758
)
                 
Net addition (redemption) of (50,000) and (250,000) shares, respectively
   
(4,035,179
)    
(5,828,148
)
                 
Net investment income (loss)
   
(22,279
)    
19,484
 
Net realized gain (loss)
   
5,626,177
     
11,319,325
 
Change in net unrealized appreciation (depreciation)
   
3,335,611
     
(10,316,611
)
                 
Net income (loss)
   
8,939,509
     
1,022,198
 
                 
Shareholders’ equity, end of period
  $
17,419,933
    $
13,019,491
 
                 
 
See accompanying notes to financial statements.
72

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
8,939,509
    $
1,022,198
 
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
   
(2,990,772
)    
(188,831,817
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
7,160,924
     
188,150,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(14,617
)    
(18,468
)
Change in unrealized appreciation (depreciation) on investments
   
(625
)    
66
 
Decrease (Increase) in receivable on futures contracts
   
(714,526
)    
2,729,545
 
Decrease (Increase) in interest receivable
   
(130
)    
(4,233
)
Increase (Decrease) in payable to Sponsor
   
11,592
     
(7,532
)
Increase (Decrease) in payable on futures contracts
   
(6,826
)    
—  
 
                 
Net cash provided by (used in) operating activities
   
12,384,529
     
3,039,759
 
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
29,104,581
     
4,113,610
 
Payment on shares redeemed
   
(33,139,760
)    
(14,263,346
)
                 
Net cash provided by (used in) financing activities
   
(4,035,179
)    
(10,149,736
)
                 
Net increase (decrease) in cash
   
8,349,350
     
(7,109,977
)
Cash, beginning of period
   
7,370,891
     
18,756,222
 
                 
Cash, end of period
  $
15,720,241
    $
11,646,245
 
                 
 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31, 2020
(unaudited)
 
 
December 31,
2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $29,939,476 and $78,586,073, respectively)
  $
29,995,823
    $
78,590,100
 
Cash
   
66,546,079
     
44,280,278
 
Unrealized appreciation on foreign currency forward contracts
   
1,448,196
     
115,751
 
Interest receivable
   
32,838
     
60,723
 
                 
Total assets
   
98,022,936
     
123,046,852
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
   
4,100,764
     
—  
 
Payable to Sponsor
   
166,888
     
99,508
 
Unrealized depreciation on foreign currency forward contracts
   
560,685
     
2,366,171
 
                 
Total liabilities
   
4,828,337
     
2,465,679
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
93,194,599
     
120,581,173
 
                 
Total liabilities and shareholders’ equity
  $
98,022,936
    $
123,046,852
 
                 
Shares outstanding
   
3,350,000
     
4,500,000
 
                 
Net asset value per share
  $
27.82
    $
26.80
 
                 
Market value per share (Note 2)
  $
27.76
    $
26.80
 
                 
 
 
See accompanying notes to financial statements.
74

Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(32% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.557% due 04/23/20
  $
16,000,000
    $
15,999,463
 
1.541% due 06/18/20
   
14,000,000
     
13,996,360
 
                 
Total short-term U.S. government and agency obligations
(cost $29,939,476)
   
    $
29,995,823
 
                 
Foreign Currency Forward Contracts
^
   
     
     
     
 
                         
 
Settlement Date
 
 
Contract Amount
in Local Currency
 
 
Contract Amount
in U.S. Dollars 
 
 
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
 
 
 
 
 
 
 
 
 
 
 
 
Euro with Goldman Sachs International
   
04/03/20
     
33,335,051
    $
36,761,245
    $
(601,773
)
Euro with UBS AG
   
04/03/20
     
33,759,900
     
37,229,760
     
41,088
 
                                 
   
     
     
Total Unrealized Depreciation
    $
(560,685
)
                                 
Contracts to Sell
 
 
 
 
 
 
 
 
 
 
 
 
Euro with Goldman Sachs International
   
04/03/20
     
(76,098,314
)   $
(83,919,737
)   $
823,345
 
Euro with UBS AG
   
04/03/20
     
(160,480,099
)    
(176,974,323
)    
624,851
 
                                 
   
     
     
Total Unrealized
Appreciation
    $
1,448,196
 
                                 
All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 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.
7
5

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
399,657
    $
774,618
 
                 
Expenses
   
     
 
Management fee
   
263,442
     
340,145
 
                 
Total expenses
   
263,442
     
340,145
 
                 
Net investment income (loss)
   
136,215
     
434,473
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Foreign currency forward contracts
   
1,047,283
     
3,329,242
 
                 
Net realized gain (loss)
   
1,047,283
     
3,329,242
 
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Foreign currency forward contracts
   
3,137,931
     
4,429,430
 
Short-term U.S. government and agency obligations
   
52,320
     
(4,617
)
                 
Change in net unrealized appreciation (depreciation)
   
3,190,251
     
4,424,813
 
                 
Net realized and unrealized gain (loss)
   
4,237,534
     
7,754,055
 
                 
Net income (loss)
  $
4,373,749
    $
8,188,528
 
                 
See accompanying notes to financial statements.
7
6

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
120,581,173
    $
154,120,159
 
                 
Addition of 200,000 and 250,000 shares, respectively
   
5,754,066
     
6,305,432
 
Redemption of 1,350,000 and 700,000 shares, respectively
   
(37,514,389
)    
(17,168,511
)
                 
Net addition (redemption) of (1,150,000) and (450,000) shares, respectively
   
(31,760,323
)    
(10,863,079
)
                 
Net investment income (loss)
   
136,215
     
434,473
 
Net realized gain (loss)
   
1,047,283
     
3,329,242
 
Change in net unrealized appreciation (depreciation)
   
3,190,251
     
4,424,813
 
                 
Net income (loss)
   
4,373,749
     
8,188,528
 
                 
Shareholders’ equity, end of period
  $
93,194,599
    $
151,445,608
 
                 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
4,373,749
    $
8,188,528
 
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
   
(56,787,039
)    
(726,290,502
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
105,685,000
     
769,850,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(251,364
)    
(718,404
)
Change in unrealized appreciation (depreciation) on investments
   
(3,190,251
)    
(4,424,813
)
Decrease (Increase) in interest receivable
   
27,885
     
(17,707
)
Increase (Decrease) in payable to Sponsor
   
67,380
     
(10,610
)
                 
Net cash provided by (used in) operating activities
   
49,925,360
     
46,576,492
 
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
5,754,066
     
6,305,432
 
Payment on shares redeemed
   
(33,413,625
)    
(19,595,531
)
                 
Net cash provided by (used in) financing activities
   
(27,659,559
)    
(13,290,099
)
                 
Net increase (decrease) in cash
   
22,265,801
     
33,286,393
 
Cash, beginning of period
   
44,280,278
     
36,353,995
 
                 
Cash, end of period
  $
66,546,079
    $
69,640,388
 
                 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $1,998,145 and $12,354,582, respectively)
  $
1,999,933
    $
12,355,192
 
Cash
   
12,674,867
     
8,993,715
 
Segregated cash balances with brokers for futures contracts
   
1,217,013
     
358,200
 
Segregated cash balances with brokers for swap agreements
   
1,599,000
     
544,000
 
Unrealized appreciation on swap agreements
   
861,874
     
 
Receivable from capital shares sold
   
2,300,715
     
 
Receivable on open futures contracts
   
71,561
     
—  
 
Interest receivable
   
7,819
     
11,691
 
                 
Total assets
   
20,732,782
     
22,262,798
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
135,552
     
25,211
 
Payable to Sponsor
   
28,186
     
17,218
 
Unrealized depreciation on swap agreements
   
—  
     
1,172,809
 
                 
Total liabilities
   
163,738
     
1,215,238
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
20,569,044
     
21,047,560
 
                 
Total liabilities and shareholders’ equity
  $
20,732,782
    $
22,262,798
 
                 
Shares outstanding
   
446,977
     
396,977
 
                 
Net asset value per share
  $
46.02
    $
53.02
 
                 
Market value per share (Note 2)
  $
46.28
    $
53.21
 
                 
 
 
 
 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
                 
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(10% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.557% due 04/23/20
  $
2,000,000
    $
1,999,933
 
                 
Total short-term U.S. government and agency obligations
(cost $1,998,145)
   
    $
1,999,933
 
                 
 
 
 
 
 
Futures Contracts Sold
                         
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures—COMEX, expires June 2020
   
127
    $
20,276,820
    $
249,543
 
 
 
 
 
 
Total Return Swap Agreements
^
                                 
 
Rate Paid
(Received)
*
 
 
Termination
Date
 
 
Notional Amount
at Value
**
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   
0.25
%    
04/06/20
    $
(9,571,739
)   $
490,737
 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   
0.20
     
04/06/20
     
(7,173,997
)    
368,034
 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   
0.25
     
04/06/20
     
(4,175,904
)    
3,103
 
                                 
   
     
     
Total Unrealized Appreciation
    $
861,874
 
                                 
 
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
 
 
 
 
 
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.
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Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
61,021
    $
95,211
 
                 
Expenses
   
     
 
Management fee
   
43,239
     
46,962
 
Brokerage commissions
   
2,104
     
778
 
                 
Total expenses
   
45,343
     
47,740
 
                 
Net investment income (loss)
   
15,678
     
47,471
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
(2,028,666
)    
(12,941
)
Swap agreements
   
(3,902,216
)    
(37,814
)
Forward agreements
   
—  
     
(1,118,149
)
                 
Net realized gain (loss)
   
(5,930,882
)    
(1,168,904
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
641,113
     
69,214
 
Swap agreements
   
2,034,683
     
(182,087
)
Forward agreements
   
—  
     
990,786
 
Short-term U.S. government and agency obligations
   
1,178
     
113
 
                 
Change in net unrealized appreciation (depreciation)
   
2,676,974
     
878,026
 
                 
Net realized and unrealized gain (loss)
   
(3,253,908
)    
(290,878
)
                 
Net income (loss)
  $
(3,238,230
)   $
(243,407
)
                 
 
See accompanying notes to financial statements.
81

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
21,047,560
    $
18,098,997
 
                 
Addition of 200,000 and 100,000 shares, respectively
   
9,689,641
     
7,236,873
 
Redemption of 150,000 and 50,001 shares, respectively
   
(6,929,927
)    
(3,585,756
)
                 
Net addition (redemption) of 50,000 and 49,999 shares, respectively
   
2,759,714
     
3,651,117
 
                 
Net investment income (loss)
   
15,678
     
47,471
 
Net realized gain (loss)
   
(5,930,882
)    
(1,168,904
)
Change in net unrealized appreciation (depreciation)
   
2,676,974
     
878,026
 
                 
Net income (loss)
   
(3,238,230
)    
(243,407
)
                 
Shareholders’ equity, end of period
  $
20,569,044
    $
21,506,707
 
                 
 
See accompanying notes to financial statements.
82

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(3,238,230
)   $
(243,407
)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
     
 
Purchases of short-term U.S. government and agency obligations
   
(6,983,176
)    
(266,810,149
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
17,371,000
     
267,850,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(31,387
)    
(48,764
)
Change in unrealized appreciation (depreciation) on investments
   
(2,035,861
)    
(808,812
)
Decrease (Increase) in receivable on futures contracts
   
(71,561
)    
1,700
 
Decrease (Increase) in interest receivable
   
3,872
     
(9,637
)
Increase (Decrease) in payable to Sponsor
   
10,968
     
(18
)
Increase (Decrease) in payable on futures contracts
   
110,341
     
16,640
 
                 
Net cash provided by (used in) operating activities
   
5,135,966
     
(52,447
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
7,388,926
     
3,615,910
 
Payment on shares redeemed
   
(6,929,927
)    
(3,585,756
)
                 
Net cash provided by (used in) financing activities
   
458,999
     
30,154
 
                 
Net increase (decrease) in cash
   
5,594,965
     
(22,293
)
Cash, beginning of period
   
9,895,915
     
15,103,332
 
                 
Cash, end of period
  $
15,490,880
    $
15,081,039
 
                 
 
 
 
 
 
 
 
See accompanying notes to financial statements.
83

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $999,077 and $9,162,163, respectively)
  $
999,966
    $
9,162,867
 
Cash
   
12,784,950
     
5,300,012
 
Segregated cash balances with brokers for futures contracts
   
1,658,250
     
148,200
 
Segregated cash balances with brokers for swap agreements
   
2,822,000
     
1,198,000
 
Unrealized appreciation on swap agreements
   
633,360
     
 
Receivable on open futures contracts
   
17,381
     
4,800
 
Interest receivable
   
6,659
     
4,326
 
                 
Total assets
   
18,922,566
     
15,818,205
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
9,360
     
18,516
 
Payable to Sponsor
   
25,375
     
11,622
 
Unrealized depreciation on swap agreements
   
—  
     
1,953,904
 
                 
Total liabilities
   
34,735
     
1,984,042
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
18,887,831
     
13,834,163
 
                 
Total liabilities and shareholders’ equity
  $
18,922,566
    $
15,818,205
 
                 
Shares outstanding
   
516,976
     
516,976
 
                 
Net asset value per share
  $
36.54
    $
26.76
 
                 
Market value per share (Note 2)
  $
36.66
    $
26.80
 
                 
 
 
 
 
 
 
 
See accompanying notes to financial statements.
84

Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
                 
 
Principal
Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(5% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.548% due 04/23/20
  $
1,000,000
    $
999,966
 
                 
Total short-term U.S. government and agency obligations
(cost $999,077)
   
    $
999,966
 
                 
 
Futures Contracts Sold
                         
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures—COMEX, expires May 2020
   
155
    $
10,970,900
    $
1,520,826
 
 
Total Return Swap Agreements
^
                                 
 
Rate Paid
(Received)
*
 
 
Termination
Date
 
 
Notional Amount
at Value
**
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   
0.25
%    
04/06/20
    $
(12,296,080
)   $
537,457
 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   
0.25
     
04/06/20
     
(7,543,899
)    
672,713
 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   
0.25
     
04/06/20
     
(6,961,822
)    
(576,810
)
                                 
   
     
     
Total Unrealized Depreciation
    $
633,360
 
                                 
 
All or partial amount pledged as collateral for swap agreements.
 
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.
85

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
44,536
    $
70,114
 
                 
Expenses
   
     
 
Management fee
   
37,136
     
37,211
 
Brokerage commissions
   
3,981
     
1,349
 
                 
Total expenses
   
41,117
     
38,560
 
                 
Net investment income (loss)
   
3,419
     
31,554
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
1,920,009
     
(204,534
)
Swap agreements
   
(1,077,769
)    
958,890
 
Forward agreements
   
—  
     
(2,144,498
)
                 
Net realized gain (loss)
   
842,240
     
(1,390,142
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
1,603,007
     
443,525
 
Swap agreements
   
2,587,264
     
(100,891
)
Forward agreements
   
—  
     
1,793,011
 
Short-term U.S. government and agency obligations
   
185
     
(178
)
                 
Change in net unrealized appreciation (depreciation)
   
4,190,456
     
2,135,467
 
                 
Net realized and unrealized gain (loss)
   
5,032,696
     
745,325
 
                 
Net income (loss)
  $
5,036,115
    $
776,879
 
                 
 
See accompanying notes to financial statements.
86

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
13,834,163
    $
11,768,863
 
                 
Addition of 200,000 and 300,000 shares, respectively
   
5,962,843
     
11,229,394
 
Redemption of 200,000 and 100,000 shares, respectively
   
(5,945,290
)    
(3,521,220
)
                 
Net addition (redemption) of – and 200,000 shares, respectively
   
17,553
     
7,708,174
 
                 
Net investment income (loss)
   
3,419
     
31,554
 
Net realized gain (loss)
   
842,240
     
(1,390,142
)
Change in net unrealized appreciation (depreciation)
   
4,190,456
     
2,135,467
 
                 
Net income (loss)
   
5,036,115
     
776,879
 
                 
Shareholders’ equity, end of period
  $
18,887,831
    $
20,253,916
 
                 
 
See accompanying notes to financial statements.
87

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
5,036,115
    $
776,879
 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
     
 
Purchases of short-term U.S. government and agency obligations
   
(4,386,262
)    
(199,723,449
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
12,574,000
     
200,050,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(24,652
)    
(31,762
)
Change in unrealized appreciation (depreciation) on investments
   
(2,587,449
)    
(1,691,942
)
Decrease (Increase) in receivable on futures contracts
   
(12,581
)    
—  
 
Decrease (Increase) in interest receivable
   
(2,333
)    
(8,853
)
Increase (Decrease) in payable to Sponsor
   
13,753
     
2,111
 
Increase (Decrease) in payable on futures contracts
   
(9,156
)    
119,644
 
                 
Net cash provided by (used in) operating activities
   
10,601,435
     
(507,372
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
5,962,843
     
7,311,515
 
Payment on shares redeemed
   
(5,945,290
)    
(3,521,220
)
                 
Net cash provided by (used in) financing activities
   
17,553
     
3,790,295
 
                 
Net increase (decrease) in cash
   
10,618,988
     
3,282,923
 
Cash, beginning of period
   
6,646,212
     
10,276,096
 
                 
Cash, end of period
  $
17,265,200
    $
13,559,019
 
                 
 
See accompanying notes to financial statements.
88

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $3,996,289 and $25,541,523, respectively)
  $
3,999,865
    $
25,542,823
 
Cash
   
26,229,713
     
12,507,112
 
Unrealized appreciation on foreign currency forward contracts
   
—  
     
95,899
 
Interest receivable
   
13,405
     
19,330
 
                 
Total assets
   
30,242,983
     
38,165,164
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable to Sponsor
   
53,367
     
32,844
 
Unrealized depreciation on foreign currency forward contracts
   
603,446
     
—  
 
                 
Total liabilities
   
656,813
     
32,844
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
29,586,170
     
38,132,320
 
                 
Total liabilities and shareholders’ equity
  $
30,242,983
    $
38,165,164
 
                 
Shares outstanding
   
399,290
     
499,290
 
                 
Net asset value per share
  $
74.10
    $
76.37
 
                 
Market value per share (Note 2)
  $
74.11
    $
76.35
 
                 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(14% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.557% due 04/23/20
  $
4,000,000
    $
3,999,865
 
                 
Total short-term U.S. government and agency obligations
(cost $3,996,289)
   
    $
3,999,865
 
                 
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
   
04/03/20
     
1,519,059,504
    $
14,127,679
    $
(382,275
)
Yen with UBS AG
   
04/03/20
     
1,225,973,077
     
11,401,895
     
(23,698
)
                                 
 
   
     
     
    $
(405,973
)
                                 
Contracts to Sell
 
 
 
 
 
 
 
 
 
 
 
 
Yen with Goldman Sachs International
   
04/03/20
     
(3,356,532,669
)   $
(31,216,696
)   $
88,401
 
Yen with UBS AG
   
04/03/20
     
(5,767,995,952
)    
(53,643,983
)    
(285,874
)
                                 
   
     
     
 
    $
(197,473
)
                                 
   
     
     
Total Net Unrealized Depreciation
    $
(603,446
)
                                 
All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 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.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
126,183
    $
292,368
 
                 
Expenses
   
     
 
Management fee
   
84,437
     
124,794
 
                 
Total expenses
   
84,437
     
124,794
 
                 
Net investment income (loss)
   
41,746
     
167,574
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Foreign currency forward contracts
   
(506,520
)    
(343,408
)
Short-term U.S. government and agency obligations
   
—  
     
(72
)
                 
Net realized gain (loss)
   
(506,520
)    
(343,480
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Foreign currency forward contracts
   
(699,345
)    
2,433,717
 
Short-term U.S. government and agency obligations
   
2,276
     
(37
)
                 
Change in net unrealized appreciation (depreciation)
   
(697,069
)    
2,433,680
 
                 
Net realized and unrealized gain (loss)
   
(1,203,589
)    
2,090,200
 
                 
Net income (loss)
  $
(1,161,843
)   $
2,257,774
 
                 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
38,132,320
    $
55,363,675
 
                 
Addition of 50,000 and 400,000 shares, respectively
   
3,956,753
     
30,543,496
 
Redemption of 150,000 and 500,000 shares, respectively
   
(11,341,060
)    
(38,514,404
)
                 
Net addition (redemption) of (100,000) and (100,000) shares, respectively
   
(7,384,307
)    
(7,970,908
)
                 
Net investment income (loss)
   
41,746
     
167,574
 
Net realized gain (loss)
   
(506,520
)    
(343,480
)
Change in net unrealized appreciation (depreciation)
   
(697,069
)    
2,433,680
 
                 
Net income (loss)
   
(1,161,843
)    
2,257,774
 
                 
Shareholders’ equity, end of period
  $
29,586,170
    $
49,650,541
 
                 
 
See accompanying notes to financial statements.
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(1,161,843
)   $
2,257,774
 
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
   
(12,760,075
)    
(523,240,489
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
34,374,000
     
522,500,872
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(68,691
)    
(240,064
)
Net realized gain (loss) on investments
   
—  
     
72
 
Change in unrealized appreciation (depreciation) on investments
   
697,069
     
(2,433,680
)
Decrease (Increase) in interest receivable
   
5,925
     
(9,910
)
Increase (Decrease) in payable to Sponsor
   
20,523
     
(5,965
)
                 
Net cash provided by (used in) operating activities
   
21,106,908
     
(1,171,390
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
3,956,753
     
30,543,496
 
Payment on shares redeemed
   
(11,341,060
)    
(38,514,404
)
                 
Net cash provided by (used in) financing activities
   
(7,384,307
)    
(7,970,908
)
                 
Net increase (decrease) in cash
   
13,722,601
     
(9,142,298
)
                 
Cash, beginning of period
   
12,507,112
     
23,570,254
 
                 
Cash, end of period
  $
26,229,713
    $
14,427,956
 
                 
 
 
 
 
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $14,578,166 and $13,979,509, respectively)
  $
14,598,956
    $
13,980,559
 
Cash
   
22,934,735
     
27,654,022
 
Segregated cash balances with brokers for futures contracts
   
2,009,118
     
5,476,631
 
Receivable from capital shares sold
   
2,905,264
     
 
Receivable on open futures contracts
   
2,635,835
     
 
Interest receivable
   
11,869
     
34,527
 
                 
Total assets
   
45,095,777
     
47,145,739
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
   
—  
     
1,129,877
 
Payable to Sponsor
   
61,391
     
29,278
 
                 
Total liabilities
   
61,391
     
1,159,155
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
45,034,386
     
45,986,584
 
                 
Total liabilities and shareholders’ equity
  $
45,095,777
    $
47,145,739
 
                 
Shares outstanding
   
1,162,403
     
2,162,403
 
                 
Net asset value per share
  $
38.74
    $
21.27
 
                 
Market value per share (Note 2)
  $
38.44
    $
21.29
 
                 
 
 
 
 
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
                 
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(32% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.586% due 04/23/20
  $
6,000,000
    $
5,999,798
 
1.564% due 05/07/20
   
3,600,000
     
3,599,748
 
1.562% due 05/21/20
   
5,000,000
     
4,999,410
 
                 
Total short-term U.S. government and agency obligations
(cost $14,578,166)
   
    $
14,598,956
 
                 
 
Futures Contracts Purchased
                         
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures — Cboe, expires July 2020
   
228
    $
7,734,900
    $
3,843,545
 
VIX Futures — Cboe, expires August 2020
   
481
     
15,235,675
     
6,104,505
 
VIX Futures — Cboe, expires September 2020
   
481
     
14,478,100
     
3,952,620
 
VIX Futures — Cboe, expires October 2020
   
253
     
7,571,025
     
(218,365
)
                         
   
     
    $
13,682,305
 
                         
 
^^ Rates shown represent discount rate at the time of purchase.
 
All or partial amount pledged as collateral for futures contracts.
 
See accompanying notes to financial statements.
95

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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
158,298
    $
265,413
 
                 
Expenses
   
     
 
Management fee
   
94,284
     
105,811
 
Brokerage commissions
   
15,939
     
10,336
 
Brokerage fees
   
155
     
—  
 
                 
Total expenses
   
110,378
     
116,147
 
                 
Net investment income (loss)
   
47,920
     
149,266
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
7,756,525
     
(4,202,020
)
                 
Net realized gain (loss)
   
7,756,525
     
(4,202,020
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
15,963,130
     
(6,425,779
)
Short-term U.S. government and agency obligations
   
19,740
     
(670
)
                 
Change in net unrealized appreciation (depreciation)
   
15,982,870
     
(6,426,449
)
                 
Net realized and unrealized gain (loss)
   
23,739,395
     
(10,628,469
)
                 
Net income (loss)
  $
23,787,315
    $
(10,479,203
)
                 
 
See accompanying notes to financial statements.
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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
45,986,584
    $
56,299,121
 
                 
Addition of 375,000 and 500,000 shares, respectively
   
10,708,061
     
11,369,035
 
Redemption of 1,375,000 and 250,000 shares, respectively
   
(35,447,574
)    
(6,062,484
)
                 
Net addition (redemption) of (1,000,000) and 250,000 shares, respectively
   
(24,739,513
)    
5,306,551
 
                 
Net investment income (loss)
   
47,920
     
149,266
 
Net realized gain (loss)
   
7,756,525
     
(4,202,020
)
Change in net unrealized appreciation (depreciation)
   
15,982,870
     
(6,426,449
)
                 
Net income (loss)
   
23,787,315
     
(10,479,203
)
                 
Shareholders’ equity, end of period
  $
45,034,386
    $
51,126,469
 
                 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
23,787,315
    $
(10,479,203
)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
   
     
 
Purchases of short-term U.S. government and agency obligations
   
(23,530,289
)    
(1,007,355,035
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
23,000,000
     
997,450,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(68,368
)    
(94,965
)
Change in unrealized appreciation (depreciation) on investments
   
(19,740
)    
670
 
Decrease (Increase) in receivable on futures contracts
   
(2,635,835
)    
—  
 
Decrease (Increase) in interest receivable
   
22,658
     
(32,288
)
Increase (Decrease) in payable to Sponsor
   
32,113
     
(355
)
Increase (Decrease) in payable on futures contracts
   
(1,129,877
)    
380,337
 
                 
Net cash provided by (used in) operating activities
   
19,457,977
     
(20,130,839
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
7,802,797
     
11,369,035
 
Payment on shares redeemed
   
(35,447,574
)    
(6,737,316
)
                 
Net cash provided by (used in) financing activities
   
(27,644,777
)    
4,631,719
 
                 
Net increase (decrease) in cash
   
(8,186,800
)    
(15,499,120
)
Cash, beginning of period
   
33,130,653
     
57,542,424
 
                 
Cash, end of period
  $
24,943,853
    $
42,043,304
 
                 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $85,867,918 and $96,862,355, respectively)
  $
85,993,594
    $
96,868,817
 
Cash
   
151,154,889
     
87,829,341
 
Segregated cash balances with brokers for futures contracts
   
6,912,242
     
107,106,000
 
Receivable on open futures contracts
   
138,472
     
909,042
 
Interest receivable
   
128,880
     
123,538
 
                 
Total assets
   
244,328,077
     
292,836,738
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
   
10,007,973
     
 
Payable on open futures contracts
   
10,857,834
     
12,920,593
 
Payable to Sponsor
   
406,916
     
123,642
 
                 
Total liabilities
   
21,272,723
     
13,044,235
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
223,055,354
     
279,792,503
 
                 
Total liabilities and shareholders’ equity
  $
244,328,077
    $
292,836,738
 
                 
Shares outstanding
   
5,876,317
     
22,751,317
 
                 
Net asset value per share
  $
37.96
    $
12.30
 
                 
Market value per share (Note 2)
  $
37.93
    $
12.43
 
                 
 
 
 
 
See accompanying notes to financial statements.
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Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2020
(unaudited)
                 
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
 
 
 
 
 
 
(39% of shareholders’ equity)
   
     
 
U.S. Treasury Bills
^^
:
   
     
 
1.586% due 04/23/20
  $
33,000,000
    $
32,998,891
 
1.564% due 05/07/20
   
20,000,000
     
19,998,600
 
1.562% due 05/21/20
   
33,000,000
     
32,996,103
 
                 
Total short-term U.S. government and agency obligations
(cost $85,867,918)
   
    $
85,993,594
 
                 
 
 
 
 
Futures Contracts Purchased
                         
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures—Cboe, expires April 2020
   
2,417
    $
113,055,175
    $
69,284,468
 
VIX Futures—Cboe, expires May 2020
   
2,684
     
109,842,700
     
(16,895,449
)
                         
   
     
    $
52,389,019
 
                         
 
 
 
 
^^ Rates shown represent discount rate at the time of purchase.
 
 
 
 
All or partial amount pledged as collateral for futures contracts.
 
 
 
 
See accompanying notes to financial statements.
100

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
960,075
    $
852,206
 
                 
Expenses
   
     
 
Management fee
   
626,516
     
361,703
 
Brokerage commissions
   
184,760
     
12,435
 
Brokerage fees
   
4,774
     
1,366
 
                 
Total expenses
   
816,050
     
375,504
 
                 
Net investment income (loss)
   
144,025
     
476,702
 
                 
Realized and unrealized gain (loss) on investment activity
   
     
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
325,737,788
     
(54,906,584
)
                 
Net realized gain (loss)
   
325,737,788
     
(54,906,584
)
                 
Change in net unrealized appreciation (depreciation) on
   
     
 
Futures contracts
   
67,783,030
     
(21,279,791
)
Short-term U.S. government and agency obligations
   
119,214
     
(4,440
)
                 
Change in net unrealized appreciation (depreciation)
   
67,902,244
     
(21,284,231
)
                 
Net realized and unrealized gain (loss)
   
393,640,032
     
(76,190,815
)
                 
Net income (loss)
  $
393,784,057
    $
(75,714,113
)
                 
 
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Shareholders’ equity, beginning of period
  $
279,792,503
    $
149,547,115
 
                 
Addition of 6,800,000 and 6,225,000 shares, respectively
   
78,257,089
     
174,135,151
 
Redemption of 23,675,000 and 1,650,000 shares, respectively
   
(528,778,295
)    
(44,464,950
)
                 
Net addition (redemption) of (16,875,000) and 4,575,000 shares, respectively
   
(450,521,206
)    
129,670,201
 
                 
Net investment income (loss)
   
144,025
     
476,702
 
Net realized gain (loss)
   
325,737,788
     
(54,906,584
)
Change in net unrealized appreciation (depreciation)
   
67,902,244
     
(21,284,231
)
                 
Net income (loss)
   
393,784,057
     
(75,714,113
)
                 
Shareholders’ equity, end of period
  $
223,055,354
    $
203,503,203
 
                 
 
See accompanying notes to financial statements.
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
393,784,057
    $
(75,714,113
)
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
   
(137,588,047
)    
(765,041,780
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
149,000,000
     
780,650,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(417,516
)    
(657,615
)
Change in unrealized appreciation (depreciation) on investments
   
(119,214
)    
4,440
 
Decrease (Increase) in receivable on futures contracts
   
770,570
     
40,296
 
Decrease (Increase) in interest receivable
   
(5,342
)    
(49,354
)
Increase (Decrease) in payable to Sponsor
   
283,274
     
13,262
 
Increase (Decrease) in payable on futures contracts
   
(2,062,759
)    
(1,938,430
)
                 
Net cash provided by (used in) operating activities
   
403,645,023
     
(62,693,294
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
78,257,089
     
174,135,151
 
Payment on shares redeemed
   
(518,770,322
)    
(44,464,950
)
                 
Net cash provided by (used in) financing activities
   
(440,513,233
)    
129,670,201
 
                 
Net increase (decrease) in cash
   
(36,868,210
)    
66,976,907
 
Cash, beginning of period
   
194,935,341
     
39,393,419
 
                 
Cash, end of period
  $
158,067,131
    $
106,370,326
 
                 
 
 
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
                 
 
March 31, 2020
(unaudited)
 
 
December 31, 2019
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $639,453,573 and $1,084,860,512, respectively)
  $
640,479,306
    $
1,084,925,128
 
Cash
   
1,496,955,815
     
770,114,050
 
Segregated cash balances with brokers for futures contracts
   
442,945,674
     
406,121,155
 
Segregated cash balances with brokers for foreign currency forward contracts
   
1,171,000
     
1,421,000
 
Segregated cash balances with brokers for swap agreements
   
198,202,802
     
12,539,000
 
Unrealized appreciation on swap agreements
   
19,202,453
     
52,840,748
 
Unrealized appreciation on foreign currency forward contracts
   
1,452,994
     
321,647
 
Receivable from capital shares sold
   
100,763,661
     
4,354,515
 
Securities sold receivable
   
—  
     
3,883
 
Receivable on open futures contracts
   
231,160,727
     
85,104,325
 
Interest receivable
   
795,452
     
978,751
 
                 
Total assets
   
3,133,129,884
     
2,418,724,202
 
                 
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
   
17,319,724
     
—  
 
Payable on open futures contracts
   
49,414,001
     
50,904,424
 
Payable to Sponsor
   
3,969,172
     
1,747,549
 
Unrealized depreciation on swap agreements
   
314,844,047
     
7,370,428
 
Unrealized depreciation on foreign currency forward contracts
   
1,310,034
     
2,376,700
 
                 
Total liabilities
   
386,856,978
     
62,399,101
 
                 
Commitments and Contingencies (Note 2)
   
     
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
   
2,746,272,906
     
2,356,325,101
 
                 
Total liabilities and shareholders’ equity
  $
3,133,129,884
    $
2,418,724,202
 
                 
Shares outstanding
   
249,889,568
     
110,924,568
 
                 
 
 
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
*
 
 
2019
 
Investment Income
 
 
 
 
 
 
Interest
  $
7,499,714
    $
10,219,582
 
                 
Expenses
   
     
 
Management fee
   
5,838,804
     
5,274,306
 
Brokerage commissions
   
1,746,456
     
936,604
 
Brokerage fees
   
51,378
     
1,457
 
Non-recurring
fees and expenses
   
—  
     
426,058
 
                 
Total expenses
   
7,636,638
     
6,638,425
 
                 
Net investment income (loss)
   
(136,924
)    
3,581,157
 
                 
Realized and unrealized gain (loss) on investment activity
 
 
 
 
 
 
Net realized gain (loss) on
 
 
 
 
 
 
Futures contracts
   
315,177,827
     
(141,653,019
)
Swap agreements
   
(279,339,085
)    
13,166,837
 
Forward agreements
   
—  
     
33,894,330
 
Options
   
(9,707,000
)    
—  
 
Foreign currency forward contracts
   
479,012
     
2,681,254
 
Short-term U.S. government and agency obligations
   
176,434
     
247
 
                 
Net realized gain (loss)
   
26,787,188
     
(91,910,351
)
                 
Change in net unrealized appreciation (depreciation) on
 
 
 
 
 
 
Futures contracts
   
279,530,155
     
26,001,240
 
Swap agreements
   
(341,111,914
)    
94,708,786
 
Forward agreements
   
—  
     
(27,771,221
)
Foreign currency forward contracts
   
2,198,013
     
6,525,074
 
Short-term U.S. government and agency obligations
   
961,117
     
(34,156
)
                 
Change in net unrealized appreciation (depreciation)
   
(58,422,629
)    
99,429,723
 
                 
Net realized and unrealized gain (loss)
   
(31,635,441
)    
7,519,372
 
                 
Net income (loss)
  $
(31,772,365
)   $
11,100,529
 
                 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
 
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
March 31,
 
2020
*
 
 
2019
 
Shareholders’ equity, beginning of period
  $
2,356,325,101
    $
1,943,975,025
 
                 
Addition of 246,780,000 and 29,537,000 shares, respectively
   
3,084,661,161
     
1,207,988,688
 
Redemption of 107,815,000 and 15,355,001 shares, respectively
   
(2,662,911,931
)    
(708,944,464
)
                 
Net addition (redemption) of 138,965,000 and 14,181,999 shares, respectively
   
421,749,230
     
499,044,224
 
                 
Net investment income (loss)
   
(136,924
)    
3,581,157
 
Net realized gain (loss)
   
26,787,188
     
(91,910,351
)
Change in net unrealized appreciation (depreciation)
   
(58,422,629
)    
99,429,723
 
                 
Net income (loss)
   
(31,772,365
)    
11,100,529
 
                 
Shareholders’ equity, end of period
  $
2,746,301,966
    $
2,454,119,778
 
                 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
 
See accompanying notes to financial statements.
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PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
 
Three Months Ended
March 31,
 
2020
*
 
 
2019
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
  $
(31,772,365
)   $
11,100,529
 
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
   
(1,271,770,647
)    
(18,090,778,820
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   
1,721,389,895
     
17,915,321,683
 
Net amortization and accretion on short-term U.S. government and agency obligations
   
(4,035,875
)    
(6,529,798
)
Net realized gain (loss) on investments
   
(176,434
)    
(247
)
Change in unrealized appreciation (depreciation) on investments
   
337,952,784
     
(73,428,483
)
Decrease (Increase) in securities sold receivable
   
3,883
     
—  
 
Decrease (Increase) in receivable on futures contracts
   
(146,056,402
)    
(34,221,598
)
Decrease (Increase) in interest receivable
   
153,339
     
(590,617
)
Increase (Decrease) in payable to Sponsor
   
2,222,523
     
335,880
 
Increase (Decrease) in payable on futures contracts
   
(1,490,423
)    
(4,978,327
)
Increase (Decrease) in
non-recurring
fees and expenses payable
   
—  
     
426,058
 
                 
Net cash provided by (used in) operating activities
   
606,420,278
     
(283,343,740
)
                 
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
   
2,985,264,602
     
1,249,111,923
 
Payment on shares redeemed
   
(2,643,315,875
)    
(694,255,890
)
                 
Net cash provided by (used in) financing activities
   
341,948,727
     
554,856,033
 
                 
Net increase (decrease) in cash
   
948,369,005
     
271,512,293
 
Cash, beginning of period
   
1,190,195,205
     
1,098,678,257
 
                 
Cash, end of period**
  $
2,138,564,210
    $
1,370,190,550
 
                 
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
**
Cash, end of period includes cash balances for the liquidated funds as of March 27, 2020.
See accompanying notes to financial statements.
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PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
March 31, 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 March 31, 2020, the following twenty 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 UltraPro 3x Short Crude Oil ETF, 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 UltraPro 3x Crude Oil ETF, 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 plans 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.
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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
There were no Share splits or reverse Share splits for the Funds for the three months ended March 31, 2020, or during the year ended December 31, 2019.
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, including liquidation-basis adjustments required by Subtopic 205-30,
Liquidation Basis of Accounting.
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, and financial statements in liquidation, 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 financial statements in liquidation for ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF are also presented 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.
Due to an ongoing review of market needs and shareholder feedback, the Sponsor approved a plan to liquidate ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF in an orderly manner. As a result, liquidation was determined to be imminent on March 27, 2020, and the liquidated funds adopted the liquidation basis of accounting. In adopting the liquidation basis of accounting, the liquidated funds recorded adjustments to the accrued income and for payments for brokerage commissions and fees for the month of March 2020. These payments reconcile the differences noted between ending shareholders’ equity while the funds were a going concern to beginning net assets when the funds adopted the liquidation basis of accounting, as presented in the financial statements above.
Under the liquidation basis of accounting, assets are measured at the estimated amount of cash or other consideration that the liquidated funds expected to collect in settling or disposing of the assets, and liabilities are measured at their estimated settlement amounts, including costs the liquidated funds incurred through the end of the liquidation (liquidation value). These amounts were undiscounted and are recorded to the extent the liquidated funds had a reasonable basis for estimation. Liabilities were recognized in accordance with the measurement and recognition provisions of GAAP applicable for going-concern entities. In addition, liabilities include costs to dispose of assets or other items the liquidated funds sold during the course of liquidation.
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Under the plan of liquidation, the liquidated funds (1) sold their remaining investments, (2) collected any receivables as they became due, (3) used available cash to settle obligations, and (4) paid out distributions to the shareholders of the Funds. During this period, each liquidated fund was not managed in accordance with its investment objective. The Sponsor completed the liquidation of the Funds on April 3, 2020.
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 March 31, 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.
The cash amount shown on the Combined Statements of Cash Flows includes the cash balances of the liquidated funds through March 27, 2020, the date of the liquidation.
Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 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.
     
March 31, 2020
 
UltraShort Gold, Ultra Gold
   
1:00 p.m.
     
1:30 p.m.
     
March 31, 2020
 
UltraShort Bloomberg Crude Oil,
   
     
     
 
Ultra Bloomberg Crude Oil
   
2:00 p.m.
     
2:30 p.m.
     
March 31, 2020
 
UltraPro 3x Short Crude Oil ETF,
   
     
     
 
UltraPro 3x Crude Oil ETF
   
2:00 p.m.
     
2:30 p.m.
     
March 27, 2020
**
UltraShort Bloomberg Natural Gas,
   
     
     
 
Ultra Bloomberg Natural Gas
   
2:00 p.m.
     
2:30 p.m.
     
March 31, 2020
 
UltraShort Australian Dollar
   
3:00 p.m.
     
4:00 p.m.
     
March 31, 2020
 
Short Euro,
   
     
     
 
UltraShort Euro,
   
     
     
 
Ultra Euro
   
3:00 p.m.
     
4:00 p.m.
     
March 31, 2020
 
UltraShort Yen,
   
     
     
 
Ultra Yen
   
3:00 p.m.
     
4:00 p.m.
     
March 31, 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.
     
March 31, 2020
 
VIX
Mid-Term
Futures ETF
   
2:00 p.m.
     
4:15 p.m.
     
March 31, 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 three months ended March 31, 2020.
**
For purposes of creation and redemption of shares, the liquidated funds calculated their final NAVs on March 27, 2020, the last day the funds accepted creation orders.
 
 
 
 
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 three months ended March 31, 2020.
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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.
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The following table summarizes the valuation of investments at March 31, 2020 using the fair value hierarchy:
 
Level I - Quoted Prices
   
Level II - Other Significant Observable Inputs
 
Fund
 
Short-Term
 U.S.
Government and
Agencies
   
Futures
Contracts
*
   
Foreign
Currency
Forward
Contracts
   
Swap
Agreements
   
Total
 
ProShares Short Euro
  $
—  
    $
53,324
    $
—  
    $
—  
    $
53,324
 
ProShares Short VIX Short-Term Futures ETF
   
91,992,138
     
31,228,674
     
—  
     
—  
     
123,220,812
 
ProShares Ultra Bloomberg Crude Oil
   
175,922,699
     
(72,948,143
)    
—  
     
(227,248,242
)    
(124,273,686
)
ProShares Ultra Bloomberg Natural Gas
   
15,997,651
     
(7,119,051
)    
—  
     
—  
     
8,878,600
 
ProShares Ultra Euro
   
—  
     
—  
     
(111,337
)    
—  
     
(111,337
)
ProShares Ultra Gold
   
30,995,562
     
(1,389,722
)    
—  
     
(9,624,800
)    
19,981,040
 
ProShares Ultra Silver
   
60,991,159
     
1,474,963
     
—  
     
(55,787,128
)    
6,678,994
 
ProShares Ultra VIX Short-Term Futures ETF
   
118,992,229
     
151,959,173
     
—  
     
(22,183,877
)    
248,767,525
 
ProShares Ultra Yen
   
—  
     
—  
     
(29,768
)    
—  
     
(29,768
)
ProShares UltraShort Australian Dollar
   
—  
     
723,586
     
—  
     
—  
     
723,586
 
ProShares UltraShort Bloomberg Crude Oil
   
6,999,765
     
51,718,391
     
—  
     
17,707,219
     
76,425,375
 
ProShares UltraShort Bloomberg Natural Gas
   
999,966
     
4,007,315
     
—  
     
—  
     
5,007,281
 
ProShares UltraShort Euro
   
29,995,823
     
—  
     
887,511
     
—  
     
30,883,334
 
ProShares UltraShort Gold
   
1,999,933
     
249,543
     
—  
     
861,874
     
3,111,350
 
ProShares UltraShort Silver
   
999,966
     
1,520,826
     
—  
     
633,360
     
3,154,152
 
ProShares UltraShort Yen
   
3,999,865
     
—  
     
(603,446
)    
—  
     
3,396,419
 
ProShares VIX
Mid-Term
Futures ETF
   
14,598,956
     
13,682,305
     
—  
     
—  
     
28,281,261
 
ProShares VIX Short-Term Futures ETF
   
85,993,594
     
52,389,019
     
—  
     
—  
     
138,382,613
 
                                         
Total Trust
 
$
640,479,306
 
 
$
227,550,203
 
 
$
142,960
 
 
$
(295,641,594
)
 
$
572,530,875
 
* 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
 
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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.
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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, except for as described below.
From the beginning of the reporting period until the close of business on March 15, 2020, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective.
As discussed in Note 1, ProShares Capital Management LLC announced on March 15, 2020 that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF. From this time through the effective end of the reporting period, the volume of the derivative exposure relative to the net assets was not generally representative to their current investment objectives. Each of the liquidated funds sought to use swaps with loss limits or option strategies in a manner designed to limit losses or otherwise prevent the liquidated fund’s net asset value from going to zero. Certain of these swaps or options strategies may have included provisions that limited the amount a liquidated fund could have gained. These strategies may not have prevented a liquidated fund from losing value and may have prevented a liquidated fund from achieving gains. These strategies were intended to allow a liquidated fund to preserve a minimal portion of its value in the event of significant adverse movements in a Fund’s benchmark. 
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.
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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.
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The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.
Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 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 March 31, 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.
116

Table of Contents
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 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.
117

Table of Contents
Fair Value of Derivative Instruments as of March 31, 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
 
 
$
31,228,674
*
 
 
 
$
—  
 
 
ProShares Ultra VIX
Short-Term
Futures ETF
 
   
228,821,148
*
 
 
   
99,045,852
*
 
 
ProShares VIX
Mid-Term
Futures ETF
 
   
13,900,670
*
 
 
   
218,365
*
 
 
ProShares VIX Short-Term Futures ETF
 
   
69,284,468
*
 
 
   
16,895,449
*
 
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
 
   
—  
   
   
300,196,385
*
 
 
ProShares Ultra Bloomberg Natural Gas
 
   
—  
   
   
7,119,051
*
 
 
ProShares Ultra Gold
 
   
—  
   
   
11,014,522
*
 
 
ProShares Ultra Silver
 
   
1,474,963
*
 
 
   
55,787,128
*
 
 
ProShares UltraShort Bloomberg Crude Oil
 
   
72,361,535
*
 
 
   
2,935,925
*
 
 
ProShares UltraShort Bloomberg Natural Gas
 
   
4,007,315
*
 
 
   
—  
 
 
ProShares UltraShort Gold
 
   
1,111,417
*
 
 
   
—  
 
 
ProShares UltraShort Silver
 
   
2,730,996
*
 
 
   
576,810
*
 
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
 
   
53,324
*
 
 
   
—  
 
 
ProShares Ultra Euro
 
   
4,798
   
   
116,135
 
 
ProShares Ultra Yen
 
   
—  
   
   
29,768
 
 
ProShares UltraShort Australian Dollar
 
   
723,586
*
 
 
   
—  
 
 
ProShares UltraShort Euro
 
   
1,448,196
   
   
560,685
 
 
ProShares UltraShort Yen
 
   
—  
   
   
603,446
 
                             
 
 
Total Trust
 
$
427,151,090
*
 
 
 
$
495,099,521
*
 
 
 
* 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.
 
 
118

Table of Contents
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
*
 
 
 
119

Table of Contents
                         
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 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
  $
(244,300,604
)   $
20,973,802
 
 
 
ProShares Ultra VIX Short-Term Futures ETF
   
726,085,231
     
176,381,861
 
 
 
ProShares VIX
Mid-Term
Futures ETF
   
7,756,525
     
15,963,130
 
 
 
ProShares VIX Short-Term Futures ETF
   
325,737,788
     
67,783,030
 
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
   
(505,591,266
)    
(322,776,550
)
 
 
ProShares Ultra Bloomberg Natural Gas
   
(22,819,605
)    
(4,466,823
)
 
 
ProShares Ultra Gold
   
21,498,056
     
(19,153,296
)
 
 
ProShares Ultra Silver
   
(3,697,654
)    
(85,172,612
)
 
 
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
   
51,674,022
     
76,578,230
 
 
 
ProShares UltraShort Bloomberg Natural Gas
   
5,626,177
     
3,334,986
 
 
 
ProShares UltraShort Gold
   
(5,930,882
)    
2,675,796
 
 
 
ProShares UltraShort Silver
   
842,240
     
4,190,271
 
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
   
(18,638
)    
67,324
 
 
 
ProShares Ultra Euro
   
(53,268
)    
(221,334
)
 
 
ProShares Ultra Yen
   
(8,483
)    
(19,239
)
 
 
ProShares UltraShort Australian Dollar
   
670,950
     
947,586
 
 
 
ProShares UltraShort Euro
   
1,047,283
     
3,137,931
 
 
 
ProShares UltraShort Yen
   
(506,520
)    
(699,345
)
                         
 
 
Total Trust
 
$
26,610,754
 
 
$
(59,383,746
)
 
 
*
The operations include the activity through March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
 
 
120

Table of Contents
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 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
  $
59,105,354
    $
22,576,820
 
 
 
ProShares Ultra VIX Short-Term Futures ETF
   
(195,223,341
)    
(39,049,943
)
 
 
ProShares VIX
Mid-Term
Futures ETF
   
(4,202,020
)    
(6,425,779
)
 
 
ProShares VIX Short-Term Futures ETF
   
(54,906,584
)    
(21,279,791
)
Commodities Contracts
 
Net realized gain (loss) on futures contracts, swap and/or forward agreements/ changes in unrealized appreciation/ depreciation on futures contracts, swap and/ or forward agreements
 
   
     
 
 
 
ProShares Ultra Bloomberg Crude Oil
   
76,523,157
     
143,404,363
 
 
 
ProShares Ultra Bloomberg Natural Gas
   
(13,301,838
)    
10,344,940
 
 
 
ProShares Ultra Gold
   
4,092,585
     
(3,811,439
)
 
 
ProShares Ultra Silver
   
13,301,791
     
(26,887,670
)
 
 
ProShares UltraPro 3x Crude Oil ETF
   
22,272,869
     
64,156,754
 
 
 
ProShares UltraPro 3x Short Crude Oil ETF
   
(2,268,796
)    
(9,496,353
)
 
 
ProShares UltraShort Bloomberg Crude Oil
   
(9,155,159
)    
(32,917,032
)
 
121

Table of Contents
                         
 
 
ProShares UltraShort Bloomberg Natural Gas
 
$
11,319,325
   
$
(10,316,545
)
 
 
ProShares UltraShort Gold
   
(1,168,904
)    
877,913
 
 
 
ProShares UltraShort Silver
   
(1,390,142
)    
2,135,645
 
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
   
147,106
     
204,137
 
 
 
ProShares Ultra Euro
   
(227,273
)    
(225,476
)
 
 
ProShares Ultra Yen
   
(77,307
)    
(112,597
)
 
 
ProShares UltraShort Australian Dollar
   
262,745
     
(577,215
)
 
 
ProShares UltraShort Euro
   
3,329,242
     
4,429,430
 
 
 
ProShares UltraShort Yen
   
(343,408
)    
2,433,717
 
                         
 
 
Total Trust
 
$
(91,910,598
)
 
$
99,463,879
 
 
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 March 31, 2020.
122

Table of Contents
                                                 
Fair Values of Derivative Instruments as of March 31, 2020
 
 
Assets
   
Liabilities
 
Fund
 
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
 
 
Gross Amounts
Offset in the
Statements of
Financial
Condition
 
 
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
 
 
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
 
 
Gross Amounts
Offset in the
Statements of
Financial
Condition
 
 
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
   
     
     
     
     
     
 
Swap agreements
  $
—  
    $
—  
    $
—  
    $
227,248,242
    $
—  
    $
227,248,242
 
ProShares Ultra Euro
   
     
     
     
     
     
 
Foreign currency forward contracts
   
4,798
     
—  
     
4,798
     
116,135
     
—  
     
116,135
 
ProShares Ultra Gold
   
     
     
     
     
     
 
Swap agreements
   
—  
     
—  
     
—  
     
9,624,800
     
—  
     
9,624,800
 
ProShares Ultra Silver
   
     
     
     
     
     
 
Swap agreements
   
—  
     
—  
     
—  
     
55,787,128
     
—  
     
55,787,128
 
ProShares Ultra VIX Short-Term Futures ETF
   
     
     
     
     
     
 
Swap agreements
   
—  
     
—  
     
—  
     
22,183,877
     
—  
     
22,183,877
 
ProShares Ultra Yen
   
     
     
     
     
     
 
Foreign currency forward contracts
   
—  
     
—  
     
—  
     
29,768
     
—  
     
29,768
 
ProShares UltraShort Bloomberg Crude Oil
   
     
     
     
     
     
 
Swap agreements
   
17,707,219
     
—  
     
17,707,219
     
—  
     
—  
     
—  
 
ProShares UltraShort Euro
   
     
     
     
     
     
 
Foreign currency forward contracts
   
1,448,196
     
—  
     
1,448,196
     
560,685
     
—  
     
560,685
 
ProShares UltraShort Gold
   
     
     
     
     
     
 
Swap agreements
   
861,874
     
—  
     
861,874
     
—  
     
—  
     
—  
 
ProShares UltraShort Silver
   
     
     
     
     
     
 
Swap agreements
   
633,360
     
—  
     
633,360
     
—  
     
—  
     
—  
 
ProShares UltraShort Yen
   
     
     
     
     
     
 
Foreign currency forward contracts
   
—  
     
—  
     
—  
     
603,446
     
—  
     
603,446
 
 
 
 
 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
                                 
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 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
   
     
     
     
 
Citibank, N.A.
  $
(58,478,722
)   $
15,368,722
    $
43,110,000
    $
—  
 
Goldman Sachs International
   
(48,452,020
)    
35,057,020
     
13,395,000
     
—  
 
Royal Bank of Canada
   
(50,981,260
)    
43,941,260
     
7,040,000
     
—  
 
Societe Generale
   
(17,259,760
)    
6,932,760
     
10,327,000
     
—  
 
UBS AG
   
(52,076,480
)    
15,774,141
     
5,790,000
     
(30,512,339
)
ProShares Ultra Euro
   
     
     
     
 
Goldman Sachs International
   
(14,998
)    
—  
     
14,998
     
—  
 
UBS AG
   
(96,339
)    
—  
     
96,339
     
—  
 
ProShares Ultra Gold
   
     
     
     
 
Citibank, N.A.
   
(3,248,824
)    
3,248,824
     
—  
     
—  
 
Goldman Sachs International
   
(3,207,008
)    
—  
     
3,207,008
     
—  
 
UBS AG
   
(3,168,968
)    
—  
     
3,168,968
     
—  
 
ProShares Ultra Silver
   
     
     
     
 
 
 
 
 
123

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Citibank, N.A.
 
$
(24,457,594
)  
$
21,217,594
   
$
3,240,000
   
$
—  
 
Goldman Sachs International
   
(14,118,753
)    
280,753
     
13,838,000
     
—  
 
UBS AG
   
(17,210,781
)    
—  
     
17,210,781
     
—  
 
ProShares Ultra VIX Short-Term Futures ETF
   
     
     
     
 
Goldman Sachs & Co.
   
(22,183,877
)    
—  
     
22,183,877
     
—  
 
ProShares Ultra Yen
   
     
     
     
 
Goldman Sachs International
   
(16,374
)    
—  
     
16,374
     
—  
 
UBS AG
   
(13,394
)    
—  
     
13,394
     
—  
 
ProShares UltraShort Bloomberg Crude Oil
   
     
     
     
 
Citibank, N.A.
   
12,708,382
     
—  
     
(10,480,000
)    
2,228,382
 
Goldman Sachs International
   
5,655,721
     
(5,655,721
)    
—  
     
—  
 
Royal Bank of Canada
   
1,266,918
     
—  
     
(1,266,918
)    
—  
 
Societe Generale
   
1,012,123
     
(779,583
)    
—  
     
232,540
 
UBS AG
   
(2,935,925
)    
—  
     
2,935,925
     
—  
 
ProShares UltraShort Euro
   
     
     
     
 
Goldman Sachs International
   
221,572
     
—  
     
—  
     
221,572
 
UBS AG
   
665,939
     
(632,942
)    
—  
     
32,997
 
ProShares UltraShort Gold
   
     
     
     
 
Citibank, N.A.
   
490,737
     
—  
     
(100,000
)    
390,737
 
Goldman Sachs International
   
368,034
     
(368,034
)    
—  
     
—  
 
UBS AG
   
3,103
     
—  
     
—  
     
3,103
 
ProShares UltraShort Silver
   
     
     
     
 
Citibank, N.A.
   
537,457
     
—  
     
(210,000
)    
327,457
 
Goldman Sachs International
   
672,713
     
(672,713
)    
—  
     
—  
 
UBS AG
   
(576,810
)    
576,810
     
—  
     
—  
 
ProShares UltraShort Yen
   
     
     
     
 
Goldman Sachs International
   
(293,874
)    
293,874
     
—  
     
—  
 
UBS AG
   
(309,572
)    
309,572
     
—  
     
—  
 
 
 
 
 
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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 Derivative Instruments”.
                                 
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2019
 
Fund
 
Amounts of Recognized
Assets / (Liabilities)
presented in
the Statements of
Financial
Condition
 
 
Financial Instruments
for the Benefit of
(the Funds) / the
Counterparties
 
 
Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties
 
 
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
   
     
     
     
 
Citibank, N.A.
  $
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
 
 
 
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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 Sponsor stopped charging the Management Fee to the liquidated funds on March 27, 2020, the date it was determined that liquidation was imminent.
The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s 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.
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Table of Contents
Non-Recurring
Fees and Expenses
Each Fund pays all its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”) serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
The Custodian
BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – OFFERING COSTS
Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
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Table of Contents
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 months ended March 31, 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
 
Fund
 
March 31, 2020
 
ProShares Short Euro
  $
—  
 
ProShares Short VIX Short-Term Futures ETF
   
519,580
 
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
   
707,226
 
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
   
13,720
 
ProShares VIX Short-Term Futures ETF
   
170,020
 
         
Total Trust
 
$
1,410,546
 
 
 
*
The operations include the activity through March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
 
 
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Table of Contents
NOTE 7 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended March 31, 2020
For the Three Months Ended March 31, 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)
   
0.04
     
(0.04
)    
0.20
     
(0.00
)
+
 
   
0.01
     
0.05
 
Net realized and unrealized gain (loss)#
   
0.98
     
(34.56
)    
(469.28
)    
(42.15
)    
(0.64
)    
3.18
 
Change in net asset value from operations
   
1.02
     
(34.60
)    
(469.08
)    
(42.15
)    
(0.63
)    
3.23
 
Net asset value, at March 31, 2020
  $
46.66
    $
31.02
    $
40.15
    $
41.82
    $
13.16
    $
52.44
 
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 March 31, 2020
  $
45.09
    $
31.01
    $
39.75
    $
42.60
    $
13.15
    $
52.00
 
Total Return, at net asset value^
   
2.2
%    
(52.7
)%    
(92.1
)%    
(50.2
)%    
(4.6
)%    
6.6
%
Total Return, at market value^
   
(1.3
)%    
(52.5
)%    
(92.2
)%    
(48.9
)%    
(4.5
)%    
6.0
%
Ratios to Average Net Assets**
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expense ratio
   
0.97
%    
1.19
%    
1.09
%    
1.39
%    
0.95
%    
0.98
%
Expense ratio, excluding brokerage commissions and fees
   
0.95
%    
0.95
%    
0.95
%    
0.95
%    
0.95
%    
0.95
%
Net investment income gain (loss)
   
0.34
%    
(0.38
)%    
0.44
%    
(0.02
)%    
0.25
%    
0.35
%
* See Note 9 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 March 31, 2020.
+ Amount greater than $(0.005).
129

Table of Contents
For the Three Months Ended March 31, 2020 (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, 2019
  $
31.70
    $
12.67
    $
55.83
    $
21.47
    $
10.66
    $
56.09
 
Net investment income (loss)
   
0.04
     
(0.02
)    
0.03
     
(0.00
)
+
   
(0.01
)    
0.03
 
Net realized and unrealized gain (loss)#
   
(13.32
)    
45.87
     
0.35
     
(21.26
)    
34.88
     
16.18
 
Change in net asset value from operations
   
(13.28
)    
45.85
     
0.38
     
(21.26
)    
34.87
     
16.21
 
Net asset value, at March 31, 2020
  $
18.42
    $
58.52
    $
56.21
    $
0.21
@
 
  $
45.53
@
 
  $
72.30
 
Market value per share, at December 31, 2019
  $
31.65
    $
12.89
    $
55.83
    $
21.60
    $
10.58
    $
55.88
 
Market value per share, at March 31, 2020
  $
18.44
    $
58.56
    $
56.19
    $
0.22
    $
45.32
    $
72.06
 
Total Return, at net asset value^
   
(41.9
)%    
361.9
%    
0.7
%    
(99.0
)%    
327.1
%    
28.9
%
Total Return, at market value^
   
(41.7
)%    
354.3
%    
0.6
%    
(99.0
)%    
328.4
%    
29.0
%
Ratios to Average Net Assets**
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expense ratio
   
0.99
%    
1.47
%    
0.95
%    
1.65
%    
1.68
%    
1.04
%
Expense ratio, excluding brokerage commissions and fees
   
0.95
%    
0.95
%    
0.95
%    
0.95
%    
0.95
%    
0.95
%
Net investment income gain (loss)
   
0.55
%    
(0.50
)%    
0.21
%    
(0.49
)%    
(0.33
)%    
0.22
%
*
The per share operating performance presented here is for the period ended March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
**
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 March 31, 2020.
+
Amount greater than $(0.005).
@
NAV on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
130

Table of Contents
For the Three Months Ended March 31, 2020 (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, 2019
  $
12.19
    $
38.53
    $
26.80
    $
53.02
    $
26.76
    $
76.37
 
Net investment income (loss)
   
(0.01
)    
(0.08
)    
0.03
     
0.04
     
0.01
     
0.09
 
Net realized and unrealized gain (loss)#
   
36.89
     
24.93
     
0.99
     
(7.04
)    
9.77
     
(2.36
)
Change in net asset value from operations
   
36.88
     
24.85
     
1.02
     
(7.00
)    
9.78
     
(2.27
)
Net asset value, at March 31, 2020
  $
49.07
    $
63.38
    $
27.82
    $
46.02
    $
36.54
    $
74.10
 
Market value per share, at December 31, 2019
  $
12.15
    $
38.82
    $
26.80
    $
53.21
    $
26.80
    $
76.35
 
Market value per share, at March 31, 2020
  $
49.99
    $
62.02
    $
27.76
    $
46.28
    $
36.66
    $
74.11
 
Total Return, at net asset value^
   
302.5
%    
64.5
%    
3.8
%    
(13.2
)%    
36.5
%    
(3.0
)%
Total Return, at market value^
   
311.4
%    
59.8
%    
3.6
%    
(13.0
)%    
36.8
%    
(2.9
)%
Ratios to Average Net Assets**
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expense ratio
   
1.31
%    
1.90
%    
0.95
%    
1.00
%    
1.05
%    
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)
   
(0.14
)%    
(0.65
)%    
0.49
%    
0.34
%    
0.09
%    
0.47
%
 
 
 
 
 
** 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 March 31, 2020.
 
 
131

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For the Three Months Ended March 31, 2020 (unaudited)
                 
Per Share Operating Performance
 
VIX
 Mid-Term

Futures
ETF
 
 
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2019
  $
21.27
    $
12.30
 
Net investment income (loss)
   
0.03
     
0.01
 
Net realized and unrealized gain (loss)#
   
17.44
     
25.65
 
Change in net asset value from operations
   
17.47
     
25.66
 
Net asset value, at March 31, 2020
  $
38.74
    $
37.96
 
Market value per share, at December 31, 2019
  $
21.29
    $
12.43
 
Market value per share, at March 31, 2020
  $
38.44
    $
37.93
 
Total Return, at net asset value^
   
82.1
%    
208.6
%
Total Return, at market value^
   
80.6
%    
205.1
%
Ratios to Average Net Assets**
 
 
 
 
 
 
Expense ratio
   
1.00
%    
1.11
%
Expense ratio, excluding brokerage commissions and fees
   
0.85
%    
0.85
%
Net investment income gain (loss)
   
0.43
%    
0.20
%
 
 
 
 
 
** 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 March 31, 2020.
 
 
132

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Selected data for a Share outstanding throughout the three months ended March 31, 2019
For the Three Months Ended March 31, 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)
   
0.14
     
0.01
     
1.14
     
0.44
     
0.04
     
0.09
 
Net realized and unrealized gain (loss)#
   
1.19
     
9.94
     
210.43
     
(49.99
)    
(0.84
)    
0.11
 
Change in net asset value from operations
   
1.33
     
9.95
     
211.57
     
(49.55
)    
(0.80
)    
0.20
 
Net asset value, at March 31, 2019
  $
44.43
    $
52.31
    $
538.03
    $
203.28
    $
14.29
    $
37.32
 
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 March 31, 2019
  $
44.41
    $
52.36
    $
538.25
    $
204.20
    $
14.31
    $
37.24
 
Total Return, at net asset value^
   
3.1
%    
23.5
%    
64.8
%    
(19.6
)%    
(5.3
)%    
0.5
%
Total Return, at market value^
   
3.1
%    
23.8
%    
61.9
%    
(20.9
)%    
(5.4
)%    
(0.5
)%
Ratios to Average Net Assets**
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expense ratio
   
0.97
%    
1.54
%^^    
0.97
%    
1.28
%    
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)
   
1.32
%    
0.05
%    
1.02
%    
0.76
%    
1.06
%    
1.00
%
* See Note 9 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 March 31, 2019.
^^ Expense ratio, excluding
non-recurring
fees and expense is 1.14%.
133

Table of Contents
For the Three Months Ended March 31, 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)
   
0.06
     
(0.02
)    
0.15
     
0.04
     
0.04
     
0.15
 
Net realized and unrealized gain (loss)#
   
(1.93
)    
(42.44
)    
(2.03
)    
13.83
     
(29.21
)    
(1.03
)
Change in net asset value from operations
   
(1.87
)    
(42.46
)    
(1.88
)    
13.87
     
(29.17
)    
(0.88
)
Net asset value, at March 31, 2019
  $
24.52
    $
39.00
    $
55.65
    $
26.95
    $
20.62
    $
54.42
 
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 March 31, 2019
  $
24.48
    $
38.90
    $
55.64
    $
26.97
    $
20.60
    $
54.41
 
Total Return, at net asset value^
   
(7.1
)%    
(52.1
)%    
(3.3
)%    
106.0
%    
(58.6
)%    
(1.6
)%
Total Return, at market value^
   
(7.2
)%    
(52.4
)%    
(3.3
)%    
100.2
%    
(57.5
)%    
(0.9
)%
Ratios to Average Net Assets**
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expense ratio
   
0.96
%    
1.54
%^^    
0.95
%    
1.16
%    
1.32
%    
1.03
%
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)
   
0.93
%    
(0.15
)%    
1.11
%    
0.81
%    
0.67
%    
1.16
%
** 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 March 31, 2019.
^^ Expense ratio, excluding
non-recurring
fees and expense is 1.52%.
134

Table of Contents
For the Three Months Ended March 31, 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)
   
0.05
     
0.03
     
0.07
     
0.17
     
0.07
     
0.23
 
Net realized and unrealized gain (loss)#
   
(12.95
)    
1.01
     
1.33
     
(1.03
)    
1.98
     
2.35
 
Change in net asset value from operations
   
(12.90
)    
1.04
     
1.40
     
(0.86
)    
2.05
     
2.58
 
Net asset value, at March 31, 2019
  $
16.89
    $
22.65
    $
25.67
    $
72.42
    $
39.18
    $
76.47
 
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 March 31, 2019
  $
16.88
    $
22.51
    $
25.67
    $
72.61
    $
39.24
    $
76.44
 
Total Return, at net asset value^
   
(43.3
)%    
4.8
%    
5.8
%    
(1.2
)%    
5.5
%    
3.5
%
Total Return, at market value^
   
(42.4
)%    
6.1
%    
5.9
%    
(0.3
)%    
5.8
%    
3.5
%
Ratios to Average Net Assets**
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expense ratio
   
1.01
%    
1.34
%    
0.95
%    
0.97
%    
0.98
%    
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)
   
1.06
%    
0.65
%    
1.21
%    
0.96
%    
0.80
%    
1.28
%
** 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 March 31, 2019.
135

Table of Contents
For the Three Months Ended March 31, 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)
   
0.07
     
0.08
 
Net realized and unrealized gain (loss)#
   
(5.08
)    
(14.58
)
Change in net asset value from operations
   
(5.01
)    
(14.50
)
Net asset value, at March 31, 2019
  $
21.64
    $
24.08
 
Market value per share, at December 31, 2018
  $
26.74
    $
38.61
 
Market value per share, at March 31, 2019
  $
21.59
    $
24.02
 
Total Return, at net asset value^
   
(18.8
)%    
(37.6
)%
Total Return, at market value^
   
(19.3
)%    
(37.8
)%
Ratios to Average Net Assets**
 
 
 
 
 
 
Expense ratio
   
0.93
%    
0.88
%
Expense ratio, excluding
non-recurring
fees and expenses, and brokerage commissions and fees
   
0.85
%    
0.85
%
Net investment income gain (loss)
   
1.20
%    
1.12
%
** 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 March 31, 2019.
136

Table of Contents
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.
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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and have only recently 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
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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
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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.
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. The subsequent events were as follows:
On March 15, 2020 ProShares Capital Management LLC announced that it plans to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD). Each fund traded on NYSE Arca.
The last day the 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 liquidations 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 NYSE Arca, nor was there a secondary market for the shares of the liquidated funds. 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. These cash distributions are taxable events. Shareholders should consult their tax advisor about any potential tax consequences.
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 will begin trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the two 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.
For UCO and BOIL shareholders who hold quantities of shares that are not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 25 or 10, respectively), the Reverse Split will result in the creation of a fractional share. Post-Reverse Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record. This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.
In light of recent extraordinary conditions and volatility in crude oil markets and related Financial Instruments, each Oil Fund transitioned approximately 1/3 of its portfolio from exposure to July 2020 WTI crude oil futures contracts into longer-dated exposure, specifically exposure to September 2020 WTI crude oil futures contracts. Each Fund completed this transition by the close of business, April 24, 2020.
The Oil Funds exposure to longer-dated futures contracts could have a significant impact on the performance of the funds since these contracts currently are not included in the Funds’ benchmark, the Bloomberg WTI Crude Oil SubIndex. As a result, the performance of each Oil 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 benchmark, and each Fund’s performance could differ significantly from its stated investment objective. In addition, to the extent an Oil Fund has exposure to longer-dated WTI crude oil futures contracts, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of WTI crude oil than if the Fund had exposure to shorter-dated futures contracts.
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form
10-Q.
The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
Introduction
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2020, the following twenty 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 UltraPro 3x Short Crude Oil ETF, 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 UltraPro 3x Crude Oil ETF, 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 plans to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD). The last day the 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 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.
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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 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
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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 an Internet website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
Liquidity and Capital Resources 
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2020 and 2019, each of the Funds earned interest income as follows: 
                 
Fund
 
Interest Income
Three Months
Ended
March 31, 2020
 
 
Interest Income
Three Months
Ended
March 31, 2019
 
ProShares Short Euro
  $
7,595
    $
65,178
 
ProShares Short VIX Short-Term Futures ETF
   
749,861
     
1,584,561
 
ProShares Ultra Bloomberg Crude Oil
   
1,401,460
     
2,140,385
 
ProShares Ultra Bloomberg Natural Gas
   
139,339
     
117,835
 
ProShares Ultra Euro
   
15,801
     
39,503
 
ProShares Ultra Gold
   
414,684
     
415,585
 
ProShares Ultra Silver
   
776,287
     
904,454
 
ProShares Ultra VIX Short-Term Futures ETF
   
1,411,740
     
1,418,106
 
ProShares Ultra Yen
   
8,867
     
27,009
 
ProShares UltraPro 3x Crude Oil ETF*
   
346,326
     
615,343
 
ProShares UltraPro 3x Short Crude Oil ETF*
   
166,789
     
71,505
 
ProShares UltraShort Australian Dollar
   
20,054
     
48,542
 
ProShares UltraShort Bloomberg Crude Oil
   
248,709
     
361,771
 
ProShares UltraShort Bloomberg Natural Gas
   
42,432
     
59,875
 
ProShares UltraShort Euro
   
399,657
     
774,618
 
ProShares UltraShort Gold
   
61,021
     
95,211
 
ProShares UltraShort Silver
   
44,536
     
70,114
 
ProShares UltraShort Yen
   
126,183
     
292,368
 
ProShares VIX
Mid-Term
Futures ETF
   
158,298
     
265,413
 
ProShares VIX Short-Term Futures ETF
   
960,075
     
852,206
 
* The operations include the activity through March 27, 2020, the date liquidation was determined to be imminent. See Note 1.
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
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beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed
“off-exchange”
between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form
 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
tri-party
accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
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The Sponsor attempts to minimize certain of these market and credit risks by normally:
  executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
  limiting the outstanding amounts due from counterparties to the Funds;
  not posting margin directly with a counterparty;
  requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
  limiting the amount of margin or premium posted at a FCM; and
  ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance
Sheet Arrangements and Contractual Obligations
As of May 7, 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 March 31, 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.
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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.
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Results of Operations for the Three Months Ended March 31, 2020 Compared to the Three Months Ended March 31, 2019
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
2,282,195
    $
8,619,686
 
NAV end of period
  $
2,332,843
    $
22,213,438
 
Percentage change in NAV
   
2.2
%    
157.7
%
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
  $
46.66
    $
44.43
 
Percentage change in per share NAV
   
2.2
%    
3.1
%
Percentage change in benchmark
   
(1.7
)%    
(2.1
)%
Benchmark annualized volatility
   
9.8
%    
6.3
%
During the three months ended March 31, 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 March 31, 2020. By comparison, during the three months ended March 31, 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 March 31, 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 of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 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 2.2% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 3.1% for the three months ended March 31, 2019, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 1.7% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 2.1% for the three months ended March 31, 2019, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2020.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
1,992
    $
 37,625
 
Management fee
   
5,503
     
26,985
 
Brokerage commission
   
100
     
568
 
Net realized gain (loss)
   
(18,638
)    
147,106
 
Change in net unrealized appreciation (depreciation)
   
67,294
     
203,871
 
Net Income (loss)
  $
50,648
    $
 388,602
 
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 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 March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
284,437,179
    $
344,596,263
 
NAV end of period
  $
809,257,658
    $
441,188,509
 
Percentage change in NAV
   
184.5
%    
28.0
%
Shares outstanding beginning of period
   
4,334,307
     
8,134,307
 
Shares outstanding end of period
   
26,084,307
     
8,434,307
 
Percentage change in shares outstanding
   
501.8
%    
3.7
%
Shares created
   
24,850,000
     
300,000
 
Shares redeemed
   
3,100,000
     
—  
 
Per share NAV beginning of period
  $
65.62
    $
42.36
 
Per share NAV end of period
  $
31.02
    $
52.31
 
Percentage change in per share NAV
   
(52.7
)%    
23.5
%
Percentage change in benchmark
   
209.3
%    
(37.4
)%
Benchmark annualized volatility
   
140.6
%    
51.6
%
During the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 26,084,307 outstanding Shares at March 31, 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 three months ended March 31, 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 0.5x the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 8,134,307 outstanding Shares at December 31, 2018 to 8,434,307 outstanding Shares at March 31, 2019.
For the three months ended March 31, 2020 and 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.7% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 23.5% for the three months ended March 31, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
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The benchmark’s rise of 209.3% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 37.4% for the three months ended March 31, 2019, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
(355,596
)   $
45,436
 
Management fee
   
886,197
     
952,127
 
Brokerage commission
   
189,532
     
188,424
 
Non-recurring
fees and expenses
   
—  
     
398,550
 
Net realized gain (loss)
   
(244,300,604
)    
59,105,354
 
Change in net unrealized appreciation (depreciation)
   
21,055,658
     
22,571,460
 
Net Income (loss)
  $
(223,600,542
)   $
 81,722,250
 
 
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to an increase in the value of futures prices during the three months ended March 31, 2020.
ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
309,844,582
    $
368,399,654
 
NAV end of period
  $
435,593,381
    $
425,287,296
 
Percentage change in NAV
   
40.6
%    
15.4
%
Shares outstanding beginning of period
   
608,453
     
1,128,453
 
Shares outstanding end of period
   
10,848,453
     
790,453
 
Percentage change in shares outstanding
   
1,683.0
%    
(30.0
)%
Shares created
   
10,680,000
     
132,000
 
Shares redeemed
   
440,000
     
470,000
 
Per share NAV beginning of period
  $
509.23
    $
326.46
 
Per share NAV end of period
  $
40.15
    $
538.03
 
Percentage change in per share NAV
   
(92.1
)%    
64.8
%
Percentage change in benchmark
   
(66.5
)%    
30.2
%
Benchmark annualized volatility
   
59.5
%    
26.5
%
 
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During the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 10,848,453 outstanding Shares at March 31, 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 WTI Crude Oil Subindex
SM
. By comparison, during the three months ended March 31, 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 2x of 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 790,453 outstanding Shares at March 31, 2019.
For the three months ended March 31, 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 92.1% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 64.8% for the three months ended March 31, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 66.5% for the three months ended March 31, 2020, as compared to the benchmark’s rise of 30.2% for the three months ended March 31, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
404,884
    $
1,095,944
 
Management fee
   
870,239
     
1,025,194
 
Brokerage commission
   
126,337
     
19,247
 
Net realized gain (loss)
   
(505,553,797
)    
76,523,404
 
Change in net unrealized appreciation (depreciation)
   
(322,421,661
)    
143,399,033
 
Net Income (loss)
  $
(827,570,574
)   $
221,018,381
 
 
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a decrease in the value of WTI Crude Oil during the three months ended March 31, 2020.
* See Note 9 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.
 
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ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
45,160,205
    $
14,617,440
 
NAV end of period
  $
26,671,617
    $
20,900,095
 
Percentage change in NAV
   
(40.9
)%    
43.0
%
Shares outstanding beginning of period
   
537,815
     
57,815
 
Shares outstanding end of period
   
637,815
     
102,815
 
Percentage change in shares outstanding
   
18.6
%    
77.8
%
Shares created
   
225,000
     
130,000
 
Shares redeemed
   
125,000
     
85,000
 
Per share NAV beginning of period
  $
83.97
    $
252.83
 
Per share NAV end of period
  $
41.82
    $
203.28
 
Percentage change in per share NAV
   
(50.2
)%    
(19.6
)%
Percentage change in benchmark
   
(27.5
)%    
(7.9
)%
Benchmark annualized volatility
   
44.0
%    
42.4
%
During the three months ended March 31, 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 Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 537,815 outstanding Shares at December 31, 2019 to 637,815 outstanding Shares at March 31, 2020. By comparison, during the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 57,815 outstanding Shares at December 31, 2018 to 102,815 outstanding Shares at March 31, 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 2x of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended March 31, 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 50.2% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 19.6% for the three months ended March 31, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 27.5% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 7.9% for the three months ended March 31, 2019, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
(2,351
)   $
44,045
 
Management fee
   
97,108
     
54,851
 
Brokerage commission
   
44,582
     
18,939
 
Net realized gain (loss)
   
(22,818,551
)    
(13,301,897
)
Change in net unrealized appreciation (depreciation)
   
(4,437,037
)    
10,344,998
 
Net Income (loss)
  $
(27,257,939
)   $
(2,912,854
)
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a greater decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2020.
* See Note 9 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
6,204,424
    $
7,544,569
 
NAV end of period
  $
3,949,142
    $
7,857,207
 
Percentage change in NAV
   
(36.3
)%    
4.1
%
Shares outstanding beginning of period
   
450,000
     
500,000
 
Shares outstanding end of period
   
300,000
     
550,000
 
Percentage change in shares outstanding
   
(33.3
)%    
10.0
%
Shares created
   
50,000
     
50,000
 
Shares redeemed
   
200,000
     
—  
 
Per share NAV beginning of period
  $
13.79
    $
15.09
 
Per share NAV end of period
  $
13.16
    $
14.29
 
Percentage change in per share NAV
   
(4.5
)%    
(5.3
)%
Percentage change in benchmark
   
(1.7
) %    
(2.1
)%
Benchmark annualized volatility
   
9.8
%    
6.3
%
During the three months ended March 31, 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 March 31, 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at December 31, 2018 to 550,000 outstanding Shares at March 31, 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 2x of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 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 4.5% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 5.3% for the three months ended March 31, 2019, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 1.7% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 2.1% for the three months ended March 31, 2019, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2020.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
3,247
    $
20,829
 
Management fee
   
12,554
     
18,674
 
Net realized gain (loss)
   
(53,268
)    
(227,273
)
Change in net unrealized appreciation (depreciation)
   
(221,542
)    
(225,485
)
Net Income (loss)
  $
(271,563
)   $
(431,929
)
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar, during the three months ended March 31, 2020.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
110,726,032
    $
83,523,294
 
NAV end of period
  $
128,481,796
    $
72,777,302
 
Percentage change in NAV
   
16.0
%    
(12.9
)%
Shares outstanding beginning of period
   
2,250,000
     
2,250,000
 
Shares outstanding end of period
   
2,450,000
     
1,950,000
 
Percentage change in shares outstanding
   
8.9
%    
(13.3
)%
Shares created
   
1,150,000
     
50,000
 
Shares redeemed
   
950,000
     
350,000
 
Per share NAV beginning of period
  $
49.21
    $
37.12
 
Per share NAV end of period
  $
52.44
    $
37.32
 
Percentage change in per share NAV
   
6.6
%    
0.5
%
Percentage change in benchmark
   
4.5
%    
0.9
%
Benchmark annualized volatility
   
28.2
%    
10.0
%
On December 20, 2018, the Trust announced that the ProShares Ultra Gold Fund would change its benchmark. The ProShares Ultra Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Gold Fund is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares Ultra Gold Fund was the LBMA Gold Price PM.
During the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,450,000 outstanding Shares at March 31, 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 Gold Subindex
SM
. By comparison, during the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,250,000 outstanding Shares at December 31, 2018 to 1,950,000 outstanding Shares at March 31, 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 2x of the daily performance of the Bloomberg Gold Subindex
SM
.
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For the three months ended March 31, 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 6.6% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 0.5% for the three months ended March 31, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s rise of 4.5% for the three months ended March 31, 2020, as compared to the benchmark’s rise of 0.9% for the three months ended March 31, 2019, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
108,908
    $
212,786
 
Management fee
   
295,411
     
201,578
 
Brokerage commission
   
10,365
     
1,221
 
Net realized gain (loss)
   
21,498,056
     
4,092,585
 
Change in net unrealized appreciation (depreciation)
   
(19,097,360
)    
(3,812,759
)
Net Income (loss)
  $
2,509,604
    $
492,612
 
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a greater increase in the value of futures prices during the three months ended March 31, 2020.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
239,254,842
    $
201,824,376
 
NAV end of period
  $
129,785,536
    $
171,571,571
 
Percentage change in NAV
   
(45.8
)%    
(15.0
)%
Shares outstanding beginning of period
   
7,546,526
     
7,646,526
 
Shares outstanding end of period
   
7,046,526
     
6,996,526
 
Percentage change in shares outstanding
   
(6.6
)%    
(8.5
)%
Shares created
   
750,000
     
400,000
 
Shares redeemed
   
1,250,000
     
1,050,000
 
Per share NAV beginning of period
  $
31.70
    $
26.39
 
Per share NAV end of period
  $
18.42
    $
24.52
 
Percentage change in per share NAV
   
(41.9
)%    
(7.1
)%
Percentage change in benchmark
   
(21.1
)%    
(2.8
)%
Benchmark annualized volatility
   
48.3
%    
15.2
%
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On December 20, 2018, the Trust announced that the ProShares Ultra Silver Fund would change its benchmark. The ProShares Ultra Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Silver Fund is the Bloomberg Silver Subindex (ticker: BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares Ultra Silver Fund was the London Silver Price.
During the three months ended March 31, 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 Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 7,546,526 outstanding Shares at December 31, 2019 to 7,046,526 outstanding Shares at March 31, 2020. By comparison, during the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,646,526 outstanding Shares at December 31, 2018 to 6,996,526 outstanding Shares at March 31, 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 2x of the daily performance of the Bloomberg Silver Subindex
SM
.
For the three months ended March 31, 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 41.9% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended March 31, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 21.1% the three months ended March 31, 2020, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2019, can be attributed to a greater decrease in the value of silver futures contracts during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
276,832
    $
445,559
 
Management fee
   
481,247
     
454,275
 
Brokerage commission
   
18,208
     
4,617
 
Net realized gain (loss)
   
(3,697,654
)    
13,301,922
 
Change in net unrealized appreciation (depreciation)
   
(85,061,831
)    
(26,890,326
)
Net Income (loss)
  $
(88,482,653
)   $
(13,142,845
)
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a greater decrease in the value of futures prices during the three months ended March 31, 2020.
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ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
527,636,003
    $
214,304,871
 
NAV end of period
  $
592,820,492
    $
547,243,246
 
Percentage change in NAV
   
12.4
%    
155.4
%
Shares outstanding beginning of period
   
41,630,912
     
2,630,912
 
Shares outstanding end of period
   
10,130,912
     
14,030,912
 
Percentage change in shares outstanding
   
(75.7
)%    
433.3
%
Shares created
   
9,900,000
     
15,150,000
 
Shares redeemed
   
41,400,000
     
3,750,000
 
Per share NAV beginning of period
  $
12.67
    $
81.46
 
Per share NAV end of period
  $
58.52
    $
39.00
 
Percentage change in per share NAV
   
361.9
%    
(52.1
)%
Percentage change in benchmark
   
209.3
%    
(37.4
)%
Benchmark annualized volatility
   
140.6
%    
51.6
%
During the three months ended March 31, 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 10,130,912 outstanding Shares at March 31, 2020. By comparison, during the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 2,630,912 outstanding Shares at December 31, 2018 to 14,030,912 outstanding Shares at March 31, 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 1.5x of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended March 31, 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 361.9% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 52.1% for the three months ended March 31, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s rise of 209.3% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 37.4% for the three months ended March 31, 2019, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
(729,265
)   $
(150,629
)
Management fee
   
1,383,275
     
965,532
 
Brokerage commission
   
741,009
     
575,631
 
Non-recurring
fees and expenses
   
—  
     
27,508
 
Net realized gain (loss)
   
726,085,231
     
(195,223,341
)
Change in net unrealized appreciation (depreciation)
   
176,516,915
     
(39,057,983
)
Net Income (loss)
  $
901,872,881
    $
(234,431,953
)
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to an increase in the value of futures prices during the three months ended March 31, 2020.
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
5,580,964
    $
5,751,716
 
NAV end of period
  $
2,808,780
    $
5,563,510
 
Percentage change in NAV
   
(49.7
)%    
(3.3
)%
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
   
—  
     
50,000
 
Shares redeemed
   
50,000
     
50,000
 
Per share NAV beginning of period
  $
55.83
    $
57.53
 
Per share NAV end of period
  $
56.21
    $
55.65
 
Percentage change in per share NAV
   
0.6
%    
(3.3
)%
Percentage change in benchmark
   
1.1
%    
(1.1
)%
Benchmark annualized volatility
   
15.6
%    
6.2
%
During the three months ended March 31, 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 March 31, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 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 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2018 to March 31, 2019.
For the three months ended March 31, 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 0.6% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 3.3% for the three months ended March 31, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s rise of 1.1% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 1.1% for the three months ended March 31, 2019, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2020.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
1,626
    $
14,571
 
Management fee
   
7,241
     
12,438
 
Net realized gain (loss)
   
(8,483
)    
(77,307
)
Change in net unrealized appreciation (depreciation)
   
(19,313
)    
(112,597
)
Net Income (loss)
  $
(26,170
)   $
(175,333
)
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2020.
ProShares UltraPro 3x Crude Oil ETF*
Fund Performance
The following table provides summary performance information for the Fund for the period ended March 27, 2020 and the three months ended March 31, 2019:
                 
 
Period Ended
March 27, 2020*
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
70,859,329
    $
87,667,042
 
NAV end of period
  $
37,908,136
    $
128,015,075
 
Percentage change in NAV
   
(46.5
)%    
46.0
%
Shares outstanding beginning of period
   
3,300,000
     
6,700,000
 
Shares outstanding end of period
   
177,650,000
     
4,750,000
 
Percentage change in shares outstanding
   
5,283.3
%    
(29.1
)%
Shares created
   
184,600,000
     
800,000
 
Shares redeemed
   
10,250,000
     
2,750,000
 
Per share NAV beginning of period
  $
21.47
    $
13.08
 
Per share NAV end of period
  $
0.21
    $
26.95
 
Percentage change in per share NAV
   
(99.0
)%    
106.0
%
Percentage change in benchmark
   
(64.8
)%    
30.2
%
Benchmark annualized volatility
   
101.8
%    
26.5
%
During the period ended March 27, 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 three times (3x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,300,000 outstanding Shares at December 31, 2019 to 177,650,000 outstanding Shares at March 27, 2020. By comparison, during the three months ended March 31, 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 3x of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 6,700,000 outstanding Shares at December 31, 2018 to 4,750,000 outstanding Shares at March 31, 2019.
For the period ended March 27, 2020 and three months ended March 31, 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 99.0% for the period ended March 27, 2020, as compared to the Fund’s per Share NAV increase of 106.0% for the three months ended March 31, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
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The benchmark’s decline of 64.8% for the period ended March 27, 2020, as compared to the benchmark’s rise of 30.2% for the three months ended March 31, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the period ended March 27, 2020 and the three months ended March 31, 2019:
                 
 
Period Ended
March 27, 2020*
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
(146,089
)   $
252,849
 
Management fee
   
283,787
     
295,626
 
Brokerage commission
   
208,628
     
66,868
 
Net realized gain (loss)
   
(414,557,561
)    
22,272,869
 
Change in net unrealized appreciation (depreciation)
   
(7,268,946
)    
64,156,808
 
Net Income (loss)
  $
(421,972,596
)   $
86,682,526
 
The Fund’s net income decreased for the period ended March 27, 2020 as compared to the three months ended March 31, 2019, primarily due to a decrease in the value of WTI Crude Oil, in conjunction with a significant increase in average shares outstanding, during the period ended March 27, 2020.
* The results of operations presented here is for the period ended March 27, 2020, the date liquidation was determined to be imminent. See Note 1 of the Notes to Financial Statements.
ProShares UltraPro 3x Short Crude Oil ETF*
Fund Performance
The following table provides summary performance information for the Fund for the period ended March 27, 2020 and the three months ended March 31, 2019:
                 
 
Period Ended
March 27, 2020*
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
91,389,147
    $
18,665,099
 
NAV end of period
  $
21,620,878
    $
17,007,260
 
Percentage change in NAV
   
(76.3
)%    
(8.9
)%
Shares outstanding beginning of period
   
8,574,906
     
374,906
 
Shares outstanding end of period
   
474,906
     
824,906
 
Percentage change in shares outstanding
   
(94.5
)%    
120.0
%
Shares created
   
2,850,000
     
750,000
 
Shares redeemed
   
10,950,000
     
300,000
 
Per share NAV beginning of period
  $
10.66
    $
49.79
 
Per share NAV end of period
  $
45.53
    $
20.62
 
Percentage change in per share NAV
   
327.1
%    
(58.6
)%
Percentage change in benchmark
   
(64.8
)%    
30.2
%
Benchmark annualized volatility
   
59.3
%    
26.5
%
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During the period ended March 27, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,574,906 outstanding Shares at December 31, 2019 to 474,906 outstanding Shares at March 27, 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 three times the inverse
(-3x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. By comparison, during the three months ended March 31, 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 3x of the inverse 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 374,906 outstanding Shares at December 31, 2018 to 824,906 outstanding Shares at March 31, 2019.
For the period ended March 27, 2020 and the three months ended March 31, 2019, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 327.1% for the period ended March 27, 2020, as compared to the Fund’s per Share NAV decrease of 58.6% for the three months ended March 31, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the period ended March 27, 2020.
The benchmark’s decline of 64.8% for the period ended March 27, 2020, as compared to the benchmark’s rise of 30.2% for the three months ended March 31, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 27, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the period ended March 27, 2020 and the three months ended March 31, 2019:
                 
 
Period Ended
March 27,
2020*
 
 
Three Months
Ended
March 31, 2019
 
Net investment income (loss)
  $
(40,548
)   $
24,014
 
Management fee
   
117,259
     
34,303
 
Brokerage commission
   
90,078
     
13,188
 
Net realized gain (loss)
   
83,294,894
     
(2,268,796
)
Change in net unrealized appreciation (depreciation)
   
8,355,120
     
(9,496,554
)
Net Income (loss)
  $
91,609,466
    $
(11,741,336
)
The Fund’s net income increased for the period ended March 27, 2020 as compared to the three months ended March 31, 2019, primarily due to a decrease in the value of WTI Crude Oil in conjunction with the timing of shareholder activity during the period ended March 27, 2020.
* The results of operations presented here is for the period ended March 27, 2020, the date liquidation was determined to be imminent. See Note 1 of the Notes to Financial Statements.
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ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
5,608,612
    $
11,060,333
 
NAV end of period
  $
7,230,367
    $
8,162,647
 
Percentage change in NAV
   
28.9
%    
(26.2
)%
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
  $
72.30
    $
54.42
 
Percentage change in per share NAV
   
28.9
%    
(1.6
)%
Percentage change in benchmark
   
(12.4
)%    
0.8
%
Benchmark annualized volatility
   
14.4
%    
8.6
%
During the three months ended March 31, 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 March 31, 2020. By comparison, during the three months ended March 31, 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 March 31, 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 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.
For the three months ended March 31, 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 28.9% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 1.6% for the three months ended March 31, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 12.4% for the three months ended March 31, 2020, as compared to the benchmark’s rise of 0.8% for the three months ended March 31, 2019, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
3,425
    $
25,789
 
Management fee
   
15,130
     
21,080
 
Brokerage commission
   
1,499
     
1,673
 
Net realized gain (loss)
   
670,950
     
262,745
 
Change in net unrealized appreciation (depreciation)
   
947,380
     
(577,204
)
Net Income (loss)
  $
1,621,755
    $
(288,670
)
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2020.
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ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
125,451,681
    $
114,377,311
 
NAV end of period
  $
100,094,023
    $
75,826,687
 
Percentage change in NAV
   
(20.2
)%    
(33.7
)%
Shares outstanding beginning of period
   
10,289,884
     
3,839,884
 
Shares outstanding end of period
   
2,039,884
     
4,489,884
 
Percentage change in shares outstanding
   
(80.2
)%    
16.9
%
Shares created
   
3,350,000
     
3,400,000
 
Shares redeemed
   
11,600,000
     
2,750,000
 
Per share NAV beginning of period
  $
12.19
    $
29.79
 
Per share NAV end of period
  $
49.07
    $
16.89
 
Percentage change in per share NAV
   
302.5
%    
(43.3
)%
Percentage change in benchmark
   
(66.5
)%    
30.2
%
Benchmark annualized volatility
   
100.9
%    
26.5
%
During the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,289,884 outstanding Shares at December 31, 2019 to 2,039,884 outstanding Shares at March 31, 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 three months ended March 31, 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 2x of the inverse 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 4,489,884 outstanding Shares at March 31, 2019.
For the three months ended March 31, 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 302.5% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 43.3% for the three months ended March 31, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 66.5% for the three months ended March 31, 2020, as compared to the benchmark’s rise of 30.2% for the three months ended March 31, 2019, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2020.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months
Ended
March 31, 2020
 
 
Three Months
Ended
March 31, 2019
 
Net investment income (loss)
  $
(30,713
)   $
185,815
 
Management fee
   
202,369
     
166,326
 
Brokerage commission
   
77,053
     
9,630
 
Net realized gain (loss)
   
51,674,002
     
(9,155,159
)
Change in net unrealized appreciation (depreciation)
   
76,581,357
     
(32,918,234
)
Net Income (loss)
  $
128,224,646
    $
(41,887,578
)
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a decrease in the value of WTI Crude Oil in conjunction with the timing of shareholder activity during the three months ended March 31, 2020.
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months
Ended
March 31,
2020
 
 
Three Months
Ended
March 31,
2019
 
NAV beginning of period
  $
12,515,603
    $
17,825,441
 
NAV end of period
  $
17,419,933
    $
13,019,491
 
Percentage change in NAV
   
39.2
%    
(27.0
)%
Shares outstanding beginning of period
   
324,832
     
824,832
 
Shares outstanding end of period
   
274,832
     
574,832
 
Percentage change in shares outstanding
   
(15.4
)%    
(30.3
)%
Shares created
   
550,000
     
250,000
 
Shares redeemed
   
600,000
     
500,000
 
Per share NAV beginning of period
  $
38.53
    $
21.61
 
Per share NAV end of period
  $
63.38
    $
22.65
 
Percentage change in per share NAV
   
64.5
%    
4.8
%
Percentage change in benchmark
   
(27.5
)%    
(7.9
)%
Benchmark annualized volatility
   
44.0
%    
42.4
%
During the three months ended March 31, 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 was offset by a decrease from 324,832 outstanding Shares at December 31, 2019 to 274,832 outstanding Shares at March 31, 2020. By comparison, during the three months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 824,832 outstanding Shares at December 31, 2018 to 574,832 outstanding Shares at March 31, 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 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended March 31, 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 64.5% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 4.8% for the three months ended March 31, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
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The benchmark’s decline of 27.5% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 7.9% for the three months ended March 31, 2019, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
(22,279
)   $
19,484
 
Management fee
   
32,430
     
28,691
 
Brokerage commission
   
32,281
     
11,700
 
Net realized gain (loss)
   
5,626,177
     
11,319,325
 
Change in net unrealized appreciation (depreciation)
   
3,335,611
     
(10,316,611
)
Net Income (loss)
  $
8,939,509
    $
1,022,198
 
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a greater decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2020.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
120,581,173
    $
154,120,159
 
NAV end of period
  $
93,194,599
    $
151,445,608
 
Percentage change in NAV
   
(22.7
)%    
(1.7
)%
Shares outstanding beginning of period
   
4,500,000
     
6,350,000
 
Shares outstanding end of period
   
3,350,000
     
5,900,000
 
Percentage change in shares outstanding
   
(25.6
)%    
(7.1
)%
Shares created
   
200,000
     
250,000
 
Shares redeemed
   
1,350,000
     
700,000
 
Per share NAV beginning of period
  $
26.80
    $
24.27
 
Per share NAV end of period
  $
27.82
    $
25.67
 
Percentage change in per share NAV
   
3.8
%    
5.8
%
Percentage change in benchmark
   
(1.7
)%    
(2.1
)%
Benchmark annualized volatility
   
9.8
%    
6.3
%
During the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 3,350,000 outstanding Shares at March 31, 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 spot price of the euro versus the U.S. dollar. By comparison, during the three
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months ended March 31, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,350,000 outstanding Shares at December 31, 2018 to 5,900,000 outstanding Shares at March 31, 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 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 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 3.8% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 5.8% for the three months ended March 31, 2019, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 1.7% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 2.1% for the three months ended March 31, 2019, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
136,215
    $
434,473
 
Management fee
   
263,442
     
340,145
 
Net realized gain (loss)
   
1,047,283
     
3,329,242
 
Change in net unrealized appreciation (depreciation)
   
3,190,251
     
4,424,813
 
Net Income (loss)
  $
4,373,749
    $
8,188,528
 
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2020.
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ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
21,047,560
    $
18,098,997
 
NAV end of period
  $
20,569,044
    $
21,506,707
 
Percentage change in NAV
   
(2.3
)%    
18.8
%
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
   
200,000
     
100,000
 
Shares redeemed
   
150,000
     
50,001
 
Per share NAV beginning of period
  $
53.02
    $
73.28
 
Per share NAV end of period
  $
46.02
    $
72.42
 
Percentage change in per share NAV
   
(13.2
)%    
(1.2
)%
Percentage change in benchmark
   
4.5
%    
0.9
%
Benchmark annualized volatility
   
28.2
%    
10.0
%
On December 20, 2018, the Trust announced that the ProShares UltraShort Gold Fund would change its benchmark. The ProShares UltraShort Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Gold Fund is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Gold Fund was the LBMA Gold Price PM.
During the three months ended March 31, 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 March 31, 2020. By comparison, during the three months ended March 31, 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 March 31, 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 2x of the inverse of the daily performance of the Bloomberg Gold Subindex
SM
.
For the three months ended March 31, 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 13.2% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 1.2% for the three months ended March 31, 2019, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s rise of 4.5% for the three months ended March 31, 2020, as compared to the benchmark’s rise of 0.9% for the three months ended March 31, 2019, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2020.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
15,678
    $
47,471
 
Management fee
   
43,239
     
46,962
 
Brokerage commission
   
2,104
     
778
 
Net realized gain (loss)
   
(5,930,882
)    
(1,168,904
)
Change in net unrealized appreciation (depreciation)
   
2,676,974
     
878,026
 
Net Income (loss)
  $
(3,238,230
)   $
(243,407
)
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a greater increase in the value of the futures prices during the three months ended March 31, 2020.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
13,834,163
    $
11,768,863
 
NAV end of period
  $
18,887,831
    $
20,253,916
 
Percentage change in NAV
   
36.5
%    
72.1
%
Shares outstanding beginning of period
   
516,976
     
316,976
 
Shares outstanding end of period
   
516,976
     
516,976
 
Percentage change in shares outstanding
   
—  
%    
63.1
%
Shares created
   
200,000
     
300,000
 
Shares redeemed
   
200,000
     
100,000
 
Per share NAV beginning of period
  $
26.76
    $
37.13
 
Per share NAV end of period
  $
36.54
    $
39.18
 
Percentage change in per share NAV
   
36.5
%    
5.5
%
Percentage change in benchmark
   
(21.1
)%    
(2.8
)%
Benchmark annualized volatility
   
48.3
%    
15.2
%
On December 20, 2018, the Trust announced that the ProShares UltraShort Silver Fund would change its benchmark. The ProShares UltraShort Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Silver Fund is the Bloomberg Silver Subindex (ticker: BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Silver Fund was the London Silver Price.
During the three months ended March 31, 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 Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to March 31, 2020. By comparison, during the three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 316,976 outstanding Shares at December 31, 2018 to 516,976 outstanding Shares at March 31, 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 2x of the inverse of the daily performance of the Bloomberg Silver Subindex
SM
.
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For the three months ended March 31, 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 36.5% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 5.5% for the three months ended March 31, 2019, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s decline of 21.1% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2019, can be attributed to a greater decrease in the value of the silver futures contracts during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
3,419
    $
31,554
 
Management fee
   
37,136
     
37,211
 
Brokerage commission
   
3,981
     
1,349
 
Net realized gain (loss)
   
842,240
     
(1,390,142
)
Change in net unrealized appreciation (depreciation)
   
4,190,456
     
2,135,467
 
Net Income (loss)
  $
5,036,115
    $
776,879
 
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to a greater decrease in the value of futures prices during the three months ended March 31, 2020.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
38,132,320
    $
55,363,675
 
NAV end of period
  $
29,586,170
    $
49,650,541
 
Percentage change in NAV
   
(22.4
)%    
(10.3
)%
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
   
50,000
     
400,000
 
Shares redeemed
   
150,000
     
500,000
 
Per share NAV beginning of period
  $
76.37
    $
73.89
 
Per share NAV end of period
  $
74.10
    $
76.47
 
Percentage change in per share NAV
   
(3.0
)%    
3.5
%
Percentage change in benchmark
   
1.1
%    
(1.1
)%
Benchmark annualized volatility
   
15.6
%    
6.2
%
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During the three months ended March 31, 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 March 31, 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 three months ended March 31, 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 March 31, 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 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended March 31, 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 3.0% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV increase of 3.5% for the three months ended March 31, 2019, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s rise of 1.1% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 1.1% for the three months ended March 31, 2019, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
41,746
    $
167,574
 
Management fee
   
84,437
     
124,794
 
Net realized gain (loss)
   
(506,520
)    
(343,480
)
Change in net unrealized appreciation (depreciation)
   
(697,069
)    
2,433,680
 
Net Income (loss)
  $
(1,161,843
)   $
2,257,774
 
The Fund’s net income decreased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2020.
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ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
45,986,584
    $
56,299,121
 
NAV end of period
  $
45,034,386
    $
51,126,469
 
Percentage change in NAV
   
(2.1
)%    
(9.2
)%
Shares outstanding beginning of period
   
2,162,403
     
2,112,403
 
Shares outstanding end of period
   
1,162,403
     
2,362,403
 
Percentage change in shares outstanding
   
(46.2
)%    
11.8
%
Shares created
   
375,000
     
500,000
 
Shares redeemed
   
1,375,000
     
250,000
 
Per share NAV beginning of period
  $
21.27
    $
26.65
 
Per share NAV end of period
  $
38.74
    $
21.64
 
Percentage change in per share NAV
   
82.1
%    
(18.8
)%
Percentage change in benchmark
   
82.5
%    
(18.5
)%
Benchmark annualized volatility
   
86.7
%    
22.3
%
During the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,162,403 outstanding Shares at December 31, 2019 to 1,162,403 outstanding Shares at March 31, 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
Mid-Term
Futures Index. By comparison, during the three months ended March 31, 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 was offset by an increase from 2,112,403 outstanding Shares at December 31, 2018 to 2,362,403 outstanding Shares at March 31, 2019.
For the three months ended March 31, 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 82.1% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 18.8% for the three months ended March 31, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s rise of 82.5% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 18.5% for the three months ended March 31, 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 March 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
47,920
    $
149,266
 
Management fee
   
94,284
     
105,811
 
Brokerage commission
   
15,939
     
10,336
 
Net realized gain (loss)
   
7,756,525
     
(4,202,020
)
Change in net unrealized appreciation (depreciation)
   
15,982,870
     
(6,426,449
)
Net Income (loss)
  $
23,787,315
    $
(10,479,203
)
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2020.
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ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
NAV beginning of period
  $
279,792,503
    $
149,547,115
 
NAV end of period
  $
223,055,354
    $
203,503,203
 
Percentage change in NAV
   
(20.3
)%    
36.1
%
Shares outstanding beginning of period
   
22,751,317
     
3,876,317
 
Shares outstanding end of period
   
5,876,317
     
8,451,317
 
Percentage change in shares outstanding
   
(74.2
)%    
118.0
%
Shares created
   
6,800,000
     
6,225,000
 
Shares redeemed
   
23,675,000
     
1,650,000
 
Per share NAV beginning of period
  $
12.30
    $
38.58
 
Per share NAV end of period
  $
37.96
    $
24.08
 
Percentage change in per share NAV
   
208.6
%    
(37.6
)%
Percentage change in benchmark
   
209.3
%    
(37.4
)%
Benchmark annualized volatility
   
89.7
%    
51.6
%
During the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 22,751,317 outstanding Shares at December 31, 2019 to 5,876,317 outstanding Shares at March 31, 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 three months ended March 31, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 3,876,317 outstanding Shares at December 31, 2018 to 8,451,317 outstanding Shares at March 31, 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 March 31, 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 208.6% for the three months ended March 31, 2020, as compared to the Fund’s per Share NAV decrease of 37.6% for the three months ended March 31, 2019, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2020.
The benchmark’s rise of 209.3% for the three months ended March 31, 2020, as compared to the benchmark’s decline of 37.4% for the three months ended March 31, 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 March 31, 2020.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2020 and 2019:
                 
 
Three Months Ended
March 31, 2020
 
 
Three Months Ended
March 31, 2019
 
Net investment income (loss)
  $
144,025
    $
476,702
 
Management fee
   
626,516
     
361,703
 
Brokerage commission
   
184,760
     
12,435
 
Net realized gain (loss)
   
325,737,788
     
(54,906,584
)
Change in net unrealized appreciation (depreciation)
   
67,902,244
     
(21,284,231
)
Net Income (loss)
  $
393,784,057
    $
(75,714,113
)
The Fund’s net income increased for the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2020.
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Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Quantitative Disclosure
Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity
Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of March 31, 2020 and 2019, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of March 31, 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 March 31, 2020 and 2019, which were sensitive to exchange rate price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   
Short
     
June 2020
     
17
    $
1.11
     
125,000
    $
(2,348,019
)
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   
Short
     
June 2019
     
157
    $
1.13
     
125,000
    $
(22,153,683
)
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to equity market volatility risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Short
     
April 2020
     
4,392
    $
46.78
     
1,000
    $
(205,435,800
)
VIX Futures (Cboe)
   
Short
     
May 2020
     
4,878
     
40.93
     
1,000
     
(199,632,150
)
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Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Short
     
April 2019
     
8,058
    $
15.23
     
1,000
    $
(122,683,050
)
VIX Futures (Cboe)
   
Short
     
May 2019
     
6,033
     
16.33
     
1,000
     
(98,488,725
)
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   
Long
     
May 2020
     
15,735
    $
20.48
     
1,000
    $
322,252,800
 
                                 
Swap Agreements as of March 31, 2020
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index
Close
 
 
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   
Citibank, N.A.
     
Long
    $
30.1606
    $
103,616,044
 
Bloomberg WTI Crude Oil Subindex
   
Goldman Sachs International
     
Long
     
30.1606
     
129,822,430
 
Bloomberg WTI Crude Oil Subindex
   
Royal Bank of Canada
     
Long
     
30.1606
     
144,648,067
 
Bloomberg WTI Crude Oil Subindex
   
Societe Generale
     
Long
     
30.1606
     
32,149,931
 
Bloomberg WTI Crude Oil Subindex
   
UBS AG
     
Long
     
30.1606
     
137,973,564
 
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   
Long
     
May 2019
     
1,603
    $
60.14
     
1,000
    $
96,404,420
 
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Swap Agreements as of March 31, 2019
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index
Close
 
 
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   
Citibank, N.A.
     
Long
    $
88.8419
    $
210,716,477
 
Bloomberg WTI Crude Oil Subindex
   
Goldman Sachs International
     
Long
     
88.8419
     
159,549,712
 
Bloomberg WTI Crude Oil Subindex
   
Royal Bank of Canada
     
Long
     
88.8419
     
159,265,812
 
Bloomberg WTI Crude Oil Subindex
   
Societe Generale
     
Long
     
88.8419
     
63,215,803
 
Bloomberg WTI Crude Oil Subindex
   
UBS AG
     
Long
     
88.8419
     
161,395,641
 
The March 31, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Natural Gas (NYMEX)
   
Long
     
May 2020
     
3,249
    $
1.64
     
10,000
    $
53,283,600
 
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Natural Gas (NYMEX)
   
Long
     
May 2019
     
1,570
    $
2.66
     
10,000
    $
41,793,400
 
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to exchange rate price risk.
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Foreign Currency Forward Contracts as of March 31, 2020
 
Reference Currency
 
Counterparty
 
 
Long or
Short
 
 
Settlement
Date
 
 
Local
Currency
 
 
Forward
Rate
 
 
Market Value
USD
 
Euro
   
Goldman Sachs International
     
Long
     
04/03/20
     
5,798,921
     
1.1140
    $
6,459,710
 
Euro
   
UBS AG
     
Long
     
04/03/20
     
5,578,220
     
1.1120
     
6,202,913
 
Euro
   
Goldman Sachs International
     
Short
     
04/03/20
     
(1,190,000
)    
1.1446
     
(1,362,084
)
Euro
   
UBS AG
     
Short
     
04/03/20
     
(3,030,918
)    
1.0879
     
(3,297,458
)
                                                 
Foreign Currency Forward Contracts as of March 31, 2019
 
Reference Currency
 
Counterparty
 
 
Long or
Short
 
 
Settlement
Date
 
 
Local
Currency
 
 
Forward
Rate
 
 
Market
Value USD
 
Euro
   
Goldman Sachs International
     
Long
     
04/05/19
     
7,006,725
     
1.1331
    $
7,939,530
 
Euro
   
UBS AG
     
Long
     
04/05/19
     
7,466,800
     
1.1343
     
8,469,715
 
Euro
   
Goldman Sachs International
     
Short
     
04/05/19
     
(151,500
)    
1.1286
     
(170,982
)
Euro
   
UBS AG
     
Short
     
04/05/19
     
(307,000
)    
1.1250
     
(345,365
)
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Gold Futures (COMEX)
   
Long
     
June 2020
     
482
    $
1,596.60
     
100
    $
76,956,120
 
                             
Swap Agreements as of March 31, 2020
 
Reference Index
 
Counterparty
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Gold Subindex
 
Citibank, N.A.
   
Long
    $
181.9712
    $
62,978,399
 
Bloomberg Gold Subindex
 
Goldman Sachs International
   
Long
     
181.9712
     
62,167,791
 
Bloomberg Gold Subindex
 
UBS AG
   
Long
     
181.9712
     
54,777,259
 
 
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Gold Futures (COMEX)
   
Long
     
June 2019
     
124
    $
1,298.50
     
100
    $
16,101,400
 
176

Table of Contents
                             
Swap Agreements as of March 31, 2019
 
Reference Index
 
Counterparty
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Gold Subindex
 
Citibank, N.A.
   
Long
    $
151.6031
    $
39,789,890
 
Bloomberg Gold Subindex
 
Goldman Sachs International
   
Long
     
151.6031
     
48,810,185
 
Bloomberg Gold Subindex
 
UBS AG
   
Long
     
151.6031
     
40,913,975
 
The March 31, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Silver Futures (COMEX)
   
Long
     
May 2020
     
906
    $
14.16
     
5,000
    $
64,126,680
 
                                 
Swap Agreements as of March 31, 2020
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Silver Subindex
   
Citibank, N.A.
     
Long
    $
133.7523
    $
62,269,702
 
Bloomberg Silver Subindex
   
Goldman Sachs International
     
Long
     
133.7523
     
68,893,289
 
Bloomberg Silver Subindex
   
UBS AG
     
Long
     
133.7523
     
64,040,895
 
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Silver Futures (COMEX)
   
Long
     
May 2019
     
254
    $
15.11
     
5,000
    $
19,189,700
 
                                 
Swap Agreements as of March 31, 2019
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Silver Subindex
   
Citibank, N.A.
     
Long
    $
147.4418
    $
110,150,652
 
Bloomberg Silver Subindex
   
Goldman Sachs International
     
Long
     
147.4418
     
102,094,328
 
Bloomberg Silver Subindex
   
UBS AG
     
Long
     
147.4418
     
111,622,760
 
The March 31, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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
177

Table of Contents
(decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of March 31, 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 March 31, 2020 and 2019, which were sensitive to equity market volatility risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Long
     
April 2020
     
8,867
    $
46.78
     
1,000
    $
414,753,925
 
VIX Futures (Cboe)
   
Long
     
May 2020
     
9,852
     
40.93
     
1,000
     
403,193,100
 
                             
Swap Agreements as of March 31, 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 International
   
Long
    $
46.1923
    $
71,236,931
 
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Long
     
April 2019
     
28,212
    $
15.23
     
1,000
    $
429,527,700
 
VIX Futures (Cboe)
   
Long
     
May 2019
     
21,160
     
16.33
     
1,000
     
345,437,000
 
                                 
Swap Agreements as of March 31, 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
    $
29.3012
    $
45,163,849
 
The March 31, 2020 and 2019 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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.
178

Table of Contents
ProShares Ultra Yen:
As of March 31, 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 March 31, 2020 and 2019, which were sensitive to exchange rate price risk.
                                         
 
Foreign Currency Forward Contracts as of March 31, 2020
 
 
Reference
Currency
 
Counterparty
 
Long or
Short
 
Settlement
Date
 
 
Local
Currency
 
 
Forward
Rate
 
 
Market
Value USD
 
Yen
 
Goldman Sachs International
 
Long
   
04/03/20
     
374,903,256
     
0.009352
    $
3,506,173
 
Yen
 
UBS AG
 
Long
   
04/03/20
     
297,882,756
     
0.009332
     
2,779,768
 
Yen
 
Goldman Sachs International
 
Short
   
04/03/20
     
(35,997,739
)    
0.009386
     
(337,883
)
Yen
 
UBS AG
 
Short
   
04/03/20
     
(34,490,000
)    
0.009184
     
(316,747
)
                                         
 
Foreign Currency Forward Contracts as of March 31, 2019
 
 
Reference
Currency
 
Counterparty
 
Long or
Short
 
Settlement
Date
 
 
Local
Currency
 
 
Forward
Rate
 
 
Market
Value USD
 
Yen
 
Goldman Sachs International
 
Long
   
04/05/19
     
331,570,400
     
0.008972
    $
2,974,942
 
Yen
 
UBS AG
 
Long
   
04/05/19
     
919,075,800
     
0.008974
     
8,247,490
 
Yen
 
Goldman Sachs International
 
Short
   
04/05/19
     
(6,849,300
)    
0.008965
     
(61,407
)
Yen
 
UBS AG
 
Short
   
04/05/19
     
(10,542,900
)    
0.009039
     
(95,302
)
The March 31, 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 UltraPro 3x Crude Oil ETF
As of March 31, 2019 the ProShares UltraPro 3x Crude Oil ETF was exposed to commodity price risk through its holding of Crude Oil futures contracts linked to the Bloomberg WTI Crude Oil Subindex
SM
. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2019 which was sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation

Price
 
 
Contract

Multiplier
 
 
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   
Long
     
May 2019
     
6,386
    $
60.14
     
1,000
    $
384,054,040
 
The March 31, 2019 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount 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 amount, 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 $3.00 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 three. 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 UltraPro 3x Short Crude Oil ETF
As of March 31, 2019 the ProShares UltraPro 3x Short Crude Oil ETF was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts linked to the Bloomberg WTI Crude Oil Subindex
SM
. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2019 which was sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or

Short
 
 
Expiration
 
 
Contracts
 
 
Valuation

Price
 
 
Contract

Multiplier
 
 
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   
Short
     
May 2019
     
848
    $
60.14
     
1,000
    $
(50,998,720
)
The March 31, 2019 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional amount 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 notional amount, 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 $3.00 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 three. 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 Australian Dollar:
As of March 31, 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 March 31, 2020 and 2019, which were sensitive to exchange rate price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Australian Dollar Fx Currency Futures (CME)
   
Short
     
June 2020
     
234
    $
61.53
     
1,000
    $
(14,374,620
)
179

Table of Contents
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Australian Dollar Fx Currency Futures (CME)
   
Short
     
June 2019
     
230
    $
71.11
     
1,000
    $
(16,350,700
)
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   
Short
     
May 2020
     
3,923
    $
20.48
     
1,000
    $
(80,343,040
)
                                 
Swap Agreements as of March 31, 2020
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   
Citibank N.A.
     
Short
    $
30.1606
    $
(23,689,605
)
Bloomberg WTI Crude Oil Subindex
   
Goldman Sachs International
     
Short
     
30.1606
     
(37,283,308
)
Bloomberg WTI Crude Oil Subindex
   
Royal Bank of Canada
     
Short
     
30.1606
     
(35,979,891
)
Bloomberg WTI Crude Oil Subindex
   
Societe Generale
     
Short
     
30.1606
     
(1,886,919
)
Bloomberg WTI Crude Oil Subindex
   
UBS AG
     
Short
     
30.1606
     
(21,000,790
)
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   
Short
     
May 2019
     
724
    $
 60.14
     
1,000
    $
(43,541,360
)
180

Table of Contents
                                 
Swap Agreements as of March 31, 2019
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   
Citibank, N.A.
     
Short
    $
88.8419
    $
(35,382,635
)
Bloomberg WTI Crude Oil Subindex
   
Goldman Sachs International
     
Short
     
88.8419
     
(25,233,443
)
Bloomberg WTI Crude Oil Subindex
   
Royal Bank of Canada
     
Short
     
88.8419
     
(12,199,190
)
Bloomberg WTI Crude Oil Subindex
   
Societe Generale
     
Short
     
88.8419
     
(9,056,577
)
Bloomberg WTI Crude Oil Subindex
   
UBS AG
     
Short
     
88.8419
     
(26,259,871
)
The March 31, 2020 and 2019 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Natural Gas (NYMEX)
   
Short
     
May 2020
     
2,125
    $
1.64
     
10,000
    $
(34,850,000
)
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Natural Gas (NYMEX)
   
Short
     
May 2019
     
978
    $
2.66
     
10,000
    $
(26,034,360
)
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to exchange rate price risk.
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Table of Contents
                                         
 
Foreign Currency Forward Contracts as of March 31, 2020
 
Reference
Currency
 
Counterparty
 
Long or
Short
 
Settlement
Date
 
 
Local Currency
 
 
Forward Rate
 
 
Market Value
USD
 
Euro
 
Goldman Sachs International
 
Long
   
04/03/20
     
33,335,051
     
1.1208
    $
37,363,018
 
Euro
 
UBS AG
 
Long
   
04/03/20
     
33,759,900
     
1.1016
     
37,188,671
 
Euro
 
Goldman Sachs International
 
Short
   
04/03/20
     
(76,098,314
)    
1.1136
     
(84,743,082
)
Euro
 
UBS AG
 
Short
   
04/03/20
     
(160,480,099
)    
1.1067
     
(177,599,175
)
                                         
 
Foreign Currency Forward Contracts as of March 31, 2019
 
Reference
Currency
 
Counterparty
 
Long or
Short
 
Settlement
Date
 
 
Local Currency
 
 
Forward Rate
 
 
Market Value
USD
 
Euro
 
UBS AG
 
Long
   
04/05/19
     
15,539,500
     
1.1359
    $
17,651,954
 
Euro
 
Goldman Sachs International
 
Short
   
04/05/19
     
(137,164,125
)    
1.1328
     
(155,384,230
)
Euro
 
UBS AG
 
Short
   
04/05/19
     
(147,662,400
)    
1.1333
     
(167,351,047
)
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Gold Futures (COMEX)
   
Short
     
June 2020
     
127
    $
1,596.60
     
100
    $
(20,276,820
)
                                 
Swap Agreements as of March 31, 2020
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Gold Subindex
   
Citibank, N.A.
     
Short
    $
181.9712
    $
(9,571,739
)
Bloomberg Gold Subindex
   
Goldman Sachs International
     
Short
     
181.9712
     
(7,173,997
)
Bloomberg Gold Subindex
   
UBS AG
     
Short
     
181.9712
     
(4,175,904
)
182

Table of Contents
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Gold Futures (COMEX)
   
Short
     
June 2019
     
52
    $
1,298.50
     
100
    $
(6,752,200
)
                                 
Swap Agreements as of March 31, 2019
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Gold Subindex
   
Citibank, N.A.
     
Short
    $
151.6031
    $
(12,577,645
)
Bloomberg Gold Subindex
   
Goldman Sachs International
     
Short
     
151.6031
     
(10,781,376
)
Bloomberg Gold Subindex
   
UBS AG
     
Short
     
151.6031
     
(12,927,675
)
The March 31, 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 March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to commodity price risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Silver Futures (COMEX)
   
Short
     
May 2020
     
155
    $
14.16
     
5,000
    $
(10,970,900
)
                                 
Swap Agreements as of March 31, 2020
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Silver Subindex
   
Citibank, N.A.
     
Short
    $
133.7523
    $
(12,296,080
)
Bloomberg Silver Subindex
   
Goldman Sachs International
     
Short
     
133.7523
     
(7,543,899
)
Bloomberg Silver Subindex
   
UBS AG
     
Short
     
133.7523
     
(6,961,822
)
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
Silver Futures (COMEX)
   
Short
     
May 2019
     
152
    $
15.11
     
5,000
    $
(11,483,600
)
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Table of Contents
                                 
Swap Agreements as of March 31, 2019
 
Reference Index
 
Counterparty
 
 
Long or
Short
 
 
Index Close
 
 
Notional Amount
at Value
 
Bloomberg Silver Subindex
   
Citibank, N.A.
     
Short
    $
147.4418
    $
(15,412,788
)
Bloomberg Silver Subindex
   
Goldman Sachs International
     
Short
     
147.4418
     
(6,552,316
)
Bloomberg Silver Subindex
   
UBS AG
     
Short
     
147.4418
     
(7,024,143
)
The March 31, 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 March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to exchange rate price risk.
                                         
 
Foreign Currency Forward Contracts as of March 31, 2020
 
Reference
Currency
 
Counterparty
 
Long or
Short
 
Settlement
Date
 
 
Local Currency
 
 
Forward Rate
 
 
Market Value
USD
 
Yen
 
Goldman Sachs International
 
Long
   
04/03/20
     
1,519,059,504
     
0.009552
    $
14,509,954
 
Yen
 
UBS AG
 
Long
   
04/03/20
     
1,225,973,077
     
0.009320
     
11,425,593
 
Yen
 
Goldman Sachs International
 
Short
   
04/03/20
     
(3,356,532,669
)    
0.009327
     
(31,305,097
)
Yen
 
UBS AG
 
Short
   
04/03/20
     
(5,767,995,952
)    
0.009251
     
(53,358,109
)
                                         
 
Foreign Currency Forward Contracts as of March 31, 2019
 
Reference
Currency
 
Counterparty
 
Long or
Short
 
Settlement
Date
 
 
Local Currency
 
 
Forward Rate
 
 
Market Value
USD
 
Yen
 
Goldman Sachs International
 
Long
   
04/05/19
     
267,445,500
     
0.009104
    $
2,434,696
 
Yen
 
UBS AG
 
Long
   
04/05/19
     
1,377,801,600
     
0.009029
     
12,439,969
 
Yen
 
Goldman Sachs International
 
Short
   
04/05/19
     
(5,970,616,200
)    
0.008969
     
(53,551,523
)
Yen
 
UBS AG
 
Short
   
04/05/19
     
(6,667,953,100
)    
0.008976
     
(59,848,902
)
The March 31, 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.
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Table of Contents
ProShares VIX
Mid-Term
Futures ETF
As of March 31, 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 March 31, 2020 and 2019, which were sensitive to equity market volatility risk.
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Long
     
July 2020
     
228
    $
33.93
     
1,000
    $
7,734,900
 
VIX Futures (Cboe)
   
Long
     
August 2020
     
481
     
31.68
     
1,000
     
15,235,675
 
VIX Futures (Cboe)
   
Long
     
September 2020
     
481
     
30.10
     
1,000
     
14,478,100
 
VIX Futures (Cboe)
   
Long
     
October 2020
     
253
     
29.93
     
1,000
     
7,571,025
 
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Long
     
July 2019
     
570
    $
16.93
     
1,000
    $
9,647,250
 
VIX Futures (Cboe)
   
Long
     
August 2019
     
997
     
17.03
     
1,000
     
16,973,925
 
VIX Futures (Cboe)
   
Long
     
September 2019
     
997
     
17.18
     
1,000
     
17,123,475
 
VIX Futures (Cboe)
   
Long
     
October 2019
     
427
     
17.25
     
1,000
     
7,365,750
 
The March 31, 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 March 31, 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 March 31, 2020 and 2019, which were sensitive to equity market volatility risk.
185

Table of Contents
                                                 
Futures Positions as of March 31, 2020
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Long
     
April 2020
     
2,417
    $
46.78
     
1,000
    $
113,055,175
 
VIX Futures (Cboe)
   
Long
     
May 2020
     
2,684
     
40.93
     
1,000
     
109,842,700
 
                                                 
Futures Positions as of March 31, 2019
 
Contract
 
Long or
Short
 
 
Expiration
 
 
Contracts
 
 
Valuation
Price
 
 
Contract
Multiplier
 
 
Notional Amount
at Value
 
VIX Futures (Cboe)
   
Long
     
April 2019
     
7,408
    $
15.23
     
1,000
    $
112,786,800
 
VIX Futures (Cboe)
   
Long
     
May 2019
     
5,556
     
16.33
     
1,000
     
90,701,700
 
The March 31, 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.
186

Table of Contents
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).
187

Table of Contents
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
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Table of Contents
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 March 31, 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.
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Table of Contents
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.
Item 1A. Risk Factors.
The Sponsor and the Funds are subject to current position limits and accountability levels established by the CFTC and 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 the Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits established by the CFTC and the relevant exchanges. 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. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. While the limit is higher than the Oil Funds’ position on the date the limit was imposed, this limitation on positions could limit the Oil Funds’ ability to increase their September 2020 WTI oil futures contracts in a manner that they would otherwise be able to do without this restriction and force the Funds to seek to obtain exposure to economically similar contracts through alternative instruments, if available, which could have a negative impact on the Oil Funds due to potentially increased costs of trading in alternative instruments or the inability to obtain the desired exposure.
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. In April 2020, extraordinary market conditions in the crude oil markets caused a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. 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.
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, crude oil futures contracts traded below zero. 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. If such event were to occur, and the price of WTI crude oil futures contracts subsequently reversed, investors in the Short 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.
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. By 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. Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 2020, these market conditions contributed to a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
a) None.
b) Not applicable.
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Table of Contents
                         
Title of Securities Registered
 
Amount Registered As of
March 31, 2020
 
 
Shares Sold For the
Three Months
Ended March 31,
2020**
 
 
Sale Price of Shares Sold
For the Three Months
Ended March 31,
2020**
 
ProShares Short Euro
   
     
     
 
Common Units of Beneficial Interest
  $
 205,213,786
     
—  
    $
—  
 
ProShares Short VIX Short-Term Futures ETF
   
     
     
 
Common Units of Beneficial Interest
  $
 5,141,133,102
     
24,850,000
    $
883,568,508
 
ProShares Ultra Bloomberg Crude Oil
   
     
     
 
Common Units of Beneficial Interest
  $
 4,555,433,103
     
10,680,000
    $
1,058,330,164
 
ProShares Ultra Bloomberg Natural Gas
   
     
     
 
Common Units of Beneficial Interest
  $
 504,114,682
     
225,000
    $
15,680,240
 
ProShares Ultra Euro
   
     
     
 
Common Units of Beneficial Interest
  $
 189,628,595
     
50,000
    $
669,855
 
ProShares Ultra Gold
   
     
     
 
Common Units of Beneficial Interest
  $
 494,109,755
     
1,150,000
    $
64,993,775
 
ProShares Ultra Silver
   
     
     
 
Common Units of Beneficial Interest
  $
 804,711,211
     
750,000
    $
14,162,113
 
ProShares Ultra VIX Short-Term Futures ETF
   
     
     
 
Common Units of Beneficial Interest
  $
 4,292,144,016
     
9,900,000
    $
359,090,211
 
ProShares Ultra Yen
   
     
     
 
Common Units of Beneficial Interest
  $
 201,792,144
     
—  
    $
—  
 
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
  $
 2,018,251,204
     
3,350,000
    $
71,229,475
 
ProShares UltraShort Bloomberg Natural Gas
   
     
     
 
Common Units of Beneficial Interest
  $
 655,434,201
     
550,000
    $
29,104,581
 
ProShares UltraShort Euro
   
     
     
 
Common Units of Beneficial Interest
  $
 729,957,684
     
200,000
    $
5,754,066
 
ProShares UltraShort Gold
   
     
     
 
Common Units of Beneficial Interest
  $
 254,923,546
     
200,000
    $
9,689,641
 
ProShares UltraShort Silver
   
     
     
 
Common Units of Beneficial Interest
  $
 855,075,292
     
200,000
    $
5,962,843
 
ProShares UltraShort Yen
   
     
     
 
Common Units of Beneficial Interest
  $
 898,498,723
     
50,000
    $
3,956,753
 
ProShares VIX Mid-Term Futures ETF
   
     
     
 
Common Units of Beneficial Interest
  $
 435,416,593
     
375,000
    $
10,708,061
 
ProShares VIX Short-Term Futures ETF
   
     
     
 
Common Units of Beneficial Interest
  $
 1,278,376,358
     
6,800,000
    $
78,257,089
 
                         
Total Trust:
 
 
23,674,149,799
 
   
246,780,000
    $
 3,084,661,161
 
                         
 
* The liquidated funds’ shares were de-registered prior to March 31, 2020.
 
** The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent. See Note 1 of the Notes to Financial Statements.
 
   
 
191

Table of Contents
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
None.
192

Table of Contents
Item 6. Exhibits.
         
Exhibit No.
 
 
Description of Document
         
 
  31.1
   
         
 
  31.2
   
         
 
  32.1
   
         
 
  32.2
   
         
 
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)
         
 
   
Cover Page Interactive Data File—The cover page interactive data file does not appear in the interactive data file because its XBRL
         
 
104.1
   
tags are embedded within the inline XBRL document.
(1) Filed herewith.
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Table of Contents
Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
PROSHARES TRUST II
 
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: May 8, 2020
 
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: May 8, 2020
194